Revert "feature: add smart cancel to drift"

apps/backtest-report/components/TradingViewChart.tsx

@@ -71,7 +71,7 @@ const parseOrder = () => {
           case "update_time":
           case "creation_time":
           case "time":
-            d[key] = moment(d[key], 'dddd, DD MMM YYYY h:mm:ss').toDate();
+            d[key] = new Date(d[key]);
             break;
         }
       }

config/drift.yaml

@@ -35,21 +35,12 @@ exchangeStrategies:
     takeProfitFactor: 6
     profitFactorWindow: 8
     noTrailingStopLoss: false
-    trailingStopLossType: kline
     # stddev on high/low-source
-    hlVarianceMultiplier: 0.23
+    hlVarianceMultiplier: 0.22
     hlRangeWindow: 5
-    smootherWindow: 1
+    smootherWindow: 2
-    fisherTransformWindow: 9
+    fisherTransformWindow: 8
     atrWindow: 14
-    # orders not been traded will be canceled after `pendingMinutes` minutes
-    pendingMinutes: 4
-    noRebalance: true
-    trendWindow: 12
-    rebalanceFilter: 1.5
-
-    trailingActivationRatio: [0.008, 0.015]
-    trailingCallbackRate: [0.002, 0.001]
 
     generateGraph: true
     graphPNLDeductFee: true
@@ -88,7 +79,7 @@ sync:
 
 backtest:
   startTime: "2022-01-01"
-  endTime: "2022-07-30"
+  endTime: "2022-07-29"
   symbols:
     - ETHBUSD
   sessions: [binance]

config/driftBTC.yaml

@@ -24,7 +24,7 @@ exchangeStrategies:
 - on: binance
   drift:
     canvasPath: "./output.png"
-    symbol: BTCUSDT
+    symbol: BTCBUSD
     # kline interval for indicators
     interval: 15m
     window: 2
@@ -32,28 +32,15 @@ exchangeStrategies:
     source: close
     predictOffset: 2
     noTrailingStopLoss: false
-    trailingStopLossType: kline
     # stddev on high/low-source
-    hlVarianceMultiplier: 0.23
+    hlVarianceMultiplier: 0.22
     hlRangeWindow: 5
-    smootherWindow: 1
+    smootherWindow: 2
     fisherTransformWindow: 9
     # the init value of takeProfitFactor Series, the coefficient of ATR as TP
-    takeProfitFactor: 1.2
+    takeProfitFactor: 6
-    profitFactorWindow: 5
+    profitFactorWindow: 8
-    atrWindow: 12
+    atrWindow: 14
-    # orders not been traded will be canceled after `pendingMinutes` minutes
-    pendingMinutes: 3
-    noRebalance: true
-    trendWindow: 12
-    rebalanceFilter: 3
-    
-    # ActivationRatio should be increasing order
-    # when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
-    #trailingActivationRatio: [0.007, 0.015, 0.02, 0.05]
-    trailingActivationRatio: [0.007, 0.011] 
-    #trailingCallbackRate: [0.005, 0.003, 0.002, 0.001]
-    trailingCallbackRate: [0.002, 0.001]
 
     generateGraph: true
     graphPNLDeductFee: true
@@ -113,13 +100,13 @@ sync:
   sessions:
     - binance
   symbols:
-    - BTCUSDT
+    - BTCBUSD
 
 backtest:
   startTime: "2022-01-01"
-  endTime: "2022-07-26"
+  endTime: "2022-07-29"
   symbols:
-    - BTCUSDT
+    - BTCBUSD
   sessions: [binance]
   accounts:
     binance:
@@ -127,4 +114,4 @@ backtest:
       takerFeeRate: 0.00075
       balances:
         BTC: 1
-        USDT: 5000.0
+        BUSD: 5000.0

go.mod

@@ -42,7 +42,7 @@ require (
 	github.com/spf13/cobra v1.1.1
 	github.com/spf13/pflag v1.0.5
 	github.com/spf13/viper v1.7.1
-	github.com/stretchr/testify v1.7.4
+	github.com/stretchr/testify v1.7.0
 	github.com/valyala/fastjson v1.5.1
 	github.com/wcharczuk/go-chart/v2 v2.1.0
 	github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90
@@ -83,7 +83,6 @@ require (
 	github.com/golang/protobuf v1.5.2 // indirect
 	github.com/hashicorp/hcl v1.0.0 // indirect
 	github.com/inconshreveable/mousetrap v1.0.0 // indirect
-	github.com/jedib0t/go-pretty/v6 v6.3.6 // indirect
 	github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 // indirect
 	github.com/json-iterator/go v1.1.11 // indirect
 	github.com/lann/builder v0.0.0-20180802200727-47ae307949d0 // indirect
@@ -94,7 +93,7 @@ require (
 	github.com/magiconair/properties v1.8.4 // indirect
 	github.com/mattn/go-colorable v0.1.9 // indirect
 	github.com/mattn/go-isatty v0.0.14 // indirect
-	github.com/mattn/go-runewidth v0.0.13 // indirect
+	github.com/mattn/go-runewidth v0.0.12 // indirect
 	github.com/mattn/go-sqlite3 v1.14.13 // indirect
 	github.com/matttproud/golang_protobuf_extensions v1.0.1 // indirect
 	github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d // indirect

go.sum

@@ -352,8 +352,6 @@ github.com/jackc/puddle v0.0.0-20190608224051-11cab39313c9/go.mod h1:m4B5Dj62Y0f
 github.com/jackc/puddle v1.1.0/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk=
 github.com/jackc/puddle v1.1.1/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk=
 github.com/jackc/puddle v1.1.3/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk=
-github.com/jedib0t/go-pretty/v6 v6.3.6 h1:A6w2BuyPMtf7M82BGRBys9bAba2C26ZX9lrlrZ7uH6U=
-github.com/jedib0t/go-pretty/v6 v6.3.6/go.mod h1:MgmISkTWDSFu0xOqiZ0mKNntMQ2mDgOcwOkwBEkMDJI=
 github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 h1:IPJ3dvxmJ4uczJe5YQdrYB16oTJlGSC/OyZDqUk9xX4=
 github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869/go.mod h1:cJ6Cj7dQo+O6GJNiMx+Pa94qKj+TG8ONdKHgMNIyyag=
 github.com/jessevdk/go-flags v1.4.0/go.mod h1:4FA24M0QyGHXBuZZK/XkWh8h0e1EYbRYJSGM75WSRxI=
@@ -444,8 +442,6 @@ github.com/mattn/go-isatty v0.0.14/go.mod h1:7GGIvUiUoEMVVmxf/4nioHXj79iQHKdU27k
 github.com/mattn/go-runewidth v0.0.4/go.mod h1:LwmH8dsx7+W8Uxz3IHJYH5QSwggIsqBzpuz5H//U1FU=
 github.com/mattn/go-runewidth v0.0.12 h1:Y41i/hVW3Pgwr8gV+J23B9YEY0zxjptBuCWEaxmAOow=
 github.com/mattn/go-runewidth v0.0.12/go.mod h1:RAqKPSqVFrSLVXbA8x7dzmKdmGzieGRCM46jaSJTDAk=
-github.com/mattn/go-runewidth v0.0.13 h1:lTGmDsbAYt5DmK6OnoV7EuIF1wEIFAcxld6ypU4OSgU=
-github.com/mattn/go-runewidth v0.0.13/go.mod h1:Jdepj2loyihRzMpdS35Xk/zdY8IAYHsh153qUoGf23w=
 github.com/mattn/go-shellwords v1.0.12 h1:M2zGm7EW6UQJvDeQxo4T51eKPurbeFbe8WtebGE2xrk=
 github.com/mattn/go-shellwords v1.0.12/go.mod h1:EZzvwXDESEeg03EKmM+RmDnNOPKG4lLtQsUlTZDWQ8Y=
 github.com/mattn/go-sqlite3 v1.14.0/go.mod h1:JIl7NbARA7phWnGvh0LKTyg7S9BA+6gx71ShQilpsus=
@@ -507,7 +503,6 @@ github.com/pkg/errors v0.8.0/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINE
 github.com/pkg/errors v0.8.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
 github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4=
 github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
-github.com/pkg/profile v1.6.0/go.mod h1:qBsxPvzyUincmltOk6iyRVxHYg4adc0OFOv72ZdLa18=
 github.com/pkg/sftp v1.10.1/go.mod h1:lYOWFsE0bwd1+KfKJaKeuokY15vzFx25BLbzYYoAxZI=
 github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
 github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
@@ -604,7 +599,6 @@ github.com/stretchr/objx v0.1.0/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+
 github.com/stretchr/objx v0.1.1 h1:2vfRuCMp5sSVIDSqO8oNnWJq7mPa6KVP3iPIwFBuy8A=
 github.com/stretchr/objx v0.1.1/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+wExME=
 github.com/stretchr/objx v0.2.0/go.mod h1:qt09Ya8vawLte6SNmTgCsAVtYtaKzEcn8ATUoHMkEqE=
-github.com/stretchr/objx v0.4.0/go.mod h1:YvHI0jy2hoMjB+UWwv71VJQ9isScKT/TqJzVSSt89Yw=
 github.com/stretchr/testify v1.1.4/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
 github.com/stretchr/testify v1.2.0/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
 github.com/stretchr/testify v1.2.2/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
@@ -614,9 +608,6 @@ github.com/stretchr/testify v1.5.1/go.mod h1:5W2xD1RspED5o8YsWQXVCued0rvSQ+mT+I5
 github.com/stretchr/testify v1.6.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5CcY=
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
-github.com/stretchr/testify v1.7.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
-github.com/stretchr/testify v1.7.4 h1:wZRexSlwd7ZXfKINDLsO4r7WBt3gTKONc6K/VesHvHM=
-github.com/stretchr/testify v1.7.4/go.mod h1:yNjHg4UonilssWZ8iaSj1OCr/vHnekPRkoO+kdMU+MU=
 github.com/subosito/gotenv v1.2.0 h1:Slr1R9HxAlEKefgq5jn9U+DnETlIUa6HfgEzj0g5d7s=
 github.com/subosito/gotenv v1.2.0/go.mod h1:N0PQaV/YGNqwC0u51sEeR/aUtSLEXKX9iv69rRypqCw=
 github.com/tebeka/strftime v0.1.3 h1:5HQXOqWKYRFfNyBMNVc9z5+QzuBtIXy03psIhtdJYto=

pkg/bbgo/interact.go

@@ -51,27 +51,6 @@ func NewCoreInteraction(environment *Environment, trader *Trader) *CoreInteracti
 	}
 }
 
-type SimpleInteraction struct {
-	Command     string
-	Description string
-	F           interface{}
-	Cmd         *interact.Command
-}
-
-func (it *SimpleInteraction) Commands(i *interact.Interact) {
-	it.Cmd = i.PrivateCommand(it.Command, it.Description, it.F)
-}
-
-func RegisterCommand(command, desc string, f interface{}) *interact.Command {
-	it := &SimpleInteraction{
-		Command:     command,
-		Description: desc,
-		F:           f,
-	}
-	interact.AddCustomInteraction(it)
-	return it.Cmd
-}
-
 func getStrategySignatures(exchangeStrategies map[string]SingleExchangeStrategy) []string {
 	var strategies []string
 	for signature := range exchangeStrategies {

pkg/bbgo/notification.go

@@ -1,8 +1,6 @@
 package bbgo
 
 import (
-	"bytes"
-
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/util"
@@ -22,19 +20,9 @@ func NotifyTo(channel string, obj interface{}, args ...interface{}) {
 	Notification.NotifyTo(channel, obj, args...)
 }
 
-func SendPhoto(buffer *bytes.Buffer) {
-	Notification.SendPhoto(buffer)
-}
-
-func SendPhotoTo(channel string, buffer *bytes.Buffer) {
-	Notification.SendPhotoTo(channel, buffer)
-}
-
 type Notifier interface {
 	NotifyTo(channel string, obj interface{}, args ...interface{})
 	Notify(obj interface{}, args ...interface{})
-	SendPhotoTo(channel string, buffer *bytes.Buffer)
-	SendPhoto(buffer *bytes.Buffer)
 }
 
 type NullNotifier struct{}
@@ -43,10 +31,6 @@ func (n *NullNotifier) NotifyTo(channel string, obj interface{}, args ...interfa
 
 func (n *NullNotifier) Notify(obj interface{}, args ...interface{}) {}
 
-func (n *NullNotifier) SendPhoto(buffer *bytes.Buffer) {}
-
-func (n *NullNotifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {}
-
 type Notifiability struct {
 	notifiers            []Notifier
 	SessionChannelRouter *PatternChannelRouter `json:"-"`
@@ -99,15 +83,3 @@ func (m *Notifiability) NotifyTo(channel string, obj interface{}, args ...interf
 		n.NotifyTo(channel, obj, args...)
 	}
 }
-
-func (m *Notifiability) SendPhoto(buffer *bytes.Buffer) {
-	for _, n := range m.notifiers {
-		n.SendPhoto(buffer)
-	}
-}
-
-func (m *Notifiability) SendPhotoTo(channel string, buffer *bytes.Buffer) {
-	for _, n := range m.notifiers {
-		n.SendPhotoTo(channel, buffer)
-	}
-}

pkg/notifier/slacknotifier/slack.go

@@ -1,7 +1,6 @@
 package slacknotifier
 
 import (
-	"bytes"
 	"context"
 	"fmt"
 	"time"
@@ -151,14 +150,6 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
 	}
 }
 
-func (n *Notifier) SendPhoto(buffer *bytes.Buffer) {
-	n.SendPhotoTo(n.channel, buffer)
-}
-
-func (n *Notifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {
-	// TODO
-}
-
 /*
 func (n *Notifier) NotifyTrade(trade *types.Trade) {
 	_, _, err := n.client.PostMessageContext(context.Background(), n.TradeChannel,

pkg/notifier/telegramnotifier/telegram.go

@@ -1,7 +1,6 @@
 package telegramnotifier
 
 import (
-	"bytes"
 	"fmt"
 	"reflect"
 	"strconv"
@@ -130,48 +129,6 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
 	}
 }
 
-func (n *Notifier) SendPhoto(buffer *bytes.Buffer) {
-	n.SendPhotoTo("", buffer)
-}
-
-func photoFromBuffer(buffer *bytes.Buffer) telebot.InputMedia {
-	reader := bytes.NewReader(buffer.Bytes())
-	return &telebot.Photo{
-		File: telebot.FromReader(reader),
-	}
-}
-
-func (n *Notifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {
-	if n.broadcast {
-		if n.Subscribers == nil {
-			return
-		}
-
-		for chatID := range n.Subscribers {
-			chat, err := n.bot.ChatByID(strconv.FormatInt(chatID, 10))
-			if err != nil {
-				log.WithError(err).Error("can not get chat by ID")
-				continue
-			}
-			album := telebot.Album{
-				photoFromBuffer(buffer),
-			}
-			if _, err := n.bot.SendAlbum(chat, album); err != nil {
-				log.WithError(err).Error("failed to send message")
-			}
-		}
-	} else if n.Chats != nil {
-		for _, chat := range n.Chats {
-			album := telebot.Album{
-				photoFromBuffer(buffer),
-			}
-			if _, err := n.bot.SendAlbum(chat, album); err != nil {
-				log.WithError(err).Error("telegram send error")
-			}
-		}
-	}
-}
-
 func (n *Notifier) AddChat(c *telebot.Chat) {
 	if n.Chats == nil {
 		n.Chats = make(map[int64]*telebot.Chat)

pkg/types/indicator.go

@@ -1192,35 +1192,16 @@ func NewCanvas(title string, intervals ...Interval) *Canvas {
 	return out
 }
 
-func expand(a []float64, length int, defaultVal float64) []float64 {
+func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int) {
-	l := len(a)
-	if l >= length {
-		return a
-	}
-	for i := 0; i < length-l; i++ {
-		a = append([]float64{defaultVal}, a...)
-	}
-	return a
-}
-
-func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int, intervals ...Interval) {
 	var timeline []time.Time
 	e := endTime.Time()
-	if a.Length() == 0 {
-		return
-	}
-	oldest := a.Index(a.Length() - 1)
-	interval := canvas.Interval
-	if len(intervals) > 0 {
-		interval = intervals[0]
-	}
 	for i := length - 1; i >= 0; i-- {
-		shiftedT := e.Add(-time.Duration(i*interval.Minutes()) * time.Minute)
+		shiftedT := e.Add(-time.Duration(i*canvas.Interval.Minutes()) * time.Minute)
 		timeline = append(timeline, shiftedT)
 	}
 	canvas.Series = append(canvas.Series, chart.TimeSeries{
 		Name:    tag,
-		YValues: expand(Reverse(a, length), length, oldest),
+		YValues: Reverse(a, length),
 		XValues: timeline,
 	})
 }
@@ -1230,14 +1211,10 @@ func (canvas *Canvas) PlotRaw(tag string, a Series, length int) {
 	for i := 0; i < length; i++ {
 		x = append(x, float64(i))
 	}
-	if a.Length() == 0 {
-		return
-	}
-	oldest := a.Index(a.Length() - 1)
 	canvas.Series = append(canvas.Series, chart.ContinuousSeries{
 		Name:    tag,
 		XValues: x,
-		YValues: expand(Reverse(a, length), length, oldest),
+		YValues: Reverse(a, length),
 	})
 }
 

pkg/types/trade_stats.go

@@ -226,8 +226,6 @@ func (s *TradeStats) BriefString() string {
 		GrossLoss:                s.GrossLoss,
 		LargestProfitTrade:       s.LargestProfitTrade,
 		LargestLossTrade:         s.LargestLossTrade,
-		AverageProfitTrade:       s.AverageProfitTrade,
-		AverageLossTrade:         s.AverageLossTrade,
 		ProfitFactor:             s.ProfitFactor,
 		TotalNetProfit:           s.TotalNetProfit,
 		IntervalProfits:          s.IntervalProfits,