mirror of
https://github.com/c9s/bbgo.git
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clear all trades before running backtests
This commit is contained in:
c9s
parent
3aa36b5989
commit
c84d59734c
2
go.mod
2
go.mod
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@ -7,6 +7,7 @@ go 1.13
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require (
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github.com/DATA-DOG/go-sqlmock v1.5.0
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github.com/adshao/go-binance/v2 v2.2.1
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github.com/c-bata/go-prompt v0.2.6 // indirect
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github.com/c9s/rockhopper v1.2.1-0.20210217093258-2661955904a9
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github.com/codingconcepts/env v0.0.0-20200821220118-a8fbf8d84482
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github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239 // indirect
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@ -29,7 +30,6 @@ require (
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github.com/lestrrat-go/strftime v1.0.0 // indirect
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github.com/magefile/mage v1.11.0 // indirect
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github.com/magiconair/properties v1.8.4 // indirect
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github.com/mattn/go-colorable v0.1.2 // indirect
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github.com/mattn/go-sqlite3 v2.0.3+incompatible // indirect
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github.com/mitchellh/mapstructure v1.4.1 // indirect
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github.com/pelletier/go-toml v1.8.1 // indirect
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18
go.sum
18
go.sum
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@ -37,6 +37,8 @@ github.com/bmizerany/assert v0.0.0-20160611221934-b7ed37b82869 h1:DDGfHa7BWjL4Yn
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github.com/bmizerany/assert v0.0.0-20160611221934-b7ed37b82869/go.mod h1:Ekp36dRnpXw/yCqJaO+ZrUyxD+3VXMFFr56k5XYrpB4=
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github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc h1:biVzkmvwrH8WK8raXaxBx6fRVTlJILwEwQGL1I/ByEI=
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github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc/go.mod h1:paBWMcWSl3LHKBqUq+rly7CNSldXjb2rDl3JlRe0mD8=
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github.com/c-bata/go-prompt v0.2.6 h1:POP+nrHE+DfLYx370bedwNhsqmpCUynWPxuHi0C5vZI=
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github.com/c-bata/go-prompt v0.2.6/go.mod h1:/LMAke8wD2FsNu9EXNdHxNLbd9MedkPnCdfpU9wwHfY=
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github.com/c9s/rockhopper v1.2.1-0.20210217093258-2661955904a9 h1:Wlr5DjDOf5Kygoo0LoUthxwAhNwLEXMWHqCKXbMHCsw=
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github.com/c9s/rockhopper v1.2.1-0.20210217093258-2661955904a9/go.mod h1:KJnQjZSrWA83jjwGF/+O7Y96VCVirYTYEvXJJOc6kMU=
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github.com/census-instrumentation/opencensus-proto v0.2.1/go.mod h1:f6KPmirojxKA12rnyqOA5BBL4O983OfeGPqjHWSTneU=
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@ -239,16 +241,25 @@ github.com/magiconair/properties v1.8.4/go.mod h1:y3VJvCyxH9uVvJTWEGAELF3aiYNyPK
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github.com/mattn/go-colorable v0.0.9/go.mod h1:9vuHe8Xs5qXnSaW/c/ABM9alt+Vo+STaOChaDxuIBZU=
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github.com/mattn/go-colorable v0.1.2 h1:/bC9yWikZXAL9uJdulbSfyVNIR3n3trXl+v8+1sx8mU=
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github.com/mattn/go-colorable v0.1.2/go.mod h1:U0ppj6V5qS13XJ6of8GYAs25YV2eR4EVcfRqFIhoBtE=
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github.com/mattn/go-colorable v0.1.4/go.mod h1:U0ppj6V5qS13XJ6of8GYAs25YV2eR4EVcfRqFIhoBtE=
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github.com/mattn/go-colorable v0.1.7 h1:bQGKb3vps/j0E9GfJQ03JyhRuxsvdAanXlT9BTw3mdw=
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github.com/mattn/go-colorable v0.1.7/go.mod h1:u6P/XSegPjTcexA+o6vUJrdnUu04hMope9wVRipJSqc=
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github.com/mattn/go-isatty v0.0.3/go.mod h1:M+lRXTBqGeGNdLjl/ufCoiOlB5xdOkqRJdNxMWT7Zi4=
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github.com/mattn/go-isatty v0.0.8/go.mod h1:Iq45c/XA43vh69/j3iqttzPXn0bhXyGjM0Hdxcsrc5s=
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github.com/mattn/go-isatty v0.0.9/go.mod h1:YNRxwqDuOph6SZLI9vUUz6OYw3QyUt7WiY2yME+cCiQ=
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github.com/mattn/go-isatty v0.0.10/go.mod h1:qgIWMr58cqv1PHHyhnkY9lrL7etaEgOFcMEpPG5Rm84=
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github.com/mattn/go-isatty v0.0.12 h1:wuysRhFDzyxgEmMf5xjvJ2M9dZoWAXNNr5LSBS7uHXY=
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github.com/mattn/go-isatty v0.0.12/go.mod h1:cbi8OIDigv2wuxKPP5vlRcQ1OAZbq2CE4Kysco4FUpU=
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github.com/mattn/go-runewidth v0.0.6/go.mod h1:H031xJmbD/WCDINGzjvQ9THkh0rPKHF+m2gUSrubnMI=
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github.com/mattn/go-runewidth v0.0.9 h1:Lm995f3rfxdpd6TSmuVCHVb/QhupuXlYr8sCI/QdE+0=
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github.com/mattn/go-runewidth v0.0.9/go.mod h1:H031xJmbD/WCDINGzjvQ9THkh0rPKHF+m2gUSrubnMI=
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github.com/mattn/go-sqlite3 v1.9.0/go.mod h1:FPy6KqzDD04eiIsT53CuJW3U88zkxoIYsOqkbpncsNc=
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github.com/mattn/go-sqlite3 v1.14.6 h1:dNPt6NO46WmLVt2DLNpwczCmdV5boIZ6g/tlDrlRUbg=
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github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
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github.com/mattn/go-sqlite3 v2.0.3+incompatible h1:gXHsfypPkaMZrKbD5209QV9jbUTJKjyR5WD3HYQSd+U=
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github.com/mattn/go-sqlite3 v2.0.3+incompatible/go.mod h1:FPy6KqzDD04eiIsT53CuJW3U88zkxoIYsOqkbpncsNc=
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github.com/mattn/go-tty v0.0.3 h1:5OfyWorkyO7xP52Mq7tB36ajHDG5OHrmBGIS/DtakQI=
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github.com/mattn/go-tty v0.0.3/go.mod h1:ihxohKRERHTVzN+aSVRwACLCeqIoZAWpoICkkvrWyR0=
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github.com/matttproud/golang_protobuf_extensions v1.0.1/go.mod h1:D8He9yQNgCq6Z5Ld7szi9bcBfOoFv/3dc6xSMkL2PC0=
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github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d h1:5PJl274Y63IEHC+7izoQE9x6ikvDFZS2mDVS3drnohI=
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github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d/go.mod h1:01TrycV0kFyexm33Z7vhZRXopbI8J3TDReVlkTgMUxE=
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@ -292,6 +303,8 @@ github.com/pkg/errors v0.8.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINE
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github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4=
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github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
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github.com/pkg/sftp v1.10.1/go.mod h1:lYOWFsE0bwd1+KfKJaKeuokY15vzFx25BLbzYYoAxZI=
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github.com/pkg/term v1.2.0-beta.2 h1:L3y/h2jkuBVFdWiJvNfYfKmzcCnILw7mJWm2JQuMppw=
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github.com/pkg/term v1.2.0-beta.2/go.mod h1:E25nymQcrSllhX42Ok8MRm1+hyBdHY0dCeiKZ9jpNGw=
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github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
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github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
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github.com/posener/complete v1.1.1/go.mod h1:em0nMJCgc9GFtwrmVmEMR/ZL6WyhyjMBndrE9hABlRI=
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@ -468,6 +481,7 @@ golang.org/x/sync v0.0.0-20181108010431-42b317875d0f/go.mod h1:RxMgew5VJxzue5/jJ
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golang.org/x/sync v0.0.0-20181221193216-37e7f081c4d4/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
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golang.org/x/sync v0.0.0-20190227155943-e225da77a7e6/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
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golang.org/x/sync v0.0.0-20190423024810-112230192c58/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
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golang.org/x/sync v0.0.0-20190911185100-cd5d95a43a6e/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
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golang.org/x/sync v0.0.0-20201020160332-67f06af15bc9/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
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golang.org/x/sys v0.0.0-20180823144017-11551d06cbcc/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY=
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golang.org/x/sys v0.0.0-20180830151530-49385e6e1522/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY=
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@ -487,11 +501,15 @@ golang.org/x/sys v0.0.0-20190624142023-c5567b49c5d0/go.mod h1:h1NjWce9XRLGQEsW7w
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golang.org/x/sys v0.0.0-20190813064441-fde4db37ae7a/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20190904154756-749cb33beabd/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20191005200804-aed5e4c7ecf9/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20191008105621-543471e840be/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20191026070338-33540a1f6037/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20191120155948-bd437916bb0e/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200116001909-b77594299b42/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200223170610-d5e6a3e2c0ae/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200323222414-85ca7c5b95cd/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200519105757-fe76b779f299/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200909081042-eff7692f9009/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200918174421-af09f7315aff/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20200930185726-fdedc70b468f/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20201119102817-f84b799fce68/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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golang.org/x/sys v0.0.0-20210112080510-489259a85091/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
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@ -275,9 +275,7 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
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session.Account.BindStream(session.UserDataStream)
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// insert trade into db right before everything
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// TODO: we should insert the backtest trades into the database,
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// however we should clean up the trades before we start the next backtesting
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if environ.TradeService != nil && environ.BacktestService == nil {
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if environ.TradeService != nil {
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session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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if err := environ.TradeService.Insert(trade); err != nil {
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log.WithError(err).Errorf("trade insert error: %+v", trade)
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@ -1,20 +1,22 @@
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package cmd
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import (
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"bufio"
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"context"
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"fmt"
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"os"
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"strings"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/backtest"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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)
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func init() {
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@ -115,7 +117,7 @@ var BacktestCmd = &cobra.Command{
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log.Infof("starting backtest with startTime %s", startTime.Format(time.ANSIC))
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environ := bbgo.NewEnvironment()
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if err := BootstrapBacktestEnvironment(ctx, environ, userConfig) ; err != nil {
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if err := BootstrapBacktestEnvironment(ctx, environ, userConfig); err != nil {
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return err
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}
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@ -203,11 +205,21 @@ var BacktestCmd = &cobra.Command{
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}
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}
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log.Warn("!!! To run backtest, you should use an isolated database for storing backtest trades !!!")
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log.Warn("!!! The trade record in the current database WILL ALL BE DELETE !!!")
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if !confirmation("Are you sure to continue?") {
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return nil
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}
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if err := environ.TradeService.DeleteAll(); err != nil {
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return err
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}
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backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
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environ.SetStartTime(startTime)
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environ.AddExchange(exchangeName.String(), backtestExchange)
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if err := environ.Init(ctx) ; err != nil {
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if err := environ.Init(ctx); err != nil {
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return err
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}
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@ -223,11 +235,10 @@ var BacktestCmd = &cobra.Command{
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trader.DisableLogging()
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}
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if err := trader.Configure(userConfig) ; err != nil {
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if err := trader.Configure(userConfig); err != nil {
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return err
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}
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if err := trader.Run(ctx); err != nil {
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return err
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}
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@ -242,7 +253,6 @@ var BacktestCmd = &cobra.Command{
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// put the logger back to print the pnl
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log.SetLevel(log.InfoLevel)
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for _, session := range environ.Sessions() {
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calculator := &pnl.AverageCostCalculator{
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TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
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}
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@ -292,3 +302,25 @@ var BacktestCmd = &cobra.Command{
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return nil
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},
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}
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func confirmation(s string) bool {
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reader := bufio.NewReader(os.Stdin)
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for {
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fmt.Printf("%s [y/N]: ", s)
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response, err := reader.ReadString('\n')
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if err != nil {
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log.Fatal(err)
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}
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response = strings.ToLower(strings.TrimSpace(response))
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if response == "y" || response == "yes" {
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return true
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} else if response == "n" || response == "no" {
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return false
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} else {
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return false
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}
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}
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}
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@ -121,7 +121,6 @@ func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol
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return <-errC
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}
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func (s *TradeService) QueryTradingVolume(startTime time.Time, options TradingVolumeQueryOptions) ([]TradingVolume, error) {
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args := map[string]interface{}{
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// "symbol": symbol,
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@ -445,3 +444,8 @@ func (s *TradeService) Insert(trade types.Trade) error {
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trade)
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return err
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}
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func (s *TradeService) DeleteAll() error {
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_, err := s.DB.Exec(`DELETE FROM trades`)
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return err
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}
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Block a user