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refactor report structure and rewrite manifest paths

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This commit is contained in:
c9s 2022-05-17 22:59:34 +08:00
parent 06e2902e5e
commit b51d6b4ba1
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2 changed files with 80 additions and 59 deletions
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6
pkg/backtest/report.go
View File

@ -39,13 +39,13 @@ type SummaryReport struct {
FinalTotalBalances types.BalanceMap `json:"finalTotalBalances"`
SymbolReports []SessionSymbolReport `json:"symbolReports,omitempty"`
Manifests Manifests `json:"manifests,omitempty"`
}
// SessionSymbolReport is the report per exchange session
// trades are merged, collected and re-calculated
type SessionSymbolReport struct {
StartTime time.Time `json:"startTime"`
EndTime time.Time `json:"endTime"`
Exchange types.ExchangeName `json:"exchange"`
Symbol string `json:"symbol,omitempty"`
Market types.Market `json:"market"`
@ -155,7 +155,7 @@ func AddReportIndexRun(outputDirectory string, run Run) error {
if err := fileLock.Unlock(); err != nil {
log.WithError(err).Errorf("report index file lock error: %s", lockFile)
}
if err := os.Remove(lockFile) ; err != nil {
if err := os.Remove(lockFile); err != nil {
log.WithError(err).Errorf("can not remove lock file: %s", lockFile)
}
}()

133
pkg/cmd/backtest.go
View File

@ -308,8 +308,12 @@ var BacktestCmd = &cobra.Command{
err = trader.IterateStrategies(func(st bbgo.StrategyID) error {
return stateRecorder.Scan(st.(backtest.Instance))
})
manifests = stateRecorder.Manifests()
if err != nil {
return err
}
manifests = stateRecorder.Manifests()
manifests, err = rewriteManifestPaths(manifests, reportDir)
if err != nil {
return err
}
@ -443,15 +447,10 @@ var BacktestCmd = &cobra.Command{
// put the logger back to print the pnl
log.SetLevel(log.InfoLevel)
color.Green("BACK-TEST REPORT")
color.Green("===============================================\n")
color.Green("START TIME: %s\n", startTime.Format(time.RFC1123))
color.Green("END TIME: %s\n", endTime.Format(time.RFC1123))
// aggregate total balances
initTotalBalances := types.BalanceMap{}
finalTotalBalances := types.BalanceMap{}
sessionNames := []string{}
var sessionNames []string
for _, session := range environ.Sessions() {
sessionNames = append(sessionNames, session.Name)
accountConfig := userConfig.Backtest.GetAccount(session.Name)
@ -461,6 +460,11 @@ var BacktestCmd = &cobra.Command{
finalBalances := session.GetAccount().Balances()
finalTotalBalances = finalTotalBalances.Add(finalBalances)
}
color.Green("BACK-TEST REPORT")
color.Green("===============================================\n")
color.Green("START TIME: %s\n", startTime.Format(time.RFC1123))
color.Green("END TIME: %s\n", endTime.Format(time.RFC1123))
color.Green("INITIAL TOTAL BALANCE: %v\n", initTotalBalances)
color.Green("FINAL TOTAL BALANCE: %v\n", finalTotalBalances)
@ -470,60 +474,17 @@ var BacktestCmd = &cobra.Command{
Sessions: sessionNames,
InitialTotalBalances: initTotalBalances,
FinalTotalBalances: finalTotalBalances,
Manifests: manifests,
}
_ = summaryReport
for _, session := range environ.Sessions() {
backtestExchange, ok := session.Exchange.(*backtest.Exchange)
if !ok {
return fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
}
// per symbol report
exchangeName := session.Exchange.Name().String()
for symbol, trades := range session.Trades {
market, ok := session.Market(symbol)
if !ok {
return fmt.Errorf("market not found: %s, %s", symbol, exchangeName)
symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades)
if err != nil {
return err
}
calculator := &pnl.AverageCostCalculator{
TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
Market: market,
}
startPrice, ok := session.StartPrice(symbol)
if !ok {
return fmt.Errorf("start price not found: %s, %s. run --sync first", symbol, exchangeName)
}
lastPrice, ok := session.LastPrice(symbol)
if !ok {
return fmt.Errorf("last price not found: %s, %s", symbol, exchangeName)
}
report := calculator.Calculate(symbol, trades.Trades, lastPrice)
accountConfig := userConfig.Backtest.GetAccount(exchangeName)
initBalances := accountConfig.Balances.BalanceMap()
finalBalances := session.GetAccount().Balances()
symbolReport := backtest.SessionSymbolReport{
StartTime: startTime,
EndTime: endTime,
Exchange: session.Exchange.Name(),
Symbol: symbol,
Market: market,
LastPrice: lastPrice,
StartPrice: startPrice,
PnL: report,
InitialBalances: initBalances,
FinalBalances: finalBalances,
Manifests: manifests,
}
summaryReport.SymbolReports = append(summaryReport.SymbolReports, symbolReport)
summaryReport.SymbolReports = append(summaryReport.SymbolReports, *symbolReport)
// write report to a file
if generatingReport {
@ -534,11 +495,15 @@ var BacktestCmd = &cobra.Command{
}
symbolReport.Print(wantBaseAssetBaseline)
}
}
if generatingReport && reportFileInSubDir {
summaryReportFile := filepath.Join(reportDir, "summary.json")
if err := util.WriteJsonFile(summaryReportFile, summaryReport); err != nil {
return err
}
// append report index
if err := backtest.AddReportIndexRun(outputDirectory, backtest.Run{
ID: runID,
@ -553,6 +518,50 @@ var BacktestCmd = &cobra.Command{
},
}
func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade) (*backtest.SessionSymbolReport, error) {
backtestExchange, ok := session.Exchange.(*backtest.Exchange)
if !ok {
return nil, fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
}
market, ok := session.Market(symbol)
if !ok {
return nil, fmt.Errorf("market not found: %s, %s", symbol, session.Exchange.Name())
}
startPrice, ok := session.StartPrice(symbol)
if !ok {
return nil, fmt.Errorf("start price not found: %s, %s. run --sync first", symbol, session.Exchange.Name())
}
lastPrice, ok := session.LastPrice(symbol)
if !ok {
return nil, fmt.Errorf("last price not found: %s, %s", symbol, session.Exchange.Name())
}
calculator := &pnl.AverageCostCalculator{
TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
Market: market,
}
report := calculator.Calculate(symbol, trades, lastPrice)
accountConfig := userConfig.Backtest.GetAccount(session.Exchange.Name().String())
initBalances := accountConfig.Balances.BalanceMap()
finalBalances := session.GetAccount().Balances()
symbolReport := backtest.SessionSymbolReport{
Exchange: session.Exchange.Name(),
Symbol: symbol,
Market: market,
LastPrice: lastPrice,
StartPrice: startPrice,
PnL: report,
InitialBalances: initBalances,
FinalBalances: finalBalances,
// Manifests: manifests,
}
return &symbolReport, nil
}
func verify(userConfig *bbgo.Config, backtestService *service.BacktestService, sourceExchanges map[types.ExchangeName]types.Exchange, startTime time.Time, verboseCnt int) error {
for _, sourceExchange := range sourceExchanges {
err := backtestService.Verify(userConfig.Backtest.Symbols, startTime, time.Now(), sourceExchange, verboseCnt)
@ -644,6 +653,18 @@ func sync(ctx context.Context, userConfig *bbgo.Config, backtestService *service
return nil
}
func rewriteManifestPaths(manifests backtest.Manifests, basePath string) (backtest.Manifests, error) {
var filterManifests = backtest.Manifests{}
for k, m := range manifests {
p, err := filepath.Rel(basePath, m)
if err != nil {
return nil, err
}
filterManifests[k] = p
}
return filterManifests, nil
}
func printSymbolReport(report backtest.SessionSymbolReport) {
}