add exchange field in the table so that we can reuse the kline objects for backtest

config/buyandhold.yaml

@@ -36,6 +36,22 @@ riskControls:
               minBaseAssetBalance: 0.1
               maxOrderAmount: 100.0
 
+backtest:
+  # for testing max draw down (MDD) at 03-12
+  # see here for more details
+  # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
+  startTime: "2020-01-01"
+  symbols:
+  - BTCUSDT
+  account:
+    makerCommission: 15
+    takerCommission: 15
+    buyerCommission: 0
+    sellerCommission: 0
+    balances:
+      BTC: 0.1
+      USDT: 10000.0
+
 exchangeStrategies:
 - on: binance
   buyandhold:

config/grid-max.yaml

@@ -43,6 +43,22 @@ riskControls:
               minBaseAssetBalance: 0.0
               maxOrderAmount: 200.0
 
+backtest:
+  # for testing max draw down (MDD) at 03-12
+  # see here for more details
+  # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
+  startTime: "2020-01-01"
+  symbols:
+  - BTCUSDT
+  account:
+    makerCommission: 15
+    takerCommission: 15
+    buyerCommission: 0
+    sellerCommission: 0
+    balances:
+      BTC: 0.1
+      USDT: 10000.0
+
 exchangeStrategies:
 - on: max
   grid:

migrations/20201106114742_klines.sql

@@ -2,7 +2,7 @@
 CREATE TABLE `klines`
 (
     `gid`           BIGINT UNSIGNED         NOT NULL AUTO_INCREMENT,
-
+    `exchange`      VARCHAR(10)             NOT NULL,
     `start_time`    DATETIME(3)             NOT NULL,
     `end_time`      DATETIME(3)             NOT NULL,
     `interval`      VARCHAR(3)              NOT NULL,
@@ -26,7 +26,7 @@ CREATE TABLE `binance_klines` LIKE `klines`;
 CREATE TABLE `max_klines` LIKE `klines`;
 
 -- +goose Down
-DROP INDEX klines_start_time_symbol_interval ON `klines`;
+DROP INDEX `klines_end_time_symbol_interval` ON `klines`;
 DROP TABLE `binance_klines`;
 DROP TABLE `okex_klines`;
 DROP TABLE `max_klines`;

pkg/backtest/exchange.go

@@ -14,7 +14,7 @@ import (
 )
 
 type Exchange struct {
-	sourceExchange types.ExchangeName
+	sourceName     types.ExchangeName
 	publicExchange types.Exchange
 	srv            *service.BacktestService
 	startTime      time.Time
@@ -30,8 +30,8 @@ type Exchange struct {
 	doneC         chan struct{}
 }
 
-func NewExchange(sourceExchange types.ExchangeName, srv *service.BacktestService, config *bbgo.Backtest) *Exchange {
-	ex, err := newPublicExchange(sourceExchange)
+func NewExchange(sourceName types.ExchangeName, srv *service.BacktestService, config *bbgo.Backtest) *Exchange {
+	ex, err := newPublicExchange(sourceName)
 	if err != nil {
 		panic(err)
 	}
@@ -55,7 +55,7 @@ func NewExchange(sourceExchange types.ExchangeName, srv *service.BacktestService
 	account.UpdateBalances(balances)
 
 	e := &Exchange{
-		sourceExchange: sourceExchange,
+		sourceName:     sourceName,
 		publicExchange: ex,
 		srv:            srv,
 		config:         config,
@@ -171,7 +171,14 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
 }
 
 func (e Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
-	return e.publicExchange.QueryKLines(ctx, symbol, interval, options)
+	if options.EndTime != nil {
+		return e.srv.QueryKLinesBackward(e.sourceName, symbol, interval, *options.EndTime)
+	}
+	if options.StartTime != nil {
+		return e.srv.QueryKLinesForward(e.sourceName, symbol, interval, *options.StartTime)
+	}
+
+	return nil, errors.New("endTime or startTime can not be nil")
 }
 
 func (e Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) {

pkg/service/backtest.go

@@ -83,6 +83,38 @@ func (s *BacktestService) QueryLast(ex types.ExchangeName, symbol string, interv
 	return nil, rows.Err()
 }
 
+func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time) ([]types.KLine, error) {
+	sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :startTime AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time ASC"
+	sql = strings.ReplaceAll(sql, "binance_klines", exchange.String()+"_klines")
+
+	rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
+		"startTime": startTime,
+		"symbol":    symbol,
+		"interval":  interval,
+	})
+	if err != nil {
+		return nil, err
+	}
+
+	return s.scanRows(rows)
+}
+
+func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time) ([]types.KLine, error) {
+	sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :endTime AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time ASC"
+	sql = strings.ReplaceAll(sql, "binance_klines", exchange.String()+"_klines")
+
+	rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
+		"endTime":  endTime,
+		"symbol":   symbol,
+		"interval": interval,
+	})
+	if err != nil {
+		return nil, err
+	}
+
+	return s.scanRows(rows)
+}
+
 func (s *BacktestService) QueryKLinesCh(since time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) {
 	sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :since AND `symbol` IN (:symbols) AND `interval` IN (:intervals) ORDER BY end_time ASC"
 	sql = strings.ReplaceAll(sql, "binance_klines", exchange.Name().String()+"_klines")
@@ -160,8 +192,8 @@ func (s *BacktestService) Insert(kline types.KLine) error {
 		return errors.New("kline.Exchange field should not be empty")
 	}
 
-	sql := "INSERT INTO `binance_klines` (`start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`)" +
-		"VALUES (:start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume)"
+	sql := "INSERT INTO `binance_klines` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`)" +
+		"VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume)"
 	sql = strings.ReplaceAll(sql, "binance_klines", kline.Exchange+"_klines")
 
 	_, err := s.DB.NamedExec(sql, kline)

pkg/types/kline.go

@@ -46,7 +46,7 @@ type KLineQueryOptions struct {
 // KLine uses binance's kline as the standard structure
 type KLine struct {
 	GID      uint64 `json:"gid" db:"gid"`
-	Exchange string `json:"exchange"`
+	Exchange string `json:"exchange" db:"exchange"`
 
 	Symbol string `json:"symbol" db:"symbol"`
 
@@ -62,9 +62,9 @@ type KLine struct {
 	Volume      float64 `json:"volume" db:"volume"`
 	QuoteVolume float64 `json:"quoteVolume" db:"quote_volume"`
 
-	LastTradeID    uint64  `json:"lastTradeID" db:"last_trade_id"`
+	LastTradeID    uint64 `json:"lastTradeID" db:"last_trade_id"`
 	NumberOfTrades uint64 `json:"numberOfTrades" db:"num_trades"`
-	Closed         bool  `json:"closed" db:"closed"`
+	Closed         bool   `json:"closed" db:"closed"`
 }
 
 func (k KLine) GetStartTime() time.Time {