emit klines and setup account balances

config/bbgo.yaml

@@ -58,17 +58,9 @@ backtest:
       USDT: 5000.0
 
 exchangeStrategies:
-- on: binance
+- on: max
   buyandhold:
     symbol: "BTCUSDT"
     interval: "1m"
     baseQuantity: 0.01
     minDropPercentage: -0.02
-- on: max
-  xpuremaker:
-    symbol: MAXUSDT
-    numOrders: 2
-    side: both
-    behindVolume: 1000.0
-    priceTick: 0.01
-    baseQuantity: 100.0

pkg/backtest/exchange.go

@@ -6,6 +6,7 @@ import (
 
 	"github.com/pkg/errors"
 
+	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/binance"
 	"github.com/c9s/bbgo/pkg/exchange/max"
 	"github.com/c9s/bbgo/pkg/service"
@@ -18,27 +19,55 @@ type Exchange struct {
 	srv            *service.BacktestService
 	startTime      time.Time
 
+	account *types.Account
+	config       *bbgo.Backtest
 	closedOrders []types.SubmitOrder
 	openOrders   []types.SubmitOrder
+
+	stream *Stream
 }
 
-func NewExchange(sourceExchange types.ExchangeName, srv *service.BacktestService, startTime time.Time) *Exchange {
+func NewExchange(sourceExchange types.ExchangeName, srv *service.BacktestService, config *bbgo.Backtest) *Exchange {
 	ex, err := newPublicExchange(sourceExchange)
 	if err != nil {
 		panic(err)
 	}
 
+	if config == nil {
+		panic(errors.New("backtest config can not be nil"))
+	}
+
+	startTime, err := config.ParseStartTime()
+	if err != nil {
+		panic(err)
+	}
+
+	balances := config.Account.Balances.BalanceMap()
+
+	account := &types.Account{
+		MakerCommission: config.Account.MakerCommission,
+		TakerCommission: config.Account.TakerCommission,
+		AccountType:     "SPOT", // currently not used
+	}
+	account.UpdateBalances(balances)
+
 	return &Exchange{
 		sourceExchange: sourceExchange,
 		publicExchange: ex,
 		srv:            srv,
+		config:         config,
+		account:        account,
 		startTime:      startTime,
 	}
 }
 
 func (e *Exchange) NewStream() types.Stream {
-	// TODO: return the stream and feed the data
+	if e.stream != nil {
-	return &Stream{}
+		panic("backtest stream is already allocated, please check if there are extra NewStream calls")
+	}
+
+	e.stream = &Stream{exchange: e}
+	return e.stream
 }
 
 func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
@@ -58,11 +87,11 @@ func (e Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error
 }
 
 func (e Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
-	panic("implement me")
+	return e.account, nil
 }
 
-func (e Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
+func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
-	panic("implement me")
+	return e.account.Balances(), nil
 }
 
 func (e Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {

pkg/backtest/stream.go

@@ -4,6 +4,7 @@ import (
 	"context"
 
 	"github.com/pkg/errors"
+	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -15,6 +16,8 @@ type Stream struct {
 }
 
 func (s *Stream) Connect(ctx context.Context) error {
+	log.Infof("collecting backtest configurations...")
+
 	loadedSymbols := map[string]struct{}{}
 	loadedIntervals := map[types.Interval]struct{}{}
 	for _, sub := range s.Subscriptions {
@@ -39,6 +42,8 @@ func (s *Stream) Connect(ctx context.Context) error {
 		intervals = append(intervals, interval)
 	}
 
+	log.Infof("used symbols: %v and intervals: %v", symbols, intervals)
+
 	// TODO: we can sync before we connect
 	/*
 		if err := backtestService.Sync(ctx, exchange, symbol, startTime); err != nil {

pkg/bbgo/config.go

@@ -4,11 +4,13 @@ import (
 	"encoding/json"
 	"io/ioutil"
 	"reflect"
+	"time"
 
 	"github.com/pkg/errors"
 	"gopkg.in/yaml.v3"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
 )
 
 type PnLReporterConfig struct {
@@ -57,6 +59,14 @@ type Backtest struct {
 	Account   BacktestAccount `json:"account" yaml:"account"`
 }
 
+func (t Backtest) ParseStartTime() (time.Time, error) {
+	if len(t.StartTime) == 0 {
+		return time.Time{}, errors.New("backtest.startTime must be defined")
+	}
+
+	return time.Parse("2006-01-02", t.StartTime)
+}
+
 type BacktestAccount struct {
 	MakerCommission  int                       `json:"makerCommission"`
 	TakerCommission  int                       `json:"takerCommission"`
@@ -67,6 +77,18 @@ type BacktestAccount struct {
 
 type BacktestAccountBalanceMap map[string]fixedpoint.Value
 
+func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap {
+	balances := make(types.BalanceMap)
+	for currency, value := range m {
+		balances[currency] = types.Balance{
+			Currency:  currency,
+			Available: value.Float64(),
+			Locked:    0.0,
+		}
+	}
+	return balances
+}
+
 type Config struct {
 	Imports []string `json:"imports" yaml:"imports"`
 

pkg/cmd/backtest.go

@@ -18,8 +18,7 @@ import (
 
 func init() {
 	BacktestCmd.Flags().String("exchange", "", "target exchange")
-	BacktestCmd.Flags().String("start", "", "start time")
+	BacktestCmd.Flags().Bool("sync", true, "sync backtest data")
-	BacktestCmd.Flags().Bool("backtest", true, "sync backtest data")
 	BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
 	RootCmd.AddCommand(BacktestCmd)
 }
@@ -61,27 +60,29 @@ var BacktestCmd = &cobra.Command{
 			return err
 		}
 
+		if userConfig.Backtest == nil {
+			return errors.New("backtest config is not defined")
+		}
+
 		// set default start time to the past 6 months
 		startTime := time.Now().AddDate(0, -6, 0)
-
+		if len(userConfig.Backtest.StartTime) == 0 {
-		startTimeArg, err := cmd.Flags().GetString("start")
+			userConfig.Backtest.StartTime = startTime.Format("2006-01-02")
-		if err != nil {
-			return err
-		}
-
-		if len(startTimeArg) > 0 {
-			startTime, err = time.Parse("2006-01-02", startTimeArg)
-			if err != nil {
-				return err
-			}
 		}
 
 		backtestService := &service.BacktestService{DB: db}
 
-		exchange := backtest.NewExchange(exchangeName, backtestService, startTime)
+		exchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
+
 		environ := bbgo.NewEnvironment()
 		environ.AddExchange(exchangeName.String(), exchange)
 
+		environ.Notifiability = bbgo.Notifiability{
+			SymbolChannelRouter:  bbgo.NewPatternChannelRouter(nil),
+			SessionChannelRouter: bbgo.NewPatternChannelRouter(nil),
+			ObjectChannelRouter:  bbgo.NewObjectChannelRouter(),
+		}
+
 		trader := bbgo.NewTrader(environ)
 		if userConfig.RiskControls != nil {
 			trader.SetRiskControls(userConfig.RiskControls)
@@ -96,7 +97,7 @@ var BacktestCmd = &cobra.Command{
 			log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
 		}
 
-		if err := trader.Run(ctx) ; err != nil {
+		if err := trader.Run(ctx); err != nil {
 			return err
 		}
 

pkg/exchange/binance/exchange.go

@@ -262,8 +262,8 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
 	}
 
 	a := &types.Account{
-		MakerCommission: account.MakerCommission,
+		MakerCommission: int(account.MakerCommission),
-		TakerCommission: account.TakerCommission,
+		TakerCommission: int(account.TakerCommission),
 	}
 	a.UpdateBalances(balances)
 	return a, nil
@@ -537,4 +537,3 @@ func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol string, interval
 
 	return allKLines, nil
 }
-

pkg/types/account.go

@@ -19,9 +19,9 @@ type BalanceMap map[string]Balance
 type Account struct {
 	sync.Mutex
 
-	MakerCommission int64
+	MakerCommission int `json:"makerCommission"`
-	TakerCommission int64
+	TakerCommission int `json:"takerCommission"`
-	AccountType     string
+	AccountType     string `json:"accountType"`
 
 	balances BalanceMap
 }