mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
Merge pull request #669 from c9s/fix/kline-partial-sync
fix: fix partial kline sync
This commit is contained in:
commit
9f5575f1ef
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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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@ -1,5 +1,7 @@
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package bbgo
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import "github.com/sirupsen/logrus"
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type Notifier interface {
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NotifyTo(channel string, obj interface{}, args ...interface{})
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Notify(obj interface{}, args ...interface{})
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@ -48,6 +50,10 @@ func (m *Notifiability) AddNotifier(notifier Notifier) {
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}
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func (m *Notifiability) Notify(obj interface{}, args ...interface{}) {
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if str, ok := obj.(string); ok {
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logrus.Infof(str, args...)
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}
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for _, n := range m.notifiers {
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n.Notify(obj, args...)
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}
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@ -107,7 +107,7 @@ func loadPersistenceFields(obj interface{}, id string, persistence service.Persi
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newValue = newValue.Elem()
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}
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log.Debugf("[loadPersistenceFields] %v = %v (%s) -> %v (%s)\n", field, value, value.Type(), newValue, newValue.Type())
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log.Debugf("[loadPersistenceFields] %v = %v -> %v\n", field, value, newValue)
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value.Set(newValue)
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return nil
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@ -72,9 +72,6 @@ func iterateFieldsByTag(obj interface{}, tagName string, cb StructFieldIterator)
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fv := sv.Field(i)
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ft := st.Field(i)
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fvt := fv.Type()
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_ = fvt
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// skip unexported fields
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if !st.Field(i).IsExported() {
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continue
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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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@ -186,17 +187,16 @@ 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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sourceExchanges[exName] = publicExchange
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}
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if wantSync {
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var syncFromTime time.Time
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// override the sync from time if the option is given
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// user can override the sync from time if the option is given
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if len(syncFromDateStr) > 0 {
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syncFromTime, err = time.Parse(types.DateFormat, syncFromDateStr)
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if err != nil {
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@ -212,8 +212,9 @@ var BacktestCmd = &cobra.Command{
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log.Infof("adjusted sync start time %s to %s for backward market data", startTime, syncFromTime)
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}
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if wantSync {
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log.Infof("starting synchronization: %v", userConfig.Backtest.Symbols)
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if err := sync(ctx, userConfig, backtestService, sourceExchanges, syncFromTime); err != nil {
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if err := sync(ctx, userConfig, backtestService, sourceExchanges, syncFromTime, endTime); err != nil {
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return err
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}
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log.Info("synchronization done")
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@ -649,9 +650,8 @@ func toExchangeSources(sessions map[string]*bbgo.ExchangeSession, extraIntervals
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return exchangeSources, nil
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}
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func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service.BacktestService, sourceExchanges map[types.ExchangeName]types.Exchange, syncFromTime time.Time) error {
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func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service.BacktestService, sourceExchanges map[types.ExchangeName]types.Exchange, syncFrom, syncTo time.Time) error {
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for _, symbol := range userConfig.Backtest.Symbols {
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for _, sourceExchange := range sourceExchanges {
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exCustom, ok := sourceExchange.(types.CustomIntervalProvider)
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@ -662,11 +662,7 @@ func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service
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supportIntervals = types.SupportedIntervals
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}
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now := time.Now()
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for interval := range supportIntervals {
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// if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime); err != nil {
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// return err
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// }
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firstKLine, err := backtestService.QueryFirstKLine(sourceExchange.Name(), symbol, interval)
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if err != nil {
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return errors.Wrapf(err, "failed to query backtest kline")
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@ -675,13 +671,13 @@ func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service
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// if we don't have klines before the start time endpoint, the back-test will fail.
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// because the last price will be missing.
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if firstKLine != nil {
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log.Debugf("found existing kline data using partial sync...")
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if err := backtestService.SyncExist(ctx, sourceExchange, symbol, syncFromTime, now, interval); err != nil {
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if err := backtestService.SyncPartial(ctx, sourceExchange, symbol, interval, syncFrom, syncTo); err != nil {
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return err
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}
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} else {
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log.Debugf("starting a fresh kline data sync...")
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if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime, now, interval); err != nil {
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if err := backtestService.Sync(ctx, sourceExchange, symbol, interval, syncFrom, syncTo); err != nil {
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return err
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}
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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
|
@ -0,0 +1,65 @@
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package exchange
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|
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import (
|
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"fmt"
|
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"os"
|
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"strings"
|
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|
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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"
|
||||
"github.com/c9s/bbgo/pkg/exchange/max"
|
||||
"github.com/c9s/bbgo/pkg/exchange/okex"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
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)
|
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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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|
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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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|
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case types.ExchangeFTX:
|
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return ftx.NewExchange(key, secret, subAccount), nil
|
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|
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case types.ExchangeBinance:
|
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return binance.New(key, secret), nil
|
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|
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case types.ExchangeMax:
|
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return max.New(key, secret), nil
|
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|
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case types.ExchangeOKEx:
|
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return okex.New(key, secret, passphrase), nil
|
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|
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case types.ExchangeKucoin:
|
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return kucoin.New(key, secret, passphrase), nil
|
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|
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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) {
|
||||
if len(varPrefix) == 0 {
|
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varPrefix = n.String()
|
||||
}
|
||||
|
||||
varPrefix = strings.ToUpper(varPrefix)
|
||||
|
||||
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 {
|
||||
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, "")
|
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}
|
|
@ -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)
|
||||
|
|
|
@ -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
|
|
@ -1,6 +1,6 @@
|
|||
// Code generated by "callbackgen -type WebsocketClientBase"; DO NOT EDIT.
|
||||
|
||||
package service
|
||||
package websocketbase
|
||||
|
||||
import (
|
||||
"github.com/gorilla/websocket"
|
|
@ -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,
|
||||
startTime time.Time, endTime time.Time, interval types.Interval) error {
|
||||
func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) 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,
|
||||
fromTime time.Time, endTime time.Time, interval types.Interval) error {
|
||||
klineC, errC := s.QueryKLinesCh(fromTime, endTime, exchange, []string{symbol}, []types.Interval{interval})
|
||||
|
||||
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())
|
||||
type TimeRange struct {
|
||||
Start time.Time
|
||||
End time.Time
|
||||
}
|
||||
|
||||
if nowStartTime.Unix() < endTime.Unix() && nowStartTime.Unix() < time.Now().Unix() {
|
||||
if err := s.Sync(ctx, exchange, symbol, nowStartTime, endTime, interval); err != nil {
|
||||
log.WithError(err).Errorf("sync error")
|
||||
}
|
||||
}
|
||||
|
||||
if err := <-errC; err != nil {
|
||||
// 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 && 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)
|
||||
|
|
156
pkg/service/backtest_test.go
Normal file
156
pkg/service/backtest_test.go
Normal file
|
@ -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")
|
||||
}
|
||||
}
|
|
@ -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
|
||||
}
|
||||
|
||||
|
|
|
@ -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
|
||||
|
|
Loading…
Reference in New Issue
Block a user