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https://github.com/c9s/bbgo.git
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pull out writeJsonFile function
This commit is contained in:
c9s
parent
24464fdcb6
commit
5f68064ac6
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@ -81,6 +81,7 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
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unrealizedProfit := currentPrice.Sub(position.AverageCost).
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Mul(position.GetBase())
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return &AverageCostPnlReport{
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Symbol: symbol,
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Market: c.Market,
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@ -5,7 +5,7 @@ import (
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"strconv"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/fatih/color"
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"github.com/slack-go/slack"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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@ -15,15 +15,15 @@ import (
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)
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type AverageCostPnlReport struct {
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LastPrice fixedpoint.Value `json:"lastPrice"`
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StartTime time.Time `json:"startTime"`
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Symbol string `json:"symbol"`
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Market types.Market `json:"market"`
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LastPrice fixedpoint.Value `json:"lastPrice"`
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StartTime time.Time `json:"startTime"`
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Symbol string `json:"symbol"`
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Market types.Market `json:"market"`
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NumTrades int `json:"numTrades"`
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Profit fixedpoint.Value `json:"profit"`
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NetProfit fixedpoint.Value `json:"netProfit"`
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UnrealizedProfit fixedpoint.Value `json:"unrealizedProfit"`
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NumTrades int `json:"numTrades"`
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Profit fixedpoint.Value `json:"profit"`
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NetProfit fixedpoint.Value `json:"netProfit"`
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UnrealizedProfit fixedpoint.Value `json:"unrealizedProfit"`
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AverageCost fixedpoint.Value `json:"averageCost"`
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BuyVolume fixedpoint.Value `json:"buyVolume,omitempty"`
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SellVolume fixedpoint.Value `json:"sellVolume,omitempty"`
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@ -37,19 +37,29 @@ func (report *AverageCostPnlReport) JSON() ([]byte, error) {
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}
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func (report AverageCostPnlReport) Print() {
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log.Infof("TRADES SINCE: %v", report.StartTime)
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log.Infof("NUMBER OF TRADES: %d", report.NumTrades)
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log.Infof("AVERAGE COST: %s", types.USD.FormatMoney(report.AverageCost))
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log.Infof("TOTAL BUY VOLUME: %v", report.BuyVolume)
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log.Infof("TOTAL SELL VOLUME: %v", report.SellVolume)
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color.Green("TRADES SINCE: %v", report.StartTime)
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color.Green("NUMBER OF TRADES: %d", report.NumTrades)
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color.Green("AVERAGE COST: %s", types.USD.FormatMoney(report.AverageCost))
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color.Green("TOTAL BUY VOLUME: %v", report.BuyVolume)
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color.Green("TOTAL SELL VOLUME: %v", report.SellVolume)
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log.Infof("CURRENT PRICE: %s", types.USD.FormatMoney(report.LastPrice))
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log.Infof("CURRENCY FEES:")
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color.Green("CURRENT PRICE: %s", types.USD.FormatMoney(report.LastPrice))
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color.Green("CURRENCY FEES:")
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for currency, fee := range report.CurrencyFees {
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log.Infof(" - %s: %s", currency, fee.String())
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color.Green(" - %s: %s", currency, fee.String())
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}
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if report.Profit.Sign() > 0 {
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color.Green("PROFIT: %s", types.USD.FormatMoney(report.Profit))
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} else {
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color.Red("PROFIT: %s", types.USD.FormatMoney(report.Profit))
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}
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if report.UnrealizedProfit.Sign() > 0 {
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color.Green("UNREALIZED PROFIT: %s", types.USD.FormatMoney(report.UnrealizedProfit))
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} else {
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color.Red("UNREALIZED PROFIT: %s", types.USD.FormatMoney(report.UnrealizedProfit))
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}
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log.Infof("PROFIT: %s", types.USD.FormatMoney(report.Profit))
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log.Infof("UNREALIZED PROFIT: %s", types.USD.FormatMoney(report.UnrealizedProfit))
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}
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func (report AverageCostPnlReport) SlackAttachment() slack.Attachment {
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@ -10,7 +10,18 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type Report struct {
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// SummaryReport is the summary of the back-test session
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type SummaryReport struct {
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StartTime time.Time `json:"startTime"`
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EndTime time.Time `json:"endTime"`
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Sessions []string `json:"sessions"`
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InitialTotalBalances types.BalanceMap `json:"initialTotalBalances"`
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FinalTotalBalances types.BalanceMap `json:"finalTotalBalances"`
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}
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// SessionSymbolReport is the report per exchange session
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// trades are merged, collected and re-calculated
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type SessionSymbolReport struct {
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StartTime time.Time `json:"startTime"`
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EndTime time.Time `json:"endTime"`
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Symbol string `json:"symbol,omitempty"`
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@ -104,13 +104,22 @@ type Backtest struct {
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EndTime *types.LooseFormatTime `json:"endTime,omitempty" yaml:"endTime,omitempty"`
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// RecordTrades is an option, if set to true, back-testing should record the trades into database
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RecordTrades bool `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`
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RecordTrades bool `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`
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// Account is deprecated, use Accounts instead
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Account map[string]BacktestAccount `json:"account" yaml:"account"`
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Accounts map[string]BacktestAccount `json:"accounts" yaml:"accounts"`
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Symbols []string `json:"symbols" yaml:"symbols"`
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Sessions []string `json:"sessions" yaml:"sessions"`
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Account map[string]BacktestAccount `json:"account" yaml:"account"`
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Accounts map[string]BacktestAccount `json:"accounts" yaml:"accounts"`
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Symbols []string `json:"symbols" yaml:"symbols"`
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Sessions []string `json:"sessions" yaml:"sessions"`
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}
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func (b *Backtest) GetAccount(n string) BacktestAccount {
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accountConfig, ok := b.Accounts[n]
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if ok {
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return accountConfig
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}
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return b.Account[n]
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}
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type BacktestAccount struct {
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@ -432,12 +432,43 @@ var BacktestCmd = &cobra.Command{
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// put the logger back to print the pnl
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log.SetLevel(log.InfoLevel)
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log.Infof("BACK-TEST REPORT")
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log.Infof("===============================================")
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log.Infof("START TIME: %s", startTime.Format(time.RFC1123))
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log.Infof("END TIME: %s", endTime.Format(time.RFC1123))
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color.Green("BACK-TEST REPORT")
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color.Green("===============================================\n")
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color.Green("START TIME: %s\n", startTime.Format(time.RFC1123))
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color.Green("END TIME: %s\n", endTime.Format(time.RFC1123))
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// aggregate total balances
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initTotalBalances := types.BalanceMap{}
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finalTotalBalances := types.BalanceMap{}
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sessionNames := []string{}
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for _, session := range environ.Sessions() {
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backtestExchange := session.Exchange.(*backtest.Exchange)
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sessionNames = append(sessionNames, session.Name)
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accountConfig := userConfig.Backtest.GetAccount(session.Name)
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initBalances := accountConfig.Balances.BalanceMap()
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initTotalBalances = initTotalBalances.Add(initBalances)
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finalBalances := session.GetAccount().Balances()
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finalTotalBalances = finalTotalBalances.Add(finalBalances)
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}
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color.Green("INITIAL TOTAL BALANCE: %v\n", initTotalBalances)
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color.Green("FINAL TOTAL BALANCE: %v\n", finalTotalBalances)
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summaryReport := &backtest.SummaryReport{
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StartTime: startTime,
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EndTime: endTime,
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Sessions: sessionNames,
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InitialTotalBalances: initTotalBalances,
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FinalTotalBalances: finalTotalBalances,
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}
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_ = summaryReport
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for _, session := range environ.Sessions() {
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backtestExchange, ok := session.Exchange.(*backtest.Exchange)
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if !ok {
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return fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
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}
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// per symbol report
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exchangeName := session.Exchange.Name().String()
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for symbol, trades := range session.Trades {
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market, ok := session.Market(symbol)
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@ -466,22 +497,12 @@ var BacktestCmd = &cobra.Command{
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report := calculator.Calculate(symbol, trades.Trades, lastPrice)
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report.Print()
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accountConfig, ok := userConfig.Backtest.Accounts[exchangeName]
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if !ok {
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accountConfig = userConfig.Backtest.Account[exchangeName]
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}
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accountConfig := userConfig.Backtest.GetAccount(exchangeName)
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initBalances := accountConfig.Balances.BalanceMap()
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finalBalances := session.GetAccount().Balances()
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log.Infof("INITIAL BALANCES:")
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initBalances.Print()
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log.Infof("FINAL BALANCES:")
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finalBalances.Print()
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if generatingReport {
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result := backtest.Report{
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result := backtest.SessionSymbolReport{
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StartTime: startTime,
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EndTime: endTime,
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Symbol: symbol,
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@ -493,20 +514,15 @@ var BacktestCmd = &cobra.Command{
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Manifests: manifests,
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}
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jsonOutput, err := json.MarshalIndent(&result, "", " ")
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if err != nil {
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return err
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}
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if err := ioutil.WriteFile(filepath.Join(outputDirectory, symbol+".json"), jsonOutput, 0644); err != nil {
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if err := writeJsonFile(filepath.Join(outputDirectory, symbol+".json"), &result) ; err != nil {
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return err
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}
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}
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initQuoteAsset := inQuoteAsset(initBalances, market, startPrice)
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finalQuoteAsset := inQuoteAsset(finalBalances, market, lastPrice)
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log.Infof("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(initQuoteAsset), market.QuoteCurrency, market.BaseCurrency, startPrice)
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log.Infof("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(finalQuoteAsset), market.QuoteCurrency, market.BaseCurrency, lastPrice)
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color.Green("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(initQuoteAsset), market.QuoteCurrency, market.BaseCurrency, startPrice)
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color.Green("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(finalQuoteAsset), market.QuoteCurrency, market.BaseCurrency, lastPrice)
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if report.Profit.Sign() > 0 {
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color.Green("REALIZED PROFIT: +%v %s", report.Profit, market.QuoteCurrency)
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@ -577,6 +593,15 @@ func confirmation(s string) bool {
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}
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}
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func writeJsonFile(p string, obj interface{}) error {
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out, err := json.MarshalIndent(obj, "", " ")
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if err != nil {
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return err
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}
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return ioutil.WriteFile(p, out, 0644)
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}
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func safeMkdirAll(p string) error {
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st, err := os.Stat(p)
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if err == nil {
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@ -6,8 +6,6 @@ import (
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"strings"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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@ -193,11 +191,15 @@ func (m BalanceMap) Print() {
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continue
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}
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fmt.Printf(" %s: %v", balance.Currency, balance.Available)
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if balance.Locked.Sign() > 0 {
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logrus.Infof(" %s: %v (locked %v)", balance.Currency, balance.Available, balance.Locked)
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} else {
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logrus.Infof(" %s: %v", balance.Currency, balance.Available)
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fmt.Printf(" (locked %v)", balance.Locked)
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}
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if balance.Borrowed.Sign() > 0 {
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fmt.Printf(" (borrowed %v)", balance.Borrowed)
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}
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fmt.Println()
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}
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}
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