From 716fea885f322a2d10e5da282fd0cbb28ffd65c6 Mon Sep 17 00:00:00 2001
From: c9s <yoanlin93@gmail.com>
Date: Tue, 26 Sep 2023 20:41:37 +0800
Subject: [PATCH] backtest: add more order checking

---
 pkg/backtest/exchange.go | 37 ++++++++++++++++++++++++++++++-------
 1 file changed, 30 insertions(+), 7 deletions(-)

diff --git a/pkg/backtest/exchange.go b/pkg/backtest/exchange.go
index b358973ee..851c4df14 100644
--- a/pkg/backtest/exchange.go
+++ b/pkg/backtest/exchange.go
@@ -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{}{}