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backtest: add more order checking

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c9s 2023-09-26 20:41:37 +08:00
parent 117d7f008f
commit 716fea885f
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 30 additions and 7 deletions
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37
pkg/backtest/exchange.go
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@ -50,6 +50,7 @@ var log = logrus.WithField("cmd", "backtest")
var ErrUnimplemented = errors.New("unimplemented method")
var ErrNegativeQuantity = errors.New("order quantity can not be negative")
var ErrZeroQuantity = errors.New("order quantity can not be zero")
var ErrEmptyOrderType = errors.New("order type can not be empty string")
type Exchange struct {
sourceName types.ExchangeName
@ -76,7 +77,9 @@ type Exchange struct {
Src *ExchangeDataSource
}
func NewExchange(sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest) (*Exchange, error) {
func NewExchange(
sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest,
) (*Exchange, error) {
ex := sourceExchange
markets, err := cache.LoadExchangeMarketsWithCache(context.Background(), ex)
@ -178,6 +181,10 @@ func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (cr
return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
}
if order.Price.Sign() < 0 {
return nil, fmt.Errorf("order price can not be negative, %s given", order.Price.String())
}
if order.Quantity.Sign() < 0 {
return nil, ErrNegativeQuantity
}
@ -186,6 +193,10 @@ func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (cr
return nil, ErrZeroQuantity
}
if order.Type == "" {
return nil, ErrEmptyOrderType
}
createdOrder, _, err = matching.PlaceOrder(order)
if createdOrder != nil {
// market order can be closed immediately.
@ -207,7 +218,9 @@ func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders [
return append(matching.bidOrders, matching.askOrders...), nil
}
func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
func (e *Exchange) QueryClosedOrders(
ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64,
) (orders []types.Order, err error) {
orders, ok := e.closedOrders[symbol]
if !ok {
return orders, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
@ -239,7 +252,9 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
return e.account.Balances(), nil
}
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
func (e *Exchange) QueryKLines(
ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions,
) ([]types.KLine, error) {
if options.EndTime != nil {
return e.srv.QueryKLinesBackward(e.sourceName, symbol, interval, *options.EndTime, 1000)
}
@ -251,7 +266,9 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
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) {
func (e *Exchange) QueryTrades(
ctx context.Context, symbol string, options *types.TradeQueryOptions,
) ([]types.Trade, error) {
// we don't need query trades for backtest
return nil, nil
}
@ -292,11 +309,15 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
return e.markets, nil
}
func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
func (e *Exchange) QueryDepositHistory(
ctx context.Context, asset string, since, until time.Time,
) (allDeposits []types.Deposit, err error) {
return nil, nil
}
func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
func (e *Exchange) QueryWithdrawHistory(
ctx context.Context, asset string, since, until time.Time,
) (allWithdraws []types.Withdraw, err error) {
return nil, nil
}
@ -321,7 +342,9 @@ func (e *Exchange) BindUserData(userDataStream types.StandardStreamEmitter) {
e.matchingBooksMutex.Unlock()
}
func (e *Exchange) SubscribeMarketData(startTime, endTime time.Time, requiredInterval types.Interval, extraIntervals ...types.Interval) (chan types.KLine, error) {
func (e *Exchange) SubscribeMarketData(
startTime, endTime time.Time, requiredInterval types.Interval, extraIntervals ...types.Interval,
) (chan types.KLine, error) {
log.Infof("collecting backtest configurations...")
loadedSymbols := map[string]struct{}{}