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simplify ftx kline sync call

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This commit is contained in:
c9s 2022-05-20 14:06:37 +08:00
parent b9b2b8727a
commit b8eb036556
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 28 additions and 93 deletions
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6
pkg/cmd/backtest.go
View File

@ -391,13 +391,7 @@ var BacktestCmd = &cobra.Command{
var numOfExchangeSources = len(exchangeSources)
if numOfExchangeSources == 1 {
exSource := exchangeSources[0]
var lastk types.KLine
for k := range exSource.C {
// avoid duplicated klines
if k == lastk {
continue
}
exSource.Exchange.ConsumeKLine(k)
for _, h := range kLineHandlers {

20
pkg/exchange/batch/batch.go
View File

@ -25,12 +25,10 @@ func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval type
defer close(c)
defer close(errC)
tryQueryKlineTimes := 0
var currentTime = startTime
for currentTime.Before(endTime) {
var tryQueryKlineTimes = 0
for startTime.Before(endTime) {
kLines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
StartTime: &currentTime,
StartTime: &startTime,
EndTime: &endTime,
})
@ -39,12 +37,13 @@ func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval type
return
}
sort.Slice(kLines, func(i, j int) bool { return kLines[i].StartTime.Unix() < kLines[j].StartTime.Unix() })
// ensure the kline is in the right order
sort.Slice(kLines, func(i, j int) bool {
return kLines[i].StartTime.Unix() < kLines[j].StartTime.Unix()
})
if len(kLines) == 0 {
return
} else if len(kLines) == 1 && kLines[0].StartTime.Unix() == currentTime.Unix() {
return
}
tryQueryKlineTimes++
@ -53,7 +52,7 @@ func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval type
var batchKLines = make([]types.KLine, 0, BatchSize)
for _, kline := range kLines {
// ignore any kline before the given start time of the batch query
if currentTime.Unix() != startTime.Unix() && kline.StartTime.Before(currentTime) {
if kline.StartTime.Before(startTime) {
continue
}
@ -74,7 +73,8 @@ func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval type
}
// The issue is in FTX, prev endtime = next start time , so if add 1 ms , it would query forever.
currentTime = kline.StartTime.Time()
// (above comment was written by @tony1223)
startTime = kline.EndTime.Time()
tryQueryKlineTimes = 0
}

89
pkg/exchange/ftx/exchange.go
View File

@ -231,85 +231,23 @@ func (e *Exchange) IsSupportedInterval(interval types.Interval) bool {
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
var klines []types.KLine
var since, until, currentEnd time.Time
if options.StartTime != nil {
since = *options.StartTime
}
if options.EndTime != nil {
until = *options.EndTime
} else {
until = time.Now()
// the fetch result is from newest to oldest
// currentEnd = until
// endTime := currentEnd.Add(interval.Duration())
klines, err := e._queryKLines(ctx, symbol, interval, options)
if err != nil {
return nil, err
}
currentEnd = until
for {
// the fetch result is from newest to oldest
endTime := currentEnd.Add(interval.Duration())
options.EndTime = &endTime
lines, err := e._queryKLines(ctx, symbol, interval, types.KLineQueryOptions{
StartTime: &since,
EndTime: &currentEnd,
})
if err != nil {
return nil, err
}
if len(lines) == 0 {
break
}
for _, line := range lines {
if line.StartTime.Unix() < currentEnd.Unix() {
currentEnd = line.StartTime.Time()
}
if line.StartTime.Unix() > since.Unix() {
klines = append(klines, line)
}
}
if len(lines) == 1 && lines[0].StartTime.Unix() == currentEnd.Unix() {
break
}
outBound := currentEnd.Add(interval.Duration()*-1).Unix() <= since.Unix()
if since.IsZero() || currentEnd.Unix() == since.Unix() || outBound {
break
}
if options.Limit != 0 && options.Limit <= len(lines) {
break
}
}
sort.Slice(klines, func(i, j int) bool { return klines[i].StartTime.Unix() < klines[j].StartTime.Unix() })
if options.Limit != 0 {
limitedItems := len(klines) - options.Limit
if limitedItems > 0 {
return klines[limitedItems:], nil
}
}
sort.Slice(klines, func(i, j int) bool {
return klines[i].StartTime.Unix() < klines[j].StartTime.Unix()
})
return klines, nil
}
func (e *Exchange) _queryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
var since, until time.Time
if options.StartTime != nil {
since = *options.StartTime
}
if options.EndTime != nil {
until = *options.EndTime
} else {
until = time.Now()
}
if since.After(until) {
return nil, fmt.Errorf("invalid query klines time range, since: %+v, until: %+v", since, until)
}
if !isIntervalSupportedInKLine(interval) {
return nil, fmt.Errorf("interval %s is not supported", interval.String())
}
@ -318,7 +256,7 @@ func (e *Exchange) _queryKLines(ctx context.Context, symbol string, interval typ
return nil, err
}
resp, err := e.newRest().HistoricalPrices(ctx, toLocalSymbol(symbol), interval, 0, since, until)
resp, err := e.newRest().HistoricalPrices(ctx, toLocalSymbol(symbol), interval, int64(options.Limit), options.StartTime, options.EndTime)
if err != nil {
return nil, err
}
@ -621,7 +559,10 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[stri
}
// ctx context.Context, market string, interval types.Interval, limit int64, start, end time.Time
prices, err := rest.HistoricalPrices(ctx, v.Market.LocalSymbol, types.Interval1h, 1, time.Now().Add(time.Duration(-1)*time.Hour), time.Now())
now := time.Now()
since := now.Add(time.Duration(-1) * time.Hour)
until := now
prices, err := rest.HistoricalPrices(ctx, v.Market.LocalSymbol, types.Interval1h, 1, &since, &until)
if err != nil || !prices.Success || len(prices.Result) == 0 {
continue
}

6
pkg/exchange/ftx/rest_market_request.go
View File

@ -18,7 +18,7 @@ type marketRequest struct {
supported resolutions: window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400
doc: https://docs.ftx.com/?javascript#get-historical-prices
*/
func (r *marketRequest) HistoricalPrices(ctx context.Context, market string, interval types.Interval, limit int64, start, end time.Time) (HistoricalPricesResponse, error) {
func (r *marketRequest) HistoricalPrices(ctx context.Context, market string, interval types.Interval, limit int64, start, end *time.Time) (HistoricalPricesResponse, error) {
q := map[string]string{
"resolution": strconv.FormatInt(int64(interval.Minutes())*60, 10),
}
@ -27,11 +27,11 @@ func (r *marketRequest) HistoricalPrices(ctx context.Context, market string, int
q["limit"] = strconv.FormatInt(limit, 10)
}
if start != (time.Time{}) {
if start != nil {
q["start_time"] = strconv.FormatInt(start.Unix(), 10)
}
if end != (time.Time{}) {
if end != nil {
q["end_time"] = strconv.FormatInt(end.Unix(), 10)
}