mirror of
https://github.com/c9s/bbgo.git
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fix backtest (with review)
This commit is contained in:
TonyQ
parent
7fcbc1edcf
commit
8eb3eede82
2
go.mod
2
go.mod
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@ -19,7 +19,7 @@ require (
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github.com/google/uuid v1.1.2
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github.com/gorilla/websocket v1.4.2
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github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 // indirect
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github.com/jmoiron/sqlx v1.2.0
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github.com/jmoiron/sqlx v1.3.4
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github.com/joho/godotenv v1.3.0
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github.com/json-iterator/go v1.1.10 // indirect
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github.com/klauspost/compress v1.13.6 // indirect
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5
go.sum
5
go.sum
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@ -188,6 +188,10 @@ github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 h1:IPJ3dvxmJ4uc
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github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869/go.mod h1:cJ6Cj7dQo+O6GJNiMx+Pa94qKj+TG8ONdKHgMNIyyag=
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github.com/jmoiron/sqlx v1.2.0 h1:41Ip0zITnmWNR/vHV+S4m+VoUivnWY5E4OJfLZjCJMA=
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github.com/jmoiron/sqlx v1.2.0/go.mod h1:1FEQNm3xlJgrMD+FBdI9+xvCksHtbpVBBw5dYhBSsks=
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github.com/jmoiron/sqlx v1.3.0 h1:xOXsPZ1cwOn1bhi0p6HzHGkLZicSun/jBtY/YuUuQs8=
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github.com/jmoiron/sqlx v1.3.0/go.mod h1:2BljVx/86SuTyjE+aPYlHCTNvZrnJXghYGpNiXLBMCQ=
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github.com/jmoiron/sqlx v1.3.4 h1:wv+0IJZfL5z0uZoUjlpKgHkgaFSYD+r9CfrXjEXsO7w=
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github.com/jmoiron/sqlx v1.3.4/go.mod h1:2BljVx/86SuTyjE+aPYlHCTNvZrnJXghYGpNiXLBMCQ=
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github.com/joho/godotenv v1.3.0 h1:Zjp+RcGpHhGlrMbJzXTrZZPrWj+1vfm90La1wgB6Bhc=
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github.com/joho/godotenv v1.3.0/go.mod h1:7hK45KPybAkOC6peb+G5yklZfMxEjkZhHbwpqxOKXbg=
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github.com/jonboulle/clockwork v0.1.0 h1:VKV+ZcuP6l3yW9doeqz6ziZGgcynBVQO+obU0+0hcPo=
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@ -230,6 +234,7 @@ github.com/lestrrat-go/file-rotatelogs v2.2.0+incompatible/go.mod h1:ZQnN8lSECae
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github.com/lestrrat-go/strftime v1.0.0 h1:wZIfTHGdu7TeGu318uLJwuQvTMt9UpRyS+XV2Rc4wo4=
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github.com/lestrrat-go/strftime v1.0.0/go.mod h1:E1nN3pCbtMSu1yjSVeyuRFVm/U0xoR76fd03sz+Qz4g=
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github.com/lib/pq v1.0.0/go.mod h1:5WUZQaWbwv1U+lTReE5YruASi9Al49XbQIvNi/34Woo=
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github.com/lib/pq v1.2.0/go.mod h1:5WUZQaWbwv1U+lTReE5YruASi9Al49XbQIvNi/34Woo=
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github.com/lib/pq v1.9.0 h1:L8nSXQQzAYByakOFMTwpjRoHsMJklur4Gi59b6VivR8=
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github.com/lib/pq v1.9.0/go.mod h1:AlVN5x4E4T544tWzH6hKfbfQvm3HdbOxrmggDNAPY9o=
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github.com/magefile/mage v1.10.0/go.mod h1:z5UZb/iS3GoOSn0JgWuiw7dxlurVYTu+/jHXqQg881A=
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@ -109,6 +109,7 @@ type Backtest struct {
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RecordTrades bool `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`
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Account BacktestAccount `json:"account" yaml:"account"`
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Symbols []string `json:"symbols" yaml:"symbols"`
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Session string `json:"session" yaml:"session"`
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}
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func parseTimeWithFormats(strTime string, formats []string) (time.Time, error) {
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@ -121,7 +122,6 @@ func parseTimeWithFormats(strTime string, formats []string) (time.Time, error) {
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return time.Time{}, fmt.Errorf("failed to parse time %s, valid formats are %+v", strTime, formats)
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}
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func (t Backtest) ParseEndTime() (time.Time, error) {
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if len(t.EndTime) == 0 {
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return time.Time{}, errors.New("backtest.endTime must be defined")
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@ -462,7 +462,6 @@ func loadExchangeStrategies(config *Config, stash Stash) (err error) {
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return fmt.Errorf("unexpected mount type: %T value: %+v", val, val)
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}
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}
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for id, conf := range configStash {
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// look up the real struct type
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@ -476,6 +475,9 @@ func loadExchangeStrategies(config *Config, stash Stash) (err error) {
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Mounts: mounts,
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Strategy: st,
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})
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} else if id != "on" && id != "off" {
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//Show error when we didn't find the Strategy
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return fmt.Errorf("strategy %s in config not found", id)
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}
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}
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}
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2
pkg/bbgo/testdata/persistence.yaml
vendored
2
pkg/bbgo/testdata/persistence.yaml
vendored
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@ -20,7 +20,7 @@ persistence:
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strategies:
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- on: max
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swing:
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test:
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symbolPosition:
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persistence:
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type: json
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@ -98,24 +98,45 @@ var BacktestCmd = &cobra.Command{
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return err
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}
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exchangeName, err := types.ValidExchangeName(exchangeNameStr)
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if err != nil {
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return err
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}
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sourceExchange, err := cmdutil.NewExchange(exchangeName)
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if err != nil {
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return err
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}
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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userConfig, err := bbgo.Load(configFile, true)
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if err != nil {
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return err
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}
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//if it's declared in the cmd , use the cmd one first
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if exchangeNameStr == "" {
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exchangeNameStr = userConfig.Backtest.Session
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}
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var sourceExchange types.Exchange
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var exchangeName types.ExchangeName
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for key, session := range userConfig.Sessions {
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if exchangeNameStr == key {
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err := bbgo.InitExchangeSession(session.Name, session)
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if err != nil {
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return err
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}
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sourceExchange = session.Exchange
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exchangeName = session.ExchangeName
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}
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}
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if sourceExchange == nil {
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exchangeName, err = types.ValidExchangeName(exchangeNameStr)
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if err != nil {
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return err
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}
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sourceExchange, err = cmdutil.NewExchange(exchangeName)
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if err != nil {
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return err
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}
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}
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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if userConfig.Backtest == nil {
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return errors.New("backtest config is not defined")
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}
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@ -267,7 +288,9 @@ var BacktestCmd = &cobra.Command{
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}
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environ.SetStartTime(startTime)
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environ.AddExchange(exchangeName.String(), backtestExchange)
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//exchangeNameStr is the session name.
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environ.AddExchange(exchangeNameStr, backtestExchange)
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if err := environ.Init(ctx); err != nil {
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return err
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@ -101,7 +101,7 @@ var tradesCmd = &cobra.Command{
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log.Infof("%d trades", len(trades))
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for _, trade := range trades {
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log.Infof("TRADE %s %s %4s %s @ %s orderID %d %s amount %f",
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log.Infof("TRADE %s %s %4s %s @ %s orderID %d %s amount %f , fee %f %s ",
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trade.Exchange.String(),
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trade.Symbol,
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trade.Side,
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@ -109,7 +109,9 @@ var tradesCmd = &cobra.Command{
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util.FormatFloat(trade.Price, 3),
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trade.OrderID,
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trade.Time.Time().Format(time.StampMilli),
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trade.QuoteQuantity)
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trade.QuoteQuantity,
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trade.Fee,
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trade.FeeCurrency)
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}
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return nil
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},
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@ -2,6 +2,8 @@ package batch
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import (
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"context"
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"github.com/pkg/errors"
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"sort"
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"time"
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"github.com/sirupsen/logrus"
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@ -74,18 +76,21 @@ type KLineBatchQuery struct {
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types.Exchange
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}
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func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) (c chan types.KLine, errC chan error) {
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c = make(chan types.KLine, 1000)
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func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) (c chan []types.KLine, errC chan error) {
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c = make(chan []types.KLine, 1000)
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errC = make(chan error, 1)
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go func() {
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defer close(c)
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defer close(errC)
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tryQueryKlineTimes := 0
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for startTime.Before(endTime) {
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kLines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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StartTime: &startTime,
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})
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sort.Slice(kLines, func(i, j int) bool { return kLines[i].StartTime.Unix() < kLines[j].StartTime.Unix() })
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tryQueryKlineTimes++
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if err != nil {
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errC <- err
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@ -95,7 +100,9 @@ func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval type
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if len(kLines) == 0 {
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return
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}
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const BatchSize = 200
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var batchKLines = make([]types.KLine, 0, BatchSize)
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for _, kline := range kLines {
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// ignore any kline before the given start time
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if kline.StartTime.Before(startTime) {
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@ -106,8 +113,23 @@ func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval type
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return
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}
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c <- kline
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startTime = kline.EndTime.Add(time.Millisecond)
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batchKLines = append(batchKLines, kline)
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if len(batchKLines) == BatchSize {
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c <- batchKLines
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batchKLines = batchKLines[:0]
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}
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//The issue is in FTX, prev endtime = next start time , so if add 1 ms , it would query forever.
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startTime = kline.EndTime // .Add(time.Millisecond)
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tryQueryKlineTimes = 0
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}
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c <- batchKLines
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if tryQueryKlineTimes > 10 { // it means loop 10 times
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errC <- errors.Errorf("There's a dead loop in batch.go#Query , symbol: %s , interval: %s, startTime :%s ", symbol, interval, startTime.String())
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return
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}
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}
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}()
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@ -179,7 +179,74 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
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return balances, nil
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}
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//resolution field in api
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//window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400
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var supportedIntervals = map[types.Interval]int{
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types.Interval1m: 1,
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types.Interval5m: 5,
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types.Interval15m: 15,
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types.Interval1h: 60,
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types.Interval1d: 60 * 24,
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types.Interval3d: 60 * 24 * 3,
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}
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func (e *Exchange) SupportedInterval() map[types.Interval]int {
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return supportedIntervals
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}
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func (e *Exchange) IsSupportedInterval(interval types.Interval) bool {
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return isIntervalSupportedInKLine(interval)
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}
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func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
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var klines []types.KLine
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var since, until, current time.Time
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if options.StartTime != nil {
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since = *options.StartTime
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}
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if options.EndTime != nil {
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until = *options.EndTime
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} else {
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until = time.Now()
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}
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current = until
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for {
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endTime := current.Add(interval.Duration())
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options.EndTime = &endTime
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lines, err := e._queryKLines(ctx, symbol, interval, options)
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if err != nil {
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return nil, err
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}
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if len(lines) == 0 {
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break
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}
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for _, line := range lines {
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if line.EndTime.Unix() < current.Unix() {
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current = line.StartTime
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}
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if line.EndTime.Unix() > since.Unix() {
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klines = append(klines, line)
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}
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}
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if since.IsZero() || current.Unix() == since.Unix() {
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break
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}
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}
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sort.Slice(klines, func(i, j int) bool { return klines[i].StartTime.Unix() < klines[j].StartTime.Unix() })
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return klines, nil
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}
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func (e *Exchange) _queryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
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var since, until time.Time
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if options.StartTime != nil {
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since = *options.StartTime
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@ -195,6 +262,11 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
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if !isIntervalSupportedInKLine(interval) {
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return nil, fmt.Errorf("interval %s is not supported", interval.String())
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}
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if err := requestLimit.Wait(ctx); err != nil {
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return nil, err
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}
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resp, err := e.newRest().HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), since, until)
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if err != nil {
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return nil, err
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@ -203,29 +275,19 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
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return nil, fmt.Errorf("ftx returns failure")
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}
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var kline []types.KLine
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var klines []types.KLine
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for _, r := range resp.Result {
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globalKline, err := toGlobalKLine(symbol, interval, r)
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if err != nil {
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return nil, err
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}
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kline = append(kline, globalKline)
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klines = append(klines, globalKline)
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}
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return kline, nil
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}
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var supportedInterval = map[int]struct{}{
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15: {},
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60: {},
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300: {},
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900: {},
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3600: {},
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14400: {},
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86400: {},
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return klines, nil
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}
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func isIntervalSupportedInKLine(interval types.Interval) bool {
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_, ok := supportedInterval[interval.Minutes()*60]
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_, ok := supportedIntervals[interval]
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return ok
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}
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@ -406,6 +468,11 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
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s := since
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var lastOrder order
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for hasMoreData {
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if err := requestLimit.Wait(ctx); err != nil {
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logrus.WithError(err).Error("rate limit error")
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}
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resp, err := e.newRest().OrdersHistory(ctx, toLocalSymbol(symbol), s, until, limit)
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if err != nil {
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return nil, err
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@ -627,12 +627,12 @@ func Test_isIntervalSupportedInKLine(t *testing.T) {
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types.Interval5m,
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types.Interval15m,
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types.Interval1h,
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types.Interval4h,
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types.Interval1d,
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}
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for _, i := range supportedIntervals {
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assert.True(t, isIntervalSupportedInKLine(i))
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}
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assert.False(t, isIntervalSupportedInKLine(types.Interval30m))
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assert.False(t, isIntervalSupportedInKLine(types.Interval3d))
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assert.False(t, isIntervalSupportedInKLine(types.Interval2h))
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assert.True(t, isIntervalSupportedInKLine(types.Interval3d))
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}
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@ -2,6 +2,7 @@ package service
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import (
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"context"
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"fmt"
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"strconv"
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"strings"
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"time"
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@ -35,12 +36,16 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
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// should use channel here
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klineC, errC := batch.Query(ctx, symbol, interval, startTime, endTime)
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// var previousKLine types.KLine
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for k := range klineC {
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if err := s.Insert(k); err != nil {
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count := 0
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for klines := range klineC {
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if err := s.BatchInsert(klines); err != nil {
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return err
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}
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count += len(klines)
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}
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log.Infof("found %s kline %s data count: %d", symbol, interval.String(), count)
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if err := <-errC; err != nil {
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return err
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@ -51,7 +56,17 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
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|
||||
func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
|
||||
endTime := time.Now()
|
||||
for interval := range types.SupportedIntervals {
|
||||
|
||||
exCustom, ok := exchange.(types.CustomIntervalProvider)
|
||||
|
||||
var supportIntervals map[types.Interval]int
|
||||
if ok {
|
||||
supportIntervals = exCustom.SupportedInterval()
|
||||
} else {
|
||||
supportIntervals = types.SupportedIntervals
|
||||
}
|
||||
|
||||
for interval := range supportIntervals {
|
||||
if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime); err != nil {
|
||||
return err
|
||||
}
|
||||
|
|
@ -73,12 +88,12 @@ func (s *BacktestService) QueryLastKLine(ex types.ExchangeName, symbol string, i
|
|||
func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
|
||||
log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
|
||||
|
||||
tableName := s._targetKlineTable(ex)
|
||||
// make the SQL syntax IDE friendly, so that it can analyze it.
|
||||
sql := "SELECT * FROM binance_klines WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time " + orderBy + " LIMIT " + strconv.Itoa(limit)
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", ex.String()+"_klines")
|
||||
sql := fmt.Sprintf("SELECT * FROM `%s` WHERE `symbol` = :symbol AND `interval` = :interval and exchange = :exchange ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)
|
||||
|
||||
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
||||
"exchange": ex,
|
||||
"exchange": ex.String(),
|
||||
"interval": interval,
|
||||
"symbol": symbol,
|
||||
})
|
||||
|
|
@ -103,14 +118,16 @@ func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, inter
|
|||
}
|
||||
|
||||
func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
|
||||
sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :start_time AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time ASC LIMIT :limit"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", exchange.String()+"_klines")
|
||||
tableName := s._targetKlineTable(exchange)
|
||||
sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :start_time AND `symbol` = :symbol AND `interval` = :interval and exchange = :exchange ORDER BY end_time ASC LIMIT :limit"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
|
||||
|
||||
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
||||
"start_time": startTime,
|
||||
"limit": limit,
|
||||
"symbol": symbol,
|
||||
"interval": interval,
|
||||
"exchange": exchange.String(),
|
||||
})
|
||||
if err != nil {
|
||||
return nil, err
|
||||
|
|
@ -120,8 +137,10 @@ func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol
|
|||
}
|
||||
|
||||
func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
|
||||
sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :end_time AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT :limit"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", exchange.String()+"_klines")
|
||||
tableName := s._targetKlineTable(exchange)
|
||||
|
||||
sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :end_time and exchange = :exchange AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT :limit"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
|
||||
sql = "SELECT t.* FROM (" + sql + ") AS t ORDER BY t.end_time ASC"
|
||||
|
||||
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
||||
|
|
@ -129,6 +148,7 @@ func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbo
|
|||
"end_time": endTime,
|
||||
"symbol": symbol,
|
||||
"interval": interval,
|
||||
"exchange": exchange.String(),
|
||||
})
|
||||
if err != nil {
|
||||
return nil, err
|
||||
|
|
@ -138,14 +158,28 @@ func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbo
|
|||
}
|
||||
|
||||
func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) {
|
||||
sql := "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) ORDER BY end_time ASC"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", exchange.Name().String()+"_klines")
|
||||
|
||||
if len(symbols) == 0 {
|
||||
|
||||
errC := make(chan error, 1)
|
||||
// avoid blocking
|
||||
go func() {
|
||||
errC <- errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. ")
|
||||
close(errC)
|
||||
}()
|
||||
return nil, errC
|
||||
}
|
||||
|
||||
tableName := s._targetKlineTable(exchange.Name())
|
||||
sql := "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) and exchange = :exchange ORDER BY end_time ASC"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
|
||||
|
||||
sql, args, err := sqlx.Named(sql, map[string]interface{}{
|
||||
"since": since,
|
||||
"until": until,
|
||||
"symbols": symbols,
|
||||
"intervals": types.IntervalSlice(intervals),
|
||||
"exchange": exchange.Name().String(),
|
||||
})
|
||||
|
||||
sql, args, err = sqlx.In(sql, args...)
|
||||
|
|
@ -153,10 +187,9 @@ func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.E
|
|||
|
||||
rows, err := s.DB.Queryx(sql, args...)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("query error")
|
||||
log.WithError(err).Error("backtest query error")
|
||||
|
||||
errC := make(chan error, 1)
|
||||
|
||||
// avoid blocking
|
||||
go func() {
|
||||
errC <- err
|
||||
|
|
@ -211,14 +244,48 @@ func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err e
|
|||
return klines, rows.Err()
|
||||
}
|
||||
|
||||
func (s *BacktestService) _targetKlineTable(exchangeName types.ExchangeName) string {
|
||||
switch exchangeName {
|
||||
case types.ExchangeBinance:
|
||||
return "binance_klines"
|
||||
case types.ExchangeFTX:
|
||||
return "ftx_klines"
|
||||
case types.ExchangeMax:
|
||||
return "max_klines"
|
||||
case types.ExchangeOKEx:
|
||||
return "okex_klines"
|
||||
default:
|
||||
return "klines"
|
||||
}
|
||||
}
|
||||
|
||||
func (s *BacktestService) Insert(kline types.KLine) error {
|
||||
if len(kline.Exchange) == 0 {
|
||||
return errors.New("kline.Exchange field should not be empty")
|
||||
}
|
||||
|
||||
sql := "INSERT INTO `binance_klines` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)" +
|
||||
"VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume)"
|
||||
sql = strings.ReplaceAll(sql, "binance_klines", kline.Exchange.String()+"_klines")
|
||||
tableName := s._targetKlineTable(kline.Exchange)
|
||||
|
||||
sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
|
||||
"VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume)", tableName)
|
||||
|
||||
_, err := s.DB.NamedExec(sql, kline)
|
||||
return err
|
||||
}
|
||||
|
||||
// BatchInsert Note: all kline should be same exchange, or it will cause issue.
|
||||
func (s *BacktestService) BatchInsert(kline []types.KLine) error {
|
||||
if len(kline) == 0 {
|
||||
return nil
|
||||
}
|
||||
if len(kline[0].Exchange) == 0 {
|
||||
return errors.New("kline.Exchange field should not be empty")
|
||||
}
|
||||
|
||||
tableName := s._targetKlineTable(kline[0].Exchange)
|
||||
|
||||
sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
|
||||
" values (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
|
||||
|
||||
_, err := s.DB.NamedExec(sql, kline)
|
||||
return err
|
||||
|
|
|
|||
|
|
@ -103,6 +103,11 @@ type ExchangeMarketDataService interface {
|
|||
QueryKLines(ctx context.Context, symbol string, interval Interval, options KLineQueryOptions) ([]KLine, error)
|
||||
}
|
||||
|
||||
type CustomIntervalProvider interface {
|
||||
SupportedInterval() map[Interval]int
|
||||
IsSupportedInterval(interval Interval) bool
|
||||
}
|
||||
|
||||
type ExchangeTransferService interface {
|
||||
QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []Deposit, err error)
|
||||
QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []Withdraw, err error)
|
||||
|
|
|
|||
|
|
@ -87,13 +87,15 @@ func (trade Trade) String() string {
|
|||
|
||||
// PlainText is used for telegram-styled messages
|
||||
func (trade Trade) PlainText() string {
|
||||
return fmt.Sprintf("Trade %s %s %s %f @ %f, amount %f",
|
||||
return fmt.Sprintf("Trade %s %s %s %f @ %f, amount %f , fee %f %s ",
|
||||
trade.Exchange.String(),
|
||||
trade.Symbol,
|
||||
trade.Side,
|
||||
trade.Quantity,
|
||||
trade.Price,
|
||||
trade.QuoteQuantity)
|
||||
trade.QuoteQuantity,
|
||||
trade.Fee,
|
||||
trade.FeeCurrency)
|
||||
}
|
||||
|
||||
var slackTradeTextTemplate = ":handshake: {{ .Symbol }} {{ .Side }} Trade Execution @ {{ .Price }}"
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user