mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-21 14:33:53 +00:00
refactor exchange factory and solve the incorrect pkg import dependency from ftx
This commit is contained in:
parent
9b8239abba
commit
9083881442
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@ -14,6 +14,7 @@ import (
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -52,7 +53,7 @@ var rootCmd = &cobra.Command{
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return err
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}
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exchange, err := cmdutil.NewExchange(exchangeName)
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exchange, err := exchange2.New(exchangeName)
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if err != nil {
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return err
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}
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@ -21,7 +21,7 @@ import (
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"github.com/spf13/viper"
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"gopkg.in/tucnak/telebot.v2"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/interact"
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"github.com/c9s/bbgo/pkg/notifier/slacknotifier"
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@ -221,7 +221,7 @@ func (environ *Environment) ConfigureExchangeSessions(userConfig *Config) error
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func (environ *Environment) AddExchangesByViperKeys() error {
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for _, n := range types.SupportedExchanges {
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if viper.IsSet(string(n) + "-api-key") {
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exchange, err := cmdutil.NewExchangeWithEnvVarPrefix(n, "")
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exchange, err := exchange2.NewWithEnvVarPrefix(n, "")
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if err != nil {
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return err
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}
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@ -9,13 +9,13 @@ import (
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"github.com/slack-go/slack"
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"github.com/c9s/bbgo/pkg/cache"
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"github.com/prometheus/client_golang/prometheus"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/cache"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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@ -740,17 +740,17 @@ func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err err
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// InitExchange initialize the exchange instance and allocate memory for fields
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// In this stage, the session var could be loaded from the JSON config, so the pointer fields are still nil
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// The Init method will be called after this stage, environment.Init will call the session.Init method later.
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func (session *ExchangeSession) InitExchange(name string, exchange types.Exchange) error {
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func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) error {
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var err error
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var exchangeName = session.ExchangeName
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if exchange == nil {
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if ex == nil {
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if session.PublicOnly {
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exchange, err = cmdutil.NewExchangePublic(exchangeName)
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ex, err = exchange2.NewPublic(exchangeName)
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} else {
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if session.Key != "" && session.Secret != "" {
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exchange, err = cmdutil.NewExchangeStandard(exchangeName, session.Key, session.Secret, session.Passphrase, session.SubAccount)
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ex, err = exchange2.NewStandard(exchangeName, session.Key, session.Secret, session.Passphrase, session.SubAccount)
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} else {
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exchange, err = cmdutil.NewExchangeWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
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ex, err = exchange2.NewWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
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}
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}
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}
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@ -761,7 +761,7 @@ func (session *ExchangeSession) InitExchange(name string, exchange types.Exchang
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// configure exchange
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if session.Margin {
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marginExchange, ok := exchange.(types.MarginExchange)
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marginExchange, ok := ex.(types.MarginExchange)
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if !ok {
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return fmt.Errorf("exchange %s does not support margin", exchangeName)
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}
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@ -774,7 +774,7 @@ func (session *ExchangeSession) InitExchange(name string, exchange types.Exchang
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}
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if session.Futures {
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futuresExchange, ok := exchange.(types.FuturesExchange)
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futuresExchange, ok := ex.(types.FuturesExchange)
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if !ok {
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return fmt.Errorf("exchange %s does not support futures", exchangeName)
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}
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@ -792,9 +792,9 @@ func (session *ExchangeSession) InitExchange(name string, exchange types.Exchang
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SessionChannelRouter: NewPatternChannelRouter(nil),
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ObjectChannelRouter: NewObjectChannelRouter(),
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}
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session.Exchange = exchange
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session.UserDataStream = exchange.NewStream()
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session.MarketDataStream = exchange.NewStream()
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session.Exchange = ex
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session.UserDataStream = ex.NewStream()
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session.MarketDataStream = ex.NewStream()
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session.MarketDataStream.SetPublicOnly()
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// pointer fields
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@ -22,6 +22,7 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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@ -186,7 +187,7 @@ var BacktestCmd = &cobra.Command{
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return err
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}
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publicExchange, err := cmdutil.NewExchangePublic(exName)
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publicExchange, err := exchange.NewPublic(exName)
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if err != nil {
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return err
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}
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@ -1,65 +1,2 @@
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package cmdutil
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import (
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"fmt"
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"os"
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"strings"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/exchange/ftx"
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"github.com/c9s/bbgo/pkg/exchange/kucoin"
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"github.com/c9s/bbgo/pkg/exchange/max"
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"github.com/c9s/bbgo/pkg/exchange/okex"
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"github.com/c9s/bbgo/pkg/types"
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)
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func NewExchangePublic(exchangeName types.ExchangeName) (types.Exchange, error) {
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return NewExchangeStandard(exchangeName, "", "", "", "")
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}
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func NewExchangeStandard(n types.ExchangeName, key, secret, passphrase, subAccount string) (types.Exchange, error) {
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switch n {
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case types.ExchangeFTX:
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return ftx.NewExchange(key, secret, subAccount), nil
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case types.ExchangeBinance:
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return binance.New(key, secret), nil
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case types.ExchangeMax:
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return max.New(key, secret), nil
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case types.ExchangeOKEx:
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return okex.New(key, secret, passphrase), nil
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case types.ExchangeKucoin:
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return kucoin.New(key, secret, passphrase), nil
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default:
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return nil, fmt.Errorf("unsupported exchange: %v", n)
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}
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}
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func NewExchangeWithEnvVarPrefix(n types.ExchangeName, varPrefix string) (types.Exchange, error) {
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if len(varPrefix) == 0 {
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varPrefix = n.String()
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}
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varPrefix = strings.ToUpper(varPrefix)
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key := os.Getenv(varPrefix + "_API_KEY")
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secret := os.Getenv(varPrefix + "_API_SECRET")
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if len(key) == 0 || len(secret) == 0 {
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return nil, fmt.Errorf("can not initialize exchange %s: empty key or secret, env var prefix: %s", n, varPrefix)
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}
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passphrase := os.Getenv(varPrefix + "_API_PASSPHRASE")
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subAccount := os.Getenv(varPrefix + "_SUBACCOUNT")
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return NewExchangeStandard(n, key, secret, passphrase, subAccount)
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}
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// NewExchange constructor exchange object from viper config.
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func NewExchange(n types.ExchangeName) (types.Exchange, error) {
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return NewExchangeWithEnvVarPrefix(n, "")
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}
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65
pkg/exchange/factory.go
Normal file
65
pkg/exchange/factory.go
Normal file
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@ -0,0 +1,65 @@
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package exchange
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import (
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"fmt"
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"os"
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"strings"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/exchange/ftx"
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"github.com/c9s/bbgo/pkg/exchange/kucoin"
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"github.com/c9s/bbgo/pkg/exchange/max"
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"github.com/c9s/bbgo/pkg/exchange/okex"
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"github.com/c9s/bbgo/pkg/types"
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)
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func NewPublic(exchangeName types.ExchangeName) (types.Exchange, error) {
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return NewStandard(exchangeName, "", "", "", "")
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}
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func NewStandard(n types.ExchangeName, key, secret, passphrase, subAccount string) (types.Exchange, error) {
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switch n {
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case types.ExchangeFTX:
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return ftx.NewExchange(key, secret, subAccount), nil
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case types.ExchangeBinance:
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return binance.New(key, secret), nil
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case types.ExchangeMax:
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return max.New(key, secret), nil
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case types.ExchangeOKEx:
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return okex.New(key, secret, passphrase), nil
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case types.ExchangeKucoin:
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return kucoin.New(key, secret, passphrase), nil
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default:
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return nil, fmt.Errorf("unsupported exchange: %v", n)
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}
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}
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func NewWithEnvVarPrefix(n types.ExchangeName, varPrefix string) (types.Exchange, error) {
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if len(varPrefix) == 0 {
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varPrefix = n.String()
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}
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varPrefix = strings.ToUpper(varPrefix)
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key := os.Getenv(varPrefix + "_API_KEY")
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secret := os.Getenv(varPrefix + "_API_SECRET")
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if len(key) == 0 || len(secret) == 0 {
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return nil, fmt.Errorf("can not initialize exchange %s: empty key or secret, env var prefix: %s", n, varPrefix)
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}
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passphrase := os.Getenv(varPrefix + "_API_PASSPHRASE")
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subAccount := os.Getenv(varPrefix + "_SUBACCOUNT")
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return NewStandard(n, key, secret, passphrase, subAccount)
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}
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// New constructor exchange object from viper config.
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func New(n types.ExchangeName) (types.Exchange, error) {
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return NewWithEnvVarPrefix(n, "")
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}
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@ -9,7 +9,7 @@ import (
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/net/websocketbase"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -18,7 +18,7 @@ const endpoint = "wss://ftx.com/ws/"
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type Stream struct {
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*types.StandardStream
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ws *service.WebsocketClientBase
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ws *websocketbase.WebsocketClientBase
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exchange *Exchange
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key string
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@ -42,7 +42,7 @@ func NewStream(key, secret string, subAccount string, e *Exchange) *Stream {
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secret: secret,
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subAccount: subAccount,
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StandardStream: &types.StandardStream{},
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ws: service.NewWebsocketClientBase(endpoint, 3*time.Second),
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ws: websocketbase.NewWebsocketClientBase(endpoint, 3*time.Second),
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}
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s.ws.OnMessage((&messageHandler{StandardStream: s.StandardStream}).handleMessage)
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@ -1,4 +1,4 @@
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package service
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package websocketbase
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import (
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"context"
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@ -8,6 +8,8 @@ import (
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"github.com/gorilla/websocket"
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)
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// WebsocketClientBase is a legacy base client
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// Deprecated: please use standard stream instead.
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//go:generate callbackgen -type WebsocketClientBase
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type WebsocketClientBase struct {
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baseURL string
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@ -1,6 +1,6 @@
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// Code generated by "callbackgen -type WebsocketClientBase"; DO NOT EDIT.
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package service
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package websocketbase
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import (
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"github.com/gorilla/websocket"
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@ -33,7 +33,8 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
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tasks := []SyncTask{
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{
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Type: types.KLine{},
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Type: types.KLine{},
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Select: SelectLastKLines(exchange.Name(), symbol, interval, startTime, 100),
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Time: func(obj interface{}) time.Time {
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return obj.(types.KLine).StartTime.Time().UTC()
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},
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@ -41,7 +42,6 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
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kline := obj.(types.KLine)
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return kline.Symbol + kline.Interval.String() + strconv.FormatInt(kline.StartTime.UnixMilli(), 10)
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},
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Select: SelectLastKLines(exchange.Name(), symbol, interval, 100),
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BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
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q := &batch.KLineBatchQuery{Exchange: exchange}
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return q.Query(ctx, symbol, interval, startTime, endTime)
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@ -54,13 +54,12 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
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}
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for _, sel := range tasks {
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if err := sel.execute(ctx, s.DB, startTime); err != nil {
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if err := sel.execute(ctx, s.DB, startTime, endTime); err != nil {
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return err
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}
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}
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return nil
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}
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func (s *BacktestService) Verify(symbols []string, startTime time.Time, endTime time.Time, sourceExchange types.Exchange, verboseCnt int) error {
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@ -129,12 +128,11 @@ func (s *BacktestService) QueryFirstKLine(ex types.ExchangeName, symbol string,
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func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
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log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
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tableName := s._targetKlineTable(ex)
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tableName := targetKlineTable(ex)
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// make the SQL syntax IDE friendly, so that it can analyze it.
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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)
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sql := fmt.Sprintf("SELECT * FROM `%s` WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)
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rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
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"exchange": ex.String(),
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"interval": interval,
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"symbol": symbol,
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})
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@ -160,7 +158,7 @@ func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, inter
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// QueryKLinesForward is used for querying klines to back-testing
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func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
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tableName := s._targetKlineTable(exchange)
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tableName := targetKlineTable(exchange)
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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"
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sql = strings.ReplaceAll(sql, "binance_klines", tableName)
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@ -179,7 +177,7 @@ func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol
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}
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func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
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tableName := s._targetKlineTable(exchange)
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tableName := targetKlineTable(exchange)
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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"
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sql = strings.ReplaceAll(sql, "binance_klines", tableName)
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@ -205,7 +203,7 @@ func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.E
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return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
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}
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tableName := s._targetKlineTable(exchange.Name())
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tableName := targetKlineTable(exchange.Name())
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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"
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sql = strings.ReplaceAll(sql, "binance_klines", tableName)
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@ -288,7 +286,7 @@ func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err e
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return klines, rows.Err()
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}
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func (s *BacktestService) _targetKlineTable(exchangeName types.ExchangeName) string {
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func targetKlineTable(exchangeName types.ExchangeName) string {
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return strings.ToLower(exchangeName.String()) + "_klines"
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}
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@ -299,7 +297,7 @@ func (s *BacktestService) Insert(kline types.KLine) error {
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return errExchangeFieldIsUnset
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}
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tableName := s._targetKlineTable(kline.Exchange)
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tableName := targetKlineTable(kline.Exchange)
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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`)"+
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"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)
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@ -313,7 +311,7 @@ func (s *BacktestService) _deleteDuplicatedKLine(k types.KLine) error {
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return errors.New("kline.Exchange field should not be empty")
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}
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tableName := s._targetKlineTable(k.Exchange)
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tableName := targetKlineTable(k.Exchange)
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sql := fmt.Sprintf("DELETE FROM `%s` WHERE gid = :gid ", tableName)
|
||||
_, err := s.DB.NamedExec(sql, k)
|
||||
return err
|
||||
|
@ -346,14 +344,138 @@ func (s *BacktestService) SyncExist(ctx context.Context, exchange types.Exchange
|
|||
return nil
|
||||
}
|
||||
|
||||
type TimeRange struct {
|
||||
Start time.Time
|
||||
End time.Time
|
||||
}
|
||||
|
||||
// SyncPartial
|
||||
// find the existing data time range (t1, t2)
|
||||
// scan if there is a missing part
|
||||
// create a time range slice []TimeRange
|
||||
// iterate the []TimeRange slice to sync data.
|
||||
func (s *BacktestService) SyncPartial(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) error {
|
||||
t1, t2, err := s.QueryExistingDataRange(ctx, ex, symbol, interval, since, until)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
timeRanges, err := s.FindMissingTimeRanges(ctx, ex, symbol, interval, t1.Time(), t2.Time())
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
_ = timeRanges
|
||||
return nil
|
||||
}
|
||||
|
||||
// FindMissingTimeRanges returns the missing time ranges, the start/end time represents the existing data time points.
|
||||
// So when sending kline query to the exchange API, we need to add one second to the start time and minus one second to the end time.
|
||||
func (s *BacktestService) FindMissingTimeRanges(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) ([]TimeRange, error) {
|
||||
query := SelectKLineTimePoints(ex.Name(), symbol, interval, since, until)
|
||||
sql, args, err := query.ToSql()
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
rows, err := s.DB.QueryContext(ctx, sql, args...)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
var timeRanges []TimeRange
|
||||
var timePoints = make(map[int64]struct{}, 1000) // we can use this to find duplicates
|
||||
var lastTime time.Time
|
||||
for rows.Next() {
|
||||
var tt types.Time
|
||||
if err := rows.Scan(&tt); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
var t = time.Time(tt)
|
||||
if lastTime != (time.Time{}) && t.Sub(lastTime) > interval.Duration() {
|
||||
timeRanges = append(timeRanges, TimeRange{
|
||||
Start: lastTime.Add(interval.Duration()),
|
||||
End: t,
|
||||
})
|
||||
}
|
||||
|
||||
lastTime = t
|
||||
timePoints[t.Unix()] = struct{}{}
|
||||
}
|
||||
|
||||
return timeRanges, nil
|
||||
}
|
||||
|
||||
func (s *BacktestService) QueryExistingDataRange(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, tArgs ...time.Time) (start, end *types.Time, err error) {
|
||||
sel := SelectKLineTimeRange(ex.Name(), symbol, interval, tArgs...)
|
||||
sql, args, err := sel.ToSql()
|
||||
if err != nil {
|
||||
return nil, nil, err
|
||||
}
|
||||
|
||||
var t1, t2 types.Time
|
||||
|
||||
row := s.DB.QueryRowContext(ctx, sql, args...)
|
||||
if err := row.Scan(&t1, &t2); err != nil {
|
||||
return nil, nil, err
|
||||
}
|
||||
|
||||
if err := row.Err(); err != nil {
|
||||
return nil, nil, err
|
||||
}
|
||||
|
||||
return &t1, &t2, nil
|
||||
}
|
||||
|
||||
func SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
|
||||
conditions := sq.And{
|
||||
sq.Eq{"symbol": symbol},
|
||||
sq.Eq{"`interval`": interval.String()},
|
||||
}
|
||||
|
||||
if len(args) == 2 {
|
||||
since := args[0]
|
||||
until := args[1]
|
||||
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
|
||||
}
|
||||
|
||||
tableName := targetKlineTable(ex)
|
||||
|
||||
return sq.Select("start_time").
|
||||
From(tableName).
|
||||
Where(conditions).
|
||||
OrderBy("start_time ASC")
|
||||
}
|
||||
|
||||
// SelectKLineTimeRange returns the existing klines time range (since < kline.start_time < until)
|
||||
func SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
|
||||
conditions := sq.And{
|
||||
sq.Eq{"symbol": symbol},
|
||||
sq.Eq{"`interval`": interval.String()},
|
||||
}
|
||||
|
||||
if len(args) == 2 {
|
||||
since := args[0]
|
||||
until := args[1]
|
||||
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
|
||||
}
|
||||
|
||||
tableName := targetKlineTable(ex)
|
||||
|
||||
return sq.Select("MIN(start_time) AS t1, MAX(start_time) AS t2").
|
||||
From(tableName).
|
||||
Where(conditions)
|
||||
}
|
||||
|
||||
// TODO: add is_futures column since the klines data is different
|
||||
func SelectLastKLines(ex types.ExchangeName, symbol string, interval types.Interval, limit uint64) sq.SelectBuilder {
|
||||
func SelectLastKLines(ex types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit uint64) sq.SelectBuilder {
|
||||
tableName := targetKlineTable(ex)
|
||||
return sq.Select("*").
|
||||
From(strings.ToLower(ex.String()) + "_klines").
|
||||
From(tableName).
|
||||
Where(sq.And{
|
||||
sq.Eq{"symbol": symbol},
|
||||
sq.Eq{"exchange": ex},
|
||||
sq.Eq{"`interval`": interval.String()},
|
||||
sq.GtOrEq{"`start_time`": startTime},
|
||||
}).
|
||||
OrderBy("start_time DESC").
|
||||
Limit(limit)
|
||||
|
|
58
pkg/service/backtest_test.go
Normal file
58
pkg/service/backtest_test.go
Normal file
|
@ -0,0 +1,58 @@
|
|||
package service
|
||||
|
||||
import (
|
||||
"context"
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/exchange"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
func TestBacktestService(t *testing.T) {
|
||||
db, err := prepareDB(t)
|
||||
if err != nil {
|
||||
t.Fatal(err)
|
||||
}
|
||||
|
||||
defer db.Close()
|
||||
|
||||
ctx := context.Background()
|
||||
dbx := sqlx.NewDb(db.DB, "sqlite3")
|
||||
|
||||
ex, err := exchange.NewPublic(types.ExchangeBinance)
|
||||
assert.NoError(t, err)
|
||||
|
||||
service := &BacktestService{DB: dbx}
|
||||
|
||||
symbol := "BTCUSDT"
|
||||
now := time.Now()
|
||||
startTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
|
||||
endTime1 := now.AddDate(0, 0, -5).Truncate(time.Hour)
|
||||
|
||||
startTime2 := now.AddDate(0, 0, -4).Truncate(time.Hour)
|
||||
endTime2 := now.AddDate(0, 0, -3).Truncate(time.Hour)
|
||||
|
||||
// kline query is exclusive
|
||||
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, startTime1.Add(-time.Second), endTime1.Add(time.Second))
|
||||
assert.NoError(t, err)
|
||||
|
||||
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, startTime2.Add(-time.Second), endTime2.Add(time.Second))
|
||||
assert.NoError(t, err)
|
||||
|
||||
t1, t2, err := service.QueryExistingDataRange(ctx, ex, symbol, types.Interval1h)
|
||||
if assert.NoError(t, err) {
|
||||
assert.Equal(t, startTime1, t1.Time(), "start time point should match")
|
||||
assert.Equal(t, endTime2, t2.Time(), "end time point should match")
|
||||
}
|
||||
|
||||
timeRanges, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
|
||||
if assert.NoError(t, err) {
|
||||
assert.NotEmpty(t, timeRanges)
|
||||
assert.Len(t, timeRanges, 1, "should find one missing time range")
|
||||
t.Logf("found timeRanges: %+v", timeRanges)
|
||||
}
|
||||
}
|
Loading…
Reference in New Issue
Block a user