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c9s 2020-10-18 12:25:08 +08:00
parent d2ba9cc4c3
commit 7d7828a556
2 changed files with 113 additions and 115 deletions
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113
pkg/backtest/backtest.go
View File

@ -33,3 +33,116 @@ type Trader struct {
func (trader *Trader) SubmitOrder(ctx context.Context, order types.SubmitOrder) { func (trader *Trader) SubmitOrder(ctx context.Context, order types.SubmitOrder) {
trader.pendingOrders = append(trader.pendingOrders, order) trader.pendingOrders = append(trader.pendingOrders, order)
} }
/*
func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleExchangeStrategy) (chan struct{}, error) {
logrus.Infof("[regression] number of kline data: %d", len(trader.SourceKLines))
done := make(chan struct{})
defer close(done)
if err := strategy.OnLoad(trader.Context, trader); err != nil {
return nil, err
}
stream := &BackTestStream{}
if err := strategy.OnNewStream(stream); err != nil {
return nil, err
}
var tradeID int64 = 0
for _, kline := range trader.SourceKLines {
logrus.Debugf("kline %+v", kline)
fmt.Print(".")
stream.EmitKLineClosed(kline)
for _, order := range trader.pendingOrders {
switch order.Side {
case types.SideTypeBuy:
fmt.Print("B")
case types.SideTypeSell:
fmt.Print("S")
}
var price float64
if order.Type == types.OrderTypeLimit {
price = util.MustParseFloat(order.PriceString)
} else {
price = kline.GetClose()
}
volume := util.MustParseFloat(order.QuantityString)
fee := 0.0
feeCurrency := ""
trader.Context.Lock()
if order.Side == types.SideTypeBuy {
fee = price * volume * 0.001
feeCurrency = "USDT"
quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
if quote.Available < volume*price {
logrus.Fatalf("quote balance not enough: %+v", quote)
}
quote.Available -= volume * price
trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote
base := trader.Context.Balances[trader.Context.Market.BaseCurrency]
base.Available += volume
trader.Context.Balances[trader.Context.Market.BaseCurrency] = base
} else {
fee = volume * 0.001
feeCurrency = "BTC"
base := trader.Context.Balances[trader.Context.Market.BaseCurrency]
if base.Available < volume {
logrus.Fatalf("base balance not enough: %+v", base)
}
base.Available -= volume
trader.Context.Balances[trader.Context.Market.BaseCurrency] = base
quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
quote.Available += volume * price
trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote
}
trader.Context.Unlock()
trade := types.Trade{
ID: tradeID,
Price: price,
Quantity: volume,
Side: string(order.Side),
IsBuyer: order.Side == types.SideTypeBuy,
IsMaker: false,
Time: kline.EndTime,
Symbol: trader.Context.Symbol,
Fee: fee,
FeeCurrency: feeCurrency,
}
tradeID++
trader.AverageCostCalculator.AddTrade(trade)
trader.doneOrders = append(trader.doneOrders, order)
}
// clear pending orders
trader.pendingOrders = nil
}
fmt.Print("\n")
report := trader.AverageCostCalculator.Calculate()
report.Print()
logrus.Infof("wallet balance:")
for _, balance := range trader.Context.Balances {
logrus.Infof(" %s: %f", balance.Currency, balance.Available)
}
return done, nil
}
*/

115
pkg/bbgo/backtest.go
View File

@ -1,115 +0,0 @@
package bbgo
/*
func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleExchangeStrategy) (chan struct{}, error) {
logrus.Infof("[regression] number of kline data: %d", len(trader.SourceKLines))
done := make(chan struct{})
defer close(done)
if err := strategy.OnLoad(trader.Context, trader); err != nil {
return nil, err
}
stream := &BackTestStream{}
if err := strategy.OnNewStream(stream); err != nil {
return nil, err
}
var tradeID int64 = 0
for _, kline := range trader.SourceKLines {
logrus.Debugf("kline %+v", kline)
fmt.Print(".")
stream.EmitKLineClosed(kline)
for _, order := range trader.pendingOrders {
switch order.Side {
case types.SideTypeBuy:
fmt.Print("B")
case types.SideTypeSell:
fmt.Print("S")
}
var price float64
if order.Type == types.OrderTypeLimit {
price = util.MustParseFloat(order.PriceString)
} else {
price = kline.GetClose()
}
volume := util.MustParseFloat(order.QuantityString)
fee := 0.0
feeCurrency := ""
trader.Context.Lock()
if order.Side == types.SideTypeBuy {
fee = price * volume * 0.001
feeCurrency = "USDT"
quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
if quote.Available < volume*price {
logrus.Fatalf("quote balance not enough: %+v", quote)
}
quote.Available -= volume * price
trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote
base := trader.Context.Balances[trader.Context.Market.BaseCurrency]
base.Available += volume
trader.Context.Balances[trader.Context.Market.BaseCurrency] = base
} else {
fee = volume * 0.001
feeCurrency = "BTC"
base := trader.Context.Balances[trader.Context.Market.BaseCurrency]
if base.Available < volume {
logrus.Fatalf("base balance not enough: %+v", base)
}
base.Available -= volume
trader.Context.Balances[trader.Context.Market.BaseCurrency] = base
quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
quote.Available += volume * price
trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote
}
trader.Context.Unlock()
trade := types.Trade{
ID: tradeID,
Price: price,
Quantity: volume,
Side: string(order.Side),
IsBuyer: order.Side == types.SideTypeBuy,
IsMaker: false,
Time: kline.EndTime,
Symbol: trader.Context.Symbol,
Fee: fee,
FeeCurrency: feeCurrency,
}
tradeID++
trader.AverageCostCalculator.AddTrade(trade)
trader.doneOrders = append(trader.doneOrders, order)
}
// clear pending orders
trader.pendingOrders = nil
}
fmt.Print("\n")
report := trader.AverageCostCalculator.Calculate()
report.Print()
logrus.Infof("wallet balance:")
for _, balance := range trader.Context.Balances {
logrus.Infof(" %s: %f", balance.Currency, balance.Available)
}
return done, nil
}
*/