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add mutex lock protection for backtesting

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solving issue #282
This commit is contained in:
c9s 2021-11-30 10:40:28 +08:00
parent cb73ea860b
commit 5ed337926d
2 changed files with 15 additions and 5 deletions
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18
pkg/backtest/exchange.go
View File

@ -30,6 +30,7 @@ package backtest
import (
"context"
"fmt"
"sync"
"time"
"github.com/pkg/errors"
@ -57,6 +58,8 @@ type Exchange struct {
trades map[string][]types.Trade
closedOrders map[string][]types.Order
matchingBooks map[string]*SimplePriceMatching
matchingBooksMutex sync.Mutex
markets types.MarketMap
doneC chan struct{}
}
@ -124,7 +127,7 @@ func (e *Exchange) NewStream() types.Stream {
func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
for _, order := range orders {
symbol := order.Symbol
matching, ok := e.matchingBooks[symbol]
matching, ok := e.matchingBook(symbol)
if !ok {
return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
}
@ -155,7 +158,7 @@ func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder)
}
func (e Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
matching, ok := e.matchingBooks[symbol]
matching, ok := e.matchingBook(symbol)
if !ok {
return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
}
@ -174,7 +177,7 @@ func (e Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, u
func (e Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error {
for _, order := range orders {
matching, ok := e.matchingBooks[order.Symbol]
matching, ok := e.matchingBook(order.Symbol)
if !ok {
return fmt.Errorf("matching engine is not initialized for symbol %s", order.Symbol)
}
@ -215,7 +218,7 @@ func (e Exchange) QueryTrades(ctx context.Context, symbol string, options *types
}
func (e Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
matching, ok := e.matchingBooks[symbol]
matching, ok := e.matchingBook(symbol)
if !ok {
return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
}
@ -258,6 +261,13 @@ func (e Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since,
return nil, nil
}
func (e *Exchange) matchingBook(symbol string) (*SimplePriceMatching, bool){
e.matchingBooksMutex.Lock()
m, ok := e.matchingBooks[symbol]
e.matchingBooksMutex.Unlock()
return m, ok
}
func newPublicExchange(sourceExchange types.ExchangeName) (types.Exchange, error) {
switch sourceExchange {
case types.ExchangeBinance:

2
pkg/backtest/stream.go
View File

@ -87,7 +87,7 @@ func (s *Stream) Connect(ctx context.Context) error {
numKlines := 0
for k := range klineC {
if k.Interval == types.Interval1m {
matching, ok := s.exchange.matchingBooks[k.Symbol]
matching, ok := s.exchange.matchingBook(k.Symbol)
if !ok {
log.Errorf("matching book of %s is not initialized", k.Symbol)
continue