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improve/backtest-sync: set exchange to use futures

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This commit is contained in:
Andy Cheng 2023-12-21 18:19:28 +08:00
parent c82cbbc172
commit 66718e0d37
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GPG Key ID: 936427CF651A9D28
3 changed files with 43 additions and 43 deletions
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4
pkg/backtest/exchange.go
View File

@ -256,11 +256,11 @@ func (e *Exchange) QueryKLines(
ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions,
) ([]types.KLine, error) {
if options.EndTime != nil {
return e.srv.QueryKLinesBackward(e.sourceName, symbol, interval, *options.EndTime, 1000)
return e.srv.QueryKLinesBackward(e, symbol, interval, *options.EndTime, 1000)
}
if options.StartTime != nil {
return e.srv.QueryKLinesForward(e.sourceName, symbol, interval, *options.StartTime, 1000)
return e.srv.QueryKLinesForward(e, symbol, interval, *options.StartTime, 1000)
}
return nil, errors.New("endTime or startTime can not be nil")

10
pkg/cmd/backtest.go
View File

@ -192,6 +192,16 @@ var BacktestCmd = &cobra.Command{
return err
}
sourceExchanges[exName] = publicExchange
// Set exchange to use futures
if userConfig.Sessions[exName.String()].Futures {
futuresExchange, ok := publicExchange.(types.FuturesExchange)
if !ok {
return fmt.Errorf("exchange %s does not support futures", publicExchange.Name())
}
futuresExchange.UseFutures()
}
}
var syncFromTime time.Time

72
pkg/service/backtest.go
View File

@ -19,8 +19,7 @@ import (
)
type BacktestService struct {
DB *sqlx.DB
Futures bool
DB *sqlx.DB
}
func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
@ -31,18 +30,7 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
symbol = isolatedSymbol
}
s.Futures = isFutures
if s.Futures {
futuresExchange, ok := exchange.(types.FuturesExchange)
if !ok {
return fmt.Errorf("exchange %s does not support futures", exchange.Name())
}
if isIsolated {
futuresExchange.UseIsolatedFutures(symbol)
} else {
futuresExchange.UseFutures()
}
if isFutures {
log.Infof("synchronizing %s futures klines with interval %s: %s <=> %s", exchange.Name(), interval, startTime, endTime)
} else {
log.Infof("synchronizing %s klines with interval %s: %s <=> %s", exchange.Name(), interval, startTime, endTime)
@ -57,7 +45,7 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
tasks := []SyncTask{
{
Type: types.KLine{},
Select: s.SelectLastKLines(exchange.Name(), symbol, interval, startTime, endTime, 100),
Select: s.SelectLastKLines(exchange, symbol, interval, startTime, endTime, 100),
Time: func(obj interface{}) time.Time {
return obj.(types.KLine).StartTime.Time()
},
@ -86,11 +74,11 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
BatchInsertBuffer: 1000,
BatchInsert: func(obj interface{}) error {
kLines := obj.([]types.KLine)
return s.BatchInsert(kLines)
return s.BatchInsert(kLines, exchange)
},
Insert: func(obj interface{}) error {
kline := obj.(types.KLine)
return s.Insert(kline)
return s.Insert(kline, exchange)
},
LogInsert: log.GetLevel() == log.DebugLevel,
},
@ -147,10 +135,10 @@ func (s *BacktestService) SyncFresh(ctx context.Context, exchange types.Exchange
}
// QueryKLine queries the klines from the database
func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
func (s *BacktestService) QueryKLine(ex types.Exchange, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
tableName := s.targetKlineTable(ex)
tableName := targetKlineTable(ex)
// make the SQL syntax IDE friendly, so that it can analyze it.
sql := fmt.Sprintf("SELECT * FROM `%s` WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)
@ -178,8 +166,8 @@ func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, inter
}
// QueryKLinesForward is used for querying klines to back-testing
func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
tableName := s.targetKlineTable(exchange)
func (s *BacktestService) QueryKLinesForward(exchange types.Exchange, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
tableName := targetKlineTable(exchange)
sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :start_time AND `symbol` = :symbol AND `interval` = :interval and exchange = :exchange ORDER BY end_time ASC LIMIT :limit"
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
@ -188,7 +176,7 @@ func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol
"limit": limit,
"symbol": symbol,
"interval": interval,
"exchange": exchange.String(),
"exchange": exchange.Name().String(),
})
if err != nil {
return nil, err
@ -197,8 +185,8 @@ func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol
return s.scanRows(rows)
}
func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
tableName := s.targetKlineTable(exchange)
func (s *BacktestService) QueryKLinesBackward(exchange types.Exchange, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
tableName := targetKlineTable(exchange)
sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :end_time and exchange = :exchange AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT :limit"
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
@ -209,7 +197,7 @@ func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbo
"end_time": endTime,
"symbol": symbol,
"interval": interval,
"exchange": exchange.String(),
"exchange": exchange.Name().String(),
})
if err != nil {
return nil, err
@ -223,7 +211,7 @@ func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.E
return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
}
tableName := s.targetKlineTable(exchange.Name())
tableName := targetKlineTable(exchange)
var query string
// need to sort by start_time desc in order to let matching engine process 1m first
@ -316,9 +304,11 @@ func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err e
return klines, rows.Err()
}
func (s *BacktestService) targetKlineTable(exchangeName types.ExchangeName) string {
tableName := strings.ToLower(exchangeName.String())
if s.Futures {
func targetKlineTable(exchange types.Exchange) string {
_, isFutures, _, _ := exchange2.GetSessionAttributes(exchange)
tableName := strings.ToLower(exchange.Name().String())
if isFutures {
return tableName + "_futures_klines"
} else {
return tableName + "_klines"
@ -327,12 +317,12 @@ func (s *BacktestService) targetKlineTable(exchangeName types.ExchangeName) stri
var errExchangeFieldIsUnset = errors.New("kline.Exchange field should not be empty")
func (s *BacktestService) Insert(kline types.KLine) error {
func (s *BacktestService) Insert(kline types.KLine, ex types.Exchange) error {
if len(kline.Exchange) == 0 {
return errExchangeFieldIsUnset
}
tableName := s.targetKlineTable(kline.Exchange)
tableName := targetKlineTable(ex)
sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
"VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume)", tableName)
@ -342,12 +332,12 @@ func (s *BacktestService) Insert(kline types.KLine) error {
}
// BatchInsert Note: all kline should be same exchange, or it will cause issue.
func (s *BacktestService) BatchInsert(kline []types.KLine) error {
func (s *BacktestService) BatchInsert(kline []types.KLine, ex types.Exchange) error {
if len(kline) == 0 {
return nil
}
tableName := s.targetKlineTable(kline[0].Exchange)
tableName := targetKlineTable(ex)
sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
" VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
@ -442,7 +432,7 @@ func (s *BacktestService) SyncPartial(ctx context.Context, ex types.Exchange, sy
// FindMissingTimeRanges returns the missing time ranges, the start/end time represents the existing data time points.
// So when sending kline query to the exchange API, we need to add one second to the start time and minus one second to the end time.
func (s *BacktestService) FindMissingTimeRanges(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) ([]TimeRange, error) {
query := s.SelectKLineTimePoints(ex.Name(), symbol, interval, since, until)
query := s.SelectKLineTimePoints(ex, symbol, interval, since, until)
sql, args, err := query.ToSql()
if err != nil {
return nil, err
@ -485,7 +475,7 @@ func (s *BacktestService) FindMissingTimeRanges(ctx context.Context, ex types.Ex
}
func (s *BacktestService) QueryExistingDataRange(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, tArgs ...time.Time) (start, end *types.Time, err error) {
sel := s.SelectKLineTimeRange(ex.Name(), symbol, interval, tArgs...)
sel := s.SelectKLineTimeRange(ex, symbol, interval, tArgs...)
sql, args, err := sel.ToSql()
if err != nil {
return nil, nil, err
@ -510,7 +500,7 @@ func (s *BacktestService) QueryExistingDataRange(ctx context.Context, ex types.E
return &t1, &t2, nil
}
func (s *BacktestService) SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
func (s *BacktestService) SelectKLineTimePoints(ex types.Exchange, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
conditions := sq.And{
sq.Eq{"symbol": symbol},
sq.Eq{"`interval`": interval.String()},
@ -522,7 +512,7 @@ func (s *BacktestService) SelectKLineTimePoints(ex types.ExchangeName, symbol st
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
}
tableName := s.targetKlineTable(ex)
tableName := targetKlineTable(ex)
return sq.Select("start_time").
From(tableName).
@ -531,7 +521,7 @@ func (s *BacktestService) SelectKLineTimePoints(ex types.ExchangeName, symbol st
}
// SelectKLineTimeRange returns the existing klines time range (since < kline.start_time < until)
func (s *BacktestService) SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
func (s *BacktestService) SelectKLineTimeRange(ex types.Exchange, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
conditions := sq.And{
sq.Eq{"symbol": symbol},
sq.Eq{"`interval`": interval.String()},
@ -546,7 +536,7 @@ func (s *BacktestService) SelectKLineTimeRange(ex types.ExchangeName, symbol str
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
}
tableName := s.targetKlineTable(ex)
tableName := targetKlineTable(ex)
return sq.Select("MIN(start_time) AS t1, MAX(start_time) AS t2").
From(tableName).
@ -554,8 +544,8 @@ func (s *BacktestService) SelectKLineTimeRange(ex types.ExchangeName, symbol str
}
// TODO: add is_futures column since the klines data is different
func (s *BacktestService) SelectLastKLines(ex types.ExchangeName, symbol string, interval types.Interval, startTime, endTime time.Time, limit uint64) sq.SelectBuilder {
tableName := s.targetKlineTable(ex)
func (s *BacktestService) SelectLastKLines(ex types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time, limit uint64) sq.SelectBuilder {
tableName := targetKlineTable(ex)
return sq.Select("*").
From(tableName).
Where(sq.And{