mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
grid2: add test case for aggregateOrderBaseFee
This commit is contained in:
c9s
parent
555d2c5046
commit
3d0cfd16b5
154
pkg/strategy/grid2/backtest_test.go
Normal file
154
pkg/strategy/grid2/backtest_test.go
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@ -0,0 +1,154 @@
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package grid2
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import (
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"context"
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"os"
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/backtest"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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func RunBacktest(t *testing.T, strategy bbgo.SingleExchangeStrategy) {
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// TEMPLATE {{{ start backtest
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const sqliteDbFile = "../../../data/bbgo_test.sqlite3"
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const backtestExchangeName = "binance"
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const backtestStartTime = "2022-06-01"
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const backtestEndTime = "2022-06-30"
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startTime, err := types.ParseLooseFormatTime(backtestStartTime)
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assert.NoError(t, err)
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endTime, err := types.ParseLooseFormatTime(backtestEndTime)
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assert.NoError(t, err)
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backtestConfig := &bbgo.Backtest{
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StartTime: startTime,
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EndTime: &endTime,
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RecordTrades: false,
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FeeMode: bbgo.BacktestFeeModeToken,
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Accounts: map[string]bbgo.BacktestAccount{
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backtestExchangeName: {
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MakerFeeRate: number(0.075 * 0.01),
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TakerFeeRate: number(0.075 * 0.01),
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Balances: bbgo.BacktestAccountBalanceMap{
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"USDT": number(10_000.0),
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"BTC": number(1.0),
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},
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},
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},
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Symbols: []string{"BTCUSDT"},
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Sessions: []string{backtestExchangeName},
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SyncSecKLines: false,
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}
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t.Logf("backtestConfig: %+v", backtestConfig)
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ctx := context.Background()
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environ := bbgo.NewEnvironment()
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environ.SetStartTime(startTime.Time())
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info, err := os.Stat(sqliteDbFile)
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assert.NoError(t, err)
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t.Logf("sqlite: %+v", info)
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err = environ.ConfigureDatabaseDriver(ctx, "sqlite3", sqliteDbFile)
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if !assert.NoError(t, err) {
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return
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}
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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defer func() {
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err := environ.DatabaseService.DB.Close()
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assert.NoError(t, err)
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}()
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environ.BacktestService = backtestService
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bbgo.SetBackTesting(backtestService)
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defer bbgo.SetBackTesting(nil)
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exName, err := types.ValidExchangeName(backtestExchangeName)
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if !assert.NoError(t, err) {
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return
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}
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t.Logf("using exchange source: %s", exName)
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publicExchange, err := exchange.NewPublic(exName)
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if !assert.NoError(t, err) {
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return
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}
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backtestExchange, err := backtest.NewExchange(exName, publicExchange, backtestService, backtestConfig)
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if !assert.NoError(t, err) {
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return
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}
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session := environ.AddExchange(backtestExchangeName, backtestExchange)
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assert.NotNil(t, session)
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err = environ.Init(ctx)
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assert.NoError(t, err)
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for _, ses := range environ.Sessions() {
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userDataStream := ses.UserDataStream.(types.StandardStreamEmitter)
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backtestEx := ses.Exchange.(*backtest.Exchange)
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backtestEx.MarketDataStream = ses.MarketDataStream.(types.StandardStreamEmitter)
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backtestEx.BindUserData(userDataStream)
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}
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trader := bbgo.NewTrader(environ)
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if assert.NotNil(t, trader) {
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trader.DisableLogging()
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}
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userConfig := &bbgo.Config{
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Backtest: backtestConfig,
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ExchangeStrategies: []bbgo.ExchangeStrategyMount{
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{
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Mounts: []string{backtestExchangeName},
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Strategy: strategy,
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},
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},
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}
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err = trader.Configure(userConfig)
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assert.NoError(t, err)
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err = trader.Run(ctx)
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assert.NoError(t, err)
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allKLineIntervals, requiredInterval, backTestIntervals := backtest.CollectSubscriptionIntervals(environ)
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t.Logf("requiredInterval: %s backTestIntervals: %v", requiredInterval, backTestIntervals)
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_ = allKLineIntervals
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exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(), startTime.Time(), endTime.Time(), requiredInterval, backTestIntervals...)
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if !assert.NoError(t, err) {
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return
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}
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doneC := make(chan struct{})
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go func() {
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count := 0
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exSource := exchangeSources[0]
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for k := range exSource.C {
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exSource.Exchange.ConsumeKLine(k, requiredInterval)
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count++
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}
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err = exSource.Exchange.CloseMarketData()
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assert.NoError(t, err)
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assert.Greater(t, count, 0, "kLines count must be greater than 0, please check your backtest date range and symbol settings")
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close(doneC)
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}()
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<-doneC
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// }}}
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}
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@ -4,18 +4,16 @@ package grid2
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import (
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"context"
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"os"
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"testing"
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"github.com/golang/mock/gomock"
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"github.com/sirupsen/logrus"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/backtest"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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)
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func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
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@ -267,12 +265,13 @@ func newTestStrategy() *Strategy {
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}
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Market: market,
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GridProfitStats: newGridProfitStats(market),
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UpperPrice: number(20_000),
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LowerPrice: number(10_000),
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GridNum: 10,
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logger: logrus.NewEntry(logrus.New()),
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Market: market,
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GridProfitStats: newGridProfitStats(market),
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UpperPrice: number(20_000),
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LowerPrice: number(10_000),
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GridNum: 10,
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historicalTrades: bbgo.NewTradeStore(),
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// QuoteInvestment: number(9000.0),
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}
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@ -333,6 +332,68 @@ func TestStrategy_calculateProfit(t *testing.T) {
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})
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}
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func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
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s := newTestStrategy()
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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mockService := mocks.NewMockExchangeOrderQueryService(mockCtrl)
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s.orderQueryService = mockService
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ctx := context.Background()
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mockService.EXPECT().QueryOrderTrades(ctx, types.OrderQuery{
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Symbol: "BTCUSDT",
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OrderID: "3",
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}).Return([]types.Trade{
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{
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ID: 1,
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OrderID: 3,
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Exchange: "binance",
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Price: number(20000.0),
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Quantity: number(0.2),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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FeeCurrency: "BTC",
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Fee: number(0.2 * 0.01),
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},
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{
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ID: 1,
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OrderID: 3,
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Exchange: "binance",
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Price: number(20000.0),
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Quantity: number(0.8),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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FeeCurrency: "BTC",
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Fee: number(0.8 * 0.01),
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},
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}, nil)
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baseFee := s.aggregateOrderBaseFee(types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: number(1.0),
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Price: number(20000.0),
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AveragePrice: number(0),
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StopPrice: number(0),
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Market: types.Market{},
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TimeInForce: types.TimeInForceGTC,
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},
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Exchange: "binance",
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GID: 1,
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OrderID: 3,
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Status: types.OrderStatusFilled,
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ExecutedQuantity: number(1.0),
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IsWorking: false,
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})
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assert.Equal(t, "0.01", baseFee.String())
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}
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func TestBacktestStrategy(t *testing.T) {
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market := types.Market{
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BaseCurrency: "BTC",
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@ -353,142 +414,3 @@ func TestBacktestStrategy(t *testing.T) {
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}
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RunBacktest(t, strategy)
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}
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func RunBacktest(t *testing.T, strategy bbgo.SingleExchangeStrategy) {
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// TEMPLATE {{{ start backtest
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const sqliteDbFile = "../../../data/bbgo_test.sqlite3"
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const backtestExchangeName = "binance"
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const backtestStartTime = "2022-06-01"
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const backtestEndTime = "2022-06-30"
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startTime, err := types.ParseLooseFormatTime(backtestStartTime)
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assert.NoError(t, err)
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endTime, err := types.ParseLooseFormatTime(backtestEndTime)
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assert.NoError(t, err)
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backtestConfig := &bbgo.Backtest{
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StartTime: startTime,
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EndTime: &endTime,
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RecordTrades: false,
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FeeMode: bbgo.BacktestFeeModeToken,
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Accounts: map[string]bbgo.BacktestAccount{
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backtestExchangeName: {
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MakerFeeRate: number(0.075 * 0.01),
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TakerFeeRate: number(0.075 * 0.01),
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Balances: bbgo.BacktestAccountBalanceMap{
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"USDT": number(10_000.0),
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"BTC": number(1.0),
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},
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},
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},
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Symbols: []string{"BTCUSDT"},
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Sessions: []string{backtestExchangeName},
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SyncSecKLines: false,
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}
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t.Logf("backtestConfig: %+v", backtestConfig)
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ctx := context.Background()
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environ := bbgo.NewEnvironment()
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environ.SetStartTime(startTime.Time())
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info, err := os.Stat(sqliteDbFile)
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assert.NoError(t, err)
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t.Logf("sqlite: %+v", info)
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err = environ.ConfigureDatabaseDriver(ctx, "sqlite3", sqliteDbFile)
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if !assert.NoError(t, err) {
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return
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}
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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defer func() {
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err := environ.DatabaseService.DB.Close()
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assert.NoError(t, err)
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}()
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environ.BacktestService = backtestService
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bbgo.SetBackTesting(backtestService)
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defer bbgo.SetBackTesting(nil)
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exName, err := types.ValidExchangeName(backtestExchangeName)
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if !assert.NoError(t, err) {
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return
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}
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t.Logf("using exchange source: %s", exName)
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publicExchange, err := exchange.NewPublic(exName)
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if !assert.NoError(t, err) {
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return
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}
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backtestExchange, err := backtest.NewExchange(exName, publicExchange, backtestService, backtestConfig)
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if !assert.NoError(t, err) {
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return
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}
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session := environ.AddExchange(backtestExchangeName, backtestExchange)
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assert.NotNil(t, session)
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err = environ.Init(ctx)
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assert.NoError(t, err)
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for _, ses := range environ.Sessions() {
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userDataStream := ses.UserDataStream.(types.StandardStreamEmitter)
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backtestEx := ses.Exchange.(*backtest.Exchange)
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backtestEx.MarketDataStream = ses.MarketDataStream.(types.StandardStreamEmitter)
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backtestEx.BindUserData(userDataStream)
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}
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trader := bbgo.NewTrader(environ)
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if assert.NotNil(t, trader) {
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trader.DisableLogging()
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}
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userConfig := &bbgo.Config{
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Backtest: backtestConfig,
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ExchangeStrategies: []bbgo.ExchangeStrategyMount{
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{
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Mounts: []string{backtestExchangeName},
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Strategy: strategy,
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},
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},
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}
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err = trader.Configure(userConfig)
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assert.NoError(t, err)
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err = trader.Run(ctx)
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assert.NoError(t, err)
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allKLineIntervals, requiredInterval, backTestIntervals := backtest.CollectSubscriptionIntervals(environ)
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t.Logf("requiredInterval: %s backTestIntervals: %v", requiredInterval, backTestIntervals)
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_ = allKLineIntervals
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exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(), startTime.Time(), endTime.Time(), requiredInterval, backTestIntervals...)
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if !assert.NoError(t, err) {
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return
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}
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doneC := make(chan struct{})
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go func() {
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count := 0
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exSource := exchangeSources[0]
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for k := range exSource.C {
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exSource.Exchange.ConsumeKLine(k, requiredInterval)
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count++
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}
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err = exSource.Exchange.CloseMarketData()
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assert.NoError(t, err)
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assert.Greater(t, count, 0, "kLines count must be greater than 0, please check your backtest date range and symbol settings")
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close(doneC)
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}()
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<-doneC
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// }}}
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}
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@ -82,6 +82,7 @@ type Exchange interface {
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}
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// ExchangeOrderQueryService provides an interface for querying the order status via order ID or client order ID
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//go:generate mockgen -destination=mocks/mock_exchange_order_query.go -package=mocks . ExchangeOrderQueryService
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type ExchangeOrderQueryService interface {
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QueryOrder(ctx context.Context, q OrderQuery) (*Order, error)
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QueryOrderTrades(ctx context.Context, q OrderQuery) ([]Trade, error)
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