release candidate csvsource backtest

2024-11-10 09:11:55 +00:00 · 2023-11-02 18:03:16 +01:00 · 2023-11-02 18:03:16 +01:00 · af1e63f345
commit af1e63f345
parent e23e8fde1d
45 changed files with 2371 additions and 488 deletions
--- a/.gitignore
+++ b/.gitignore
@ -14,6 +14,7 @@
 *.out

 .idea
+.vscode

 # Dependency directories (remove the comment below to include it)
 # vendor/
@ -48,6 +49,7 @@ testoutput

 *.swp
 /pkg/backtest/assets.go
+/data/backtest

 coverage.txt
 coverage_dum.txt
--- a/doc/topics/back-testing.md
+++ b/doc/topics/back-testing.md
@ -1,9 +1,13 @@
 ## Back-testing

-*Before you start back-testing, you need to setup [MySQL](../../README.md#configure-mysql-database) or [SQLite3
+Currently bbgo supports two ways to run backtests:
+
+  1: Through csv data source (supported right now are binance, bybit and OkEx)
+
+  2: Alternatively run backtests through [MySQL](../../README.md#configure-mysql-database) or [SQLite3
 ](../../README.md#configure-sqlite3-database). Using MySQL is highly recommended.*

-First, you need to add the back-testing config to your `bbgo.yaml`:
+Let's start by adding the back-testing section to your config eg: `bbgo.yaml`:

 ```yaml
 backtest:
@ -41,8 +45,11 @@ Note on date formats, the following date formats are supported:
 * RFC822, which looks like `02 Jan 06 15:04 MST`
 * You can also use `2021-11-26T15:04:56`

-And then, you can sync remote exchange k-lines (candle bars) data for back-testing:
-
+And then, you can sync remote exchange k-lines (candle bars) data for back-testing through csv data source:
+```sh
+bbgo backtest -v --csv --verify --config config/grid.yaml
+```
+or use the sql data source like so:
 ```sh
 bbgo backtest -v --sync --config config/grid.yaml
 ```
@ -67,6 +74,11 @@ Run back-test:
 ```sh
 bbgo backtest --base-asset-baseline --config config/grid.yaml
 ```
+or through csv data source
+
+```sh
+bbgo backtest -v --csv --base-asset-baseline --config config/grid.yaml --output data/backtest
+```

 If you're developing a strategy, you might want to start with a command like this:

--- a/pkg/backtest/exchange.go
+++ b/pkg/backtest/exchange.go
@ -55,7 +55,7 @@ var ErrEmptyOrderType = errors.New("order type can not be empty string")
 type Exchange struct {
 	sourceName     types.ExchangeName
 	publicExchange types.Exchange
-	srv            *service.BacktestService
+	srv            service.BackTestable
 	currentTime    time.Time

 	account *types.Account
@ -78,7 +78,7 @@ type Exchange struct {
 }

 func NewExchange(
-	sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest,
+	sourceName types.ExchangeName, sourceExchange types.Exchange, srv service.BackTestable, config *bbgo.Backtest,
 ) (*Exchange, error) {
 	ex := sourceExchange

@ -366,6 +366,7 @@ func (e *Exchange) SubscribeMarketData(
 			loadedIntervals[sub.Options.Interval] = struct{}{}

 		default:
+			// todo support stream back test with csv tick source
 			// Since Environment is not yet been injected at this point, no hard error
 			log.Errorf("stream channel %s is not supported in backtest", sub.Channel)
 		}
@ -394,6 +395,7 @@ func (e *Exchange) SubscribeMarketData(
 		log.Infof("querying klines from database with exchange: %v symbols: %v and intervals: %v for back-testing", e.Name(), symbols, intervals)
 	}

+	log.Infof("querying klines from database with exchange: %v symbols: %v and intervals: %v for back-testing", e.Name(), symbols, intervals)
 	if len(symbols) == 0 {
 		log.Warnf("empty symbols, will not query kline data from the database")

--- a/pkg/backtest/report.go
+++ b/pkg/backtest/report.go
@ -68,49 +68,21 @@ func ReadSummaryReport(filename string) (*SummaryReport, error) {
 // SessionSymbolReport is the report per exchange session
 // trades are merged, collected and re-calculated
 type SessionSymbolReport struct {
-	Exchange                 types.ExchangeName        `json:"exchange"`
-	Symbol                   string                    `json:"symbol,omitempty"`
-	Intervals                []types.Interval          `json:"intervals,omitempty"`
-	Subscriptions            []types.Subscription      `json:"subscriptions"`
-	Market                   types.Market              `json:"market"`
-	LastPrice                fixedpoint.Value          `json:"lastPrice,omitempty"`
-	StartPrice               fixedpoint.Value          `json:"startPrice,omitempty"`
-	PnL                      *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
-	InitialBalances          types.BalanceMap          `json:"initialBalances,omitempty"`
-	FinalBalances            types.BalanceMap          `json:"finalBalances,omitempty"`
-	Manifests                Manifests                 `json:"manifests,omitempty"`
-	TradeCount               fixedpoint.Value          `json:"tradeCount,omitempty"`
-	RoundTurnCount           fixedpoint.Value          `json:"roundTurnCount,omitempty"`
-	TotalNetProfit           fixedpoint.Value          `json:"totalNetProfit,omitempty"`
-	AvgNetProfit             fixedpoint.Value          `json:"avgNetProfit,omitempty"`
-	GrossProfit              fixedpoint.Value          `json:"grossProfit,omitempty"`
-	GrossLoss                fixedpoint.Value          `json:"grossLoss,omitempty"`
-	PRR                      fixedpoint.Value          `json:"prr,omitempty"`
-	PercentProfitable        fixedpoint.Value          `json:"percentProfitable,omitempty"`
-	MaxDrawdown              fixedpoint.Value          `json:"maxDrawdown,omitempty"`
-	AverageDrawdown          fixedpoint.Value          `json:"avgDrawdown,omitempty"`
-	MaxProfit                fixedpoint.Value          `json:"maxProfit,omitempty"`
-	MaxLoss                  fixedpoint.Value          `json:"maxLoss,omitempty"`
-	AvgProfit                fixedpoint.Value          `json:"avgProfit,omitempty"`
-	AvgLoss                  fixedpoint.Value          `json:"avgLoss,omitempty"`
-	TotalTimeInMarketSec     int64                     `json:"totalTimeInMarketSec,omitempty"`
-	AvgHoldSec               int64                     `json:"avgHoldSec,omitempty"`
-	WinningCount             int                       `json:"winningCount,omitempty"`
-	LosingCount              int                       `json:"losingCount,omitempty"`
-	MaxLossStreak            int                       `json:"maxLossStreak,omitempty"`
-	Sharpe                   fixedpoint.Value          `json:"sharpeRatio"`
-	AnnualHistoricVolatility fixedpoint.Value          `json:"annualHistoricVolatility,omitempty"`
-	CAGR                     fixedpoint.Value          `json:"cagr,omitempty"`
-	Calmar                   fixedpoint.Value          `json:"calmar,omitempty"`
-	Sterling                 fixedpoint.Value          `json:"sterling,omitempty"`
-	Burke                    fixedpoint.Value          `json:"burke,omitempty"`
-	Kelly                    fixedpoint.Value          `json:"kelly,omitempty"`
-	OptimalF                 fixedpoint.Value          `json:"optimalF,omitempty"`
-	StatN                    fixedpoint.Value          `json:"statN,omitempty"`
-	StdErr                   fixedpoint.Value          `json:"statNStdErr,omitempty"`
-	Sortino                  fixedpoint.Value          `json:"sortinoRatio"`
-	ProfitFactor             fixedpoint.Value          `json:"profitFactor"`
-	WinningRatio             fixedpoint.Value          `json:"winningRatio"`
+	Exchange        types.ExchangeName        `json:"exchange"`
+	Symbol          string                    `json:"symbol,omitempty"`
+	Intervals       []types.Interval          `json:"intervals,omitempty"`
+	Subscriptions   []types.Subscription      `json:"subscriptions"`
+	Market          types.Market              `json:"market"`
+	LastPrice       fixedpoint.Value          `json:"lastPrice,omitempty"`
+	StartPrice      fixedpoint.Value          `json:"startPrice,omitempty"`
+	PnL             *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
+	InitialBalances types.BalanceMap          `json:"initialBalances,omitempty"`
+	FinalBalances   types.BalanceMap          `json:"finalBalances,omitempty"`
+	Manifests       Manifests                 `json:"manifests,omitempty"`
+	Sharpe          fixedpoint.Value          `json:"sharpeRatio"`
+	Sortino         fixedpoint.Value          `json:"sortinoRatio"`
+	ProfitFactor    fixedpoint.Value          `json:"profitFactor"`
+	WinningRatio    fixedpoint.Value          `json:"winningRatio"`
 }

 func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {
--- a/pkg/bbgo/config.go
+++ b/pkg/bbgo/config.go
@ -12,6 +12,7 @@ import (
 	"github.com/pkg/errors"
 	"gopkg.in/yaml.v3"

+	"github.com/c9s/bbgo/pkg/datasource/csvsource"
 	"github.com/c9s/bbgo/pkg/datatype"
 	"github.com/c9s/bbgo/pkg/dynamic"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@ -150,7 +151,8 @@ type Backtest struct {
 	Sessions []string                   `json:"sessions" yaml:"sessions"`

 	// sync 1 second interval KLines
-	SyncSecKLines bool `json:"syncSecKLines,omitempty" yaml:"syncSecKLines,omitempty"`
+	SyncSecKLines bool                 `json:"syncSecKLines,omitempty" yaml:"syncSecKLines,omitempty"`
+	CsvSource     *csvsource.CsvConfig `json:"csvConfig,omitempty" yaml:"csvConfig,omitempty"`
 }

 func (b *Backtest) GetAccount(n string) BacktestAccount {
--- a/pkg/bbgo/environment.go
+++ b/pkg/bbgo/environment.go
@ -42,9 +42,9 @@ var defaultSyncBufferPeriod = 30 * time.Minute
 // IsBackTesting is a global variable that indicates the current environment is back-test or not.
 var IsBackTesting = false

-var BackTestService *service.BacktestService
+var BackTestService service.BackTestable

-func SetBackTesting(s *service.BacktestService) {
+func SetBackTesting(s service.BackTestable) {
 	BackTestService = s
 	IsBackTesting = s != nil
 }
@ -87,7 +87,7 @@ type Environment struct {
 	TradeService      *service.TradeService
 	ProfitService     *service.ProfitService
 	PositionService   *service.PositionService
-	BacktestService   *service.BacktestService
+	BacktestService   service.BackTestable
 	RewardService     *service.RewardService
 	MarginService     *service.MarginService
 	SyncService       *service.SyncService
--- a/pkg/cmd/backtest.go
+++ b/pkg/cmd/backtest.go
@ -31,6 +31,7 @@ import (
 )

 func init() {
+	BacktestCmd.Flags().Bool("csv", false, "use csv data source for exchange (if supported)")
 	BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
 	BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
 	BacktestCmd.Flags().String("sync-from", "", "sync backtest data from the given time, which will override the time range in the backtest config")
@ -75,6 +76,11 @@ var BacktestCmd = &cobra.Command{
 			return err
 		}

+		modeCsv, err := cmd.Flags().GetBool("csv")
+		if err != nil {
+			return err
+		}
+
 		wantSync, err := cmd.Flags().GetBool("sync")
 		if err != nil {
 			return err
@ -154,15 +160,29 @@ var BacktestCmd = &cobra.Command{
 		log.Infof("starting backtest with startTime %s", startTime.Format(time.RFC3339))

 		environ := bbgo.NewEnvironment()
-		if err := bbgo.BootstrapBacktestEnvironment(ctx, environ); err != nil {
-			return err
-		}

-		if environ.DatabaseService == nil {
-			return errors.New("database service is not enabled, please check your environment variables DB_DRIVER and DB_DSN")
+		if userConfig.Backtest.CsvSource == nil {
+			return fmt.Errorf("user config backtest section needs csvsource config")
 		}
+		backtestService := service.NewBacktestServiceCSV(
+			outputDirectory,
+			userConfig.Backtest.CsvSource.Market,
+			userConfig.Backtest.CsvSource.Granularity,
+		)
+		if modeCsv {
+			if err := bbgo.BootstrapEnvironmentLightweight(ctx, environ, userConfig); err != nil {
+				return err
+			}
+		} else {
+			backtestService = service.NewBacktestService(environ.DatabaseService.DB)
+			if err := bbgo.BootstrapBacktestEnvironment(ctx, environ); err != nil {
+				return err
+			}

-		backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
+			if environ.DatabaseService == nil {
+				return errors.New("database service is not enabled, please check your environment variables DB_DRIVER and DB_DSN")
+			}
+		}
 		environ.BacktestService = backtestService
 		bbgo.SetBackTesting(backtestService)

@ -545,12 +565,11 @@ var BacktestCmd = &cobra.Command{
 					continue
 				}

-				tradeState := sessionTradeStats[session.Name][symbol]
 				profitFactor := tradeState.ProfitFactor
 				winningRatio := tradeState.WinningRatio
 				intervalProfits := tradeState.IntervalProfits[types.Interval1d]

-				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), tradeStats)
+				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), intervalProfits, profitFactor, winningRatio)
 				if err != nil {
 					return err
 				}
@ -623,8 +642,6 @@ func createSymbolReport(
 	*backtest.SessionSymbolReport,
 	error,
 ) {
-	intervalProfit := tradeStats.IntervalProfits[types.Interval1d]
-
 	backtestExchange, ok := session.Exchange.(*backtest.Exchange)
 	if !ok {
 		return nil, fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
@ -634,11 +651,6 @@ func createSymbolReport(
 	if !ok {
 		return nil, fmt.Errorf("market not found: %s, %s", symbol, session.Exchange.Name())
 	}
-	tStart, tEnd := trades[0].Time, trades[len(trades)-1].Time
-
-	periodStart := tStart.Time()
-	periodEnd := tEnd.Time()
-	period := periodEnd.Sub(periodStart)

 	startPrice, ok := session.StartPrice(symbol)
 	if !ok {
@ -655,81 +667,29 @@ func createSymbolReport(
 		Market:             market,
 	}

+	sharpeRatio := fixedpoint.NewFromFloat(intervalProfit.GetSharpe())
+	sortinoRatio := fixedpoint.NewFromFloat(intervalProfit.GetSortino())
+
 	report := calculator.Calculate(symbol, trades, lastPrice)
 	accountConfig := userConfig.Backtest.GetAccount(session.Exchange.Name().String())
 	initBalances := accountConfig.Balances.BalanceMap()
 	finalBalances := session.GetAccount().Balances()
-	maxProfit := n(intervalProfit.Profits.Max())
-	maxLoss := n(intervalProfit.Profits.Min())
-	drawdown := types.Drawdown(intervalProfit.Profits)
-	maxDrawdown := drawdown.Max()
-	avgDrawdown := drawdown.Average()
-	roundTurnCount := n(float64(tradeStats.NumOfProfitTrade + tradeStats.NumOfLossTrade))
-	roundTurnLength := n(float64(intervalProfit.Profits.Length()))
-	winningCount := n(float64(tradeStats.NumOfProfitTrade))
-	loosingCount := n(float64(tradeStats.NumOfLossTrade))
-	avgProfit := tradeStats.GrossProfit.Div(n(types.NNZ(float64(tradeStats.NumOfProfitTrade), 1)))
-	avgLoss := tradeStats.GrossLoss.Div(n(types.NNZ(float64(tradeStats.NumOfLossTrade), 1)))
-
-	winningPct := winningCount.Div(roundTurnCount)
-	// losingPct := fixedpoint.One.Sub(winningPct)
-
-	sharpeRatio := n(intervalProfit.GetSharpe())
-	sortinoRatio := n(intervalProfit.GetSortino())
-	annVolHis := n(types.AnnualHistoricVolatility(intervalProfit.Profits))
-	totalTimeInMarketSec, avgHoldSec := intervalProfit.GetTimeInMarket()
-	statn, stdErr := types.StatN(intervalProfit.Profits)
 	symbolReport := backtest.SessionSymbolReport{
-		Exchange:                 session.Exchange.Name(),
-		Symbol:                   symbol,
-		Market:                   market,
-		LastPrice:                lastPrice,
-		StartPrice:               startPrice,
-		InitialBalances:          initBalances,
-		FinalBalances:            finalBalances,
-		TradeCount:               fixedpoint.NewFromInt(int64(len(trades))),
-		GrossLoss:                tradeStats.GrossLoss,
-		GrossProfit:              tradeStats.GrossProfit,
-		WinningCount:             tradeStats.NumOfProfitTrade,
-		LosingCount:              tradeStats.NumOfLossTrade,
-		RoundTurnCount:           roundTurnCount,
-		WinningRatio:             tradeStats.WinningRatio,
-		PercentProfitable:        winningPct,
-		ProfitFactor:             tradeStats.ProfitFactor,
-		MaxDrawdown:              n(maxDrawdown),
-		AverageDrawdown:          n(avgDrawdown),
-		MaxProfit:                maxProfit,
-		MaxLoss:                  maxLoss,
-		MaxLossStreak:            tradeStats.MaximumConsecutiveLosses,
-		TotalTimeInMarketSec:     totalTimeInMarketSec,
-		AvgHoldSec:               avgHoldSec,
-		AvgProfit:                avgProfit,
-		AvgLoss:                  avgLoss,
-		AvgNetProfit:             tradeStats.TotalNetProfit.Div(roundTurnLength),
-		TotalNetProfit:           tradeStats.TotalNetProfit,
-		AnnualHistoricVolatility: annVolHis,
-		PnL:                      report,
-		PRR:                      types.PRR(tradeStats.GrossProfit, tradeStats.GrossLoss, winningCount, loosingCount),
-		Kelly:                    types.KellyCriterion(tradeStats.ProfitFactor, winningPct),
-		OptimalF:                 types.OptimalF(intervalProfit.Profits),
-		StatN:                    statn,
-		StdErr:                   stdErr,
-		Sharpe:                   sharpeRatio,
-		Sortino:                  sortinoRatio,
+		Exchange:        session.Exchange.Name(),
+		Symbol:          symbol,
+		Market:          market,
+		LastPrice:       lastPrice,
+		StartPrice:      startPrice,
+		PnL:             report,
+		InitialBalances: initBalances,
+		FinalBalances:   finalBalances,
+		// Manifests:       manifests,
+		Sharpe:       sharpeRatio,
+		Sortino:      sortinoRatio,
+		ProfitFactor: profitFactor,
+		WinningRatio: winningRatio,
 	}

-	cagr := types.NN(
-		types.CAGR(
-			symbolReport.InitialEquityValue().Float64(),
-			symbolReport.FinalEquityValue().Float64(),
-			int(period.Hours())/24,
-		), 0)
-
-	symbolReport.CAGR = n(cagr)
-	symbolReport.Calmar = n(types.CalmarRatio(cagr, maxDrawdown))
-	symbolReport.Sterling = n(types.SterlingRatio(cagr, avgDrawdown))
-	symbolReport.Burke = n(types.BurkeRatio(cagr, drawdown.AverageSquared()))
-
 	for _, s := range session.Subscriptions {
 		symbolReport.Subscriptions = append(symbolReport.Subscriptions, s)
 	}
@ -748,12 +708,8 @@ func createSymbolReport(
 	return &symbolReport, nil
 }

-func n(v float64) fixedpoint.Value {
-	return fixedpoint.NewFromFloat(v)
-}
-
 func verify(
-	userConfig *bbgo.Config, backtestService *service.BacktestService,
+	userConfig *bbgo.Config, backtestService service.BackTestable,
 	sourceExchanges map[types.ExchangeName]types.Exchange, startTime, endTime time.Time,
 ) error {
 	for _, sourceExchange := range sourceExchanges {
@ -796,7 +752,7 @@ func getExchangeIntervals(ex types.Exchange) types.IntervalMap {
 }

 func sync(
-	ctx context.Context, userConfig *bbgo.Config, backtestService *service.BacktestService,
+	ctx context.Context, userConfig *bbgo.Config, backtestService service.BackTestable,
 	sourceExchanges map[types.ExchangeName]types.Exchange, syncFrom, syncTo time.Time,
 ) error {
 	for _, symbol := range userConfig.Backtest.Symbols {
@ -811,10 +767,8 @@ func sync(
 			var intervals = supportIntervals.Slice()
 			intervals.Sort()

-			for _, interval := range intervals {
-				if err := backtestService.Sync(ctx, sourceExchange, symbol, interval, syncFrom, syncTo); err != nil {
-					return err
-				}
+			if err := backtestService.Sync(ctx, sourceExchange, symbol, intervals, syncFrom, syncTo); err != nil {
+				return err
 			}
 		}
 	}
--- a/pkg/cmd/pnl.go
+++ b/pkg/cmd/pnl.go
@ -135,7 +135,8 @@ var PnLCmd = &cobra.Command{

 				// we need the backtest klines for the daily prices
 				backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
-				if err := backtestService.Sync(ctx, exchange, symbol, types.Interval1d, since, until); err != nil {
+				intervals := []types.Interval{types.Interval1d}
+				if err := backtestService.Sync(ctx, exchange, symbol, intervals, since, until); err != nil {
 					return err
 				}
 			}
--- a/pkg/datasource/csvsource/csv_kline_decoder.go
+++ b/pkg/datasource/csvsource/csv_kline_decoder.go
@ -0,0 +1,152 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"errors"
+	"fmt"
+	"strconv"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// MetaTraderTimeFormat is the time format expected by the MetaTrader decoder when cols [0] and [1] are used.
+const MetaTraderTimeFormat = "02/01/2006 15:04"
+
+var (
+	// ErrNotEnoughColumns is returned when the CSV price record does not have enough columns.
+	ErrNotEnoughColumns = errors.New("not enough columns")
+
+	// ErrInvalidTimeFormat is returned when the CSV price record does not have a valid time unix milli format.
+	ErrInvalidIDFormat = errors.New("cannot parse trade id string")
+
+	// ErrInvalidBoolFormat is returned when the CSV isBuyerMaker record does not have a valid bool representation.
+	ErrInvalidBoolFormat = errors.New("cannot parse bool to string")
+
+	// ErrInvalidTimeFormat is returned when the CSV price record does not have a valid time unix milli format.
+	ErrInvalidTimeFormat = errors.New("cannot parse time string")
+
+	// ErrInvalidOrderSideFormat is returned when the CSV side record does not have a valid buy or sell string.
+	ErrInvalidOrderSideFormat = errors.New("cannot parse order side string")
+
+	// ErrInvalidPriceFormat is returned when the CSV price record does not prices in expected format.
+	ErrInvalidPriceFormat = errors.New("OHLC prices must be valid number format")
+
+	// ErrInvalidVolumeFormat is returned when the CSV price record does not have a valid volume format.
+	ErrInvalidVolumeFormat = errors.New("volume must be valid number format")
+)
+
+// CSVKLineDecoder is an extension point for CSVKLineReader to support custom file formats.
+type CSVKLineDecoder func(record []string, interval time.Duration) (types.KLine, error)
+
+// NewBinanceCSVKLineReader creates a new CSVKLineReader for Binance CSV files.
+func NewBinanceCSVKLineReader(csv *csv.Reader) *CSVKLineReader {
+	return &CSVKLineReader{
+		csv:     csv,
+		decoder: BinanceCSVKLineDecoder,
+	}
+}
+
+// BinanceCSVKLineDecoder decodes a CSV record from Binance or Bybit into a KLine.
+func BinanceCSVKLineDecoder(record []string, interval time.Duration) (types.KLine, error) {
+	var (
+		k, empty types.KLine
+		err      error
+	)
+	if len(record) < 5 {
+		return k, ErrNotEnoughColumns
+	}
+	ts, err := strconv.ParseFloat(record[0], 64) // check for e numbers "1.70027E+12"
+	if err != nil {
+		return empty, ErrInvalidTimeFormat
+	}
+	open, err := fixedpoint.NewFromString(record[1])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	high, err := fixedpoint.NewFromString(record[2])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	low, err := fixedpoint.NewFromString(record[3])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	closing, err := fixedpoint.NewFromString(record[4])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+
+	volume, err := fixedpoint.NewFromString(record[5])
+	if err != nil {
+		return empty, ErrInvalidVolumeFormat
+	}
+
+	k.StartTime = types.NewTimeFromUnix(int64(ts), 0)
+	k.EndTime = types.NewTimeFromUnix(k.StartTime.Time().Add(interval).Unix(), 0)
+	k.Open = open
+	k.High = high
+	k.Low = low
+	k.Close = closing
+	k.Volume = volume
+
+	return k, nil
+}
+
+// NewMetaTraderCSVKLineReader creates a new CSVKLineReader for MetaTrader CSV files.
+func NewMetaTraderCSVKLineReader(csv *csv.Reader) *CSVKLineReader {
+	csv.Comma = ';'
+	return &CSVKLineReader{
+		csv:     csv,
+		decoder: MetaTraderCSVKLineDecoder,
+	}
+}
+
+// MetaTraderCSVKLineDecoder decodes a CSV record from MetaTrader into a KLine.
+func MetaTraderCSVKLineDecoder(record []string, interval time.Duration) (types.KLine, error) {
+	var (
+		k, empty types.KLine
+		err      error
+	)
+
+	if len(record) < 6 {
+		return k, ErrNotEnoughColumns
+	}
+
+	tStr := fmt.Sprintf("%s %s", record[0], record[1])
+	t, err := time.Parse(MetaTraderTimeFormat, tStr)
+	if err != nil {
+		return empty, ErrInvalidTimeFormat
+	}
+	open, err := fixedpoint.NewFromString(record[2])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	high, err := fixedpoint.NewFromString(record[3])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	low, err := fixedpoint.NewFromString(record[4])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	closing, err := fixedpoint.NewFromString(record[5])
+	if err != nil {
+		return empty, ErrInvalidPriceFormat
+	}
+	volume, err := fixedpoint.NewFromString(record[6])
+	if err != nil {
+		return empty, ErrInvalidVolumeFormat
+	}
+
+	k.StartTime = types.NewTimeFromUnix(t.Unix(), 0)
+	k.EndTime = types.NewTimeFromUnix(t.Add(interval).Unix(), 0)
+	k.Open = open
+	k.High = high
+	k.Low = low
+	k.Close = closing
+	k.Volume = volume
+
+	return k, nil
+}
--- a/pkg/datasource/csvsource/csv_kline_reader.go
+++ b/pkg/datasource/csvsource/csv_kline_reader.go
@ -0,0 +1,65 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"io"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var _ KLineReader = (*CSVKLineReader)(nil)
+
+// CSVKLineReader is a KLineReader that reads from a CSV file.
+type CSVKLineReader struct {
+	csv     *csv.Reader
+	decoder CSVKLineDecoder
+}
+
+// MakeCSVKLineReader is a factory method type that creates a new CSVKLineReader.
+type MakeCSVKLineReader func(csv *csv.Reader) *CSVKLineReader
+
+// NewCSVKLineReader creates a new CSVKLineReader with the default Binance decoder.
+func NewCSVKLineReader(csv *csv.Reader) *CSVKLineReader {
+	return &CSVKLineReader{
+		csv:     csv,
+		decoder: BinanceCSVKLineDecoder,
+	}
+}
+
+// NewCSVKLineReaderWithDecoder creates a new CSVKLineReader with the given decoder.
+func NewCSVKLineReaderWithDecoder(csv *csv.Reader, decoder CSVKLineDecoder) *CSVKLineReader {
+	return &CSVKLineReader{
+		csv:     csv,
+		decoder: decoder,
+	}
+}
+
+// Read reads the next KLine from the underlying CSV data.
+func (r *CSVKLineReader) Read(interval time.Duration) (types.KLine, error) {
+	var k types.KLine
+
+	rec, err := r.csv.Read()
+	if err != nil {
+		return k, err
+	}
+
+	return r.decoder(rec, interval)
+}
+
+// ReadAll reads all the KLines from the underlying CSV data.
+func (r *CSVKLineReader) ReadAll(interval time.Duration) ([]types.KLine, error) {
+	var ks []types.KLine
+	for {
+		k, err := r.Read(interval)
+		if err == io.EOF {
+			break
+		}
+		if err != nil {
+			return nil, err
+		}
+		ks = append(ks, k)
+	}
+
+	return ks, nil
+}
--- a/pkg/datasource/csvsource/csv_kline_reader_test.go
+++ b/pkg/datasource/csvsource/csv_kline_reader_test.go
@ -0,0 +1,163 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"strings"
+	"testing"
+	"time"
+
+	"github.com/davecgh/go-spew/spew"
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func assertKLineEq(t *testing.T, exp, act types.KLine, name string) {
+	assert.Equal(t, exp.StartTime, act.StartTime, name)
+	assert.Equal(t, 0, exp.Open.Compare(act.Open), name)
+	assert.Equal(t, 0, exp.High.Compare(act.High), name)
+	assert.Equal(t, 0, exp.Low.Compare(act.Low), name)
+	assert.Equal(t, 0, exp.Close.Compare(act.Close), name)
+	assert.Equal(t, 0, exp.Volume.Compare(act.Volume), name)
+}
+
+func TestCSVKLineReader_ReadWithBinanceDecoder(t *testing.T) {
+	tests := []struct {
+		name string
+		give string
+		want types.KLine
+		err  error
+	}{
+		{
+			name: "Read DOHLCV",
+			give: "1609459200000,28923.63000000,29031.34000000,28690.17000000,28995.13000000,2311.81144500",
+			want: types.KLine{
+				StartTime: types.NewTimeFromUnix(1609459200, 0),
+				Open:      Number(28923.63),
+				High:      Number(29031.34),
+				Low:       Number(28690.17),
+				Close:     Number(28995.13),
+				// todo this should never happen >>
+				// mustNewFromString and NewFromFloat have different values after parse
+				Volume: fixedpoint.MustNewFromString("2311.81144500")},
+			err: nil,
+		},
+		{
+			name: "Read DOHLC",
+			give: "1609459200000,28923.63000000,29031.34000000,28690.17000000,28995.13000000",
+			want: types.KLine{
+				StartTime: types.NewTimeFromUnix(1609459200, 0),
+				Open:      Number(28923.63),
+				High:      Number(29031.34),
+				Low:       Number(28690.17),
+				Close:     Number(28995.13),
+				Volume:    Number(0)},
+			err: nil,
+		},
+		{
+			name: "Not enough columns",
+			give: "1609459200000,28923.63000000,29031.34000000",
+			want: types.KLine{},
+			err:  ErrNotEnoughColumns,
+		},
+		{
+			name: "Invalid time format",
+			give: "23/12/2021,28923.63000000,29031.34000000,28690.17000000,28995.13000000",
+			want: types.KLine{},
+			err:  ErrInvalidTimeFormat,
+		},
+		{
+			name: "Invalid price format",
+			give: "1609459200000,sixty,29031.34000000,28690.17000000,28995.13000000",
+			want: types.KLine{},
+			err:  ErrInvalidPriceFormat,
+		},
+		{
+			name: "Invalid volume format",
+			give: "1609459200000,28923.63000000,29031.34000000,28690.17000000,28995.13000000,vol",
+			want: types.KLine{},
+			err:  ErrInvalidVolumeFormat,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			reader := NewBinanceCSVKLineReader(csv.NewReader(strings.NewReader(tt.give)))
+			kline, err := reader.Read(time.Hour)
+			assert.Equal(t, tt.err, err)
+			if err == nil {
+				spew.Dump(tt.want)
+				spew.Dump(kline)
+				assertKLineEq(t, tt.want, kline, tt.name)
+			}
+		})
+	}
+}
+
+func TestCSVKLineReader_ReadAllWithDefaultDecoder(t *testing.T) {
+	records := []string{
+		"1609459200000,28923.63000000,29031.34000000,28690.17000000,28995.13000000,2311.81144500",
+		"1609459300000,28928.63000000,30031.34000000,22690.17000000,28495.13000000,3000.00",
+	}
+	reader := NewCSVKLineReader(csv.NewReader(strings.NewReader(strings.Join(records, "\n"))))
+	klines, err := reader.ReadAll(time.Hour)
+	assert.NoError(t, err)
+	assert.Len(t, klines, 2)
+}
+
+func TestCSVKLineReader_ReadWithMetaTraderDecoder(t *testing.T) {
+
+	tests := []struct {
+		name string
+		give string
+		want types.KLine
+		err  error
+	}{
+		{
+			name: "Read DOHLCV",
+			give: "11/12/2008;16:00;779.527679;780.964756;777.527679;779.964756;5",
+			want: types.KLine{
+				StartTime: types.NewTimeFromUnix(time.Date(2008, 12, 11, 16, 0, 0, 0, time.UTC).Unix(), 0),
+				Open:      Number(779.527679),
+				High:      Number(780.964756),
+				Low:       Number(777.527679),
+				Close:     Number(779.964756),
+				Volume:    Number(5)},
+			err: nil,
+		},
+		{
+			name: "Not enough columns",
+			give: "1609459200000;28923.63000000;29031.34000000",
+			want: types.KLine{},
+			err:  ErrNotEnoughColumns,
+		},
+		{
+			name: "Invalid time format",
+			give: "23/12/2021;t;28923.63000000;29031.34000000;28690.17000000;28995.13000000",
+			want: types.KLine{},
+			err:  ErrInvalidTimeFormat,
+		},
+		{
+			name: "Invalid price format",
+			give: "11/12/2008;00:00;sixty;29031.34000000;28690.17000000;28995.13000000",
+			want: types.KLine{},
+			err:  ErrInvalidPriceFormat,
+		},
+		{
+			name: "Invalid volume format",
+			give: "11/12/2008;00:00;779.527679;780.964756;777.527679;779.964756;vol",
+			want: types.KLine{},
+			err:  ErrInvalidVolumeFormat,
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			reader := NewMetaTraderCSVKLineReader(csv.NewReader(strings.NewReader(tt.give)))
+			kline, err := reader.Read(time.Hour)
+			assert.Equal(t, tt.err, err)
+			assertKLineEq(t, tt.want, kline, tt.name)
+		})
+	}
+}
--- a/pkg/datasource/csvsource/csv_tick_converter.go
+++ b/pkg/datasource/csvsource/csv_tick_converter.go
@ -0,0 +1,167 @@
+package csvsource
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type ICSVTickConverter interface {
+	CsvTickToKLine(tick *CsvTick) (closesKLine bool)
+	GetTicks() []*CsvTick
+	LatestKLine(interval types.Interval) (k *types.KLine)
+	GetKLineResults() map[types.Interval][]types.KLine
+}
+
+// CSVTickConverter takes a tick and internally converts it to a KLine slice
+type CSVTickConverter struct {
+	ticks     []*CsvTick
+	intervals []types.Interval
+	klines    map[types.Interval][]types.KLine
+}
+
+func NewCSVTickConverter(intervals []types.Interval) ICSVTickConverter {
+	return &CSVTickConverter{
+		ticks:     []*CsvTick{},
+		intervals: intervals,
+		klines:    make(map[types.Interval][]types.KLine),
+	}
+}
+
+func (c *CSVTickConverter) GetTicks() []*CsvTick {
+	return c.ticks
+}
+
+func (c *CSVTickConverter) AddKLine(interval types.Interval, k types.KLine) {
+	c.klines[interval] = append(c.klines[interval], k)
+}
+
+// GetKLineResult returns the converted ticks as kLine of interval
+func (c *CSVTickConverter) LatestKLine(interval types.Interval) (k *types.KLine) {
+	if _, ok := c.klines[interval]; !ok || len(c.klines[interval]) == 0 {
+		return nil
+	}
+	return &c.klines[interval][len(c.klines[interval])-1]
+}
+
+// GetKLineResults returns the converted ticks as kLine of all constructed intervals
+func (c *CSVTickConverter) GetKLineResults() map[types.Interval][]types.KLine {
+	if len(c.klines) == 0 {
+		return nil
+	}
+	return c.klines
+}
+
+// Convert ticks to KLine with interval
+func (c *CSVTickConverter) CsvTickToKLine(tick *CsvTick) (closesKLine bool) {
+	for _, interval := range c.intervals {
+		var (
+			currentCandle = types.KLine{}
+			high          = fixedpoint.Zero
+			low           = fixedpoint.Zero
+		)
+		isOpen, t := c.detCandleStart(tick.Timestamp.Time(), interval)
+		if isOpen {
+			latestKline := c.LatestKLine(interval)
+			if latestKline != nil {
+				latestKline.Closed = true // k is pointer
+				closesKLine = true
+				c.addMissingKLines(interval, t)
+			}
+			c.AddKLine(interval, types.KLine{
+				Exchange:    tick.Exchange,
+				Symbol:      tick.Symbol,
+				Interval:    interval,
+				StartTime:   types.NewTimeFromUnix(t.Unix(), 0),
+				EndTime:     types.NewTimeFromUnix(t.Add(interval.Duration()).Unix(), 0),
+				Open:        tick.Price,
+				High:        tick.Price,
+				Low:         tick.Price,
+				Close:       tick.Price,
+				Volume:      tick.HomeNotional,
+				QuoteVolume: tick.ForeignNotional,
+				Closed:      false,
+			})
+
+			return
+		}
+
+		currentCandle = c.klines[interval][len(c.klines[interval])-1]
+
+		if tick.Price.Compare(currentCandle.High) > 0 {
+			high = tick.Price
+		} else {
+			high = currentCandle.High
+		}
+
+		if tick.Price.Compare(currentCandle.Low) < 0 {
+			low = tick.Price
+		} else {
+			low = currentCandle.Low
+		}
+
+		c.klines[interval][len(c.klines[interval])-1] = types.KLine{
+			StartTime:   currentCandle.StartTime,
+			EndTime:     currentCandle.EndTime,
+			Exchange:    tick.Exchange,
+			Symbol:      tick.Symbol,
+			Interval:    interval,
+			Open:        currentCandle.Open,
+			High:        high,
+			Low:         low,
+			Close:       tick.Price,
+			Volume:      currentCandle.Volume.Add(tick.HomeNotional),
+			QuoteVolume: currentCandle.QuoteVolume.Add(tick.ForeignNotional),
+			Closed:      false,
+		}
+	}
+
+	return
+}
+
+func (c *CSVTickConverter) detCandleStart(ts time.Time, interval types.Interval) (isOpen bool, t time.Time) {
+	if len(c.klines) == 0 {
+		return true, interval.Truncate(ts)
+	}
+
+	var end = c.LatestKLine(interval).EndTime.Time()
+	if ts.After(end) {
+		return true, end
+	}
+
+	return false, t
+}
+
+// appendMissingKLines appends an empty kline till startNext falls within a kline interval
+func (c *CSVTickConverter) addMissingKLines(
+	interval types.Interval,
+	startNext time.Time,
+) {
+	for {
+		last := c.LatestKLine(interval)
+		newEndTime := types.NewTimeFromUnix(
+			// one second is the smallest interval
+			last.EndTime.Time().Add(time.Duration(last.Interval.Seconds())*time.Second).Unix(),
+			0,
+		)
+		if last.EndTime.Time().Before(startNext) {
+			c.AddKLine(interval, types.KLine{
+				StartTime:   last.EndTime,
+				EndTime:     newEndTime,
+				Exchange:    last.Exchange,
+				Symbol:      last.Symbol,
+				Interval:    last.Interval,
+				Open:        last.Close,
+				High:        last.Close,
+				Low:         last.Close,
+				Close:       last.Close,
+				Volume:      0,
+				QuoteVolume: 0,
+				Closed:      true,
+			})
+		} else {
+			break
+		}
+	}
+}
--- a/pkg/datasource/csvsource/csv_tick_decoder.go
+++ b/pkg/datasource/csvsource/csv_tick_decoder.go
@ -0,0 +1,189 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"strconv"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// CSVTickDecoder is an extension point for CSVTickReader to support custom file formats.
+type CSVTickDecoder func(record []string, index int) (*CsvTick, error)
+
+// NewBinanceCSVTickReader creates a new CSVTickReader for Binance CSV files.
+func NewBinanceCSVTickReader(csv *csv.Reader) *CSVTickReader {
+	return &CSVTickReader{
+		csv:     csv,
+		decoder: BinanceCSVTickDecoder,
+	}
+}
+
+// BinanceCSVKLineDecoder decodes a CSV record from Binance into a CsvTick.
+func BinanceCSVTickDecoder(row []string, _ int) (*CsvTick, error) {
+	if len(row) < 5 {
+		return nil, ErrNotEnoughColumns
+	}
+	// example csv row for some reason some properties are duplicated in their csv
+	// id, price, qty, base_qty, base_qty, time, is_buyer_maker, is_buyer_maker,
+	// 11782578,6.00000000,1.00000000,14974844,14974844,1698623884463,True
+	id, err := strconv.ParseUint(row[0], 10, 64)
+	if err != nil {
+		return nil, ErrInvalidIDFormat
+	}
+	price, err := fixedpoint.NewFromString(row[1])
+	if err != nil {
+		return nil, ErrInvalidPriceFormat
+	}
+	qty, err := fixedpoint.NewFromString(row[2])
+	if err != nil {
+		return nil, ErrInvalidVolumeFormat
+	}
+	baseQty, err := fixedpoint.NewFromString(row[3])
+	if err != nil {
+		return nil, ErrInvalidVolumeFormat
+	}
+	isBuyerMaker, err := strconv.ParseBool(row[6])
+	if err != nil {
+		return nil, err
+	}
+	// isBuyerMaker=false trade will qualify as BUY.
+	side := types.SideTypeBuy
+	if isBuyerMaker {
+		side = types.SideTypeSell
+	}
+	n, err := strconv.ParseFloat(row[5], 64)
+	if err != nil {
+		return nil, ErrInvalidTimeFormat
+	}
+	ts := time.Unix(int64(n), 0)
+	return &CsvTick{
+		TradeID:         id,
+		Exchange:        types.ExchangeBinance,
+		Side:            side,
+		Size:            qty,
+		Price:           price,
+		IsBuyerMaker:    isBuyerMaker,
+		HomeNotional:    price.Mul(qty),
+		ForeignNotional: price.Mul(baseQty),
+		Timestamp:       types.NewMillisecondTimestampFromInt(ts.UnixMilli()),
+		// Symbol: must be overwritten - info not in csv,
+		// TickDirection: would need to keep last tick in memory to compare tick direction,
+	}, nil
+}
+
+// NewBinanceCSVTickReader creates a new CSVTickReader for Bybit CSV files.
+func NewBybitCSVTickReader(csv *csv.Reader) *CSVTickReader {
+	return &CSVTickReader{
+		csv:     csv,
+		decoder: BybitCSVTickDecoder,
+	}
+}
+
+// BybitCSVTickDecoder decodes a CSV record from Bybit into a CsvTick.
+func BybitCSVTickDecoder(row []string, index int) (*CsvTick, error) {
+	// example csv row
+	// timestamp,symbol,side,size,price,tickDirection,trdMatchID,grossValue,homeNotional,foreignNotional
+	// 1649054912,FXSUSDT,Buy,0.01,38.32,PlusTick,9c30abaf-80ae-5ebf-9850-58fe7ed4bac8,3.832e+07,0.01,0.3832
+	if len(row) < 9 {
+		return nil, ErrNotEnoughColumns
+	}
+	if index == 0 {
+		return nil, nil
+	}
+	side, err := types.StrToSideType(row[2])
+	if err != nil {
+		return nil, ErrInvalidOrderSideFormat
+	}
+	size, err := fixedpoint.NewFromString(row[3])
+	if err != nil {
+		return nil, ErrInvalidVolumeFormat
+	}
+	price, err := fixedpoint.NewFromString(row[4])
+	if err != nil {
+		return nil, ErrInvalidPriceFormat
+	}
+	hn, err := fixedpoint.NewFromString(row[8])
+	if err != nil {
+		return nil, ErrInvalidVolumeFormat
+	}
+	fn, err := fixedpoint.NewFromString(row[9])
+	if err != nil {
+		return nil, ErrInvalidVolumeFormat
+	}
+	n, err := strconv.ParseFloat(row[0], 64) // startTime eg 1696982287.4922
+	if err != nil {
+		return nil, ErrInvalidTimeFormat
+	}
+	ts := time.Unix(int64(n), 0)
+	return &CsvTick{
+		TradeID:         uint64(index),
+		Symbol:          row[1],
+		Exchange:        types.ExchangeBybit,
+		Side:            side,
+		Size:            size,
+		Price:           price,
+		HomeNotional:    hn,
+		ForeignNotional: fn,
+		TickDirection:   row[5], // todo does this seem promising to define for other exchanges too?
+		Timestamp:       types.NewMillisecondTimestampFromInt(ts.UnixMilli()),
+	}, nil
+}
+
+// NewOKExCSVTickReader creates a new CSVTickReader for OKEx CSV files.
+func NewOKExCSVTickReader(csv *csv.Reader) *CSVTickReader {
+	return &CSVTickReader{
+		csv:     csv,
+		decoder: OKExCSVTickDecoder,
+	}
+}
+
+// OKExCSVKLineDecoder decodes a CSV record from OKEx into a CsvTick.
+func OKExCSVTickDecoder(row []string, index int) (*CsvTick, error) {
+	if len(row) < 5 {
+		return nil, ErrNotEnoughColumns
+	}
+	if index == 0 {
+		return nil, nil
+	}
+	// example csv row for OKeX
+	// trade_id, side,	size,	price,	created_time
+	// 134642,	sell,	6.2638	6.507	1.69975E+12
+	id, err := strconv.ParseInt(row[0], 10, 64)
+	if err != nil {
+		return nil, ErrInvalidIDFormat
+	}
+	price, err := fixedpoint.NewFromString(row[3])
+	if err != nil {
+		return nil, ErrInvalidPriceFormat
+	}
+	qty, err := fixedpoint.NewFromString(row[2])
+	if err != nil {
+		return nil, ErrInvalidVolumeFormat
+	}
+	side := types.SideTypeBuy
+	isBuyerMaker := false
+	if row[1] == "sell" {
+		side = types.SideTypeSell
+		isBuyerMaker = true
+	}
+	n, err := strconv.ParseFloat(row[4], 64) // startTime
+	if err != nil {
+		return nil, ErrInvalidTimeFormat
+	}
+	ts := time.Unix(int64(n), 0)
+	return &CsvTick{
+		TradeID:      uint64(id),
+		Exchange:     types.ExchangeOKEx,
+		Side:         side,
+		Size:         qty,
+		Price:        price,
+		IsBuyerMaker: isBuyerMaker,
+		HomeNotional: price.Mul(qty),
+		Timestamp:    types.NewMillisecondTimestampFromInt(ts.UnixMilli()),
+		// ForeignNotional: // info not in csv
+		// Symbol: must be overwritten - info not in csv
+		// TickDirection: would need to keep last tick in memory to compare tick direction,
+	}, nil
+}
--- a/pkg/datasource/csvsource/csv_tick_reader.go
+++ b/pkg/datasource/csvsource/csv_tick_reader.go
@ -0,0 +1,66 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"io"
+)
+
+var _ TickReader = (*CSVTickReader)(nil)
+
+// CSVTickReader is a CSVTickReader that reads from a CSV file.
+type CSVTickReader struct {
+	csv     *csv.Reader
+	decoder CSVTickDecoder
+	ticks   []*CsvTick
+}
+
+// MakeCSVTickReader is a factory method type that creates a new CSVTickReader.
+type MakeCSVTickReader func(csv *csv.Reader) *CSVTickReader
+
+// NewCSVKLineReader creates a new CSVKLineReader with the default Binance decoder.
+func NewCSVTickReader(csv *csv.Reader) *CSVTickReader {
+	return &CSVTickReader{
+		csv:     csv,
+		decoder: BinanceCSVTickDecoder,
+	}
+}
+
+// NewCSVTickReaderWithDecoder creates a new CSVKLineReader with the given decoder.
+func NewCSVTickReaderWithDecoder(csv *csv.Reader, decoder CSVTickDecoder) *CSVTickReader {
+	return &CSVTickReader{
+		csv:     csv,
+		decoder: decoder,
+	}
+}
+
+// ReadAll reads all the KLines from the underlying CSV data.
+func (r *CSVTickReader) ReadAll() (ticks []*CsvTick, err error) {
+	var i int
+	for {
+		tick, err := r.Read(i)
+		if err == io.EOF {
+			break
+		}
+		if err != nil {
+			return nil, err
+		}
+		i++ // used as jump logic inside decoder to skip csv headers in case
+		if tick == nil {
+			continue
+		}
+
+		ticks = append(ticks, tick)
+	}
+
+	return ticks, nil
+}
+
+// Read reads the next KLine from the underlying CSV data.
+func (r *CSVTickReader) Read(i int) (*CsvTick, error) {
+	rec, err := r.csv.Read()
+	if err != nil {
+		return nil, err
+	}
+
+	return r.decoder(rec, i)
+}
--- a/pkg/datasource/csvsource/csv_tick_reader_test.go
+++ b/pkg/datasource/csvsource/csv_tick_reader_test.go
@ -0,0 +1,75 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"strings"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestCSVTickReader_ReadWithBinanceDecoder(t *testing.T) {
+	tests := []struct {
+		name string
+		give string
+		want *CsvTick
+		err  error
+	}{
+		{
+			name: "Read Tick",
+			give: "11782578,6.00000000,1.00000000,14974844,14974844,1698623884463,True,True",
+			want: &CsvTick{
+				Timestamp:    types.NewMillisecondTimestampFromInt(1698623884463),
+				Size:         Number(1),
+				Price:        Number(6),
+				HomeNotional: Number(6),
+			},
+			err: nil,
+		},
+		{
+			name: "Not enough columns",
+			give: "1609459200000,28923.63000000,29031.34000000",
+			want: nil,
+			err:  ErrNotEnoughColumns,
+		},
+		{
+			name: "Invalid time format",
+			give: "11782578,6.00000000,1.00000000,14974844,14974844,23/12/2021,True,True",
+			want: nil,
+			err:  ErrInvalidTimeFormat,
+		},
+		{
+			name: "Invalid price format",
+			give: "11782578,sixty,1.00000000,14974844,14974844,1698623884463,True,True",
+			want: nil,
+			err:  ErrInvalidPriceFormat,
+		},
+		{
+			name: "Invalid size format",
+			give: "11782578,1.00000000,one,14974844,14974844,1698623884463,True,True",
+			want: nil,
+			err:  ErrInvalidVolumeFormat,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			reader := NewBinanceCSVTickReader(csv.NewReader(strings.NewReader(tt.give)))
+			tick, err := reader.Read(0)
+			if err == nil {
+				assertTickEqual(t, tt.want, tick)
+			}
+			assert.Equal(t, tt.err, err)
+		})
+	}
+}
+
+func assertTickEqual(t *testing.T, exp, act *CsvTick) {
+	assert.Equal(t, exp.Timestamp.Time(), act.Timestamp.Time())
+	assert.Equal(t, 0, exp.Price.Compare(act.Price))
+	assert.Equal(t, 0, exp.Size.Compare(act.Size))
+	assert.Equal(t, 0, exp.HomeNotional.Compare(act.HomeNotional))
+}
--- a/pkg/datasource/csvsource/read_klines.go
+++ b/pkg/datasource/csvsource/read_klines.go
@ -0,0 +1,59 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"io/fs"
+	"os"
+	"path/filepath"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// KLineReader is an interface for reading candlesticks.
+type KLineReader interface {
+	Read(interval time.Duration) (types.KLine, error)
+	ReadAll(interval time.Duration) ([]types.KLine, error)
+}
+
+// ReadKLinesFromCSV reads all the .csv files in a given directory or a single file into a slice of KLines.
+// Wraps a default CSVKLineReader with Binance decoder for convenience.
+// For finer grained memory management use the base kline reader.
+func ReadKLinesFromCSV(path string, interval time.Duration) ([]types.KLine, error) {
+	return ReadKLinesFromCSVWithDecoder(path, interval, MakeCSVKLineReader(NewBinanceCSVKLineReader))
+}
+
+// ReadKLinesFromCSVWithDecoder permits using a custom CSVKLineReader.
+func ReadKLinesFromCSVWithDecoder(path string, interval time.Duration, maker MakeCSVKLineReader) ([]types.KLine, error) {
+	var klines []types.KLine
+
+	err := filepath.WalkDir(path, func(path string, d fs.DirEntry, err error) error {
+		if err != nil {
+			return err
+		}
+		if d.IsDir() {
+			return nil
+		}
+		if filepath.Ext(path) != ".csv" {
+			return nil
+		}
+		file, err := os.Open(path)
+		if err != nil {
+			return err
+		}
+		//nolint:errcheck // Read ops only so safe to ignore err return
+		defer file.Close()
+		reader := maker(csv.NewReader(file))
+		newKlines, err := reader.ReadAll(interval)
+		if err != nil {
+			return err
+		}
+		klines = append(klines, newKlines...)
+		return nil
+	})
+	if err != nil {
+		return nil, err
+	}
+
+	return klines, nil
+}
--- a/pkg/datasource/csvsource/read_klines_test.go
+++ b/pkg/datasource/csvsource/read_klines_test.go
@ -0,0 +1,21 @@
+package csvsource
+
+import (
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func TestReadKLinesFromCSV(t *testing.T) {
+	klines, err := ReadKLinesFromCSV("./testdata/binance/BTCUSDT-1h-2023-11-18.csv", time.Hour)
+	assert.NoError(t, err)
+	assert.Len(t, klines, 24)
+	assert.Equal(t, int64(1700265600), klines[0].StartTime.Unix(), "StartTime")
+	assert.Equal(t, int64(1700269200), klines[0].EndTime.Unix(), "EndTime")
+	assert.Equal(t, 36613.91, klines[0].Open.Float64(), "Open")
+	assert.Equal(t, 36613.92, klines[0].High.Float64(), "High")
+	assert.Equal(t, 36388.12, klines[0].Low.Float64(), "Low")
+	assert.Equal(t, 36400.01, klines[0].Close.Float64(), "Close")
+	assert.Equal(t, 1005.75727, klines[0].Volume.Float64(), "Volume")
+}
--- a/pkg/datasource/csvsource/read_ticks.go
+++ b/pkg/datasource/csvsource/read_ticks.go
@ -0,0 +1,89 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"io/fs"
+	"os"
+	"path/filepath"
+	"sort"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// TickReader is an interface for reading candlesticks.
+type TickReader interface {
+	Read(i int) (*CsvTick, error)
+	ReadAll() (ticks []*CsvTick, err error)
+}
+
+// ReadTicksFromCSV reads all the .csv files in a given directory or a single file into a slice of Ticks.
+// Wraps a default CSVTickReader with Binance decoder for convenience.
+// For finer grained memory management use the base kline reader.
+func ReadTicksFromCSV(
+	path, symbol string,
+	intervals []types.Interval,
+) (
+	klineMap map[types.Interval][]types.KLine,
+	err error,
+) {
+	return ReadTicksFromCSVWithDecoder(
+		path,
+		symbol,
+		intervals,
+		MakeCSVTickReader(NewBinanceCSVTickReader),
+	)
+}
+
+// ReadTicksFromCSVWithDecoder permits using a custom CSVTickReader.
+func ReadTicksFromCSVWithDecoder(
+	path, symbol string,
+	intervals []types.Interval,
+	maker MakeCSVTickReader,
+) (
+	klineMap map[types.Interval][]types.KLine,
+	err error,
+) {
+	converter := NewCSVTickConverter(intervals)
+	ticks := []*CsvTick{}
+	// read all ticks into memory
+	err = filepath.WalkDir(path, func(path string, d fs.DirEntry, err error) error {
+		if err != nil {
+			return err
+		}
+		if d.IsDir() {
+			return nil
+		}
+		if filepath.Ext(path) != ".csv" {
+			return nil
+		}
+		file, err := os.Open(path)
+		if err != nil {
+			return err
+		}
+		//nolint:errcheck // Read ops only so safe to ignore err return
+		defer file.Close()
+		reader := maker(csv.NewReader(file))
+		newTicks, err := reader.ReadAll()
+		if err != nil {
+			return err
+		}
+		ticks = append(ticks, newTicks...)
+
+		return nil
+	})
+
+	if err != nil {
+		return nil, err
+	}
+	// sort ticks by timestamp (okex sorts csv by price ascending ;(
+	sort.Slice(ticks, func(i, j int) bool {
+		return ticks[i].Timestamp.Time().Before(ticks[j].Timestamp.Time())
+	})
+
+	for _, tick := range ticks {
+		tick.Symbol = symbol
+		converter.CsvTickToKLine(tick)
+	}
+
+	return converter.GetKLineResults(), nil
+}
--- a/pkg/datasource/csvsource/read_ticks_test.go
+++ b/pkg/datasource/csvsource/read_ticks_test.go
@ -0,0 +1,67 @@
+package csvsource
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestReadTicksFromBinanceCSV(t *testing.T) {
+	path := "./testdata/binance/FXSUSDT-ticks-2023-10-29.csv"
+	symbol := "FXSUSDT"
+	intervals := []types.Interval{types.Interval1h}
+	klineMap, err := ReadTicksFromCSVWithDecoder(
+		path, symbol, intervals, MakeCSVTickReader(NewBinanceCSVTickReader),
+	)
+	klines := klineMap[types.Interval1h]
+	assert.NoError(t, err)
+	assert.Len(t, klines, 1)
+	assert.Equal(t, int64(1698620400), klines[0].StartTime.Unix(), "StartTime")
+	assert.Equal(t, int64(1698624000), klines[0].EndTime.Unix(), "EndTime")
+	assert.Equal(t, 6.0, klines[0].Open.Float64(), "Open")
+	assert.Equal(t, 6.0, klines[0].High.Float64(), "High")
+	assert.Equal(t, 6.0, klines[0].Low.Float64(), "Low")
+	assert.Equal(t, 6.0, klines[0].Close.Float64(), "Close")
+	assert.Equal(t, 111.0, klines[0].Volume.Float64(), "Volume")
+}
+
+func TestReadTicksFromBybitCSV(t *testing.T) {
+	path := "./testdata/bybit/FXSUSDT2023-10-10.csv"
+	symbol := "FXSUSDT"
+	intervals := []types.Interval{types.Interval1h}
+	klineMap, err := ReadTicksFromCSVWithDecoder(
+		path, symbol, intervals, MakeCSVTickReader(NewBybitCSVTickReader),
+	)
+	klines := klineMap[types.Interval1h]
+	assert.NoError(t, err)
+	assert.Len(t, klines, 1)
+	assert.Equal(t, int64(1696978800), klines[0].StartTime.Unix(), "StartTime")
+	assert.Equal(t, int64(1696982400), klines[0].EndTime.Unix(), "EndTime")
+	assert.Equal(t, 5.239, klines[0].Open.Float64(), "Open")
+	assert.Equal(t, 5.2495, klines[0].High.Float64(), "High")
+	assert.Equal(t, 5.239, klines[0].Low.Float64(), "Low")
+	assert.Equal(t, 5.2495, klines[0].Close.Float64(), "Close")
+	assert.Equal(t, 147.05, klines[0].Volume.Float64(), "Volume")
+}
+
+func TestReadTicksFromOkexCSV(t *testing.T) {
+	path := "./testdata/okex/BTC-USDT-aggtrades-2023-11-18.csv"
+	symbol := "BTCUSDT"
+	intervals := []types.Interval{types.Interval1h}
+	klineMap, err := ReadTicksFromCSVWithDecoder(
+		path, symbol, intervals, MakeCSVTickReader(NewOKExCSVTickReader),
+	)
+	klines := klineMap[types.Interval1h]
+	assert.NoError(t, err)
+	assert.Len(t, klines, 1)
+	assert.Equal(t, int64(1700236800), klines[0].StartTime.Unix(), "StartTime")
+	assert.Equal(t, int64(1700240400), klines[0].EndTime.Unix(), "EndTime")
+	assert.Equal(t, 35910.6, klines[0].Open.Float64(), "Open")
+	assert.Equal(t, 35914.4, klines[0].High.Float64(), "High")
+	assert.Equal(t, 35910.6, klines[0].Low.Float64(), "Low")
+	assert.Equal(t, 35914.4, klines[0].Close.Float64(), "Close")
+	assert.Equal(t, 51525.38700081, klines[0].Volume.Float64(), "Volume")
+
+}
--- a/pkg/datasource/csvsource/testdata/binance/BTCUSDT-1h-2023-11-18.csv
+++ b/pkg/datasource/csvsource/testdata/binance/BTCUSDT-1h-2023-11-18.csv
@ -0,0 +1,24 @@
+1.70027E+12,36613.91,36613.92,36388.12,36400.01,1005.75727,1.70027E+12,36712312.49831390,35985,440.81212,16088534.76584510,0
+1.70027E+12,36400.01,36456.53,36377.88,36405.46,507.51514,1.70027E+12,18486014.80771630,25492,236.98883,8631509.902,0
+1.70027E+12,36405.47,36447.75,36390.44,36408.09,341.53256,1.70028E+12,12438100.14362490,19727,163.41072,5951076.256,0
+1.70028E+12,36408.1,36424.01,36360.22,36371.81,444.73045,1.70028E+12,16180477.67130620,25089,207.88416,7562956.27,0
+1.70028E+12,36371.8,36426.51,36369.45,36369.45,378.50007,1.70028E+12,13775839.75999540,20728,197.99667,7205858.497,0
+1.70028E+12,36369.45,36378.65,36303.98,36334,629.09574,1.70029E+12,22862757.37912180,33883,269.3097,9787132.913,0
+1.70029E+12,36334.01,36361.1,36250.01,36252,615.52755,1.70029E+12,22350527.58640450,30392,238.90543,8675479.987,0
+1.70029E+12,36251.99,36428,36178.58,36417.16,1191.24433,1.70029E+12,43265058.27238300,41466,628.67499,22834722.23764540,0
+1.70029E+12,36417.15,36479.22,36375.28,36448.01,600.66262,1.7003E+12,21883116.44525150,29227,301.84047,10996141.34025750,0
+1.7003E+12,36448,36453.09,36392,36397.45,398.07607,1.7003E+12,14499345.43090060,22193,159.60456,5813290.376,0
+1.7003E+12,36397.44,36486.48,36397.44,36472.46,601.46574,1.70031E+12,21917527.53081410,24881,354.42545,12916946.80705190,0
+1.70031E+12,36472.46,36538.61,36400,36402.8,549.76216,1.70031E+12,20053594.27145890,29706,248.4342,9062453.31,0
+1.70031E+12,36402.79,36484.31,36393.44,36449.3,513.24545,1.70031E+12,18705069.10380380,26631,244.2024,8898609.715,0
+1.70031E+12,36449.3,36483.13,36347.69,36430.21,887.7206,1.70032E+12,32327899.78688460,41973,391.19851,14246544.95513180,0
+1.70032E+12,36430.21,36568.76,36421.1,36507.03,803.12819,1.70032E+12,29307346.75876810,36941,447.83113,16341815.04367800,0
+1.70032E+12,36507.04,36682.2,36505.14,36664.16,1440.91018,1.70032E+12,52738306.52534310,50174,755.06676,27635771.88129150,0
+1.70032E+12,36664.17,36845.49,36639.96,36674,1669.58835,1.70033E+12,61326939.61543430,61313,823.2455,30239331.84409360,0
+1.70033E+12,36674,36701.76,36600.1,36620,933.50168,1.70033E+12,34203500.13911480,39514,402.07999,14731130.96536590,0
+1.70033E+12,36620.01,36745.5,36611.47,36707.19,583.0753,1.70033E+12,21373512.11709470,29144,289.6688,10617175.15516390,0
+1.70033E+12,36707.18,36768,36653.51,36679.1,598.67548,1.70034E+12,21974467.38315690,31067,277.3739,10180364.08398050,0
+1.70034E+12,36679.09,36707.16,36536.08,36598,779.88183,1.70034E+12,28546655.20047820,43054,314.94592,11526766.07883920,0
+1.70034E+12,36597.99,36611.78,36524.31,36542.01,581.49791,1.70034E+12,21265094.72761260,36319,230.4279,8425965.352,0
+1.70034E+12,36542.01,36556.56,36443.1,36506,543.12589,1.70035E+12,19821336.79152930,27472,245.46068,8956420.024,0
+1.70035E+12,36506,36571.33,36498.34,36568.1,504.0213,1.70035E+12,18419269.57915190,22127,231.75877,8469107.669,0
--- a/pkg/datasource/csvsource/testdata/binance/FXSUSDT-ticks-2023-10-29.csv
+++ b/pkg/datasource/csvsource/testdata/binance/FXSUSDT-ticks-2023-10-29.csv
@ -0,0 +1,5 @@
+11782578,6.00000000,1.00000000,14974844,14974844,1698623884463,True,True
+11782579,6.00000000,1.00000000,14974845,14974845,1698623884666,True,True
+11782580,6.00000000,1.00000000,14974846,14974846,1698623893793,True,True
+11782581,6.00000000,5.00000000,14974847,14974847,1698623920955,True,True
+11782582,6.00000000,10.50000000,14974848,14974848,1698623939783,False,True
--- a/pkg/datasource/csvsource/testdata/bybit/FXSUSDT-ticks-2023-10-10.csv
+++ b/pkg/datasource/csvsource/testdata/bybit/FXSUSDT-ticks-2023-10-10.csv
@ -0,0 +1,16 @@
+timestamp,symbol,side,size,price,tickDirection,trdMatchID,grossValue,homeNotional,foreignNotional
+1696982287.4922,FXSUSDT,Sell,0.86,5.2390,ZeroMinusTick,f7496ecb-b174-51b9-ba56-150186ba6c27,4.50554e+08,0.86,4.50554
+1696982322.0561,FXSUSDT,Buy,0.13,5.2395,PlusTick,2089f1f4-d890-5762-a652-49a743fab436,6.81135e+07,0.13,0.6811349999999999
+1696982333.0308,FXSUSDT,Buy,48.9,5.2420,PlusTick,8e7d405a-0003-5aa1-972d-46b08fe520c0,2.563338e+10,48.9,256.3338
+1696982333.0377,FXSUSDT,Buy,0.77,5.2425,PlusTick,9f250e94-da5b-5a94-9126-084e46c9c692,4.0367249999999994e+08,0.77,4.036725
+1696982359.7441,FXSUSDT,Buy,0.12,5.2450,PlusTick,08a0c666-da06-53f6-8eec-9d3462582b4f,6.293999999999999e+07,0.12,0.6294
+1696982359.7441,FXSUSDT,Buy,0.19,5.2450,ZeroMinusTick,8a61753b-2a8e-5881-8e9b-9ad66806ee23,9.9655e+07,0.19,0.99655
+1696982359.7443,FXSUSDT,Buy,12.12,5.2450,ZeroMinusTick,34b2f272-2f68-5d0a-a4ad-6c02f5342ca1,6.356939999999999e+09,12.12,63.569399999999995
+1696982359.7443,FXSUSDT,Buy,2.19,5.2450,ZeroMinusTick,0cae9717-0fe1-51dd-bb10-1a61d5e83d98,1.148655e+09,2.19,11.48655
+1696982359.7449,FXSUSDT,Buy,35.66,5.2450,ZeroMinusTick,0a5f0734-af3a-5439-9f17-d98ce7ea4f24,1.870367e+10,35.66,187.0367
+1696982359.7512,FXSUSDT,Buy,10.97,5.2450,ZeroMinusTick,d8529e38-d3f5-5a7a-97f7-55cf3335de77,5.753765000000001e+09,10.97,57.537650000000006
+1696982359.7512,FXSUSDT,Buy,22.97,5.2450,ZeroMinusTick,44361b86-78e1-533b-a3d0-7dd12d538992,1.2047765e+10,22.97,120.47765
+1696982369.5962,FXSUSDT,Buy,0.05,5.2470,PlusTick,6800a047-b6e5-520a-9817-eb4d463a3cce,2.6235000000000004e+07,0.05,0.26235
+1696982389.6288,FXSUSDT,Buy,0.02,5.2495,PlusTick,a4bc238f-3e6a-58a3-a012-1342563c2ced,1.0499000000000002e+07,0.02,0.10499000000000001
+1696982389.6288,FXSUSDT,Buy,6.06,5.2495,ZeroMinusTick,eb27200e-c34e-537a-a0a0-4636dab66f07,3.181197e+09,6.06,31.81197
+1696982389.6297,FXSUSDT,Buy,6.04,5.2495,ZeroMinusTick,c6badf81-05c5-5b35-b932-3c71941340fb,3.170698e+09,6.04,31.70698
--- a/pkg/datasource/csvsource/testdata/okex/BTC-USDT-aggtrades-2023-11-18.csv
+++ b/pkg/datasource/csvsource/testdata/okex/BTC-USDT-aggtrades-2023-11-18.csv
@ -0,0 +1,16 @@
+trade_id/<2F><><EFBFBD>id,side/<2F><><EFBFBD>׷<EFBFBD><D7B7><EFBFBD>,size/<2F><><EFBFBD><EFBFBD>,price/<2F>۸<EFBFBD>,created_time/<2F>ɽ<EFBFBD>ʱ<EFBFBD><CAB1>
+450372093,buy,0.00418025,35910.6,1700239042832
+450372094,buy,0.0104,35911.9,1700239043163
+450372860,buy,0.17316796,35911.9,1700239133047
+450372095,buy,0.2227,35912.3,1700239043283
+450372874,buy,0.63393,35913.4,1700239135563
+450372876,buy,0.01751154,35913.6,1700239135563
+450372096,buy,0.0478082,35913.7,1700239043339
+450372877,buy,0.00030629,35913.7,1700239135563
+450372878,buy,0.00030629,35913.8,1700239135563
+450372880,buy,0.32111425,35913.9,1700239135563
+450372881,buy,0.00027844,35914.0,1700239135563
+450372882,buy,0.00058473,35914.2,1700239135563
+450372032,buy,0.00132007,35914.3,1700239040621
+450372883,buy,0.00058473,35914.3,1700239135563
+450372884,buy,0.00052904,35914.4,1700239135563
--- a/pkg/datasource/csvsource/tick_downloader.go
+++ b/pkg/datasource/csvsource/tick_downloader.go
@ -0,0 +1,280 @@
+package csvsource
+
+import (
+	"archive/zip"
+	"bytes"
+	"compress/gzip"
+	"errors"
+	"fmt"
+	"io"
+	"net/http"
+	"os"
+	"path/filepath"
+	"strings"
+	"time"
+
+	log "github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/exchange/kucoin"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type MarketType string
+type DataType string
+
+const (
+	SPOT      MarketType = "spot"
+	FUTURES   MarketType = "futures"
+	TRADES    DataType   = "trades"
+	AGGTRADES DataType   = "aggTrades"
+	// todo could be extended to:
+
+	// LEVEL2 = 2
+	// https://data.binance.vision/data/futures/um/daily/bookTicker/ADAUSDT/ADAUSDT-bookTicker-2023-11-19.zip
+	// update_id	best_bid_price	best_bid_qty	best_ask_price	best_ask_qty	transaction_time	event_time
+	// 3.52214E+12	0.3772	        1632	        0.3773	        67521	        1.70035E+12	        1.70035E+12
+
+	// METRICS = 3
+	// https://data.binance.vision/data/futures/um/daily/metrics/ADAUSDT/ADAUSDT-metrics-2023-11-19.zip
+	// 	create_time	        symbol	sum_open_interest	sum_open_interest_value	count_toptrader_long_short_ratio	sum_toptrader_long_short_ratio	count_long_short_ratio	sum_taker_long_short_vol_ratio
+	//  19/11/2023 00:00	ADAUSDT	141979878.00000000	53563193.89339590	    2.33412322	                        1.21401178	                    2.46604727	            0.55265805
+
+	// KLINES    DataType = 4
+	// https://public.bybit.com/kline_for_metatrader4/BNBUSDT/2021/BNBUSDT_15_2021-07-01_2021-07-31.csv.gz
+	// only few symbols but supported interval options 1m/ 5m/ 15m/ 30m/ 60m/ and only monthly
+
+	// https://data.binance.vision/data/futures/um/daily/klines/1INCHBTC/30m/1INCHBTC-30m-2023-11-18.zip
+	// supported interval options 1s/ 1m/ 3m/ 5m/ 15m/ 30m/ 1h/ 2h/ 4h/ 6h/ 8h/ 12h/ 1d/ daily or monthly futures
+
+	// this might be useful for backtesting against mark or index price
+	// especially index price can be used across exchanges
+	// https://data.binance.vision/data/futures/um/daily/indexPriceKlines/ADAUSDT/1h/ADAUSDT-1h-2023-11-19.zip
+	// https://data.binance.vision/data/futures/um/daily/markPriceKlines/ADAUSDT/1h/ADAUSDT-1h-2023-11-19.zip
+
+	// OKex or Bybit do not support direct kLine, metrics or level2 csv download
+
+)
+
+func Download(
+	path, symbol string,
+	exchange types.ExchangeName,
+	market MarketType,
+	granularity DataType,
+	since, until time.Time,
+) (err error) {
+	for {
+		var (
+			fileName = fmt.Sprintf("%s-%s.csv", symbol, since.Format("2006-01-02"))
+		)
+
+		if fileExists(filepath.Join(path, fileName)) {
+			since = since.AddDate(0, 0, 1)
+			continue
+		}
+
+		var url, err = buildURL(exchange, symbol, market, granularity, fileName, since)
+		if err != nil {
+			log.Error(err)
+			break
+		}
+
+		log.Info("fetching ", url)
+
+		csvContent, err := readCSVFromUrl(exchange, url)
+		if err != nil {
+			log.Error(err)
+			break
+		}
+
+		err = write(csvContent, fmt.Sprintf("%s/%s", path, granularity), fileName)
+		if err != nil {
+			log.Error(err)
+			break
+		}
+
+		since = since.AddDate(0, 0, 1)
+		if since.After(until) {
+			break
+		}
+	}
+
+	return err
+}
+
+func buildURL(
+	exchange types.ExchangeName,
+	symbol string,
+	market MarketType,
+	granularity DataType,
+	fileName string,
+	start time.Time,
+) (url string, err error) {
+	switch exchange {
+	case types.ExchangeBybit:
+		// bybit doesn't seem to differentiate between spot and futures market or trade type in their csv dumps ;(
+		url = fmt.Sprintf("https://public.bybit.com/trading/%s/%s%s.csv.gz",
+			symbol,
+			symbol,
+			start.Format("2006-01-02"),
+		)
+	case types.ExchangeBinance:
+		marketType := "spot"
+		if market == FUTURES {
+			marketType = "futures/um"
+		}
+		dataType := "aggTrades"
+		if granularity == TRADES {
+			dataType = "trades"
+		}
+		url = fmt.Sprintf("https://data.binance.vision/data/%s/daily/%s/%s/%s-%s-%s.zip",
+			marketType,
+			dataType,
+			symbol,
+			symbol,
+			dataType,
+			start.Format("2006-01-02"))
+
+	case types.ExchangeOKEx:
+		// todo temporary find a better solution ?!
+		coins := strings.Split(kucoin.ToLocalSymbol(symbol), "-")
+		if len(coins) == 0 {
+			err = fmt.Errorf("%s not supported yet for OKEx.. care to fix it? PR's welcome ;)", symbol)
+			return
+		}
+		baseCoin := coins[0]
+		quoteCoin := coins[1]
+		marketType := "" // for spot market
+		if market == FUTURES {
+			marketType = "-SWAP"
+		}
+		dataType := "aggtrades"
+		if granularity == TRADES {
+			dataType = "trades"
+		}
+		url = fmt.Sprintf("https://static.okx.com/cdn/okex/traderecords/%s/daily/%s/%s-%s%s-%s-%s.zip",
+			dataType,
+			start.Format("20060102"),
+			baseCoin,
+			quoteCoin,
+			marketType,
+			dataType,
+			start.Format("2006-01-02"))
+	default:
+		err = fmt.Errorf("%s not supported yet as csv data source.. care to fix it? PR's welcome ;)", exchange.String())
+	}
+
+	return url, err
+}
+
+func readCSVFromUrl(exchange types.ExchangeName, url string) (csvContent []byte, err error) {
+	resp, err := http.Get(url)
+	if err != nil {
+		return nil, fmt.Errorf("http get error, url %s: %w", url, err)
+	}
+	defer resp.Body.Close()
+
+	body, err := io.ReadAll(resp.Body)
+	if err != nil {
+		return nil, fmt.Errorf("unable to read response: %w", err)
+	}
+
+	switch exchange {
+	case types.ExchangeBybit:
+		csvContent, err = gunzip(body)
+		if err != nil {
+			return nil, fmt.Errorf("gunzip data %s: %w", exchange, err)
+		}
+
+	case types.ExchangeBinance:
+		csvContent, err = unzip(body)
+		if err != nil {
+			return nil, fmt.Errorf("unzip data %s: %w", exchange, err)
+		}
+
+	case types.ExchangeOKEx:
+		csvContent, err = unzip(body)
+		if err != nil {
+			return nil, fmt.Errorf("unzip data %s: %w", exchange, err)
+		}
+	}
+
+	return csvContent, nil
+}
+
+func write(content []byte, path, fileName string) error {
+
+	if _, err := os.Stat(path); errors.Is(err, os.ErrNotExist) {
+		err := os.MkdirAll(path, os.ModePerm)
+		if err != nil {
+			return fmt.Errorf("mkdir %s: %w", path, err)
+		}
+	}
+
+	dest := filepath.Join(path, fileName)
+
+	err := os.WriteFile(dest, content, 0666)
+	if err != nil {
+		return fmt.Errorf("write %s: %w", dest, err)
+	}
+
+	return nil
+}
+
+func unzip(data []byte) (resData []byte, err error) {
+	zipReader, err := zip.NewReader(bytes.NewReader(data), int64(len(data)))
+	if err != nil {
+		log.Error(err)
+	}
+
+	if zipReader == nil || len(zipReader.File) == 0 {
+		return nil, errors.New("no data to unzip")
+	}
+
+	// Read all the files from zip archive
+	for _, zipFile := range zipReader.File {
+		resData, err = readZipFile(zipFile)
+		if err != nil {
+			log.Error(err)
+			break
+		}
+	}
+
+	return
+}
+
+func readZipFile(zf *zip.File) ([]byte, error) {
+	f, err := zf.Open()
+	if err != nil {
+		return nil, err
+	}
+	defer f.Close()
+	return io.ReadAll(f)
+}
+
+func gunzip(data []byte) (resData []byte, err error) {
+	b := bytes.NewBuffer(data)
+
+	var r io.Reader
+	r, err = gzip.NewReader(b)
+	if err != nil {
+		return
+	}
+
+	var resB bytes.Buffer
+	_, err = resB.ReadFrom(r)
+	if err != nil {
+		return
+	}
+
+	resData = resB.Bytes()
+
+	return
+}
+
+func fileExists(fileName string) bool {
+	info, err := os.Stat(fileName)
+	if os.IsNotExist(err) {
+		return false
+	}
+	return !info.IsDir()
+}
--- a/pkg/datasource/csvsource/tick_downloader_test.go
+++ b/pkg/datasource/csvsource/tick_downloader_test.go
@ -0,0 +1,103 @@
+package csvsource
+
+import (
+	"fmt"
+	"os"
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type DownloadTester struct {
+	Exchange    types.ExchangeName
+	Reader      MakeCSVTickReader
+	Market      MarketType
+	Granularity DataType
+	Symbol      string
+	Path        string
+}
+
+var (
+	expectedCandles = []int{1440, 48, 24}
+	intervals       = []types.Interval{types.Interval1m, types.Interval30m, types.Interval1h}
+	until           = time.Now().Round(0)
+	since           = until.Add(-24 * time.Hour)
+)
+
+func Test_CSV_Download(t *testing.T) {
+	if _, ok := os.LookupEnv("TEST_CSV_DOWNLOADER"); !ok {
+		t.Skip()
+	}
+	var tests = []DownloadTester{
+		{
+			Exchange:    types.ExchangeBinance,
+			Reader:      NewBinanceCSVTickReader,
+			Market:      SPOT,
+			Granularity: AGGTRADES,
+			Symbol:      "FXSUSDT",
+			Path:        "testdata/binance/FXSUSDT",
+		},
+		{
+			Exchange:    types.ExchangeBybit,
+			Reader:      NewBybitCSVTickReader,
+			Market:      FUTURES,
+			Granularity: AGGTRADES,
+			Symbol:      "FXSUSDT",
+			Path:        "testdata/bybit/FXSUSDT",
+		},
+		{
+			Exchange:    types.ExchangeOKEx,
+			Reader:      NewOKExCSVTickReader,
+			Market:      SPOT,
+			Granularity: AGGTRADES,
+			Symbol:      "BTCUSDT",
+			Path:        "testdata/okex/BTCUSDT",
+		},
+	}
+
+	for _, tt := range tests {
+		err := Download(
+			tt.Path,
+			tt.Symbol,
+			tt.Exchange,
+			tt.Market,
+			tt.Granularity,
+			since,
+			until,
+		)
+		assert.NoError(t, err)
+
+		klineMap, err := ReadTicksFromCSVWithDecoder(
+			tt.Path,
+			tt.Symbol,
+			intervals,
+			MakeCSVTickReader(tt.Reader),
+		)
+		assert.NoError(t, err)
+
+		for i, interval := range intervals {
+			klines := klineMap[interval]
+
+			assert.Equal(
+				t,
+				expectedCandles[i],
+				len(klines),
+				fmt.Sprintf("%s: %s/%s should have %d kLines",
+					tt.Exchange.String(),
+					tt.Symbol,
+					interval.String(),
+					expectedCandles[i],
+				),
+			)
+
+			err = WriteKLines(tt.Path, tt.Symbol, klines)
+			assert.NoError(t, err)
+		}
+
+		err = os.RemoveAll(tt.Path)
+		assert.NoError(t, err)
+	}
+}
--- a/pkg/datasource/csvsource/types.go
+++ b/pkg/datasource/csvsource/types.go
@ -0,0 +1,51 @@
+package csvsource
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type CsvConfig struct {
+	Market      MarketType `json:"market"`
+	Granularity DataType   `json:"granularity"`
+}
+
+type CsvTick struct {
+	Exchange        types.ExchangeName `json:"exchange"`
+	Market          MarketType         `json:"market"`
+	TradeID         uint64             `json:"tradeID"`
+	Symbol          string             `json:"symbol"`
+	TickDirection   string             `json:"tickDirection"`
+	Side            types.SideType     `json:"side"`
+	IsBuyerMaker    bool
+	Size            fixedpoint.Value           `json:"size"`
+	Price           fixedpoint.Value           `json:"price"`
+	HomeNotional    fixedpoint.Value           `json:"homeNotional"`
+	ForeignNotional fixedpoint.Value           `json:"foreignNotional"`
+	Timestamp       types.MillisecondTimestamp `json:"timestamp"`
+}
+
+func (c *CsvTick) ToGlobalTrade() (*types.Trade, error) {
+	var isFutures bool
+	if c.Market == FUTURES {
+		isFutures = true
+	}
+	return &types.Trade{
+		ID: c.TradeID,
+		// OrderID:    // not implemented
+		Exchange:      c.Exchange,
+		Price:         c.Price,
+		Quantity:      c.Size,
+		QuoteQuantity: c.Price.Mul(c.Size), // todo this does not seem right use of propert.. looses info on foreign notional
+		Symbol:        c.Symbol,
+		Side:          c.Side,
+		IsBuyer:       c.Side == types.SideTypeBuy,
+		IsMaker:       c.IsBuyerMaker,
+		Time:          types.Time(c.Timestamp),
+		// Fee:           trade.ExecFee, // info is overwritten by stream?
+		// FeeCurrency:   trade.FeeTokenId,
+		IsFutures:  isFutures,
+		IsMargin:   false,
+		IsIsolated: false,
+	}, nil
+}
--- a/pkg/datasource/csvsource/write_klines.go
+++ b/pkg/datasource/csvsource/write_klines.go
@ -0,0 +1,77 @@
+package csvsource
+
+import (
+	"encoding/csv"
+	"fmt"
+	"os"
+
+	"github.com/pkg/errors"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// WriteKLines writes csv to path.
+func WriteKLines(path, symbol string, klines []types.KLine) (err error) {
+	if len(klines) == 0 {
+		return fmt.Errorf("no klines to write")
+	}
+	from := klines[0].StartTime.Time()
+	end := klines[len(klines)-1].EndTime.Time()
+	to := ""
+	if from.AddDate(0, 0, 1).After(end) {
+		to = "-" + end.Format("2006-01-02")
+	}
+
+	path = fmt.Sprintf("%s/klines/%s",
+		path,
+		klines[0].Interval.String(),
+	)
+
+	fileName := fmt.Sprintf("%s/%s-%s%s.csv",
+		path,
+		symbol,
+		from.Format("2006-01-02"),
+		to,
+	)
+
+	if _, err := os.Stat(path); errors.Is(err, os.ErrNotExist) {
+		err := os.MkdirAll(path, os.ModePerm)
+		if err != nil {
+			return fmt.Errorf("mkdir %s: %w", path, err)
+		}
+	}
+
+	file, err := os.Create(fileName)
+	if err != nil {
+		return errors.Wrap(err, "failed to open file")
+	}
+	defer func() {
+		err = file.Close()
+		if err != nil {
+			panic("failed to close file")
+		}
+	}()
+
+	w := csv.NewWriter(file)
+	defer w.Flush()
+
+	// Using Write
+	for _, kline := range klines {
+		row := []string{
+			fmt.Sprintf("%d", kline.StartTime.Unix()),
+			kline.Open.String(),
+			kline.High.String(),
+			kline.Low.String(),
+			kline.Close.String(),
+			kline.Volume.String(),
+		}
+		if err := w.Write(row); err != nil {
+			return errors.Wrap(err, "writing record to file")
+		}
+	}
+	if err != nil {
+		return err
+	}
+
+	return nil
+}
--- a/pkg/datatype/floats/slice.go
+++ b/pkg/datatype/floats/slice.go
@ -112,18 +112,6 @@ func (s Slice) Average() float64 {
 	return total / float64(len(s))
 }

-func (s Slice) AverageSquared() float64 {
-	if len(s) == 0 {
-		return 0.0
-	}
-
-	total := 0.0
-	for _, value := range s {
-		total += math.Pow(value, 2)
-	}
-	return total / float64(len(s))
-}
-
 func (s Slice) Diff() (values Slice) {
 	for i, v := range s {
 		if i == 0 {
--- a/pkg/exchange/kucoin/convert.go
+++ b/pkg/exchange/kucoin/convert.go
@ -115,10 +115,10 @@ func convertSubscriptions(ss []types.Subscription) ([]WebSocketCommand, error) {
 		switch s.Channel {
 		case types.BookChannel:
 			// see https://docs.kucoin.com/#level-2-market-data
-			subscribeTopic = "/market/level2" + ":" + toLocalSymbol(s.Symbol)
+			subscribeTopic = "/market/level2" + ":" + ToLocalSymbol(s.Symbol)

 		case types.KLineChannel:
-			subscribeTopic = "/market/candles" + ":" + toLocalSymbol(s.Symbol) + "_" + toLocalInterval(types.Interval(s.Options.Interval))
+			subscribeTopic = "/market/candles" + ":" + ToLocalSymbol(s.Symbol) + "_" + toLocalInterval(types.Interval(s.Options.Interval))

 		default:
 			return nil, fmt.Errorf("websocket channel %s is not supported by kucoin", s.Channel)
--- a/pkg/exchange/kucoin/exchange.go
+++ b/pkg/exchange/kucoin/exchange.go
@ -165,7 +165,7 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type
 	}

 	req := e.client.MarketDataService.NewGetKLinesRequest()
-	req.Symbol(toLocalSymbol(symbol))
+	req.Symbol(ToLocalSymbol(symbol))
 	req.Interval(toLocalInterval(interval))
 	if options.StartTime != nil {
 		req.StartAt(*options.StartTime)
@ -208,7 +208,7 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval type

 func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error) {
 	req := e.client.TradeService.NewPlaceOrderRequest()
-	req.Symbol(toLocalSymbol(order.Symbol))
+	req.Symbol(ToLocalSymbol(order.Symbol))
 	req.Side(toLocalSide(order.Side))

 	if order.ClientOrderID != "" {
@ -298,7 +298,7 @@ You will not be able to query for cancelled orders that have happened more than
 */
 func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
 	req := e.client.TradeService.NewListOrdersRequest()
-	req.Symbol(toLocalSymbol(symbol))
+	req.Symbol(ToLocalSymbol(symbol))
 	req.Status("active")
 	orderList, err := req.Do(ctx)
 	if err != nil {
@ -316,7 +316,7 @@ func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders [

 func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
 	req := e.client.TradeService.NewListOrdersRequest()
-	req.Symbol(toLocalSymbol(symbol))
+	req.Symbol(ToLocalSymbol(symbol))
 	req.Status("done")
 	req.StartAt(since)

@ -350,7 +350,7 @@ var launchDate = time.Date(2017, 9, 0, 0, 0, 0, 0, time.UTC)

 func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
 	req := e.client.TradeService.NewGetFillsRequest()
-	req.Symbol(toLocalSymbol(symbol))
+	req.Symbol(ToLocalSymbol(symbol))

 	// we always sync trades in the ascending order, and kucoin does not support last trade ID query
 	// hence we need to set the start time here
@ -422,7 +422,7 @@ func (e *Exchange) NewStream() types.Stream {
 }

 func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (types.SliceOrderBook, int64, error) {
-	orderBook, err := e.client.MarketDataService.GetOrderBook(toLocalSymbol(symbol), 100)
+	orderBook, err := e.client.MarketDataService.GetOrderBook(ToLocalSymbol(symbol), 100)
 	if err != nil {
 		return types.SliceOrderBook{}, 0, err
 	}
--- a/pkg/exchange/kucoin/generate_symbol_map.go
+++ b/pkg/exchange/kucoin/generate_symbol_map.go
@ -17,13 +17,13 @@ import (
 var packageTemplate = template.Must(template.New("").Parse(`// Code generated by go generate; DO NOT EDIT.
 package kucoin

-var symbolMap = map[string]string{
+var SymbolMap = map[string]string{
 {{- range $k, $v := . }}
 	{{ printf "%q" $k }}: {{ printf "%q" $v }},
 {{- end }}
 }

-func toLocalSymbol(symbol string) string {
+func ToLocalSymbol(symbol string) string {
 	s, ok := symbolMap[symbol]
 	if ok {
 		return s
--- a/pkg/exchange/kucoin/symbols.go
+++ b/pkg/exchange/kucoin/symbols.go
@ -1,7 +1,7 @@
 // Code generated by go generate; DO NOT EDIT.
 package kucoin

-var symbolMap = map[string]string{
+var SymbolMap = map[string]string{
 	"1EARTHUSDT":     "1EARTH-USDT",
 	"1INCHUSDT":      "1INCH-USDT",
 	"2CRZBTC":        "2CRZ-BTC",
@ -1107,8 +1107,8 @@ var symbolMap = map[string]string{
 	"ZRXETH":         "ZRX-ETH",
 }

-func toLocalSymbol(symbol string) string {
-	s, ok := symbolMap[symbol]
+func ToLocalSymbol(symbol string) string {
+	s, ok := SymbolMap[symbol]
 	if ok {
 		return s
 	}
--- a/pkg/indicator/v2/testdata/BTCUSDT-1m-2022-05-06.csv
+++ b/pkg/indicator/v2/testdata/BTCUSDT-1m-2022-05-06.csv
@ -0,0 +1,10 @@
+1651795200000,36533.70,36540.00,36501.00,36505.20,264.779,1651795259999,9670700.33840,3057,71.011,2593768.86330,0
+1651795260000,36506.30,36523.10,36492.30,36522.70,180.741,1651795319999,6598288.01340,2214,70.811,2585241.60220,0
+1651795320000,36522.70,36559.10,36518.90,36549.60,280.910,1651795379999,10263878.29160,2898,155.711,5689249.26850,0
+1651795380000,36549.90,36550.00,36490.00,36534.40,235.291,1651795439999,8591157.31110,2690,78.925,2881502.53680,0
+1651795440000,36534.40,36577.50,36534.40,36574.80,218.490,1651795499999,7988553.23400,2184,133.092,4866125.50710,0
+1651795500000,36574.90,36679.30,36561.40,36611.60,1180.452,1651795559999,43233700.14416,8720,852.525,31228536.48026,0
+1651795560000,36611.60,36614.60,36588.20,36612.70,252.435,1651795619999,9240546.27360,2494,104.381,3821126.58030,0
+1651795620000,36612.80,36647.10,36586.10,36594.50,361.987,1651795679999,13254573.37270,3565,220.110,8060195.17170,0
+1651795680000,36594.60,36598.10,36543.00,36566.60,236.064,1651795739999,8631772.05423,2650,66.766,2441168.29810,0
+1651795740000,36565.90,36565.90,36525.90,36530.80,129.389,1651795799999,4728306.04240,1697,45.836,1674990.33390,0
--- a/pkg/indicator/v2/volume_profile.go
+++ b/pkg/indicator/v2/volume_profile.go
@ -0,0 +1,194 @@
+package indicatorv2
+
+import (
+	"math"
+
+	"golang.org/x/exp/slices"
+	"gonum.org/v1/gonum/floats"
+	"gonum.org/v1/gonum/stat"
+
+	bbgofloats "github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// DefaultValueAreaPercentage is the percentage of the total volume used to calculate the value area.
+const DefaultValueAreaPercentage = 0.68
+
+type VolumeProfileStream struct {
+	*types.Float64Series
+	VP     VolumeProfile
+	window int
+}
+
+// VolumeProfile is a histogram of market price and volume.
+// Intent is to show the price points with most volume during a period.
+// The profile gives key features such as:
+//
+// Point of control (POC)
+//
+// Value area high (VAH)
+//
+// Value area low (VAL)
+//
+// Session High/Low
+type VolumeProfile struct {
+
+	// Bins is the histogram bins.
+	Bins []float64
+
+	// Hist is the histogram values.
+	Hist []float64
+
+	// POC is the point of control.
+	POC float64
+
+	// VAH is the value area high.
+	VAH float64
+
+	// VAL is the value area low.
+	VAL float64
+
+	// High is the highest price in the profile.
+	High float64
+
+	// Low is the lowest price in the profile.
+	Low float64
+}
+
+// VolumeLevel is a price and volume pair used to build a volume profile.
+type VolumeLevel struct {
+
+	// Price is the market price, typically the high/low average of the kline.
+	Price float64
+
+	// Volume is the total buy and sell volume at the price.
+	Volume float64
+}
+
+func NewVolumeProfile(source KLineSubscription, window int) *VolumeProfileStream {
+	prices := HLC3(source)
+	volumes := Volumes(source)
+
+	s := &VolumeProfileStream{
+		Float64Series: types.NewFloat64Series(),
+		window:        window,
+	}
+
+	source.AddSubscriber(func(v types.KLine) {
+		if source.Length() < window {
+			s.PushAndEmit(0)
+			return
+		}
+		var nBins = 10
+		// nBins = int(math.Floor((prices.Slice.Max()-prices.Slice.Min())/binWidth)) + 1
+		s.VP.High = prices.Slice.Max()
+		s.VP.Low = prices.Slice.Min()
+		sortedPrices, sortedVolumes := buildVolumeLevel(prices.Slice, volumes.Slice)
+		s.VP.Bins = make([]float64, nBins)
+		s.VP.Bins = floats.Span(s.VP.Bins, s.VP.Low, s.VP.High+1)
+		s.VP.Hist = stat.Histogram(nil, s.VP.Bins, sortedPrices, sortedVolumes)
+
+		pocIdx := floats.MaxIdx(s.VP.Hist)
+		s.VP.POC = midBin(s.VP.Bins, pocIdx)
+
+		// TODO the results are of by small difference whereas it is expected they work the same
+		// vaTotalVol := volumes.Sum() * DefaultValueAreaPercentage
+		// Calculate Value Area with POC as the centre point\
+		vaTotalVol := floats.Sum(volumes.Slice) * DefaultValueAreaPercentage
+
+		vaCumVol := s.VP.Hist[pocIdx]
+		var vahVol, valVol float64
+		vahIdx, valIdx := pocIdx+1, pocIdx-1
+		stepVAH, stepVAL := true, true
+
+		for (vaCumVol <= vaTotalVol) &&
+			(vahIdx <= len(s.VP.Hist)-1 && valIdx >= 0) {
+
+			if stepVAH {
+				vahVol = 0
+				for vahVol == 0 && vahIdx+1 < len(s.VP.Hist)-1 {
+					vahVol = s.VP.Hist[vahIdx] + s.VP.Hist[vahIdx+1]
+					vahIdx += 2
+				}
+				stepVAH = false
+			}
+
+			if stepVAL {
+				valVol = 0
+				for valVol == 0 && valIdx-1 >= 0 {
+					valVol = s.VP.Hist[valIdx] + s.VP.Hist[valIdx-1]
+					valIdx -= 2
+				}
+				stepVAL = false
+			}
+
+			switch {
+			case vahVol > valVol:
+				vaCumVol += vahVol
+				stepVAH, stepVAL = true, false
+			case vahVol < valVol:
+				vaCumVol += valVol
+				stepVAH, stepVAL = false, true
+			case vahVol == valVol:
+				vaCumVol += valVol + vahVol
+				stepVAH, stepVAL = true, true
+			}
+
+			if vahIdx >= len(s.VP.Hist)-1 {
+				stepVAH = false
+			}
+
+			if valIdx <= 0 {
+				stepVAL = false
+			}
+		}
+
+		s.VP.VAH = midBin(s.VP.Bins, vahIdx)
+		s.VP.VAL = midBin(s.VP.Bins, valIdx)
+
+	})
+
+	return s
+}
+
+func (s *VolumeProfileStream) Truncate() {
+	s.Slice = s.Slice.Truncate(5000)
+}
+
+func buildVolumeLevel(p, v bbgofloats.Slice) (sortedp, sortedv bbgofloats.Slice) {
+	var levels []VolumeLevel
+	for i := range p {
+		levels = append(levels, VolumeLevel{
+			Price:  p[i],
+			Volume: v[i],
+		})
+	}
+
+	slices.SortStableFunc(levels, func(i, j VolumeLevel) bool {
+		return i.Price < j.Price
+	})
+
+	for _, v := range levels {
+		sortedp.Append(v.Price)
+		sortedv.Append(v.Volume)
+	}
+
+	return
+}
+
+func midBin(bins []float64, idx int) float64 {
+
+	if len(bins) == 0 {
+		return math.NaN()
+	}
+
+	if idx >= len(bins)-1 {
+		return bins[len(bins)-1]
+	}
+
+	if idx < 0 {
+		return bins[0]
+	}
+
+	return stat.Mean([]float64{bins[idx], bins[idx+1]}, nil)
+}
--- a/pkg/indicator/v2/volume_profile_test.go
+++ b/pkg/indicator/v2/volume_profile_test.go
@ -0,0 +1,37 @@
+package indicatorv2
+
+import (
+	"encoding/csv"
+	"os"
+	"path"
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/datasource/csvsource"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestVolumeProfile(t *testing.T) {
+	file, _ := os.Open(path.Join("testdata", "BTCUSDT-1m-2022-05-06.csv"))
+	defer func() {
+		assert.NoError(t, file.Close())
+	}()
+
+	candles, err := csvsource.NewCSVKLineReader(csv.NewReader(file)).ReadAll(time.Minute)
+	assert.NoError(t, err)
+
+	stream := &types.StandardStream{}
+	kLines := KLines(stream, "", "")
+	ind := NewVolumeProfile(kLines, 10)
+
+	for _, candle := range candles {
+		stream.EmitKLineClosed(candle)
+	}
+	assert.InDelta(t, 36512.7, ind.VP.Low, 0.01, "VP.LOW")
+	assert.InDelta(t, 36512.7, ind.VP.VAL, 0.01, "VP.VAL")
+	assert.InDelta(t, 36518.574, ind.VP.POC, 0.01, "VP.POC")
+	assert.InDelta(t, 36530.322, ind.VP.VAH, 0.01, "VP.VAH")
+	assert.InDelta(t, 36617.433, ind.VP.High, 0.01, "VP.HIGH")
+}
--- a/pkg/service/backtest_csv.go
+++ b/pkg/service/backtest_csv.go
@ -0,0 +1,163 @@
+package service
+
+import (
+	"context"
+	"fmt"
+	"time"
+
+	"github.com/pkg/errors"
+	log "github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/datasource/csvsource"
+	exchange2 "github.com/c9s/bbgo/pkg/exchange"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type BacktestServiceCSV struct {
+	kLines      map[types.Interval][]types.KLine
+	path        string
+	market      csvsource.MarketType
+	granularity csvsource.DataType
+}
+
+func NewBacktestServiceCSV(
+	path string,
+	market csvsource.MarketType,
+	granularity csvsource.DataType,
+) BackTestable {
+	return &BacktestServiceCSV{
+		kLines:      make(map[types.Interval][]types.KLine),
+		path:        path,
+		market:      market,
+		granularity: granularity,
+	}
+}
+
+func (s *BacktestServiceCSV) Verify(sourceExchange types.Exchange, symbols []string, startTime time.Time, endTime time.Time) error {
+	// TODO: use isFutures here
+	_, _, isIsolated, isolatedSymbol := exchange2.GetSessionAttributes(sourceExchange)
+	// override symbol if isolatedSymbol is not empty
+	if isIsolated && len(isolatedSymbol) > 0 {
+		err := csvsource.Download(
+			s.path,
+			isolatedSymbol,
+			sourceExchange.Name(),
+			s.market,
+			s.granularity,
+			startTime,
+			endTime,
+		)
+		if err != nil {
+			return errors.Errorf("downloading csv data: %v", err)
+		}
+	}
+
+	return nil
+}
+
+func (s *BacktestServiceCSV) Sync(ctx context.Context, exchange types.Exchange, symbol string, intervals []types.Interval, startTime, endTime time.Time) error {
+
+	log.Infof("starting fresh csv sync %s %s: %s <=> %s", exchange.Name(), symbol, startTime, endTime)
+
+	path := fmt.Sprintf("%s/%s/%s", s.path, exchange.Name().String(), symbol)
+
+	var reader csvsource.MakeCSVTickReader
+
+	switch exchange.Name() {
+	case types.ExchangeBinance:
+		reader = csvsource.NewBinanceCSVTickReader
+	case types.ExchangeBybit:
+		reader = csvsource.NewBybitCSVTickReader
+	case types.ExchangeOKEx:
+		reader = csvsource.NewOKExCSVTickReader
+	default:
+		return fmt.Errorf("%s not supported yet.. care to fix it? PR's welcome ;)", exchange.Name().String())
+	}
+
+	kLineMap, err := csvsource.ReadTicksFromCSVWithDecoder(
+		path,
+		symbol,
+		intervals,
+		csvsource.MakeCSVTickReader(reader),
+	)
+	if err != nil {
+		return errors.Errorf("reading csv data: %v", err)
+	}
+
+	s.kLines = kLineMap
+
+	return nil
+}
+
+// QueryKLine queries the klines from the database
+func (s *BacktestServiceCSV) 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)
+	if _, ok := s.kLines[interval]; !ok || len(s.kLines[interval]) == 0 {
+		return nil, errors.New("interval not initialized")
+	}
+	return &s.kLines[interval][len(s.kLines[interval])-1], nil
+}
+
+// QueryKLinesForward is used for querying klines to back-testing
+func (s *BacktestServiceCSV) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
+	// Sample implementation (modify as needed):
+	var result []types.KLine
+
+	// Access klines data based on exchange, symbol, and interval
+	exchangeKLines, ok := s.kLines[interval]
+	if !ok {
+		return nil, fmt.Errorf("no kLines for specified interval %s", interval.String())
+	}
+
+	// Filter klines based on startTime and limit
+	for _, kline := range exchangeKLines {
+		if kline.StartTime.After(startTime) {
+			result = append(result, kline)
+			if len(result) >= limit {
+				break
+			}
+		}
+	}
+
+	return result, nil
+}
+
+func (s *BacktestServiceCSV) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
+	var result []types.KLine
+
+	// Access klines data based on interval
+	exchangeKLines, ok := s.kLines[interval]
+	if !ok {
+		return nil, fmt.Errorf("no kLines for specified interval %s", interval.String())
+	}
+
+	// Reverse iteration through klines and filter based on endTime and limit
+	for i := len(exchangeKLines) - 1; i >= 0; i-- {
+		kline := exchangeKLines[i]
+
+		if kline.StartTime.Before(endTime) {
+			result = append(result, kline)
+			if len(result) >= limit {
+				break
+			}
+		}
+	}
+
+	return result, nil
+}
+
+func (s *BacktestServiceCSV) QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) {
+	if len(symbols) == 0 {
+		return returnError(errors.Errorf("symbols is empty when querying kline, please check your strategy setting. "))
+	}
+
+	ch := make(chan types.KLine, len(s.kLines))
+	go func() {
+		defer close(ch)
+		for _, kline := range s.kLines[intervals[0]] {
+			ch <- kline
+		}
+	}()
+
+	return ch, nil
+}
--- a/pkg/service/backtest_db.go
+++ b/pkg/service/backtest_db.go
@ -18,14 +18,26 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )

+type BackTestable interface {
+	Verify(sourceExchange types.Exchange, symbols []string, startTime time.Time, endTime time.Time) error
+	Sync(ctx context.Context, ex types.Exchange, symbol string, intervals []types.Interval, since, until time.Time) error
+	QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error)
+	QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error)
+	QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error)
+	QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error)
+}
+
 type BacktestService struct {
 	DB *sqlx.DB
 }

-func (s *BacktestService) SyncKLineByInterval(
-	ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time,
-) error {
+func NewBacktestService(db *sqlx.DB) *BacktestService {
+	return &BacktestService{DB: db}
+}
+
+func (s *BacktestService) syncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
 	_, isFutures, isIsolated, isolatedSymbol := exchange2.GetSessionAttributes(exchange)
+	log.Infof("synchronizing %s klines with interval %s: %s <=> %s", exchange.Name(), interval, startTime, endTime)

 	// override symbol if isolatedSymbol is not empty
 	if isIsolated && len(isolatedSymbol) > 0 {
@ -101,7 +113,7 @@ func (s *BacktestService) Verify(sourceExchange types.Exchange, symbols []string
 		for interval := range types.SupportedIntervals {
 			log.Infof("verifying %s %s backtesting data: %s to %s...", symbol, interval, startTime, endTime)

-			timeRanges, err := s.FindMissingTimeRanges(context.Background(), sourceExchange, symbol, interval,
+			timeRanges, err := s.findMissingTimeRanges(context.Background(), sourceExchange, symbol, interval,
 				startTime, endTime)
 			if err != nil {
 				return err
@ -129,13 +141,11 @@ func (s *BacktestService) Verify(sourceExchange types.Exchange, symbols []string
 	return nil
 }

-func (s *BacktestService) SyncFresh(
-	ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time,
-) error {
+func (s *BacktestService) SyncFresh(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
 	log.Infof("starting fresh sync %s %s %s: %s <=> %s", exchange.Name(), symbol, interval, startTime, endTime)
 	startTime = startTime.Truncate(time.Minute).Add(-2 * time.Second)
 	endTime = endTime.Truncate(time.Minute).Add(2 * time.Second)
-	return s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime)
+	return s.syncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime)
 }

 // QueryKLine queries the klines from the database
@ -373,20 +383,28 @@ func (t *TimeRange) String() string {
 	return t.Start.String() + " ~ " + t.End.String()
 }

-func (s *BacktestService) Sync(
-	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
+func (s *BacktestService) Sync(ctx context.Context, ex types.Exchange, symbol string, intervals []types.Interval, since, until time.Time) error {
+	for _, interval := range intervals {
+		t1, t2, err := s.queryExistingDataRange(ctx, ex, symbol, interval, since, until)
+		if err != nil && err != sql.ErrNoRows {
+			return err
+		}
+
+		if err == sql.ErrNoRows || t1 == nil || t2 == nil {
+			// fallback to fresh sync
+			err := s.syncFresh(ctx, ex, symbol, interval, since, until)
+			if err != nil {
+				return err
+			}
+		} else {
+			err := s.syncPartial(ctx, ex, symbol, interval, since, until)
+			if err != nil {
+				return err
+			}
+		}
 	}

-	if err == sql.ErrNoRows || t1 == nil || t2 == nil {
-		// fallback to fresh sync
-		return s.SyncFresh(ctx, ex, symbol, interval, since, until)
-	}
-
-	return s.SyncPartial(ctx, ex, symbol, interval, since, until)
+	return nil
 }

 // SyncPartial
@ -394,22 +412,20 @@ func (s *BacktestService) Sync(
 // 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 {
+func (s *BacktestService) syncPartial(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) error {
 	log.Infof("starting partial sync %s %s %s: %s <=> %s", ex.Name(), symbol, interval, since, until)

-	t1, t2, err := s.QueryExistingDataRange(ctx, ex, symbol, interval, since, until)
+	t1, t2, err := s.queryExistingDataRange(ctx, ex, symbol, interval, since, until)
 	if err != nil && err != sql.ErrNoRows {
 		return err
 	}

 	if err == sql.ErrNoRows || t1 == nil || t2 == nil {
 		// fallback to fresh sync
-		return s.SyncFresh(ctx, ex, symbol, interval, since, until)
+		return s.syncFresh(ctx, ex, symbol, interval, since, until)
 	}

-	timeRanges, err := s.FindMissingTimeRanges(ctx, ex, symbol, interval, t1.Time(), t2.Time())
+	timeRanges, err := s.findMissingTimeRanges(ctx, ex, symbol, interval, t1.Time(), t2.Time())
 	if err != nil {
 		return err
 	}
@ -436,7 +452,7 @@ func (s *BacktestService) SyncPartial(
 	}

 	for _, timeRange := range timeRanges {
-		err = s.SyncKLineByInterval(ctx, ex, symbol, interval, timeRange.Start.Add(time.Second), timeRange.End.Add(-time.Second))
+		err = s.syncKLineByInterval(ctx, ex, symbol, interval, timeRange.Start.Add(time.Second), timeRange.End.Add(-time.Second))
 		if err != nil {
 			return err
 		}
@ -447,9 +463,7 @@ func (s *BacktestService) SyncPartial(

 // 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) {
+func (s *BacktestService) findMissingTimeRanges(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) ([]TimeRange, error) {
 	query := s.SelectKLineTimePoints(ex, symbol, interval, since, until)
 	sql, args, err := query.ToSql()
 	if err != nil {
@ -492,9 +506,7 @@ func (s *BacktestService) FindMissingTimeRanges(
 	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) {
+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 := s.SelectKLineTimeRange(ex, symbol, interval, tArgs...)
 	sql, args, err := sel.ToSql()
 	if err != nil {
--- a/pkg/service/backtest_sql_test.go
+++ b/pkg/service/backtest_sql_test.go
@ -40,7 +40,7 @@ func TestBacktestService_FindMissingTimeRanges_EmptyData(t *testing.T) {
 	now := time.Now()
 	startTime1 := now.AddDate(0, 0, -7).Truncate(time.Hour)
 	endTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
-	timeRanges, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime1)
+	timeRanges, err := service.findMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime1)
 	assert.NoError(t, err)
 	assert.NotEmpty(t, timeRanges)
 }
@ -70,7 +70,7 @@ func TestBacktestService_QueryExistingDataRange(t *testing.T) {
 	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)
+	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)
@ -105,22 +105,22 @@ func TestBacktestService_SyncPartial(t *testing.T) {
 	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))
+	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))
+	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)
+	timeRanges, err := service.findMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
 	assert.NoError(t, err)
 	assert.NotEmpty(t, timeRanges)
 	assert.Len(t, timeRanges, 1)

 	t.Run("fill missing time ranges", func(t *testing.T) {
-		err = service.SyncPartial(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
+		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)
+		timeRanges2, err := service.findMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
 		assert.NoError(t, err)
 		assert.Empty(t, timeRanges2)
 	})
@ -155,19 +155,19 @@ func TestBacktestService_FindMissingTimeRanges(t *testing.T) {
 	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))
+	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))
+	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)
+	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)
+	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")
@ -176,11 +176,11 @@ func TestBacktestService_FindMissingTimeRanges(t *testing.T) {
 		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))
+			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)
+		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")
 	}
--- a/pkg/strategy/grid2/backtest_test.go
+++ b/pkg/strategy/grid2/backtest_test.go
@ -66,7 +66,7 @@ func RunBacktest(t *testing.T, strategy bbgo.SingleExchangeStrategy) {
 		return
 	}

-	backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
+	backtestService := service.NewBacktestService(environ.DatabaseService.DB)
 	defer func() {
 		err := environ.DatabaseService.DB.Close()
 		assert.NoError(t, err)
--- a/pkg/types/interval.go
+++ b/pkg/types/interval.go
@ -64,6 +64,61 @@ func (i Interval) Duration() time.Duration {
 	return time.Duration(i.Milliseconds()) * time.Millisecond
 }

+// Truncate determines the candle open time from a given timestamp
+// eg interval 1 hour and tick at timestamp 00:58:45 will return timestamp shifted to 00:00:00
+func (i Interval) Truncate(ts time.Time) (start time.Time) {
+	switch i {
+	case Interval1s:
+		return ts.Truncate(time.Second)
+	case Interval1m:
+		return ts.Truncate(time.Minute)
+	case Interval3m:
+		return shiftMinute(ts, 3)
+	case Interval5m:
+		return shiftMinute(ts, 5)
+	case Interval15m:
+		return shiftMinute(ts, 15)
+	case Interval30m:
+		return shiftMinute(ts, 30)
+	case Interval1h:
+		return ts.Truncate(time.Hour)
+	case Interval2h:
+		return shiftHour(ts, 2)
+	case Interval4h:
+		return shiftHour(ts, 4)
+	case Interval6h:
+		return shiftHour(ts, 6)
+	case Interval12h:
+		return shiftHour(ts, 12)
+	case Interval1d:
+		return ts.Truncate(time.Hour * 24)
+	case Interval3d:
+		return shiftDay(ts, 3)
+	case Interval1w:
+		return shiftDay(ts, 7)
+	case Interval2w:
+		return shiftDay(ts, 14)
+	case Interval1mo:
+		return time.Date(ts.Year(), ts.Month(), 0, 0, 0, 0, 0, time.UTC)
+	}
+	return start
+}
+
+func shiftDay(ts time.Time, shift int) time.Time {
+	day := ts.Day() - (ts.Day() % shift)
+	return time.Date(ts.Year(), ts.Month(), day, 0, 0, 0, 0, ts.Location())
+}
+
+func shiftHour(ts time.Time, shift int) time.Time {
+	hour := ts.Hour() - (ts.Hour() % shift)
+	return time.Date(ts.Year(), ts.Month(), ts.Day(), hour, 0, 0, 0, ts.Location())
+}
+
+func shiftMinute(ts time.Time, shift int) time.Time {
+	minute := ts.Minute() - (ts.Minute() % shift)
+	return time.Date(ts.Year(), ts.Month(), ts.Day(), ts.Hour(), minute, 0, 0, ts.Location())
+}
+
 func (i *Interval) UnmarshalJSON(b []byte) (err error) {
 	var a string
 	err = json.Unmarshal(b, &a)
--- a/pkg/types/interval_test.go
+++ b/pkg/types/interval_test.go
@ -2,10 +2,24 @@ package types

 import (
 	"testing"
+	"time"

 	"github.com/stretchr/testify/assert"
 )

+func TestTruncate(t *testing.T) {
+	ts := time.Date(2023, 11, 5, 17, 36, 43, 716, time.UTC)
+	expectedDay := time.Date(ts.Year(), ts.Month(), ts.Day(), 0, 0, 0, 0, time.UTC)
+	assert.Equal(t, expectedDay, Interval1d.Truncate(ts))
+	expected2h := time.Date(ts.Year(), ts.Month(), ts.Day(), 16, 0, 0, 0, time.UTC)
+	assert.Equal(t, expected2h, Interval2h.Truncate(ts))
+	expectedHour := time.Date(ts.Year(), ts.Month(), ts.Day(), 17, 0, 0, 0, time.UTC)
+	assert.Equal(t, expectedHour, Interval1h.Truncate(ts))
+	expected30m := time.Date(ts.Year(), ts.Month(), ts.Day(), 17, 30, 0, 0, time.UTC)
+	assert.Equal(t, expected30m, Interval30m.Truncate(ts))
+
+}
+
 func TestParseInterval(t *testing.T) {
 	assert.Equal(t, ParseInterval("1s"), 1)
 	assert.Equal(t, ParseInterval("3m"), 3*60)
--- a/pkg/types/time.go
+++ b/pkg/types/time.go
@ -37,6 +37,15 @@ func NewMillisecondTimestampFromInt(i int64) MillisecondTimestamp {
 	return MillisecondTimestamp(time.Unix(0, i*int64(time.Millisecond)))
 }

+func ParseMillisecondTimestamp(a string) (ts MillisecondTimestamp, err error) {
+	m, err := strconv.ParseInt(a, 10, 64) // startTime
+	if err != nil {
+		return ts, err
+	}
+
+	return NewMillisecondTimestampFromInt(m), nil
+}
+
 func MustParseMillisecondTimestamp(a string) MillisecondTimestamp {
 	m, err := strconv.ParseInt(a, 10, 64) // startTime
 	if err != nil {
--- a/pkg/types/trade_stat.go
+++ b/pkg/types/trade_stat.go
@ -1,151 +0,0 @@
-package types
-
-import (
-	"math"
-
-	"gonum.org/v1/gonum/stat"
-
-	"github.com/c9s/bbgo/pkg/datatype/floats"
-	"github.com/c9s/bbgo/pkg/fixedpoint"
-)
-
-const (
-	// DailyToAnnualFactor is the factor to scale daily observations to annual.
-	// Commonly defined as the number of public market trading days in a year.
-	DailyToAnnualFactor = 252 // todo does this apply to crypto at all?
-)
-
-// AnnualHistoricVolatility is the historic volatility of the equity curve as annualized std dev.
-func AnnualHistoricVolatility(data Series) float64 {
-	var sd = Stdev(data, data.Length(), 1)
-	return sd * math.Sqrt(DailyToAnnualFactor)
-}
-
-// CAGR is the Compound Annual Growth Rate of the equity curve.
-func CAGR(initial, final float64, days int) float64 {
-	var (
-		growthRate = (final - initial) / initial
-		x          = 1 + growthRate
-		y          = 365.0 / float64(days)
-	)
-	return math.Pow(x, y) - 1
-}
-
-// measures of risk-adjusted return based on drawdown risk
-
-// calmar ratio - discounts expected excess return of a portfolio by the
-// worst expected maximum draw down for that portfolio
-// CR = E(re)/MD1 = (E(r) - rf) / MD1
-func CalmarRatio(cagr, maxDrawdown float64) float64 {
-	return cagr / maxDrawdown
-}
-
-// Sterling ratio
-// discounts the expected excess return of a portfolio by the average of the N worst
-// expected maximum drawdowns for that portfolio
-// CR = E(re) / (1/N)(sum MDi)
-func SterlingRatio(cagr, avgDrawdown float64) float64 {
-	return cagr / avgDrawdown
-}
-
-// Burke Ratio
-// similar to sterling, but less sensitive to outliers
-// discounts the expected excess return of a portfolio by the square root of the average
-// of the N worst expected maximum drawdowns for that portfolio
-// BR = E(re) / ((1/N)(sum MD^2))^0.5            ---> smoothing, can take roots, logs etc
-func BurkeRatio(cagr, avgDrawdownSquared float64) float64 {
-	return cagr / math.Sqrt(avgDrawdownSquared)
-}
-
-// KellyCriterion the famous method for trade sizing.
-func KellyCriterion(profitFactor, winP fixedpoint.Value) fixedpoint.Value {
-	return profitFactor.Mul(winP).Sub(fixedpoint.One.Sub(winP)).Div(profitFactor)
-}
-
-// PRR (Pessimistic Return Ratio) is the profit factor with a penalty for a lower number of roundturns.
-func PRR(profit, loss, winningN, losingN fixedpoint.Value) fixedpoint.Value {
-	var (
-		winF  = 1 / math.Sqrt(1+winningN.Float64())
-		loseF = 1 / math.Sqrt(1+losingN.Float64())
-	)
-	return fixedpoint.NewFromFloat((1 - winF) / (1 + loseF) * (1 + profit.Float64()) / (1 + loss.Float64()))
-}
-
-// StatN returns the statistically significant number of samples required based on the distribution of a series.
-// From: https://www.elitetrader.com/et/threads/minimum-number-of-roundturns-required-for-backtesting-results-to-be-trusted.356588/page-2
-func StatN(xs floats.Slice) (sn, se fixedpoint.Value) {
-	var (
-		sd     = Stdev(xs, xs.Length(), 1)
-		m      = Mean(xs)
-		statn  = math.Pow(4*(sd/m), 2)
-		stdErr = stat.StdErr(sd, float64(xs.Length()))
-	)
-	return fixedpoint.NewFromFloat(statn), fixedpoint.NewFromFloat(stdErr)
-}
-
-// OptimalF is a function that returns the 'OptimalF' for a series of trade returns as defined by Ralph Vince.
-// It is a method for sizing positions to maximize geometric return whilst accounting for biggest trading loss.
-// See: https://www.investopedia.com/terms/o/optimalf.asp
-// Param roundturns is the series of profits (-ve amount for losses) for each trade
-func OptimalF(roundturns floats.Slice) fixedpoint.Value {
-	var (
-		maxTWR, optimalF float64
-		maxLoss          = roundturns.Min()
-	)
-	for i := 1.0; i <= 100.0; i++ {
-		twr := 1.0
-		f := i / 100
-		for j := range roundturns {
-			if roundturns[j] == 0 {
-				continue
-			}
-			hpr := 1 + f*(-roundturns[j]/maxLoss)
-			twr *= hpr
-		}
-		if twr > maxTWR {
-			maxTWR = twr
-			optimalF = f
-		}
-	}
-
-	return fixedpoint.NewFromFloat(optimalF)
-}
-
-// NN (Not Number) returns y if x is NaN or Inf.
-func NN(x, y float64) float64 {
-	if math.IsNaN(x) || math.IsInf(x, 0) {
-		return y
-	}
-	return x
-}
-
-// NNZ (Not Number or Zero) returns y if x is NaN or Inf or Zero.
-func NNZ(x, y float64) float64 {
-	if NN(x, y) == y || x == 0 {
-		return y
-	}
-	return x
-}
-
-// Compute the drawdown function associated to a portfolio equity curve,
-// also called the portfolio underwater equity curve.
-// Portfolio Optimization with Drawdown Constraints, Chekhlov et al., 2000
-// http://papers.ssrn.com/sol3/papers.cfm?abstract_id=223323
-func Drawdown(equityCurve floats.Slice) floats.Slice {
-	// Initialize highWaterMark
-	highWaterMark := math.Inf(-1)
-
-	// Create ddVector with the same length as equityCurve
-	ddVector := make([]float64, len(equityCurve))
-
-	// Loop over all the values to compute the drawdown vector
-	for i := 0; i < len(equityCurve); i++ {
-		if equityCurve[i] > highWaterMark {
-			highWaterMark = equityCurve[i]
-		}
-
-		ddVector[i] = (highWaterMark - equityCurve[i]) / highWaterMark
-	}
-
-	return ddVector
-}
--- a/pkg/types/trade_stat_test.go
+++ b/pkg/types/trade_stat_test.go
@ -1,56 +0,0 @@
-package types
-
-import (
-	"testing"
-
-	"github.com/stretchr/testify/assert"
-
-	"github.com/c9s/bbgo/pkg/datatype/floats"
-	"github.com/c9s/bbgo/pkg/fixedpoint"
-)
-
-func TestCAGR(t *testing.T) {
-	giveInitial := 1000.0
-	giveFinal := 2500.0
-	giveDays := 190
-	want := 4.81
-	act := CAGR(giveInitial, giveFinal, giveDays)
-	assert.InDelta(t, want, act, 0.01)
-}
-
-func TestKellyCriterion(t *testing.T) {
-	var (
-		giveProfitFactor = fixedpoint.NewFromFloat(1.6)
-		giveWinP         = fixedpoint.NewFromFloat(0.7)
-		want             = 0.51
-		act              = KellyCriterion(giveProfitFactor, giveWinP)
-	)
-	assert.InDelta(t, want, act.Float64(), 0.01)
-}
-
-func TestAnnualHistoricVolatility(t *testing.T) {
-	var (
-		give = floats.Slice{0.1, 0.2, -0.15, 0.1, 0.8, -0.3, 0.2}
-		want = 5.51
-		act  = AnnualHistoricVolatility(give)
-	)
-	assert.InDelta(t, want, act, 0.01)
-}
-
-func TestOptimalF(t *testing.T) {
-	roundturns := floats.Slice{10, 20, 50, -10, 40, -40}
-	f := OptimalF(roundturns)
-	assert.EqualValues(t, 0.45, f)
-}
-
-func TestDrawdown(t *testing.T) {
-	roundturns := floats.Slice{100, 50, 100}
-	expected := []float64{.0, .5, .0}
-	drawdown := Drawdown(roundturns)
-	assert.EqualValues(t, 0.5, drawdown.Max())
-	assert.EqualValues(t, 0.16666666666666666, drawdown.Average())
-	assert.EqualValues(t, 0.08333333333333333, drawdown.AverageSquared())
-	for i, v := range expected {
-		assert.EqualValues(t, v, drawdown[i])
-	}
-}
--- a/pkg/types/trade_stats.go
+++ b/pkg/types/trade_stats.go
@ -14,10 +14,38 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )

-const (
-	ErrStartTimeNotValid = "No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?"
-	ErrProfitArrEmpty    = "profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?"
-)
+type IntervalProfitCollector struct {
+	Interval  Interval      `json:"interval"`
+	Profits   *floats.Slice `json:"profits"`
+	Timestamp *floats.Slice `json:"timestamp"`
+	tmpTime   time.Time     `json:"tmpTime"`
+}
+
+func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
+	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &floats.Slice{1.}, Timestamp: &floats.Slice{float64(startTime.Unix())}}
+}
+
+// Update the collector by every traded profit
+func (s *IntervalProfitCollector) Update(profit *Profit) {
+	if s.tmpTime.IsZero() {
+		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+	} else {
+		duration := s.Interval.Duration()
+		if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
+			(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
+		} else {
+			for {
+				s.Profits.Update(1.)
+				s.tmpTime = s.tmpTime.Add(duration)
+				s.Timestamp.Update(float64(s.tmpTime.Unix()))
+				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
+					(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
+					break
+				}
+			}
+		}
+	}
+}

 type ProfitReport struct {
 	StartTime time.Time `json:"startTime"`
@ -33,55 +61,6 @@ func (s ProfitReport) String() string {
 	return string(b)
 }

-type IntervalProfitCollector struct {
-	Interval     Interval        `json:"interval"`
-	Profits      floats.Slice    `json:"profits"`
-	TimeInMarket []time.Duration `json:"timeInMarket"`
-	Timestamp    floats.Slice    `json:"timestamp"`
-	tmpTime      time.Time       `json:"tmpTime"`
-}
-
-func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
-	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: floats.Slice{1.}, Timestamp: floats.Slice{float64(startTime.Unix())}}
-}
-
-// Update the collector by every traded profit
-func (s *IntervalProfitCollector) Update(profit *Profit) {
-	if s.tmpTime.IsZero() {
-		panic(ErrStartTimeNotValid)
-	} else {
-		s.TimeInMarket = append(s.TimeInMarket, profit.TradedAt.Sub(profit.PositionOpenedAt))
-		duration := s.Interval.Duration()
-		if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
-			(s.Profits)[len(s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
-		} else {
-			for {
-				s.Profits.Update(1.)
-				s.tmpTime = s.tmpTime.Add(duration)
-				s.Timestamp.Update(float64(s.tmpTime.Unix()))
-				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
-					(s.Profits)[len(s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
-					break
-				}
-			}
-		}
-	}
-}
-
-// Determine average and total time spend in market
-func (s *IntervalProfitCollector) GetTimeInMarket() (avgHoldSec, totalTimeInMarketSec int64) {
-	if s.Profits == nil {
-		return 0, 0
-	}
-	l := len(s.TimeInMarket)
-	for i := 0; i < l; i++ {
-		d := s.TimeInMarket[i]
-		totalTimeInMarketSec += int64(d / time.Millisecond)
-	}
-	avgHoldSec = totalTimeInMarketSec / int64(l)
-	return
-}
-
 // Get all none-profitable intervals
 func (s *IntervalProfitCollector) GetNonProfitableIntervals() (result []ProfitReport) {
 	if s.Profits == nil {
@ -113,9 +92,9 @@ func (s *IntervalProfitCollector) GetProfitableIntervals() (result []ProfitRepor
 // Get number of profitable traded intervals
 func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 	if s.Profits == nil {
-		panic(ErrProfitArrEmpty)
+		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
 	}
-	for _, v := range s.Profits {
+	for _, v := range *s.Profits {
 		if v > 1. {
 			profit += 1
 		}
@ -127,9 +106,9 @@ func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 // (no trade within the interval or pnl = 0 will be also included here)
 func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit int) {
 	if s.Profits == nil {
-		panic(ErrProfitArrEmpty)
+		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
 	}
-	for _, v := range s.Profits {
+	for _, v := range *s.Profits {
 		if v <= 1. {
 			nonprofit += 1
 		}
@ -141,11 +120,10 @@ func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit in
 // no smart sharpe ON for the calculated result
 func (s *IntervalProfitCollector) GetSharpe() float64 {
 	if s.tmpTime.IsZero() {
-		panic(ErrStartTimeNotValid)
+		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
 	}
 	if s.Profits == nil {
-		panic(ErrStartTimeNotValid)
-
+		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
 	}
 	return Sharpe(Sub(s.Profits, 1.), s.Profits.Length(), true, false)
 }
@ -154,10 +132,10 @@ func (s *IntervalProfitCollector) GetSharpe() float64 {
 // No risk-free return rate and smart sortino OFF for the calculated result.
 func (s *IntervalProfitCollector) GetSortino() float64 {
 	if s.tmpTime.IsZero() {
-		panic(ErrStartTimeNotValid)
+		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
 	}
 	if s.Profits == nil {
-		panic(ErrProfitArrEmpty)
+		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
 	}
 	return Sortino(Sub(s.Profits, 1.), 0., s.Profits.Length(), true, false)
 }