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Merge pull request #529 from zenixls2/fix/backtest_price
fix: rename EVWMP to VWEMP, fix backtesting fee
This commit is contained in:
Yo-An Lin
GitHub
commit
cb4500618e
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@ -12,12 +12,6 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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// DefaultFeeRate set the fee rate for most cases
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// BINANCE uses 0.1% for both maker and taker
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// for BNB holders, it's 0.075% for both maker and taker
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// MAX uses 0.050% for maker and 0.15% for taker
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var DefaultFeeRate = fixedpoint.NewFromFloat(0.075 * 0.01)
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var orderID uint64 = 1
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var tradeID uint64 = 1
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@ -45,9 +39,6 @@ type SimplePriceMatching struct {
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Account *types.Account
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MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
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TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
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tradeUpdateCallbacks []func(trade types.Trade)
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orderUpdateCallbacks []func(order types.Order)
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balanceUpdateCallbacks []func(balances types.BalanceMap)
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@ -192,11 +183,11 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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if trade.IsBuyer {
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err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.Price.Mul(trade.Quantity))
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m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity)
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m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity.Sub(trade.Fee.Div(trade.Price)))
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} else {
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err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
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m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price))
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m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price).Sub(trade.Fee))
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}
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if err != nil {
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@ -211,15 +202,11 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool) types.Trade {
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// BINANCE uses 0.1% for both maker and taker
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// MAX uses 0.050% for maker and 0.15% for taker
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var feeRate = DefaultFeeRate
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var feeRate fixedpoint.Value
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if isMaker {
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if m.MakerFeeRate.Sign() > 0 {
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feeRate = m.MakerFeeRate
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}
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feeRate = m.Account.MakerFeeRate
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} else {
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if m.TakerFeeRate.Sign() > 0 {
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feeRate = m.TakerFeeRate
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}
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feeRate = m.Account.TakerFeeRate
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}
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price := order.Price
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@ -230,7 +217,6 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
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}
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price = m.LastPrice
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}
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var fee fixedpoint.Value
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@ -297,6 +283,9 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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// is it a taker order?
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if price.Compare(o.Price) >= 0 {
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if o.Price.Compare(m.LastKLine.Low) < 0 {
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o.Price = m.LastKLine.Low
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}
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -307,6 +296,9 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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if price.Compare(o.Price) >= 0 {
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if o.Price.Compare(m.LastKLine.Low) < 0 {
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o.Price = m.LastKLine.Low
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}
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -358,6 +350,9 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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o.Type = types.OrderTypeLimit
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if sellPrice.Compare(o.Price) <= 0 {
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if o.Price.Compare(m.LastKLine.High) > 0 {
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o.Price = m.LastKLine.High
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}
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -370,6 +365,9 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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if sellPrice.Compare(o.Price) <= 0 {
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if o.Price.Compare(m.LastKLine.High) > 0 {
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o.Price = m.LastKLine.High
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}
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -17,6 +17,12 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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// DefaultFeeRate set the fee rate for most cases
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// BINANCE uses 0.1% for both maker and taker
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// for BNB holders, it's 0.075% for both maker and taker
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// MAX uses 0.050% for maker and 0.15% for taker
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var DefaultFeeRate = fixedpoint.NewFromFloat(0.075 * 0.01)
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type PnLReporterConfig struct {
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AverageCostBySymbols datatype.StringSlice `json:"averageCostBySymbols" yaml:"averageCostBySymbols"`
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Of datatype.StringSlice `json:"of" yaml:"of"`
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@ -106,10 +112,30 @@ type Backtest struct {
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type BacktestAccount struct {
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// TODO: MakerFeeRate should replace the commission fields
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MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
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TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
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MakerFeeRate fixedpoint.Value `json:"makerFeeRate,omitempty" yaml:"makerFeeRate,omitempty"`
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TakerFeeRate fixedpoint.Value `json:"takerFeeRate,omitempty" yaml:"takerFeeRate,omitempty"`
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Balances BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
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Balances BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
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}
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type BA BacktestAccount
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func (b *BacktestAccount) UnmarshalYAML(value *yaml.Node) error {
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bb := &BA{MakerFeeRate: DefaultFeeRate, TakerFeeRate: DefaultFeeRate}
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if err := value.Decode(bb); err != nil {
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return err
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}
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*b = BacktestAccount(*bb)
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return nil
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}
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func (b *BacktestAccount) UnmarshalJSON(input []byte) error {
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bb := &BA{MakerFeeRate: DefaultFeeRate, TakerFeeRate: DefaultFeeRate}
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if err := json.Unmarshal(input, bb); err != nil {
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return err
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}
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*b = BacktestAccount(*bb)
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return nil
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}
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type BacktestAccountBalanceMap map[string]fixedpoint.Value
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@ -66,16 +66,16 @@ type UpdatableSeries interface {
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Update(value float64)
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}
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type EVWMA struct {
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type VWEMA struct {
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PV UpdatableSeries
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V UpdatableSeries
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}
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func (inc *EVWMA) Last() float64 {
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func (inc *VWEMA) Last() float64 {
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return inc.PV.Last() / inc.V.Last()
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}
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func (inc *EVWMA) Index(i int) float64 {
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func (inc *VWEMA) Index(i int) float64 {
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if i >= inc.PV.Length() {
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return 0
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}
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@ -86,7 +86,7 @@ func (inc *EVWMA) Index(i int) float64 {
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return inc.PV.Index(i) / vi
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}
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func (inc *EVWMA) Length() int {
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func (inc *VWEMA) Length() int {
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pvl := inc.PV.Length()
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vl := inc.V.Length()
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if pvl < vl {
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@ -95,12 +95,12 @@ func (inc *EVWMA) Length() int {
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return vl
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}
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func (inc *EVWMA) Update(kline types.KLine) {
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func (inc *VWEMA) Update(kline types.KLine) {
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inc.PV.Update(kline.Close.Mul(kline.Volume).Float64())
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inc.V.Update(kline.Volume.Float64())
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}
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func (inc *EVWMA) UpdateVal(price float64, vol float64) {
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func (inc *VWEMA) UpdateVal(price float64, vol float64) {
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inc.PV.Update(price * vol)
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inc.V.Update(vol)
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}
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@ -247,11 +247,11 @@ func (s *Strategy) SetupIndicators() {
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s.ma5 = sma5
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s.ma34 = sma34
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} else {
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evwma5 := &EVWMA{
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evwma5 := &VWEMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
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}
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evwma34 := &EVWMA{
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evwma34 := &VWEMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
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}
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@ -289,11 +289,11 @@ func (s *Strategy) SetupIndicators() {
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s.ma5 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 5})
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s.ma34 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 34})
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} else {
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evwma5 := &EVWMA{
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evwma5 := &VWEMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
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}
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evwma34 := &EVWMA{
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evwma34 := &VWEMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
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}
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@ -354,7 +354,7 @@ func (s *Strategy) SetupIndicators() {
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})
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s.ewoSignal = sig
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} else {
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sig := &EVWMA{
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sig := &VWEMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}},
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}
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