integrate state recorder

pkg/backtest/recorder.go

@@ -78,6 +78,10 @@ func (r *StateRecorder) Scan(instance Instance) error {
 
 	for i := 0; i < rt.NumField(); i++ {
 		structField := rt.Field(i)
+		if !structField.IsExported() {
+			continue
+		}
+
 		obj := rv.Field(i).Interface()
 		switch o := obj.(type) {
 
@@ -87,23 +91,33 @@ func (r *StateRecorder) Scan(instance Instance) error {
 				return fmt.Errorf("%v is a non-defined type", structField.Type)
 			}
 
-			f, err := r.openFile(instance, typeName)
-			if err != nil {
+			if err := r.newCsvWriter(o, instance, typeName); err != nil {
 				return err
 			}
-
-			if _, exists := r.files[o]; exists {
-				return fmt.Errorf("file of object %v already exists", o)
-			}
-
-			r.files[o] = f
-			r.writers[o] = csv.NewWriter(f)
 		}
 	}
 
 	return nil
 }
 
+func (r *StateRecorder) newCsvWriter(o types.CsvFormatter, instance Instance, typeName string) error {
+	f, err := r.openFile(instance, typeName)
+	if err != nil {
+		return err
+	}
+
+	if _, exists := r.files[o]; exists {
+		return fmt.Errorf("file of object %v already exists", o)
+	}
+
+	r.files[o] = f
+
+	w := csv.NewWriter(f)
+	r.writers[o] = w
+
+	return w.Write(o.CsvHeader())
+}
+
 func (r *StateRecorder) Close() error {
 	var err error
 

pkg/backtest/recorder_test.go

@@ -34,9 +34,6 @@ func TestStateRecorder(t *testing.T) {
 	assert.NoError(t, err)
 	assert.Len(t, recorder.writers, 1)
 
-	n, err := recorder.Snapshot()
-	assert.NoError(t, err)
-	assert.Equal(t, 1, n)
 
 	st.Position.AddTrade(types.Trade{
 		OrderID:       1,
@@ -56,7 +53,7 @@ func TestStateRecorder(t *testing.T) {
 		IsIsolated:    false,
 	})
 
-	n, err = recorder.Snapshot()
+	n, err := recorder.Snapshot()
 	assert.NoError(t, err)
 	assert.Equal(t, 1, n)
 

pkg/bbgo/trader.go

@@ -13,9 +13,13 @@ import (
 	"github.com/c9s/bbgo/pkg/interact"
 )
 
+type StrategyID interface {
+	ID() string
+}
+
 // SingleExchangeStrategy represents the single Exchange strategy
 type SingleExchangeStrategy interface {
-	ID() string
+	StrategyID
 	Run(ctx context.Context, orderExecutor OrderExecutor, session *ExchangeSession) error
 }
 
@@ -34,7 +38,7 @@ type CrossExchangeSessionSubscriber interface {
 }
 
 type CrossExchangeStrategy interface {
-	ID() string
+	StrategyID
 	CrossRun(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error
 }
 
@@ -346,15 +350,23 @@ func (trader *Trader) LoadState() error {
 	ps := trader.environment.PersistenceServiceFacade.Get()
 
 	log.Infof("loading strategies states...")
+
+	return trader.IterateStrategies(func(strategy StrategyID) error {
+		return loadPersistenceFields(strategy, strategy.ID(), ps)
+	})
+}
+
+func (trader *Trader) IterateStrategies(f func(st StrategyID) error) error {
 	for _, strategies := range trader.exchangeStrategies {
 		for _, strategy := range strategies {
-			if err := loadPersistenceFields(strategy, strategy.ID(), ps); err != nil {
+			if err := f(strategy); err != nil {
 				return err
 			}
 		}
 	}
+
 	for _, strategy := range trader.crossExchangeStrategies {
-		if err := loadPersistenceFields(strategy, strategy.ID(), ps); err != nil {
+		if err := f(strategy); err != nil {
 			return err
 		}
 	}
@@ -374,30 +386,14 @@ func (trader *Trader) SaveState() error {
 	ps := trader.environment.PersistenceServiceFacade.Get()
 
 	log.Infof("saving strategies states...")
-	for _, strategies := range trader.exchangeStrategies {
-		for _, strategy := range strategies {
-			id := callID(strategy)
-			if len(id) == 0 {
-				continue
-			}
-
-			if err := storePersistenceFields(strategy, id, ps); err != nil {
-				return err
-			}
-		}
-	}
-	for _, strategy := range trader.crossExchangeStrategies {
+	return trader.IterateStrategies(func(strategy StrategyID) error {
 		id := callID(strategy)
 		if len(id) == 0 {
-			continue
+			return nil
 		}
 
-		if err := storePersistenceFields(strategy, id, ps); err != nil {
-			return err
-		}
-	}
-
-	return nil
+		return storePersistenceFields(strategy, id, ps)
+	})
 }
 
 var defaultPersistenceSelector = &PersistenceSelector{

pkg/cmd/backtest.go

@@ -334,25 +334,36 @@ var BacktestCmd = &cobra.Command{
 
 		var kLineHandlers []func(k types.KLine)
 		if generatingReport {
-			dumpDir := outputDirectory
+			reportDir := outputDirectory
 			if reportFileInSubDir {
-				dumpDir = filepath.Join(dumpDir, backtestSessionName)
-				dumpDir = filepath.Join(dumpDir, uuid.NewString())
+				reportDir = filepath.Join(reportDir, backtestSessionName)
+				reportDir = filepath.Join(reportDir, uuid.NewString())
 			}
 
-			dumpDir = filepath.Join(dumpDir, "klines")
+			kLineDataDir := filepath.Join(reportDir, "klines")
+			if err := safeMkdirAll(kLineDataDir); err != nil {
+				return err
+			}
 
-			if _, err := os.Stat(dumpDir); err != nil {
-				if os.IsNotExist(err) {
-					if err2 := os.MkdirAll(dumpDir, 0755); err2 != nil {
-						return err2
+			stateRecorder := backtest.NewStateRecorder(reportDir)
+			err = trader.IterateStrategies(func(st bbgo.StrategyID) error {
+				return stateRecorder.Scan(st.(backtest.Instance))
+			})
+
+			if err != nil {
+				return err
+			}
+
+			kLineHandlers = append(kLineHandlers, func(k types.KLine) {
+				// snapshot per 1m
+				if k.Interval == types.Interval1m && k.Closed {
+					if _, err := stateRecorder.Snapshot(); err != nil {
+						log.WithError(err).Errorf("state record failed to snapshot the strategy state")
 					}
-				} else {
-					return err
 				}
-			}
+			})
 
-			dumper := backtest.NewKLineDumper(dumpDir)
+			dumper := backtest.NewKLineDumper(kLineDataDir)
 			defer func() {
 				if err := dumper.Close(); err != nil {
 					log.WithError(err).Errorf("kline dumper can not close files")
@@ -418,7 +429,6 @@ var BacktestCmd = &cobra.Command{
 		trader.Graceful.Shutdown(shutdownCtx)
 		cancelShutdown()
 
-
 		// put the logger back to print the pnl
 		log.SetLevel(log.InfoLevel)
 
@@ -565,3 +575,20 @@ func confirmation(s string) bool {
 		}
 	}
 }
+
+func safeMkdirAll(p string) error {
+	st, err := os.Stat(p)
+	if err == nil {
+		if !st.IsDir() {
+			return fmt.Errorf("path %s is not a directory", p)
+		}
+
+		return nil
+	}
+
+	if os.IsNotExist(err) {
+		return os.MkdirAll(p, 0755)
+	}
+
+	return nil
+}

pkg/types/position.go

@@ -72,6 +72,10 @@ func (p *Position) CsvHeader() []string {
 }
 
 func (p *Position) CsvRecords() [][]string {
+	if p.AverageCost.IsZero() && p.Base.IsZero() {
+		return nil
+	}
+
 	return [][]string{
 		{
 			p.Symbol,