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https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
fix: legacy fixedpoint inf handling, refactor backtest kline consuming
This commit is contained in:
parent
20ee3fdfbb
commit
c2d5a5961f
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@ -70,6 +70,8 @@ type Exchange struct {
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matchingBooksMutex sync.Mutex
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matchingBooksMutex sync.Mutex
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markets types.MarketMap
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markets types.MarketMap
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Src *ExchangeDataSource
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}
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}
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func NewExchange(sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest) (*Exchange, error) {
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func NewExchange(sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest) (*Exchange, error) {
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@ -362,36 +364,35 @@ func (e *Exchange) SubscribeMarketData(startTime, endTime time.Time, extraInterv
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return klineC, nil
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return klineC, nil
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}
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}
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func (e *Exchange) ConsumeKLine(k types.KLine, handlers []func(types.KLine, *ExchangeDataSource), src *ExchangeDataSource) {
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func (e *Exchange) ConsumeKLine(k types.KLine) {
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matching, ok := e.matchingBook(k.Symbol)
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matching, ok := e.matchingBook(k.Symbol)
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if !ok {
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if !ok {
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log.Errorf("matching book of %s is not initialized", k.Symbol)
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log.Errorf("matching book of %s is not initialized", k.Symbol)
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return
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return
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}
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}
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if matching.ParamCache == nil {
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if matching.klineCache == nil {
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matching.ParamCache = make(map[types.Interval]Param)
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matching.klineCache = make(map[types.Interval]types.KLine)
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}
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}
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_, ok = matching.ParamCache[k.Interval]
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kline1m, ok := matching.klineCache[k.Interval]
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if ok { // pop out all the old
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if ok { // pop out all the old
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for _, param := range matching.ParamCache {
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if kline1m.Interval != types.Interval1m {
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if param.kline.Interval == types.Interval1m {
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panic("expect 1m kline, get " + kline1m.Interval.String())
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// here we generate trades and order updates
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}
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matching.processKLine(param.kline)
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// here we generate trades and order updates
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matching.NextKLine = &k
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matching.processKLine(kline1m)
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}
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matching.NextKLine = &k
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for _, kline := range matching.klineCache {
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// log.Errorf("kline %v, next %v", param.kline, matching.NextKLine)
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// log.Errorf("kline %v, next %v", param.kline, matching.NextKLine)
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e.MarketDataStream.EmitKLineClosed(param.kline)
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e.MarketDataStream.EmitKLineClosed(kline)
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for _, h := range param.callbacks {
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for _, h := range e.Src.Callbacks {
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h(param.kline, param.src)
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h(kline, e.Src)
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}
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}
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}
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}
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matching.ParamCache = make(map[types.Interval]Param)
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// reset the paramcache
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}
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matching.klineCache = make(map[types.Interval]types.KLine)
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matching.ParamCache[k.Interval] = Param{
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callbacks: handlers,
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src: src,
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kline: k,
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}
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}
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matching.klineCache[k.Interval] = k
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}
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}
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func (e *Exchange) CloseMarketData() error {
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func (e *Exchange) CloseMarketData() error {
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@ -6,7 +6,8 @@ import (
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)
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)
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type ExchangeDataSource struct {
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type ExchangeDataSource struct {
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C chan types.KLine
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C chan types.KLine
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Exchange *Exchange
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Exchange *Exchange
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Session *bbgo.ExchangeSession
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Session *bbgo.ExchangeSession
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Callbacks []func(types.KLine, *ExchangeDataSource)
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}
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}
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@ -47,12 +47,6 @@ func init() {
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}
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}
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}
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}
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type Param struct {
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callbacks []func(types.KLine, *ExchangeDataSource)
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kline types.KLine
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src *ExchangeDataSource
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}
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// SimplePriceMatching implements a simple kline data driven matching engine for backtest
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// SimplePriceMatching implements a simple kline data driven matching engine for backtest
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//go:generate callbackgen -type SimplePriceMatching
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//go:generate callbackgen -type SimplePriceMatching
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type SimplePriceMatching struct {
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type SimplePriceMatching struct {
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@ -64,7 +58,7 @@ type SimplePriceMatching struct {
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askOrders []types.Order
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askOrders []types.Order
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closedOrders map[uint64]types.Order
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closedOrders map[uint64]types.Order
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ParamCache map[types.Interval]Param
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klineCache map[types.Interval]types.KLine
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LastPrice fixedpoint.Value
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LastPrice fixedpoint.Value
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LastKLine types.KLine
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LastKLine types.KLine
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NextKLine *types.KLine
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NextKLine *types.KLine
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@ -438,6 +438,9 @@ var BacktestCmd = &cobra.Command{
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}
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}
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runCtx, cancelRun := context.WithCancel(ctx)
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runCtx, cancelRun := context.WithCancel(ctx)
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for _, exK := range exchangeSources {
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exK.Callbacks = kLineHandlers
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}
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go func() {
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go func() {
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defer cancelRun()
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defer cancelRun()
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@ -446,7 +449,7 @@ var BacktestCmd = &cobra.Command{
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if numOfExchangeSources == 1 {
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if numOfExchangeSources == 1 {
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exSource := exchangeSources[0]
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exSource := exchangeSources[0]
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for k := range exSource.C {
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for k := range exSource.C {
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exSource.Exchange.ConsumeKLine(k, kLineHandlers, &exSource)
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exSource.Exchange.ConsumeKLine(k)
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}
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}
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if err := exSource.Exchange.CloseMarketData(); err != nil {
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if err := exSource.Exchange.CloseMarketData(); err != nil {
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@ -467,7 +470,7 @@ var BacktestCmd = &cobra.Command{
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break RunMultiExchangeData
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break RunMultiExchangeData
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}
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}
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exK.Exchange.ConsumeKLine(k, kLineHandlers, &exK)
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exK.Exchange.ConsumeKLine(k)
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}
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}
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}
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}
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}()
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}()
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@ -694,11 +697,13 @@ func toExchangeSources(sessions map[string]*bbgo.ExchangeSession, startTime, end
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}
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}
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sessionCopy := session
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sessionCopy := session
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exchangeSources = append(exchangeSources, backtest.ExchangeDataSource{
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src := backtest.ExchangeDataSource{
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C: c,
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C: c,
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Exchange: backtestEx,
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Exchange: backtestEx,
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Session: sessionCopy,
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Session: sessionCopy,
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})
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}
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backtestEx.Src = &src
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exchangeSources = append(exchangeSources, src)
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}
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}
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return exchangeSources, nil
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return exchangeSources, nil
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}
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}
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@ -23,6 +23,8 @@ type Value int64
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const Zero = Value(0)
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const Zero = Value(0)
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const One = Value(1e8)
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const One = Value(1e8)
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const NegOne = Value(-1e8)
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const NegOne = Value(-1e8)
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const PosInf = Value(math.MaxInt64)
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const NegInf = Value(math.MinInt64)
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type RoundingMode int
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type RoundingMode int
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@ -81,6 +83,11 @@ func (v *Value) Scan(src interface{}) error {
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}
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}
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func (v Value) Float64() float64 {
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func (v Value) Float64() float64 {
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if v == PosInf {
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return math.Inf(1)
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} else if v == NegInf {
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return math.Inf(-1)
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}
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return float64(v) / DefaultPow
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return float64(v) / DefaultPow
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}
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}
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@ -92,10 +99,20 @@ func (v Value) Abs() Value {
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}
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}
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func (v Value) String() string {
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func (v Value) String() string {
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if v == PosInf {
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return "inf"
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} else if v == NegInf {
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return "-inf"
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}
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return strconv.FormatFloat(float64(v)/DefaultPow, 'f', -1, 64)
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return strconv.FormatFloat(float64(v)/DefaultPow, 'f', -1, 64)
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}
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}
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func (v Value) FormatString(prec int) string {
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func (v Value) FormatString(prec int) string {
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if v == PosInf {
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return "inf"
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} else if v == NegInf {
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return "-inf"
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}
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pow := math.Pow10(prec)
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pow := math.Pow10(prec)
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return strconv.FormatFloat(
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return strconv.FormatFloat(
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math.Trunc(float64(v)/DefaultPow*pow)/pow, 'f', prec, 64)
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math.Trunc(float64(v)/DefaultPow*pow)/pow, 'f', prec, 64)
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@ -105,6 +122,11 @@ func (v Value) Percentage() string {
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if v == 0 {
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if v == 0 {
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return "0"
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return "0"
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}
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}
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if v == PosInf {
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return "inf%"
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} else if v == NegInf {
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return "-inf%"
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}
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return strconv.FormatFloat(float64(v)/DefaultPow*100., 'f', -1, 64) + "%"
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return strconv.FormatFloat(float64(v)/DefaultPow*100., 'f', -1, 64) + "%"
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}
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}
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@ -112,6 +134,11 @@ func (v Value) FormatPercentage(prec int) string {
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if v == 0 {
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if v == 0 {
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return "0"
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return "0"
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}
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}
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if v == PosInf {
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return "inf%"
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} else if v == NegInf {
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return "-inf%"
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}
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pow := math.Pow10(prec)
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pow := math.Pow10(prec)
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result := strconv.FormatFloat(
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result := strconv.FormatFloat(
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math.Trunc(float64(v)/DefaultPow*pow*100.)/pow, 'f', prec, 64)
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math.Trunc(float64(v)/DefaultPow*pow*100.)/pow, 'f', prec, 64)
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@ -407,6 +434,11 @@ func Must(v Value, err error) Value {
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}
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}
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func NewFromFloat(val float64) Value {
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func NewFromFloat(val float64) Value {
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if math.IsInf(val, 1) {
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return PosInf
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} else if math.IsInf(val, -1) {
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return NegInf
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}
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return Value(int64(math.Trunc(val * DefaultPow)))
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return Value(int64(math.Trunc(val * DefaultPow)))
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}
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}
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