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backtest: add time range selector support to orders data and position data

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c9s 2022-07-12 18:08:48 +08:00
parent 6ce9f6a2b7
commit 90aac7e469
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 33 additions and 6 deletions
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39
apps/backtest-report/components/TradingViewChart.tsx
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@ -113,6 +113,19 @@ const fetchPositionHistory = (basePath: string, runID: string, filename: string)
});
};
const selectPositionHistory = (data: PositionHistoryEntry[], since: Date, until: Date): PositionHistoryEntry[] => {
const entries: PositionHistoryEntry[] = [];
for (let i = 0; i < data.length; i++) {
const d = data[i];
if (d.time < since || d.time > until) {
continue
}
entries.push(d)
}
return entries
}
const fetchOrders = (basePath: string, runID: string) => {
return fetch(
`${basePath}/${runID}/orders.tsv`,
@ -124,6 +137,19 @@ const fetchOrders = (basePath: string, runID: string) => {
});
}
const selectOrders = (data: Order[], since: Date, until: Date): Order[] => {
const entries: Order[] = [];
for (let i = 0; i < data.length; i++) {
const d = data[i];
if (d.time && (d.time < since || d.time > until)) {
continue
}
data.push(d);
}
return entries
}
const parseInterval = (s: string) => {
switch (s) {
case "1m":
@ -390,7 +416,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {
const resizeObserver = useRef<any>();
const intervals = props.reportSummary.intervals || [];
intervals.sort((a,b) => {
intervals.sort((a, b) => {
const as = parseInterval(a)
const bs = parseInterval(b)
if (as < bs) {
@ -403,7 +429,6 @@ const TradingViewChart = (props: TradingViewChartProps) => {
const [currentInterval, setCurrentInterval] = useState(intervals.length > 0 ? intervals[intervals.length - 1] : '1m');
const [showPositionBase, setShowPositionBase] = useState(false);
const [showCanceledOrders, setShowCanceledOrders] = useState(false);
const [showPositionAverageCost, setShowPositionAverageCost] = useState(false);
const [orders, setOrders] = useState<Order[]>([]);
@ -423,6 +448,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {
const fetchers = [];
const ordersFetcher = fetchOrders(props.basePath, props.runID).then((orders: Order[] | void) => {
if (orders) {
// const markers = ordersToMarkers(currentInterval, selectOrders(orders, selectedTimeRange[0], selectedTimeRange[1]));
const markers = ordersToMarkers(currentInterval, orders);
chartData.orders = orders;
chartData.markers = markers;
@ -436,7 +462,8 @@ const TradingViewChart = (props: TradingViewChartProps) => {
const manifest = props.reportSummary?.manifests[0];
if (manifest && manifest.type === "strategyProperty" && manifest.strategyProperty === "position") {
const positionHistoryFetcher = fetchPositionHistory(props.basePath, props.runID, manifest.filename).then((data) => {
chartData.positionHistory = data;
chartData.positionHistory = selectPositionHistory(data as PositionHistoryEntry[], selectedTimeRange[0], selectedTimeRange[1]);
// chartData.positionHistory = data;
});
fetchers.push(positionHistoryFetcher);
}
@ -594,7 +621,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {
<TimeRangeSlider
selectedInterval={selectedTimeRange}
timelineInterval={timeRange}
timelineInterval={reportTimeRange}
formatTick={(ms: Date) => format(new Date(ms), 'M d HH')}
step={1000 * parseInterval(currentInterval)}
onChange={(tr: any) => {
@ -661,12 +688,12 @@ const createLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
}
}
const formatDate = (d : Date) : string => {
const formatDate = (d: Date): string => {
return moment(d).format("MMM Do YY hh:mm:ss A Z");
}
const createOHLCLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
return (param: any, time : any) => {
return (param: any, time: any) => {
if (param) {
const change = Math.round((param.close - param.open) * 100.0) / 100.0
const changePercentage = Math.round((param.close - param.open) / param.close * 10000.0) / 100.0;