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refactor and fix backtest for user data stream and market data stream

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This commit is contained in:
c9s 2021-05-30 15:08:11 +08:00
parent 38fd5422ab
commit 3aa36b5989
4 changed files with 64 additions and 65 deletions
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34
pkg/backtest/exchange.go
View File

@ -25,7 +25,7 @@ type Exchange struct {
account *types.Account
config *bbgo.Backtest
stream *Stream
userDataStream *Stream
trades map[string][]types.Trade
closedOrders map[string][]types.Order
@ -91,31 +91,7 @@ func (e *Exchange) Done() chan struct{} {
}
func (e *Exchange) NewStream() types.Stream {
if e.stream != nil {
panic("backtest stream can not be allocated twice")
}
e.stream = &Stream{exchange: e}
e.stream.OnTradeUpdate(func(trade types.Trade) {
e.trades[trade.Symbol] = append(e.trades[trade.Symbol], trade)
})
for symbol, market := range e.markets {
matching := &SimplePriceMatching{
CurrentTime: e.startTime,
Account: e.account,
Market: market,
MakerCommission: e.config.Account.MakerCommission,
TakerCommission: e.config.Account.TakerCommission,
}
matching.OnTradeUpdate(e.stream.EmitTradeUpdate)
matching.OnOrderUpdate(e.stream.EmitOrderUpdate)
matching.OnBalanceUpdate(e.stream.EmitBalanceUpdate)
e.matchingBooks[symbol] = matching
}
return e.stream
return &Stream{exchange: e}
}
func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
@ -140,11 +116,11 @@ func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder)
e.closedOrders[symbol] = append(e.closedOrders[symbol], *createdOrder)
}
e.stream.EmitOrderUpdate(*createdOrder)
e.userDataStream.EmitOrderUpdate(*createdOrder)
}
if trade != nil {
e.stream.EmitTradeUpdate(*trade)
e.userDataStream.EmitTradeUpdate(*trade)
}
}
@ -180,7 +156,7 @@ func (e Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error
return err
}
e.stream.EmitOrderUpdate(canceledOrder)
e.userDataStream.EmitOrderUpdate(canceledOrder)
}
return nil

84
pkg/backtest/stream.go
View File

@ -15,6 +15,8 @@ type Stream struct {
types.StandardStream
exchange *Exchange
publicOnly bool
}
func (s *Stream) Connect(ctx context.Context) error {
@ -51,48 +53,72 @@ func (s *Stream) Connect(ctx context.Context) error {
log.Infof("used symbols: %v and intervals: %v", symbols, intervals)
go func() {
log.Infof("emitting connect callbacks...")
s.EmitConnect()
if !s.publicOnly {
// user data stream
s.OnTradeUpdate(func(trade types.Trade) {
s.exchange.trades[trade.Symbol] = append(s.exchange.trades[trade.Symbol], trade)
})
log.Infof("emitting start callbacks...")
s.EmitStart()
for symbol, market := range s.exchange.markets {
matching := &SimplePriceMatching{
CurrentTime: s.exchange.startTime,
Account: s.exchange.account,
Market: market,
MakerCommission: s.exchange.config.Account.MakerCommission,
TakerCommission: s.exchange.config.Account.TakerCommission,
}
matching.OnTradeUpdate(s.EmitTradeUpdate)
matching.OnOrderUpdate(s.EmitOrderUpdate)
matching.OnBalanceUpdate(s.EmitBalanceUpdate)
s.exchange.matchingBooks[symbol] = matching
}
log.Infof("querying klines from database...")
klineC, errC := s.exchange.srv.QueryKLinesCh(s.exchange.startTime, s.exchange.endTime, s.exchange, symbols, intervals)
numKlines := 0
for k := range klineC {
if k.Interval == types.Interval1m {
matching, ok := s.exchange.matchingBooks[k.Symbol]
if !ok {
log.Errorf("matching book of %s is not initialized", k.Symbol)
continue
// assign user data stream back
s.exchange.userDataStream = s
}
s.EmitConnect()
s.EmitStart()
if s.publicOnly {
go func() {
log.Infof("querying klines from database...")
klineC, errC := s.exchange.srv.QueryKLinesCh(s.exchange.startTime, s.exchange.endTime, s.exchange, symbols, intervals)
numKlines := 0
for k := range klineC {
if k.Interval == types.Interval1m {
matching, ok := s.exchange.matchingBooks[k.Symbol]
if !ok {
log.Errorf("matching book of %s is not initialized", k.Symbol)
continue
}
matching.processKLine(k)
numKlines++
}
matching.processKLine(k)
numKlines++
s.EmitKLineClosed(k)
}
s.EmitKLineClosed(k)
}
if err := <-errC; err != nil {
log.WithError(err).Error("backtest data feed error")
}
if err := <-errC; err != nil {
log.WithError(err).Error("backtest data feed error")
}
if numKlines == 0 {
log.Error("kline data is empty, make sure you have sync the exchange market data")
}
if numKlines == 0 {
log.Error("kline data is empty, make sure you have sync the exchange market data")
}
if err := s.Close(); err != nil {
log.WithError(err).Error("stream close error")
}
}()
if err := s.Close(); err != nil {
log.WithError(err).Error("stream close error")
}
}()
}
return nil
}
func (s *Stream) SetPublicOnly() {
s.publicOnly = true
return
}

7
pkg/bbgo/environment.go
View File

@ -211,11 +211,8 @@ func (environ *Environment) AddExchangesByViperKeys() error {
}
func InitExchangeSession(name string, session *ExchangeSession) error {
exchangeName, err := types.ValidExchangeName(session.ExchangeName)
if err != nil {
return err
}
var err error
var exchangeName = session.ExchangeName
var exchange types.Exchange
if session.Key != "" && session.Secret != "" {
if !session.PublicOnly {

4
pkg/server/routes.go
View File

@ -133,7 +133,7 @@ func (s *Server) newEngine() *gin.Engine {
return
}
err := bbgo.InitExchangeSession(session.ExchangeName, &session)
err := bbgo.InitExchangeSession(session.ExchangeName.String(), &session)
if err != nil {
c.JSON(http.StatusInternalServerError, gin.H{
"error": err.Error(),
@ -182,7 +182,7 @@ func (s *Server) newEngine() *gin.Engine {
return
}
if err := bbgo.InitExchangeSession(session.ExchangeName, &session); err != nil {
if err := bbgo.InitExchangeSession(session.ExchangeName.String(), &session); err != nil {
c.JSON(http.StatusInternalServerError, gin.H{
"error": err.Error(),
})