Merge pull request #669 from c9s/fix/kline-partial-sync

fix: fix partial kline sync

examples/create-self-trade/main.go

@@ -14,6 +14,7 @@ import (
 	"github.com/spf13/viper"
 
 	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	exchange2 "github.com/c9s/bbgo/pkg/exchange"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -52,7 +53,7 @@ var rootCmd = &cobra.Command{
 			return err
 		}
 
-		exchange, err := cmdutil.NewExchange(exchangeName)
+		exchange, err := exchange2.New(exchangeName)
 		if err != nil {
 			return err
 		}

pkg/bbgo/environment.go

@@ -21,7 +21,7 @@ import (
 	"github.com/spf13/viper"
 	"gopkg.in/tucnak/telebot.v2"
 
-	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	exchange2 "github.com/c9s/bbgo/pkg/exchange"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/interact"
 	"github.com/c9s/bbgo/pkg/notifier/slacknotifier"
@@ -221,7 +221,7 @@ func (environ *Environment) ConfigureExchangeSessions(userConfig *Config) error
 func (environ *Environment) AddExchangesByViperKeys() error {
 	for _, n := range types.SupportedExchanges {
 		if viper.IsSet(string(n) + "-api-key") {
-			exchange, err := cmdutil.NewExchangeWithEnvVarPrefix(n, "")
+			exchange, err := exchange2.NewWithEnvVarPrefix(n, "")
 			if err != nil {
 				return err
 			}

pkg/bbgo/notifier.go

@@ -1,5 +1,7 @@
 package bbgo
 
+import "github.com/sirupsen/logrus"
+
 type Notifier interface {
 	NotifyTo(channel string, obj interface{}, args ...interface{})
 	Notify(obj interface{}, args ...interface{})
@@ -48,6 +50,10 @@ func (m *Notifiability) AddNotifier(notifier Notifier) {
 }
 
 func (m *Notifiability) Notify(obj interface{}, args ...interface{}) {
+	if str, ok := obj.(string); ok {
+		logrus.Infof(str, args...)
+	}
+
 	for _, n := range m.notifiers {
 		n.Notify(obj, args...)
 	}

pkg/bbgo/persistence.go

@@ -107,7 +107,7 @@ func loadPersistenceFields(obj interface{}, id string, persistence service.Persi
 			newValue = newValue.Elem()
 		}
 
-		log.Debugf("[loadPersistenceFields] %v = %v (%s) -> %v (%s)\n", field, value, value.Type(), newValue, newValue.Type())
+		log.Debugf("[loadPersistenceFields] %v = %v -> %v\n", field, value, newValue)
 
 		value.Set(newValue)
 		return nil

pkg/bbgo/reflect.go

@@ -72,9 +72,6 @@ func iterateFieldsByTag(obj interface{}, tagName string, cb StructFieldIterator)
 		fv := sv.Field(i)
 		ft := st.Field(i)
 
-		fvt := fv.Type()
-		_ = fvt
-
 		// skip unexported fields
 		if !st.Field(i).IsExported() {
 			continue

pkg/bbgo/session.go

@@ -9,13 +9,13 @@ import (
 
 	"github.com/slack-go/slack"
 
-	"github.com/c9s/bbgo/pkg/cache"
-
 	"github.com/prometheus/client_golang/prometheus"
 	log "github.com/sirupsen/logrus"
 	"github.com/spf13/viper"
 
-	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	"github.com/c9s/bbgo/pkg/cache"
+
+	exchange2 "github.com/c9s/bbgo/pkg/exchange"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/service"
@@ -740,17 +740,17 @@ func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err err
 // InitExchange initialize the exchange instance and allocate memory for fields
 // In this stage, the session var could be loaded from the JSON config, so the pointer fields are still nil
 // The Init method will be called after this stage, environment.Init will call the session.Init method later.
-func (session *ExchangeSession) InitExchange(name string, exchange types.Exchange) error {
+func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) error {
 	var err error
 	var exchangeName = session.ExchangeName
-	if exchange == nil {
+	if ex == nil {
 		if session.PublicOnly {
-			exchange, err = cmdutil.NewExchangePublic(exchangeName)
+			ex, err = exchange2.NewPublic(exchangeName)
 		} else {
 			if session.Key != "" && session.Secret != "" {
-				exchange, err = cmdutil.NewExchangeStandard(exchangeName, session.Key, session.Secret, session.Passphrase, session.SubAccount)
+				ex, err = exchange2.NewStandard(exchangeName, session.Key, session.Secret, session.Passphrase, session.SubAccount)
 			} else {
-				exchange, err = cmdutil.NewExchangeWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
+				ex, err = exchange2.NewWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
 			}
 		}
 	}
@@ -761,7 +761,7 @@ func (session *ExchangeSession) InitExchange(name string, exchange types.Exchang
 
 	// configure exchange
 	if session.Margin {
-		marginExchange, ok := exchange.(types.MarginExchange)
+		marginExchange, ok := ex.(types.MarginExchange)
 		if !ok {
 			return fmt.Errorf("exchange %s does not support margin", exchangeName)
 		}
@@ -774,7 +774,7 @@ func (session *ExchangeSession) InitExchange(name string, exchange types.Exchang
 	}
 
 	if session.Futures {
-		futuresExchange, ok := exchange.(types.FuturesExchange)
+		futuresExchange, ok := ex.(types.FuturesExchange)
 		if !ok {
 			return fmt.Errorf("exchange %s does not support futures", exchangeName)
 		}
@@ -792,9 +792,9 @@ func (session *ExchangeSession) InitExchange(name string, exchange types.Exchang
 		SessionChannelRouter: NewPatternChannelRouter(nil),
 		ObjectChannelRouter:  NewObjectChannelRouter(),
 	}
-	session.Exchange = exchange
+	session.Exchange = ex
-	session.UserDataStream = exchange.NewStream()
+	session.UserDataStream = ex.NewStream()
-	session.MarketDataStream = exchange.NewStream()
+	session.MarketDataStream = ex.NewStream()
 	session.MarketDataStream.SetPublicOnly()
 
 	// pointer fields

pkg/cmd/backtest.go

@@ -22,6 +22,7 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
 	"github.com/c9s/bbgo/pkg/data/tsv"
+	"github.com/c9s/bbgo/pkg/exchange"
 	"github.com/c9s/bbgo/pkg/service"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
@@ -186,17 +187,16 @@ var BacktestCmd = &cobra.Command{
 				return err
 			}
 
-			publicExchange, err := cmdutil.NewExchangePublic(exName)
+			publicExchange, err := exchange.NewPublic(exName)
 			if err != nil {
 				return err
 			}
 			sourceExchanges[exName] = publicExchange
 		}
 
-		if wantSync {
 		var syncFromTime time.Time
 
-			// override the sync from time if the option is given
+		// user can override the sync from time if the option is given
 		if len(syncFromDateStr) > 0 {
 			syncFromTime, err = time.Parse(types.DateFormat, syncFromDateStr)
 			if err != nil {
@@ -212,8 +212,9 @@ var BacktestCmd = &cobra.Command{
 			log.Infof("adjusted sync start time %s to %s for backward market data", startTime, syncFromTime)
 		}
 
+		if wantSync {
 			log.Infof("starting synchronization: %v", userConfig.Backtest.Symbols)
-			if err := sync(ctx, userConfig, backtestService, sourceExchanges, syncFromTime); err != nil {
+			if err := sync(ctx, userConfig, backtestService, sourceExchanges, syncFromTime, endTime); err != nil {
 				return err
 			}
 			log.Info("synchronization done")
@@ -649,9 +650,8 @@ func toExchangeSources(sessions map[string]*bbgo.ExchangeSession, extraIntervals
 	return exchangeSources, nil
 }
 
-func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service.BacktestService, sourceExchanges map[types.ExchangeName]types.Exchange, syncFromTime time.Time) error {
+func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service.BacktestService, sourceExchanges map[types.ExchangeName]types.Exchange, syncFrom, syncTo time.Time) error {
 	for _, symbol := range userConfig.Backtest.Symbols {
-
 		for _, sourceExchange := range sourceExchanges {
 			exCustom, ok := sourceExchange.(types.CustomIntervalProvider)
 
@@ -662,11 +662,7 @@ func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service
 				supportIntervals = types.SupportedIntervals
 			}
 
-			now := time.Now()
 			for interval := range supportIntervals {
-				// if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime); err != nil {
-				//	return err
-				// }
 				firstKLine, err := backtestService.QueryFirstKLine(sourceExchange.Name(), symbol, interval)
 				if err != nil {
 					return errors.Wrapf(err, "failed to query backtest kline")
@@ -675,13 +671,13 @@ func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service
 				// if we don't have klines before the start time endpoint, the back-test will fail.
 				// because the last price will be missing.
 				if firstKLine != nil {
-					log.Debugf("found existing kline data using partial sync...")
+
-					if err := backtestService.SyncExist(ctx, sourceExchange, symbol, syncFromTime, now, interval); err != nil {
+					if err := backtestService.SyncPartial(ctx, sourceExchange, symbol, interval, syncFrom, syncTo); err != nil {
 						return err
 					}
 				} else {
 					log.Debugf("starting a fresh kline data sync...")
-					if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime, now, interval); err != nil {
+					if err := backtestService.Sync(ctx, sourceExchange, symbol, interval, syncFrom, syncTo); err != nil {
 						return err
 					}
 				}

pkg/cmd/cmdutil/exchange.go

@@ -1,65 +1,2 @@
 package cmdutil
 
-import (
-	"fmt"
-	"os"
-	"strings"
-
-	"github.com/c9s/bbgo/pkg/exchange/binance"
-	"github.com/c9s/bbgo/pkg/exchange/ftx"
-	"github.com/c9s/bbgo/pkg/exchange/kucoin"
-	"github.com/c9s/bbgo/pkg/exchange/max"
-	"github.com/c9s/bbgo/pkg/exchange/okex"
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-func NewExchangePublic(exchangeName types.ExchangeName) (types.Exchange, error) {
-	return NewExchangeStandard(exchangeName, "", "", "", "")
-}
-
-func NewExchangeStandard(n types.ExchangeName, key, secret, passphrase, subAccount string) (types.Exchange, error) {
-	switch n {
-
-	case types.ExchangeFTX:
-		return ftx.NewExchange(key, secret, subAccount), nil
-
-	case types.ExchangeBinance:
-		return binance.New(key, secret), nil
-
-	case types.ExchangeMax:
-		return max.New(key, secret), nil
-
-	case types.ExchangeOKEx:
-		return okex.New(key, secret, passphrase), nil
-
-	case types.ExchangeKucoin:
-		return kucoin.New(key, secret, passphrase), nil
-
-	default:
-		return nil, fmt.Errorf("unsupported exchange: %v", n)
-
-	}
-}
-
-func NewExchangeWithEnvVarPrefix(n types.ExchangeName, varPrefix string) (types.Exchange, error) {
-	if len(varPrefix) == 0 {
-		varPrefix = n.String()
-	}
-
-	varPrefix = strings.ToUpper(varPrefix)
-
-	key := os.Getenv(varPrefix + "_API_KEY")
-	secret := os.Getenv(varPrefix + "_API_SECRET")
-	if len(key) == 0 || len(secret) == 0 {
-		return nil, fmt.Errorf("can not initialize exchange %s: empty key or secret, env var prefix: %s", n, varPrefix)
-	}
-
-	passphrase := os.Getenv(varPrefix + "_API_PASSPHRASE")
-	subAccount := os.Getenv(varPrefix + "_SUBACCOUNT")
-	return NewExchangeStandard(n, key, secret, passphrase, subAccount)
-}
-
-// NewExchange constructor exchange object from viper config.
-func NewExchange(n types.ExchangeName) (types.Exchange, error) {
-	return NewExchangeWithEnvVarPrefix(n, "")
-}

pkg/exchange/factory.go

@@ -0,0 +1,65 @@
+package exchange
+
+import (
+	"fmt"
+	"os"
+	"strings"
+
+	"github.com/c9s/bbgo/pkg/exchange/binance"
+	"github.com/c9s/bbgo/pkg/exchange/ftx"
+	"github.com/c9s/bbgo/pkg/exchange/kucoin"
+	"github.com/c9s/bbgo/pkg/exchange/max"
+	"github.com/c9s/bbgo/pkg/exchange/okex"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func NewPublic(exchangeName types.ExchangeName) (types.Exchange, error) {
+	return NewStandard(exchangeName, "", "", "", "")
+}
+
+func NewStandard(n types.ExchangeName, key, secret, passphrase, subAccount string) (types.Exchange, error) {
+	switch n {
+
+	case types.ExchangeFTX:
+		return ftx.NewExchange(key, secret, subAccount), nil
+
+	case types.ExchangeBinance:
+		return binance.New(key, secret), nil
+
+	case types.ExchangeMax:
+		return max.New(key, secret), nil
+
+	case types.ExchangeOKEx:
+		return okex.New(key, secret, passphrase), nil
+
+	case types.ExchangeKucoin:
+		return kucoin.New(key, secret, passphrase), nil
+
+	default:
+		return nil, fmt.Errorf("unsupported exchange: %v", n)
+
+	}
+}
+
+func NewWithEnvVarPrefix(n types.ExchangeName, varPrefix string) (types.Exchange, error) {
+	if len(varPrefix) == 0 {
+		varPrefix = n.String()
+	}
+
+	varPrefix = strings.ToUpper(varPrefix)
+
+	key := os.Getenv(varPrefix + "_API_KEY")
+	secret := os.Getenv(varPrefix + "_API_SECRET")
+	if len(key) == 0 || len(secret) == 0 {
+		return nil, fmt.Errorf("can not initialize exchange %s: empty key or secret, env var prefix: %s", n, varPrefix)
+	}
+
+	passphrase := os.Getenv(varPrefix + "_API_PASSPHRASE")
+	subAccount := os.Getenv(varPrefix + "_SUBACCOUNT")
+	return NewStandard(n, key, secret, passphrase, subAccount)
+}
+
+// New constructor exchange object from viper config.
+func New(n types.ExchangeName) (types.Exchange, error) {
+	return NewWithEnvVarPrefix(n, "")
+}

pkg/exchange/ftx/stream.go

@@ -9,7 +9,7 @@ import (
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 
-	"github.com/c9s/bbgo/pkg/service"
+	"github.com/c9s/bbgo/pkg/net/websocketbase"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -18,7 +18,7 @@ const endpoint = "wss://ftx.com/ws/"
 type Stream struct {
 	*types.StandardStream
 
-	ws       *service.WebsocketClientBase
+	ws       *websocketbase.WebsocketClientBase
 	exchange *Exchange
 
 	key        string
@@ -42,7 +42,7 @@ func NewStream(key, secret string, subAccount string, e *Exchange) *Stream {
 		secret:         secret,
 		subAccount:     subAccount,
 		StandardStream: &types.StandardStream{},
-		ws:             service.NewWebsocketClientBase(endpoint, 3*time.Second),
+		ws:             websocketbase.NewWebsocketClientBase(endpoint, 3*time.Second),
 	}
 
 	s.ws.OnMessage((&messageHandler{StandardStream: s.StandardStream}).handleMessage)

pkg/net/websocketbase/client.go

@@ -1,4 +1,4 @@
-package service
+package websocketbase
 
 import (
 	"context"
@@ -8,6 +8,8 @@ import (
 	"github.com/gorilla/websocket"
 )
 
+// WebsocketClientBase is a legacy base client
+// Deprecated: please use standard stream instead.
 //go:generate callbackgen -type WebsocketClientBase
 type WebsocketClientBase struct {
 	baseURL string

pkg/net/websocketbase/websocketclientbase_callbacks.go

@@ -1,6 +1,6 @@
 // Code generated by "callbackgen -type WebsocketClientBase"; DO NOT EDIT.
 
-package service
+package websocketbase
 
 import (
 	"github.com/gorilla/websocket"

pkg/service/backtest.go

@@ -2,6 +2,7 @@ package service
 
 import (
 	"context"
+	"database/sql"
 	"fmt"
 	"os"
 	"strconv"
@@ -22,7 +23,7 @@ type BacktestService struct {
 }
 
 func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
-	log.Infof("synchronizing lastKLine for interval %s from exchange %s", interval, exchange.Name())
+	log.Infof("synchronizing %s klines with interval %s: %s <=> %s", exchange.Name(), interval, startTime, endTime)
 
 	// TODO: use isFutures here
 	_, _, isIsolated, isolatedSymbol := getExchangeAttributes(exchange)
@@ -34,6 +35,7 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
 	tasks := []SyncTask{
 		{
 			Type:   types.KLine{},
+			Select: SelectLastKLines(exchange.Name(), symbol, interval, startTime, endTime, 100),
 			Time: func(obj interface{}) time.Time {
 				return obj.(types.KLine).StartTime.Time().UTC()
 			},
@@ -41,7 +43,6 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
 				kline := obj.(types.KLine)
 				return kline.Symbol + kline.Interval.String() + strconv.FormatInt(kline.StartTime.UnixMilli(), 10)
 			},
-			Select: SelectLastKLines(exchange.Name(), symbol, interval, 100),
 			BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
 				q := &batch.KLineBatchQuery{Exchange: exchange}
 				return q.Query(ctx, symbol, interval, startTime, endTime)
@@ -54,13 +55,12 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
 	}
 
 	for _, sel := range tasks {
-		if err := sel.execute(ctx, s.DB, startTime); err != nil {
+		if err := sel.execute(ctx, s.DB, startTime, endTime); err != nil {
 			return err
 		}
 	}
 
 	return nil
-
 }
 
 func (s *BacktestService) Verify(symbols []string, startTime time.Time, endTime time.Time, sourceExchange types.Exchange, verboseCnt int) error {
@@ -115,8 +115,7 @@ func (s *BacktestService) Verify(symbols []string, startTime time.Time, endTime
 	return nil
 }
 
-func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string,
+func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
-	startTime time.Time, endTime time.Time, interval types.Interval) error {
 
 	return s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime)
 }
@@ -129,12 +128,11 @@ func (s *BacktestService) QueryFirstKLine(ex types.ExchangeName, symbol string,
 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)
+	tableName := targetKlineTable(ex)
 	// make the SQL syntax IDE friendly, so that it can analyze it.
-	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)
+	sql := fmt.Sprintf("SELECT * FROM `%s` WHERE  `symbol` = :symbol AND `interval` = :interval ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)
 
 	rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
-		"exchange": ex.String(),
 		"interval": interval,
 		"symbol":   symbol,
 	})
@@ -160,7 +158,7 @@ func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, inter
 
 // QueryKLinesForward is used for querying klines to back-testing
 func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
-	tableName := s._targetKlineTable(exchange)
+	tableName := 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)
 
@@ -179,7 +177,7 @@ 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) {
-	tableName := s._targetKlineTable(exchange)
+	tableName := 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)
@@ -205,7 +203,7 @@ func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.E
 		return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
 	}
 
-	tableName := s._targetKlineTable(exchange.Name())
+	tableName := 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)
 
@@ -288,7 +286,7 @@ func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err e
 	return klines, rows.Err()
 }
 
-func (s *BacktestService) _targetKlineTable(exchangeName types.ExchangeName) string {
+func targetKlineTable(exchangeName types.ExchangeName) string {
 	return strings.ToLower(exchangeName.String()) + "_klines"
 }
 
@@ -299,7 +297,7 @@ func (s *BacktestService) Insert(kline types.KLine) error {
 		return errExchangeFieldIsUnset
 	}
 
-	tableName := s._targetKlineTable(kline.Exchange)
+	tableName := 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)
@@ -313,47 +311,177 @@ func (s *BacktestService) _deleteDuplicatedKLine(k types.KLine) error {
 		return errors.New("kline.Exchange field should not be empty")
 	}
 
-	tableName := s._targetKlineTable(k.Exchange)
+	tableName := targetKlineTable(k.Exchange)
 	sql := fmt.Sprintf("DELETE FROM `%s` WHERE gid = :gid  ", tableName)
 	_, err := s.DB.NamedExec(sql, k)
 	return err
 }
 
-func (s *BacktestService) SyncExist(ctx context.Context, exchange types.Exchange, symbol string,
+type TimeRange struct {
-	fromTime time.Time, endTime time.Time, interval types.Interval) error {
+	Start time.Time
-	klineC, errC := s.QueryKLinesCh(fromTime, endTime, exchange, []string{symbol}, []types.Interval{interval})
+	End   time.Time
-
-	nowStartTime := fromTime
-	for k := range klineC {
-		if nowStartTime.Unix() < k.StartTime.Unix() {
-			log.Infof("syncing %s interval %s syncing %s ~ %s ", symbol, interval, nowStartTime, k.EndTime)
-			if err := s.Sync(ctx, exchange, symbol, nowStartTime, k.EndTime.Time().Add(-1*interval.Duration()), interval); err != nil {
-				log.WithError(err).Errorf("sync error")
-			}
-		}
-		nowStartTime = k.StartTime.Time().Add(interval.Duration())
 }
 
-	if nowStartTime.Unix() < endTime.Unix() && nowStartTime.Unix() < time.Now().Unix() {
+// SyncPartial
-		if err := s.Sync(ctx, exchange, symbol, nowStartTime, endTime, interval); err != nil {
+// find the existing data time range (t1, t2)
-			log.WithError(err).Errorf("sync error")
+// 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 {
-	if err := <-errC; err != nil {
+	t1, t2, err := s.QueryExistingDataRange(ctx, ex, symbol, interval, since, until)
+	if err != nil && err != sql.ErrNoRows {
 		return err
 	}
+
+	if err == sql.ErrNoRows {
+		// fallback to fresh sync
+		return s.Sync(ctx, ex, symbol, interval, since, until)
+	}
+
+	log.Debugf("found existing kline data, now using partial sync...")
+	timeRanges, err := s.FindMissingTimeRanges(ctx, ex, symbol, interval, t1.Time(), t2.Time())
+	if err != nil {
+		return err
+	}
+
+	if len(timeRanges) > 0 {
+		log.Infof("found missing time ranges: %v", timeRanges)
+	}
+
+	// there are few cases:
+	// t1 == since && t2 == until
+	if since.Before(t1.Time()) {
+		// shift slice
+		timeRanges = append([]TimeRange{
+			{Start: since.Add(-2 * time.Second), End: t1.Time()}, // include since
+		}, timeRanges...)
+	}
+
+	if t2.Time().Before(until) {
+		timeRanges = append(timeRanges, TimeRange{
+			Start: t2.Time(),
+			End:   until.Add(2 * time.Second), // include until
+		})
+	}
+
+	for _, timeRange := range timeRanges {
+		err = s.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, timeRange.Start.Add(time.Second), timeRange.End.Add(-time.Second))
+		if err != nil {
+			return err
+		}
+	}
+
 	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 lastTime time.Time
+	var intervalDuration = interval.Duration()
+	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) > intervalDuration {
+			timeRanges = append(timeRanges, TimeRange{
+				Start: lastTime,
+				End:   t,
+			})
+		}
+
+		lastTime = t
+	}
+
+	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, endTime 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.Expr("start_time BETWEEN ? AND ?", startTime, endTime),
 		}).
 		OrderBy("start_time DESC").
 		Limit(limit)

pkg/service/backtest_test.go

@@ -0,0 +1,156 @@
+package service
+
+import (
+	"context"
+	"database/sql"
+	"testing"
+	"time"
+
+	"github.com/jmoiron/sqlx"
+	log "github.com/sirupsen/logrus"
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/exchange"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestBacktestService_QueryExistingDataRange(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, -7).Truncate(time.Hour)
+	endTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
+	// empty range
+	t1, t2, err := service.QueryExistingDataRange(ctx, ex, symbol, types.Interval1h, startTime1, endTime1)
+	assert.Error(t, sql.ErrNoRows, err)
+	assert.Nil(t, t1)
+	assert.Nil(t, t2)
+}
+
+func TestBacktestService_SyncPartial(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, -7).Truncate(time.Hour)
+	endTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
+
+	startTime2 := now.AddDate(0, 0, -5).Truncate(time.Hour)
+	endTime2 := now.AddDate(0, 0, -4).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)
+
+	timeRanges, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
+	assert.NoError(t, err)
+	assert.NotEmpty(t, timeRanges)
+
+	t.Run("fill missing time ranges", func(t *testing.T) {
+		err = service.SyncPartial(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
+		assert.NoError(t, err, "sync partial should not return error")
+
+		timeRanges2, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
+		assert.NoError(t, err)
+		assert.Empty(t, timeRanges2)
+	})
+
+	t.Run("extend time ranges", func(t *testing.T) {
+		startTime3 := startTime1.AddDate(0, 0, -3)
+		endTime3 := endTime2.AddDate(0, 0, 3)
+
+		err = service.SyncPartial(ctx, ex, symbol, types.Interval1h, startTime3, endTime3)
+		assert.NoError(t, err, "sync partial should not return error")
+
+		timeRanges3, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime3, endTime3)
+		assert.NoError(t, err)
+		assert.Empty(t, timeRanges3)
+	})
+
+}
+
+func TestBacktestService_FindMissingTimeRanges(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)
+
+		log.SetLevel(log.DebugLevel)
+
+		for _, timeRange := range timeRanges {
+			err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, timeRange.Start.Add(time.Second), timeRange.End.Add(-time.Second))
+			assert.NoError(t, err)
+		}
+
+		timeRanges, err = service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
+		assert.NoError(t, err)
+		assert.Empty(t, timeRanges, "after partial sync, missing time ranges should be back-filled")
+	}
+}

pkg/service/persistence_redis.go

@@ -63,7 +63,8 @@ func (store *RedisStore) Load(val interface{}) error {
 		return err
 	}
 
-	if len(data) == 0 {
+	// skip null data
+	if len(data) == 0 || data == "null" {
 		return ErrPersistenceNotExists
 	}
 

pkg/strategy/pivotshort/strategy.go

@@ -4,11 +4,12 @@ import (
 	"context"
 	"fmt"
 
+	"github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/sirupsen/logrus"
 )
 
 const ID = "pivotshort"
@@ -215,6 +216,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.Position = types.NewPositionFromMarket(s.Market)
 	}
 
+	if s.ProfitStats == nil {
+		s.ProfitStats = types.NewProfitStats(s.Market)
+	}
+
 	instanceID := s.InstanceID()
 
 	// Always update the position fields