Merge pull request #529 from zenixls2/fix/backtest_price

fix: rename EVWMP to VWEMP, fix backtesting fee

pkg/backtest/matching.go

@@ -12,12 +12,6 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-// DefaultFeeRate set the fee rate for most cases
-// BINANCE uses 0.1% for both maker and taker
-//  for BNB holders, it's 0.075% for both maker and taker
-// MAX uses 0.050% for maker and 0.15% for taker
-var DefaultFeeRate = fixedpoint.NewFromFloat(0.075 * 0.01)
-
 var orderID uint64 = 1
 var tradeID uint64 = 1
 
@@ -45,9 +39,6 @@ type SimplePriceMatching struct {
 
 	Account *types.Account
 
-	MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
-	TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
-
 	tradeUpdateCallbacks   []func(trade types.Trade)
 	orderUpdateCallbacks   []func(order types.Order)
 	balanceUpdateCallbacks []func(balances types.BalanceMap)
@@ -192,11 +183,11 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
 	if trade.IsBuyer {
 		err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.Price.Mul(trade.Quantity))
 
-		m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity)
+		m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity.Sub(trade.Fee.Div(trade.Price)))
 	} else {
 		err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
 
-		m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price))
+		m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price).Sub(trade.Fee))
 	}
 
 	if err != nil {
@@ -211,15 +202,11 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
 func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool) types.Trade {
 	// BINANCE uses 0.1% for both maker and taker
 	// MAX uses 0.050% for maker and 0.15% for taker
-	var feeRate = DefaultFeeRate
+	var feeRate fixedpoint.Value
 	if isMaker {
-		if m.MakerFeeRate.Sign() > 0 {
+		feeRate = m.Account.MakerFeeRate
-			feeRate = m.MakerFeeRate
-		}
 	} else {
-		if m.TakerFeeRate.Sign() > 0 {
+		feeRate = m.Account.TakerFeeRate
-			feeRate = m.TakerFeeRate
-		}
 	}
 
 	price := order.Price
@@ -230,7 +217,6 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
 		}
 
 		price = m.LastPrice
-
 	}
 
 	var fee fixedpoint.Value
@@ -297,6 +283,9 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
 
 			// is it a taker order?
 			if price.Compare(o.Price) >= 0 {
+				if o.Price.Compare(m.LastKLine.Low) < 0 {
+					o.Price = m.LastKLine.Low
+				}
 				o.ExecutedQuantity = o.Quantity
 				o.Status = types.OrderStatusFilled
 				closedOrders = append(closedOrders, o)
@@ -307,6 +296,9 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
 
 		case types.OrderTypeLimit, types.OrderTypeLimitMaker:
 			if price.Compare(o.Price) >= 0 {
+				if o.Price.Compare(m.LastKLine.Low) < 0 {
+					o.Price = m.LastKLine.Low
+				}
 				o.ExecutedQuantity = o.Quantity
 				o.Status = types.OrderStatusFilled
 				closedOrders = append(closedOrders, o)
@@ -358,6 +350,9 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
 				o.Type = types.OrderTypeLimit
 
 				if sellPrice.Compare(o.Price) <= 0 {
+					if o.Price.Compare(m.LastKLine.High) > 0 {
+						o.Price = m.LastKLine.High
+					}
 					o.ExecutedQuantity = o.Quantity
 					o.Status = types.OrderStatusFilled
 					closedOrders = append(closedOrders, o)
@@ -370,6 +365,9 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
 
 		case types.OrderTypeLimit, types.OrderTypeLimitMaker:
 			if sellPrice.Compare(o.Price) <= 0 {
+				if o.Price.Compare(m.LastKLine.High) > 0 {
+					o.Price = m.LastKLine.High
+				}
 				o.ExecutedQuantity = o.Quantity
 				o.Status = types.OrderStatusFilled
 				closedOrders = append(closedOrders, o)

pkg/bbgo/config.go

@@ -17,6 +17,12 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+// DefaultFeeRate set the fee rate for most cases
+// BINANCE uses 0.1% for both maker and taker
+//  for BNB holders, it's 0.075% for both maker and taker
+// MAX uses 0.050% for maker and 0.15% for taker
+var DefaultFeeRate = fixedpoint.NewFromFloat(0.075 * 0.01)
+
 type PnLReporterConfig struct {
 	AverageCostBySymbols datatype.StringSlice `json:"averageCostBySymbols" yaml:"averageCostBySymbols"`
 	Of                   datatype.StringSlice `json:"of" yaml:"of"`
@@ -106,10 +112,30 @@ type Backtest struct {
 
 type BacktestAccount struct {
 	// TODO: MakerFeeRate should replace the commission fields
-	MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
+	MakerFeeRate fixedpoint.Value `json:"makerFeeRate,omitempty" yaml:"makerFeeRate,omitempty"`
-	TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
+	TakerFeeRate fixedpoint.Value `json:"takerFeeRate,omitempty" yaml:"takerFeeRate,omitempty"`
 
-	Balances         BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
+	Balances BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
+}
+
+type BA BacktestAccount
+
+func (b *BacktestAccount) UnmarshalYAML(value *yaml.Node) error {
+	bb := &BA{MakerFeeRate: DefaultFeeRate, TakerFeeRate: DefaultFeeRate}
+	if err := value.Decode(bb); err != nil {
+		return err
+	}
+	*b = BacktestAccount(*bb)
+	return nil
+}
+
+func (b *BacktestAccount) UnmarshalJSON(input []byte) error {
+	bb := &BA{MakerFeeRate: DefaultFeeRate, TakerFeeRate: DefaultFeeRate}
+	if err := json.Unmarshal(input, bb); err != nil {
+		return err
+	}
+	*b = BacktestAccount(*bb)
+	return nil
 }
 
 type BacktestAccountBalanceMap map[string]fixedpoint.Value

pkg/strategy/ewoDgtrd/strategy.go

@@ -66,16 +66,16 @@ type UpdatableSeries interface {
 	Update(value float64)
 }
 
-type EVWMA struct {
+type VWEMA struct {
 	PV UpdatableSeries
 	V  UpdatableSeries
 }
 
-func (inc *EVWMA) Last() float64 {
+func (inc *VWEMA) Last() float64 {
 	return inc.PV.Last() / inc.V.Last()
 }
 
-func (inc *EVWMA) Index(i int) float64 {
+func (inc *VWEMA) Index(i int) float64 {
 	if i >= inc.PV.Length() {
 		return 0
 	}
@@ -86,7 +86,7 @@ func (inc *EVWMA) Index(i int) float64 {
 	return inc.PV.Index(i) / vi
 }
 
-func (inc *EVWMA) Length() int {
+func (inc *VWEMA) Length() int {
 	pvl := inc.PV.Length()
 	vl := inc.V.Length()
 	if pvl < vl {
@@ -95,12 +95,12 @@ func (inc *EVWMA) Length() int {
 	return vl
 }
 
-func (inc *EVWMA) Update(kline types.KLine) {
+func (inc *VWEMA) Update(kline types.KLine) {
 	inc.PV.Update(kline.Close.Mul(kline.Volume).Float64())
 	inc.V.Update(kline.Volume.Float64())
 }
 
-func (inc *EVWMA) UpdateVal(price float64, vol float64) {
+func (inc *VWEMA) UpdateVal(price float64, vol float64) {
 	inc.PV.Update(price * vol)
 	inc.V.Update(vol)
 }
@@ -247,11 +247,11 @@ func (s *Strategy) SetupIndicators() {
 			s.ma5 = sma5
 			s.ma34 = sma34
 		} else {
-			evwma5 := &EVWMA{
+			evwma5 := &VWEMA{
 				PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
 				V:  &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
 			}
-			evwma34 := &EVWMA{
+			evwma34 := &VWEMA{
 				PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
 				V:  &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
 			}
@@ -289,11 +289,11 @@ func (s *Strategy) SetupIndicators() {
 			s.ma5 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 5})
 			s.ma34 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 34})
 		} else {
-			evwma5 := &EVWMA{
+			evwma5 := &VWEMA{
 				PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
 				V:  &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
 			}
-			evwma34 := &EVWMA{
+			evwma34 := &VWEMA{
 				PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
 				V:  &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
 			}
@@ -354,7 +354,7 @@ func (s *Strategy) SetupIndicators() {
 		})
 		s.ewoSignal = sig
 	} else {
-		sig := &EVWMA{
+		sig := &VWEMA{
 			PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}},
 			V:  &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}},
 		}