support json output for backtesting

pkg/accounting/pnl/avg_cost.go

@@ -21,12 +21,13 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 
 	if len(trades) == 0 {
 		return &AverageCostPnlReport{
-			Symbol:       symbol,
-			CurrentPrice: currentPrice,
-			NumTrades:    0,
-			BuyVolume:    bidVolume,
-			SellVolume:   askVolume,
-			FeeInUSD:     feeUSD,
+			Symbol:     symbol,
+			Market:     c.Market,
+			LastPrice:  currentPrice,
+			NumTrades:  0,
+			BuyVolume:  bidVolume,
+			SellVolume: askVolume,
+			FeeInUSD:   feeUSD,
 		}
 	}
 
@@ -68,10 +69,11 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 
 	unrealizedProfit := (fixedpoint.NewFromFloat(currentPrice) - position.AverageCost).Mul(position.Base)
 	return &AverageCostPnlReport{
-		Symbol:       symbol,
-		CurrentPrice: currentPrice,
-		NumTrades:    len(trades),
-		StartTime:    time.Time(trades[0].Time),
+		Symbol:    symbol,
+		Market:    c.Market,
+		LastPrice: currentPrice,
+		NumTrades: len(trades),
+		StartTime: time.Time(trades[0].Time),
 
 		BuyVolume:  bidVolume,
 		SellVolume: askVolume,
@@ -80,7 +82,7 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 		Profit:           totalProfit,
 		NetProfit:        totalNetProfit,
 		UnrealizedProfit: unrealizedProfit,
-		AverageBidCost:   position.AverageCost.Float64(),
+		AverageCost:      position.AverageCost.Float64(),
 		FeeInUSD:         (totalProfit - totalNetProfit).Float64(),
 		CurrencyFees:     currencyFees,
 	}

pkg/cmd/backtest.go

@@ -3,8 +3,11 @@ package cmd
 import (
 	"bufio"
 	"context"
+	"encoding/json"
 	"fmt"
+	"io/ioutil"
 	"os"
+	"path/filepath"
 	"strings"
 	"time"
 
@@ -28,6 +31,7 @@ func init() {
 	BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
 	BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
 	BacktestCmd.Flags().Bool("force", false, "force execution without confirm")
+	BacktestCmd.Flags().String("output", "", "the report output directory")
 	RootCmd.AddCommand(BacktestCmd)
 }
 
@@ -65,6 +69,12 @@ var BacktestCmd = &cobra.Command{
 			return err
 		}
 
+		outputDirectory, err := cmd.Flags().GetString("output")
+		if err != nil {
+			return err
+		}
+		jsonOutputEnabled := len(outputDirectory) > 0
+
 		syncOnly, err := cmd.Flags().GetBool("sync-only")
 		if err != nil {
 			return err
@@ -270,7 +280,7 @@ var BacktestCmd = &cobra.Command{
 
 				calculator := &pnl.AverageCostCalculator{
 					TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
-					Market: market,
+					Market:             market,
 				}
 
 				startPrice, ok := session.StartPrice(symbol)
@@ -278,14 +288,14 @@ var BacktestCmd = &cobra.Command{
 					return fmt.Errorf("start price not found: %s", symbol)
 				}
 
-				log.Infof("%s PROFIT AND LOSS REPORT", symbol)
-				log.Infof("===============================================")
-
 				lastPrice, ok := session.LastPrice(symbol)
 				if !ok {
 					return fmt.Errorf("last price not found: %s", symbol)
 				}
 
+				log.Infof("%s PROFIT AND LOSS REPORT", symbol)
+				log.Infof("===============================================")
+
 				report := calculator.Calculate(symbol, trades.Trades, lastPrice)
 				report.Print()
 
@@ -298,6 +308,29 @@ var BacktestCmd = &cobra.Command{
 				log.Infof("FINAL BALANCES:")
 				finalBalances.Print()
 
+				if jsonOutputEnabled {
+					result := struct {
+						Symbol          string                    `json:"symbol,omitempty"`
+						PnLReport       *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
+						InitialBalances types.BalanceMap          `json:"initialBalances,omitempty"`
+						FinalBalances   types.BalanceMap          `json:"finalBalances,omitempty"`
+					}{
+						Symbol: symbol,
+						PnLReport: report,
+						InitialBalances: initBalances,
+						FinalBalances: finalBalances,
+					}
+
+					jsonOutput, err := json.MarshalIndent(&result,"", "  ")
+					if err != nil {
+						return err
+					}
+
+					if err := ioutil.WriteFile(filepath.Join(outputDirectory, symbol + ".json"), jsonOutput, 0644) ; err != nil {
+						return err
+					}
+				}
+
 				if wantBaseAssetBaseline {
 					initBaseAsset := inBaseAsset(initBalances, market, startPrice)
 					finalBaseAsset := inBaseAsset(finalBalances, market, lastPrice)

pkg/types/market.go

@@ -3,10 +3,11 @@ package types
 import (
 	"encoding/json"
 	"fmt"
-	"github.com/leekchan/accounting"
 	"math"
 	"strconv"
 	"time"
+
+	"github.com/leekchan/accounting"
 )
 
 type Duration time.Duration
@@ -48,27 +49,27 @@ func (d *Duration) UnmarshalJSON(data []byte) error {
 }
 
 type Market struct {
-	Symbol      string
-	LocalSymbol string // LocalSymbol is used for exchange's API
+	Symbol      string `json:"symbol"`
+	LocalSymbol string `json:"localSymbol,omitempty" `// LocalSymbol is used for exchange's API
 
-	PricePrecision  int
-	VolumePrecision int
-	QuoteCurrency   string
-	BaseCurrency    string
+	PricePrecision  int `json:"pricePrecision,omitempty"`
+	VolumePrecision int `json:"volumePrecision,omitempty"`
+	QuoteCurrency   string `json:"quoteCurrency,omitempty"`
+	BaseCurrency    string `json:"baseCurrency,omitempty"`
 
 	// The MIN_NOTIONAL filter defines the minimum notional value allowed for an order on a symbol.
 	// An order's notional value is the price * quantity
-	MinNotional float64
-	MinAmount   float64
+	MinNotional float64 `json:"minNotional,omitempty"`
+	MinAmount   float64 `json:"minAmount,omitempty"`
 
 	// The LOT_SIZE filter defines the quantity
-	MinQuantity float64
-	MaxQuantity float64
-	StepSize    float64
+	MinQuantity float64 `json:"minQuantity,omitempty"`
+	MaxQuantity float64 `json:"maxQuantity,omitempty"`
+	StepSize    float64 `json:"stepSize,omitempty"`
 
-	MinPrice float64
-	MaxPrice float64
-	TickSize float64
+	MinPrice float64 `json:"minPrice,omitempty"`
+	MaxPrice float64 `json:"maxPrice,omitempty"`
+	TickSize float64 `json:"tickSize,omitempty"`
 }
 
 func (m Market) BaseCurrencyFormatter() *accounting.Accounting {