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fix and improve backtest

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This commit is contained in:
c9s 2020-11-10 14:18:04 +08:00
parent f5b17193c5
commit 69a33b6400
9 changed files with 115 additions and 126 deletions
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18
pkg/backtest/exchange.go
View File

@ -52,13 +52,13 @@ func NewExchange(sourceName types.ExchangeName, srv *service.BacktestService, co
panic(err)
}
balances := config.Account.Balances.BalanceMap()
account := &types.Account{
MakerCommission: config.Account.MakerCommission,
TakerCommission: config.Account.TakerCommission,
AccountType: "SPOT", // currently not used
}
balances := config.Account.Balances.BalanceMap()
account.UpdateBalances(balances)
e := &Exchange{
@ -93,19 +93,18 @@ func (e *Exchange) NewStream() types.Stream {
e.trades[trade.Symbol] = append(e.trades[trade.Symbol], trade)
})
for _, symbol := range e.config.Symbols {
market, ok := e.markets[symbol]
if !ok {
panic(fmt.Errorf("market %s is undefined", symbol))
}
e.matchingBooks[symbol] = &SimplePriceMatching{
for symbol, market := range e.markets {
matching := &SimplePriceMatching{
CurrentTime: e.startTime,
Account: e.account,
Market: market,
MakerCommission: e.config.Account.MakerCommission,
TakerCommission: e.config.Account.TakerCommission,
}
matching.OnTradeUpdate(e.stream.EmitTradeUpdate)
matching.OnOrderUpdate(e.stream.EmitOrderUpdate)
matching.OnBalanceUpdate(e.stream.EmitBalanceUpdate)
e.matchingBooks[symbol] = matching
}
return e.stream
@ -119,7 +118,6 @@ func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder)
return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
}
createdOrder, trade, err := matching.PlaceOrder(order)
if err != nil {
return nil, err

91
pkg/backtest/matching.go
View File

@ -7,6 +7,7 @@ import (
"time"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
@ -49,7 +50,7 @@ type SimplePriceMatching struct {
tradeUpdateCallbacks []func(trade types.Trade)
orderUpdateCallbacks []func(order types.Order)
accountUpdateCallbacks []func(balances types.BalanceMap)
balanceUpdateCallbacks []func(balances types.BalanceMap)
}
func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
@ -73,43 +74,43 @@ func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
case types.SideTypeSell:
m.mu.Lock()
var orders []types.Order
for _, order := range m.bidOrders {
for _, order := range m.askOrders {
if o.OrderID == order.OrderID {
found = true
continue
}
orders = append(orders, order)
}
m.bidOrders = orders
m.askOrders = orders
m.mu.Unlock()
}
if !found {
logrus.Panicf("cancel order failed, order %d not found: %+v", o.OrderID, o)
return o, fmt.Errorf("cancel order failed, order %d not found: %+v", o.OrderID, o)
}
switch o.Side {
case types.SideTypeBuy:
if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, o.Price*o.Quantity); err != nil {
if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, fixedpoint.NewFromFloat(o.Price*o.Quantity)); err != nil {
return o, err
}
case types.SideTypeSell:
if err := m.Account.UnlockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
if err := m.Account.UnlockBalance(m.Market.BaseCurrency, fixedpoint.NewFromFloat(o.Quantity)); err != nil {
return o, err
}
}
o.Status = types.OrderStatusCanceled
m.EmitOrderUpdate(o)
m.EmitAccountUpdate(m.Account.Balances())
m.EmitBalanceUpdate(m.Account.Balances())
return o, nil
}
func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *types.Order, trades *types.Trade, err error) {
// start from one
orderID := incOrderID()
// price for checking account balance
price := o.Price
@ -123,19 +124,21 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
switch o.Side {
case types.SideTypeBuy:
quote := price * o.Quantity
if err := m.Account.LockBalance(m.Market.QuoteCurrency, quote); err != nil {
if err := m.Account.LockBalance(m.Market.QuoteCurrency, fixedpoint.NewFromFloat(quote)); err != nil {
return nil, nil, err
}
case types.SideTypeSell:
baseQuantity := o.Quantity
if err := m.Account.LockBalance(m.Market.BaseCurrency, baseQuantity); err != nil {
if err := m.Account.LockBalance(m.Market.BaseCurrency, fixedpoint.NewFromFloat(baseQuantity)); err != nil {
return nil, nil, err
}
}
m.EmitAccountUpdate(m.Account.Balances())
m.EmitBalanceUpdate(m.Account.Balances())
// start from one
orderID := incOrderID()
order := m.newOrder(o, orderID)
if o.Type == types.OrderTypeMarket {
@ -150,7 +153,7 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
order.ExecutedQuantity = order.Quantity
order.Price = price
m.EmitOrderUpdate(order)
m.EmitAccountUpdate(m.Account.Balances())
m.EmitBalanceUpdate(m.Account.Balances())
return &order, &trade, nil
}
@ -177,10 +180,13 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
var err error
// execute trade, update account balances
if trade.IsBuyer {
quote := trade.Price * trade.Quantity
err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, quote)
err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, fixedpoint.NewFromFloat(trade.Price*trade.Quantity))
_ = m.Account.AddBalance(m.Market.BaseCurrency, fixedpoint.NewFromFloat(trade.Quantity))
} else {
err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
err = m.Account.UseLockedBalance(m.Market.BaseCurrency, fixedpoint.NewFromFloat(trade.Quantity))
_ = m.Account.AddBalance(m.Market.QuoteCurrency, fixedpoint.NewFromFloat(trade.Quantity*trade.Price))
}
if err != nil {
@ -188,7 +194,7 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
}
m.EmitTradeUpdate(trade)
m.EmitAccountUpdate(m.Account.Balances())
m.EmitBalanceUpdate(m.Account.Balances())
return
}
@ -391,67 +397,32 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
return closedOrders, trades
}
func emitTxn(stream *Stream, trades []types.Trade, orders []types.Order) {
for _, t := range trades {
stream.EmitTradeUpdate(t)
}
for _, o := range orders {
stream.EmitOrderUpdate(o)
}
}
func (m *SimplePriceMatching) processKLine(stream *Stream, kline types.KLine) {
func (m *SimplePriceMatching) processKLine(kline types.KLine) {
m.CurrentTime = kline.EndTime
switch kline.GetTrend() {
case types.TrendDown:
if kline.High > kline.Open {
orders, trades := m.BuyToPrice(fixedpoint.NewFromFloat(kline.High))
emitTxn(stream, trades, orders)
m.BuyToPrice(fixedpoint.NewFromFloat(kline.High))
}
if kline.Low > kline.Close {
orders, trades := m.SellToPrice(fixedpoint.NewFromFloat(kline.Low))
emitTxn(stream, trades, orders)
m.SellToPrice(fixedpoint.NewFromFloat(kline.Low))
}
orders, trades := m.SellToPrice(fixedpoint.NewFromFloat(kline.Close))
emitTxn(stream, trades, orders)
m.SellToPrice(fixedpoint.NewFromFloat(kline.Close))
case types.TrendUp:
if kline.Low < kline.Open {
orders, trades := m.SellToPrice(fixedpoint.NewFromFloat(kline.Low))
emitTxn(stream, trades, orders)
m.SellToPrice(fixedpoint.NewFromFloat(kline.Low))
}
if kline.High > kline.Close {
orders, trades := m.BuyToPrice(fixedpoint.NewFromFloat(kline.High))
emitTxn(stream, trades, orders)
}
orders, trades := m.BuyToPrice(fixedpoint.NewFromFloat(kline.Close))
emitTxn(stream, trades, orders)
}
m.BuyToPrice(fixedpoint.NewFromFloat(kline.High))
}
type Matching struct {
Symbol string
Asks PriceOrderSlice
Bids PriceOrderSlice
OrderID uint64
CurrentTime time.Time
m.BuyToPrice(fixedpoint.NewFromFloat(kline.Close))
}
func (m *Matching) PlaceOrder(o types.SubmitOrder) {
var order = types.Order{
SubmitOrder: o,
Exchange: "backtest",
OrderID: m.OrderID,
Status: types.OrderStatusNew,
ExecutedQuantity: 0,
IsWorking: false,
CreationTime: m.CurrentTime,
UpdateTime: m.CurrentTime,
}
_ = order
}
func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) types.Order {
@ -461,7 +432,7 @@ func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) type
Exchange: "backtest",
Status: types.OrderStatusNew,
ExecutedQuantity: 0,
IsWorking: false,
IsWorking: true,
CreationTime: m.CurrentTime,
UpdateTime: m.CurrentTime,
}

9
pkg/backtest/matching_test.go
View File

@ -28,8 +28,8 @@ func TestSimplePriceMatching_LimitOrder(t *testing.T) {
}
account.UpdateBalances(types.BalanceMap{
"USDT": {Currency: "USDT", Available: 1000000.0},
"BTC": {Currency: "BTC", Available: 100.0},
"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)},
"BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)},
})
market := types.Market{
@ -71,6 +71,10 @@ func TestSimplePriceMatching_LimitOrder(t *testing.T) {
closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(8000.0))
assert.Len(t, closedOrders, 1)
assert.Len(t, trades, 1)
for _, trade := range trades {
assert.True(t, trade.IsBuyer)
}
for _, o := range closedOrders {
assert.Equal(t, types.SideTypeBuy, o.Side)
}
@ -89,7 +93,6 @@ func TestSimplePriceMatching_LimitOrder(t *testing.T) {
for _, o := range closedOrders {
assert.Equal(t, types.SideTypeSell, o.Side)
}
for _, trade := range trades {
assert.Equal(t, types.SideTypeSell, trade.Side)
}

8
pkg/backtest/simplepricematching_callbacks.go
View File

@ -26,12 +26,12 @@ func (m *SimplePriceMatching) EmitOrderUpdate(order types.Order) {
}
}
func (m *SimplePriceMatching) OnAccountUpdate(cb func(balances types.BalanceMap)) {
m.accountUpdateCallbacks = append(m.accountUpdateCallbacks, cb)
func (m *SimplePriceMatching) OnBalanceUpdate(cb func(balances types.BalanceMap)) {
m.balanceUpdateCallbacks = append(m.balanceUpdateCallbacks, cb)
}
func (m *SimplePriceMatching) EmitAccountUpdate(balances types.BalanceMap) {
for _, cb := range m.accountUpdateCallbacks {
func (m *SimplePriceMatching) EmitBalanceUpdate(balances types.BalanceMap) {
for _, cb := range m.balanceUpdateCallbacks {
cb(balances)
}
}

5
pkg/backtest/stream.go
View File

@ -21,7 +21,8 @@ func (s *Stream) Connect(ctx context.Context) error {
loadedSymbols := map[string]struct{}{}
loadedIntervals := map[types.Interval]struct{}{
// 1m interval is required for the backtest matching engine
types.Interval1m: struct{}{},
types.Interval1m: {},
types.Interval1d: {},
}
for _, sub := range s.Subscriptions {
@ -56,7 +57,7 @@ func (s *Stream) Connect(ctx context.Context) error {
if !ok {
log.Errorf("matching book of %s is not initialized", k.Symbol)
}
matching.processKLine(s, k)
matching.processKLine(k)
}
s.EmitKLineClosed(k)

47
pkg/types/account.go
View File

@ -6,17 +6,27 @@ import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/util"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
type Balance struct {
Currency string `json:"currency"`
Available float64 `json:"available"`
Locked float64 `json:"locked"`
Available fixedpoint.Value `json:"available"`
Locked fixedpoint.Value `json:"locked"`
}
type BalanceMap map[string]Balance
func (m BalanceMap) Print() {
for _, balance := range m {
if balance.Locked > 0 {
logrus.Infof(" %s: %f (locked %f)", balance.Currency, balance.Available.Float64(), balance.Locked.Float64())
} else {
logrus.Infof(" %s: %f", balance.Currency, balance.Available.Float64())
}
}
}
type Account struct {
sync.Mutex
@ -53,7 +63,7 @@ func (a *Account) Balance(currency string) (balance Balance, ok bool) {
return balance, ok
}
func (a *Account) AddBalance(currency string, fund float64) error {
func (a *Account) AddBalance(currency string, fund fixedpoint.Value) error {
a.Lock()
defer a.Unlock()
@ -72,7 +82,7 @@ func (a *Account) AddBalance(currency string, fund float64) error {
return nil
}
func (a *Account) UseLockedBalance(currency string, fund float64) error {
func (a *Account) UseLockedBalance(currency string, fund fixedpoint.Value) error {
a.Lock()
defer a.Unlock()
@ -83,24 +93,29 @@ func (a *Account) UseLockedBalance(currency string, fund float64) error {
return nil
}
return fmt.Errorf("trying to use more than locked: locked %f < want to use %f", balance.Locked, fund)
return fmt.Errorf("trying to use more than locked: locked %f < want to use %f", balance.Locked.Float64(), fund.Float64())
}
func (a *Account) UnlockBalance(currency string, unlocked float64) error {
func (a *Account) UnlockBalance(currency string, unlocked fixedpoint.Value) error {
a.Lock()
defer a.Unlock()
balance, ok := a.balances[currency]
if ok && balance.Locked >= unlocked {
if !ok {
return fmt.Errorf("trying to unlocked inexisted balance: %s", currency)
}
if unlocked > balance.Locked {
return fmt.Errorf("trying to unlocked more than locked %s: locked %f < want to unlock %f", currency, balance.Locked.Float64(), unlocked.Float64())
}
balance.Locked -= unlocked
balance.Available += unlocked
a.balances[currency] = balance
return nil
}
return fmt.Errorf("trying to unlocked more than locked: locked %f < want to unlock %f", balance.Locked, unlocked)
}
func (a *Account) LockBalance(currency string, locked float64) error {
func (a *Account) LockBalance(currency string, locked fixedpoint.Value) error {
a.Lock()
defer a.Unlock()
@ -112,10 +127,10 @@ func (a *Account) LockBalance(currency string, locked float64) error {
return nil
}
return fmt.Errorf("insufficient available balance for lock %f", locked)
return fmt.Errorf("insufficient available balance %s for lock: want to lock %f, available %f", currency, locked.Float64(), balance.Available.Float64())
}
func (a *Account) UpdateBalances(balances map[string]Balance) {
func (a *Account) UpdateBalances(balances BalanceMap) {
a.Lock()
defer a.Unlock()
@ -138,8 +153,8 @@ func (a *Account) Print() {
defer a.Unlock()
for _, balance := range a.balances {
if util.NotZero(balance.Available) {
logrus.Infof("account balance %s %f", balance.Currency, balance.Available)
if balance.Available != 0 {
logrus.Infof("account balance %s %f", balance.Currency, balance.Available.Float64())
}
}
}

39
pkg/types/account_test.go
View File

@ -4,58 +4,59 @@ import (
"testing"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
func TestAccountLockAndUnlock(t *testing.T) {
a := NewAccount()
err := a.AddBalance("USDT", 1000.0)
err := a.AddBalance("USDT", 1000)
assert.NoError(t, err)
balance, ok := a.Balance("USDT")
assert.True(t, ok)
assert.Equal(t, balance.Available, 1000.0)
assert.Equal(t, balance.Locked, 0.0)
assert.Equal(t, balance.Available, fixedpoint.Value(1000))
assert.Equal(t, balance.Locked, fixedpoint.Value(0))
err = a.LockBalance("USDT", 100.0)
err = a.LockBalance("USDT", fixedpoint.Value(100))
assert.NoError(t, err)
balance, ok = a.Balance("USDT")
assert.True(t, ok)
assert.Equal(t, balance.Available, 900.0)
assert.Equal(t, balance.Locked, 100.0)
assert.Equal(t, balance.Available, fixedpoint.Value(900))
assert.Equal(t, balance.Locked, fixedpoint.Value(100))
err = a.UnlockBalance("USDT", 100.0)
err = a.UnlockBalance("USDT", 100)
assert.NoError(t, err)
balance, ok = a.Balance("USDT")
assert.True(t, ok)
assert.Equal(t, balance.Available, 1000.0)
assert.Equal(t, balance.Locked, 0.0)
assert.Equal(t, balance.Available, fixedpoint.Value(1000))
assert.Equal(t, balance.Locked, fixedpoint.Value(0))
}
func TestAccountLockAndUse(t *testing.T) {
a := NewAccount()
err := a.AddBalance("USDT", 1000.0)
err := a.AddBalance("USDT", 1000)
assert.NoError(t, err)
balance, ok := a.Balance("USDT")
assert.True(t, ok)
assert.Equal(t, balance.Available, 1000.0)
assert.Equal(t, balance.Locked, 0.0)
assert.Equal(t, balance.Available, fixedpoint.Value(1000))
assert.Equal(t, balance.Locked, fixedpoint.Value(0))
err = a.LockBalance("USDT", 100.0)
err = a.LockBalance("USDT", 100)
assert.NoError(t, err)
balance, ok = a.Balance("USDT")
assert.True(t, ok)
assert.Equal(t, balance.Available, 900.0)
assert.Equal(t, balance.Locked, 100.0)
assert.Equal(t, balance.Available, fixedpoint.Value(900))
assert.Equal(t, balance.Locked, fixedpoint.Value(100))
err = a.UseLockedBalance("USDT", 100.0)
err = a.UseLockedBalance("USDT", 100)
assert.NoError(t, err)
balance, ok = a.Balance("USDT")
assert.True(t, ok)
assert.Equal(t, balance.Available, 900.0)
assert.Equal(t, balance.Locked, 0.0)
assert.Equal(t, balance.Available, fixedpoint.Value(900))
assert.Equal(t, balance.Locked, fixedpoint.Value(0))
}

12
pkg/types/standardstream_callbacks.go
View File

@ -34,21 +34,21 @@ func (stream *StandardStream) EmitOrderUpdate(order Order) {
}
}
func (stream *StandardStream) OnBalanceSnapshot(cb func(balances map[string]Balance)) {
func (stream *StandardStream) OnBalanceSnapshot(cb func(balances BalanceMap)) {
stream.balanceSnapshotCallbacks = append(stream.balanceSnapshotCallbacks, cb)
}
func (stream *StandardStream) EmitBalanceSnapshot(balances map[string]Balance) {
func (stream *StandardStream) EmitBalanceSnapshot(balances BalanceMap) {
for _, cb := range stream.balanceSnapshotCallbacks {
cb(balances)
}
}
func (stream *StandardStream) OnBalanceUpdate(cb func(balances map[string]Balance)) {
func (stream *StandardStream) OnBalanceUpdate(cb func(balances BalanceMap)) {
stream.balanceUpdateCallbacks = append(stream.balanceUpdateCallbacks, cb)
}
func (stream *StandardStream) EmitBalanceUpdate(balances map[string]Balance) {
func (stream *StandardStream) EmitBalanceUpdate(balances BalanceMap) {
for _, cb := range stream.balanceUpdateCallbacks {
cb(balances)
}
@ -101,9 +101,9 @@ type StandardStreamEventHub interface {
OnOrderUpdate(cb func(order Order))
OnBalanceSnapshot(cb func(balances map[string]Balance))
OnBalanceSnapshot(cb func(balances BalanceMap))
OnBalanceUpdate(cb func(balances map[string]Balance))
OnBalanceUpdate(cb func(balances BalanceMap))
OnKLineClosed(cb func(kline KLine))

4
pkg/types/stream.go
View File

@ -31,9 +31,9 @@ type StandardStream struct {
orderUpdateCallbacks []func(order Order)
// balance snapshot callbacks
balanceSnapshotCallbacks []func(balances map[string]Balance)
balanceSnapshotCallbacks []func(balances BalanceMap)
balanceUpdateCallbacks []func(balances map[string]Balance)
balanceUpdateCallbacks []func(balances BalanceMap)
kLineClosedCallbacks []func(kline KLine)