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optimize single exchange back-test
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parent
e527dd8dde
commit
6f16f32e16
8
pkg/backtest/exchange_klinec.go
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8
pkg/backtest/exchange_klinec.go
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@ -0,0 +1,8 @@
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package backtest
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import "github.com/c9s/bbgo/pkg/types"
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type ExchangeDataSource struct {
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C chan types.KLine
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Exchange *Exchange
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}
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16
pkg/backtest/report.go
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16
pkg/backtest/report.go
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@ -0,0 +1,16 @@
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package backtest
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import (
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type BackTestReport struct {
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Symbol string `json:"symbol,omitempty"`
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LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
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StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
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PnLReport *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
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InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
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FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
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}
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@ -22,20 +22,10 @@ import (
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"github.com/c9s/bbgo/pkg/backtest"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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type BackTestReport struct {
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Symbol string `json:"symbol,omitempty"`
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LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
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StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
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PnLReport *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
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InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
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FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
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}
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func init() {
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BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
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BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
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@ -53,7 +43,7 @@ func init() {
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var BacktestCmd = &cobra.Command{
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Use: "backtest",
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Short: "backtest your strategies",
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Short: "run backtest with strategies",
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SilenceUsage: true,
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RunE: func(cmd *cobra.Command, args []string) error {
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verboseCnt, err := cmd.Flags().GetCount("verbose")
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@ -99,6 +89,9 @@ var BacktestCmd = &cobra.Command{
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return err
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}
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kLineDirectory := filepath.Join(outputDirectory, "klines")
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_ = kLineDirectory
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jsonOutputEnabled := len(outputDirectory) > 0
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syncOnly, err := cmd.Flags().GetBool("sync-only")
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@ -317,37 +310,47 @@ var BacktestCmd = &cobra.Command{
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return err
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}
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type KChanEx struct {
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KChan chan types.KLine
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Exchange *backtest.Exchange
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}
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for _, session := range environ.Sessions() {
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backtestExchange := session.Exchange.(*backtest.Exchange)
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backtestExchange.InitMarketData()
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}
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var klineChans []KChanEx
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var exchangeSources []backtest.ExchangeDataSource
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for _, session := range environ.Sessions() {
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exchange := session.Exchange.(*backtest.Exchange)
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c, err := exchange.GetMarketData()
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if err != nil {
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return err
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}
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klineChans = append(klineChans, KChanEx{KChan: c, Exchange: exchange})
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exchangeSources = append(exchangeSources, backtest.ExchangeDataSource{C: c, Exchange: exchange})
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}
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runCtx, cancelRun := context.WithCancel(ctx)
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go func() {
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defer cancelRun()
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// Optimize back-test speed for single exchange source
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var count = len(exchangeSources)
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if count == 1 {
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exSource := exchangeSources[0]
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for k := range exSource.C {
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exSource.Exchange.ConsumeKLine(k)
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}
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if err := exSource.Exchange.CloseMarketData(); err != nil {
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log.WithError(err).Errorf("close market data error")
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}
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return
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}
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for {
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count := len(klineChans)
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for _, kchanex := range klineChans {
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kLine, more := <-kchanex.KChan
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for _, exK := range exchangeSources {
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kLine, more := <-exK.C
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if more {
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kchanex.Exchange.ConsumeKLine(kLine)
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exK.Exchange.ConsumeKLine(kLine)
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} else {
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if err := kchanex.Exchange.CloseMarketData(); err != nil {
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log.Errorf("%v", err)
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if err := exK.Exchange.CloseMarketData(); err != nil {
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log.WithError(err).Errorf("close market data error")
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return
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}
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count--
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@ -397,7 +400,7 @@ var BacktestCmd = &cobra.Command{
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report := calculator.Calculate(symbol, trades.Trades, lastPrice)
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report.Print()
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accountConfig, ok := userConfig.Backtest.Accounts[exchangeName]
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if !ok {
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accountConfig = userConfig.Backtest.Account[exchangeName]
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@ -413,7 +416,7 @@ var BacktestCmd = &cobra.Command{
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finalBalances.Print()
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if jsonOutputEnabled {
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result := BackTestReport{
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result := backtest.BackTestReport{
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Symbol: symbol,
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LastPrice: lastPrice,
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StartPrice: startPrice,
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