optimize single exchange back-test

This commit is contained in:
c9s 2022-05-06 19:16:15 +08:00
parent e527dd8dde
commit 6f16f32e16
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GPG Key ID: 7385E7E464CB0A54
3 changed files with 52 additions and 25 deletions

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@ -0,0 +1,8 @@
package backtest
import "github.com/c9s/bbgo/pkg/types"
type ExchangeDataSource struct {
C chan types.KLine
Exchange *Exchange
}

16
pkg/backtest/report.go Normal file
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@ -0,0 +1,16 @@
package backtest
import (
"github.com/c9s/bbgo/pkg/accounting/pnl"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type BackTestReport struct {
Symbol string `json:"symbol,omitempty"`
LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
PnLReport *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
}

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@ -22,20 +22,10 @@ import (
"github.com/c9s/bbgo/pkg/backtest"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/cmd/cmdutil"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
)
type BackTestReport struct {
Symbol string `json:"symbol,omitempty"`
LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
PnLReport *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
}
func init() {
BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
@ -53,7 +43,7 @@ func init() {
var BacktestCmd = &cobra.Command{
Use: "backtest",
Short: "backtest your strategies",
Short: "run backtest with strategies",
SilenceUsage: true,
RunE: func(cmd *cobra.Command, args []string) error {
verboseCnt, err := cmd.Flags().GetCount("verbose")
@ -99,6 +89,9 @@ var BacktestCmd = &cobra.Command{
return err
}
kLineDirectory := filepath.Join(outputDirectory, "klines")
_ = kLineDirectory
jsonOutputEnabled := len(outputDirectory) > 0
syncOnly, err := cmd.Flags().GetBool("sync-only")
@ -317,37 +310,47 @@ var BacktestCmd = &cobra.Command{
return err
}
type KChanEx struct {
KChan chan types.KLine
Exchange *backtest.Exchange
}
for _, session := range environ.Sessions() {
backtestExchange := session.Exchange.(*backtest.Exchange)
backtestExchange.InitMarketData()
}
var klineChans []KChanEx
var exchangeSources []backtest.ExchangeDataSource
for _, session := range environ.Sessions() {
exchange := session.Exchange.(*backtest.Exchange)
c, err := exchange.GetMarketData()
if err != nil {
return err
}
klineChans = append(klineChans, KChanEx{KChan: c, Exchange: exchange})
exchangeSources = append(exchangeSources, backtest.ExchangeDataSource{C: c, Exchange: exchange})
}
runCtx, cancelRun := context.WithCancel(ctx)
go func() {
defer cancelRun()
// Optimize back-test speed for single exchange source
var count = len(exchangeSources)
if count == 1 {
exSource := exchangeSources[0]
for k := range exSource.C {
exSource.Exchange.ConsumeKLine(k)
}
if err := exSource.Exchange.CloseMarketData(); err != nil {
log.WithError(err).Errorf("close market data error")
}
return
}
for {
count := len(klineChans)
for _, kchanex := range klineChans {
kLine, more := <-kchanex.KChan
for _, exK := range exchangeSources {
kLine, more := <-exK.C
if more {
kchanex.Exchange.ConsumeKLine(kLine)
exK.Exchange.ConsumeKLine(kLine)
} else {
if err := kchanex.Exchange.CloseMarketData(); err != nil {
log.Errorf("%v", err)
if err := exK.Exchange.CloseMarketData(); err != nil {
log.WithError(err).Errorf("close market data error")
return
}
count--
@ -397,7 +400,7 @@ var BacktestCmd = &cobra.Command{
report := calculator.Calculate(symbol, trades.Trades, lastPrice)
report.Print()
accountConfig, ok := userConfig.Backtest.Accounts[exchangeName]
if !ok {
accountConfig = userConfig.Backtest.Account[exchangeName]
@ -413,7 +416,7 @@ var BacktestCmd = &cobra.Command{
finalBalances.Print()
if jsonOutputEnabled {
result := BackTestReport{
result := backtest.BackTestReport{
Symbol: symbol,
LastPrice: lastPrice,
StartPrice: startPrice,