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improve/db: save futures kilne to futures table

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Andy Cheng 2023-12-21 16:19:32 +08:00
parent 5b0b5428fb
commit 6809efa696
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1 changed files with 29 additions and 21 deletions
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50
pkg/service/backtest.go
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@ -19,12 +19,11 @@ import (
) )
type BacktestService struct { type BacktestService struct {
DB *sqlx.DB DB *sqlx.DB
Futures bool
} }
func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error { func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
log.Infof("synchronizing %s klines with interval %s: %s <=> %s", exchange.Name(), interval, startTime, endTime)
_, isFutures, isIsolated, isolatedSymbol := exchange2.GetSessionAttributes(exchange) _, isFutures, isIsolated, isolatedSymbol := exchange2.GetSessionAttributes(exchange)
// override symbol if isolatedSymbol is not empty // override symbol if isolatedSymbol is not empty
@ -32,7 +31,8 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
symbol = isolatedSymbol symbol = isolatedSymbol
} }
if isFutures { s.Futures = isFutures
if s.Futures {
futuresExchange, ok := exchange.(types.FuturesExchange) futuresExchange, ok := exchange.(types.FuturesExchange)
if !ok { if !ok {
return fmt.Errorf("exchange %s does not support futures", exchange.Name()) return fmt.Errorf("exchange %s does not support futures", exchange.Name())
@ -43,6 +43,9 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
} else { } else {
futuresExchange.UseFutures() futuresExchange.UseFutures()
} }
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)
} }
if s.DB.DriverName() == "sqlite3" { if s.DB.DriverName() == "sqlite3" {
@ -54,7 +57,7 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
tasks := []SyncTask{ tasks := []SyncTask{
{ {
Type: types.KLine{}, Type: types.KLine{},
Select: SelectLastKLines(exchange.Name(), symbol, interval, startTime, endTime, 100), Select: s.SelectLastKLines(exchange.Name(), symbol, interval, startTime, endTime, 100),
Time: func(obj interface{}) time.Time { Time: func(obj interface{}) time.Time {
return obj.(types.KLine).StartTime.Time() return obj.(types.KLine).StartTime.Time()
}, },
@ -147,7 +150,7 @@ func (s *BacktestService) SyncFresh(ctx context.Context, exchange types.Exchange
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.ExchangeName, 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) log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
tableName := targetKlineTable(ex) tableName := s.targetKlineTable(ex)
// make the SQL syntax IDE friendly, so that it can analyze it. // 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) sql := fmt.Sprintf("SELECT * FROM `%s` WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)
@ -176,7 +179,7 @@ func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, inter
// QueryKLinesForward is used for querying klines to back-testing // 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) { func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
tableName := targetKlineTable(exchange) tableName := s.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 := "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) sql = strings.ReplaceAll(sql, "binance_klines", tableName)
@ -195,7 +198,7 @@ func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol
} }
func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) { func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
tableName := targetKlineTable(exchange) tableName := s.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 := "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) sql = strings.ReplaceAll(sql, "binance_klines", tableName)
@ -220,7 +223,7 @@ 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. ")) return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
} }
tableName := targetKlineTable(exchange.Name()) tableName := s.targetKlineTable(exchange.Name())
var query string var query string
// need to sort by start_time desc in order to let matching engine process 1m first // need to sort by start_time desc in order to let matching engine process 1m first
@ -313,8 +316,13 @@ func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err e
return klines, rows.Err() return klines, rows.Err()
} }
func targetKlineTable(exchangeName types.ExchangeName) string { func (s *BacktestService) targetKlineTable(exchangeName types.ExchangeName) string {
return strings.ToLower(exchangeName.String()) + "_klines" tableName := strings.ToLower(exchangeName.String())
if s.Futures {
return tableName + "_futures_klines"
} else {
return tableName + "_klines"
}
} }
var errExchangeFieldIsUnset = errors.New("kline.Exchange field should not be empty") var errExchangeFieldIsUnset = errors.New("kline.Exchange field should not be empty")
@ -324,7 +332,7 @@ func (s *BacktestService) Insert(kline types.KLine) error {
return errExchangeFieldIsUnset return errExchangeFieldIsUnset
} }
tableName := targetKlineTable(kline.Exchange) tableName := s.targetKlineTable(kline.Exchange)
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`)"+ 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) "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)
@ -339,7 +347,7 @@ func (s *BacktestService) BatchInsert(kline []types.KLine) error {
return nil return nil
} }
tableName := targetKlineTable(kline[0].Exchange) tableName := s.targetKlineTable(kline[0].Exchange)
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`)"+ 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) " 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)
@ -434,7 +442,7 @@ 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. // 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. // 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) { func (s *BacktestService) FindMissingTimeRanges(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) ([]TimeRange, error) {
query := SelectKLineTimePoints(ex.Name(), symbol, interval, since, until) query := s.SelectKLineTimePoints(ex.Name(), symbol, interval, since, until)
sql, args, err := query.ToSql() sql, args, err := query.ToSql()
if err != nil { if err != nil {
return nil, err return nil, err
@ -477,7 +485,7 @@ 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) { 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 := SelectKLineTimeRange(ex.Name(), symbol, interval, tArgs...) sel := s.SelectKLineTimeRange(ex.Name(), symbol, interval, tArgs...)
sql, args, err := sel.ToSql() sql, args, err := sel.ToSql()
if err != nil { if err != nil {
return nil, nil, err return nil, nil, err
@ -502,7 +510,7 @@ func (s *BacktestService) QueryExistingDataRange(ctx context.Context, ex types.E
return &t1, &t2, nil return &t1, &t2, nil
} }
func SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder { func (s *BacktestService) SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
conditions := sq.And{ conditions := sq.And{
sq.Eq{"symbol": symbol}, sq.Eq{"symbol": symbol},
sq.Eq{"`interval`": interval.String()}, sq.Eq{"`interval`": interval.String()},
@ -514,7 +522,7 @@ func SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until)) conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
} }
tableName := targetKlineTable(ex) tableName := s.targetKlineTable(ex)
return sq.Select("start_time"). return sq.Select("start_time").
From(tableName). From(tableName).
@ -523,7 +531,7 @@ func SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.
} }
// SelectKLineTimeRange returns the existing klines time range (since < kline.start_time < until) // SelectKLineTimeRange returns the existing klines time range (since < kline.start_time < until)
func SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder { func (s *BacktestService) SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
conditions := sq.And{ conditions := sq.And{
sq.Eq{"symbol": symbol}, sq.Eq{"symbol": symbol},
sq.Eq{"`interval`": interval.String()}, sq.Eq{"`interval`": interval.String()},
@ -538,7 +546,7 @@ func SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.I
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until)) conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
} }
tableName := targetKlineTable(ex) tableName := s.targetKlineTable(ex)
return sq.Select("MIN(start_time) AS t1, MAX(start_time) AS t2"). return sq.Select("MIN(start_time) AS t1, MAX(start_time) AS t2").
From(tableName). From(tableName).
@ -546,8 +554,8 @@ func SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.I
} }
// TODO: add is_futures column since the klines data is different // TODO: add is_futures column since the klines data is different
func SelectLastKLines(ex types.ExchangeName, symbol string, interval types.Interval, startTime, endTime time.Time, limit uint64) sq.SelectBuilder { func (s *BacktestService) SelectLastKLines(ex types.ExchangeName, symbol string, interval types.Interval, startTime, endTime time.Time, limit uint64) sq.SelectBuilder {
tableName := targetKlineTable(ex) tableName := s.targetKlineTable(ex)
return sq.Select("*"). return sq.Select("*").
From(tableName). From(tableName).
Where(sq.And{ Where(sq.And{