Merge pull request #721 from zenixls2/feature/heikinashi_session

feature: add heikinashi support

config/ewo_dgtrd.yaml

@@ -4,6 +4,7 @@ sessions:
     exchange: binance
     futures: true
     envVarPrefix: binance
+    heikinAshi: false
 
 exchangeStrategies:
  

config/skeleton.yaml

@@ -2,6 +2,7 @@
 sessions:
   binance:
     exchange: binance
+    heikinAshi: true
     envVarPrefix: binance
 
 exchangeStrategies:
@@ -11,10 +12,11 @@ exchangeStrategies:
     symbol: BNBBUSD
 
 backtest:
-  startTime: "2022-01-02"
-  endTime: "2022-01-19"
+  startTime: "2022-06-14"
+  endTime: "2022-06-15"
   symbols:
     - BNBBUSD
+  sessions: [binance]
   account:
     binance:
       balances:

pkg/backtest/exchange.go

@@ -33,6 +33,8 @@ import (
 	"sync"
 	"time"
 
+	"github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/cache"
 
 	"github.com/pkg/errors"
@@ -42,6 +44,8 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+var log = logrus.WithField("cmd", "backtest")
+
 var ErrUnimplemented = errors.New("unimplemented method")
 
 type Exchange struct {
@@ -53,7 +57,7 @@ type Exchange struct {
 	account *types.Account
 	config  *bbgo.Backtest
 
-	userDataStream, marketDataStream *Stream
+	UserDataStream, MarketDataStream types.StandardStreamEmitter
 
 	trades      map[string][]types.Trade
 	tradesMutex sync.Mutex
@@ -147,12 +151,14 @@ func (e *Exchange) _addMatchingBook(symbol string, market types.Market) {
 }
 
 func (e *Exchange) NewStream() types.Stream {
-	return &Stream{exchange: e}
+	return &types.BacktestStream{
+		StandardStreamEmitter: &types.StandardStream{},
+	}
 }
 
 func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
-	if e.userDataStream == nil {
-		return createdOrders, fmt.Errorf("SubmitOrders should be called after userDataStream been initialized")
+	if e.UserDataStream == nil {
+		return createdOrders, fmt.Errorf("SubmitOrders should be called after UserDataStream been initialized")
 	}
 	for _, order := range orders {
 		symbol := order.Symbol
@@ -175,7 +181,7 @@ func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder
 				e.addClosedOrder(*createdOrder)
 			}
 
-			e.userDataStream.EmitOrderUpdate(*createdOrder)
+			e.UserDataStream.EmitOrderUpdate(*createdOrder)
 		}
 	}
 
@@ -201,8 +207,8 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
 }
 
 func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error {
-	if e.userDataStream == nil {
-		return fmt.Errorf("CancelOrders should be called after userDataStream been initialized")
+	if e.UserDataStream == nil {
+		return fmt.Errorf("CancelOrders should be called after UserDataStream been initialized")
 	}
 	for _, order := range orders {
 		matching, ok := e.matchingBook(order.Symbol)
@@ -214,7 +220,7 @@ func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) erro
 			return err
 		}
 
-		e.userDataStream.EmitOrderUpdate(canceledOrder)
+		e.UserDataStream.EmitOrderUpdate(canceledOrder)
 	}
 
 	return nil
@@ -297,15 +303,15 @@ func (e *Exchange) matchingBook(symbol string) (*SimplePriceMatching, bool) {
 }
 
 func (e *Exchange) InitMarketData() {
-	e.userDataStream.OnTradeUpdate(func(trade types.Trade) {
+	e.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
 		e.addTrade(trade)
 	})
 
 	e.matchingBooksMutex.Lock()
 	for _, matching := range e.matchingBooks {
-		matching.OnTradeUpdate(e.userDataStream.EmitTradeUpdate)
-		matching.OnOrderUpdate(e.userDataStream.EmitOrderUpdate)
-		matching.OnBalanceUpdate(e.userDataStream.EmitBalanceUpdate)
+		matching.OnTradeUpdate(e.UserDataStream.EmitTradeUpdate)
+		matching.OnOrderUpdate(e.UserDataStream.EmitOrderUpdate)
+		matching.OnBalanceUpdate(e.UserDataStream.EmitBalanceUpdate)
 	}
 	e.matchingBooksMutex.Unlock()
 }
@@ -324,7 +330,7 @@ func (e *Exchange) SubscribeMarketData(extraIntervals ...types.Interval) (chan t
 	}
 
 	// collect subscriptions
-	for _, sub := range e.marketDataStream.Subscriptions {
+	for _, sub := range e.MarketDataStream.GetSubscriptions() {
 		loadedSymbols[sub.Symbol] = struct{}{}
 
 		switch sub.Channel {
@@ -370,11 +376,11 @@ func (e *Exchange) ConsumeKLine(k types.KLine) {
 		matching.processKLine(k)
 	}
 
-	e.marketDataStream.EmitKLineClosed(k)
+	e.MarketDataStream.EmitKLineClosed(k)
 }
 
 func (e *Exchange) CloseMarketData() error {
-	if err := e.marketDataStream.Close(); err != nil {
+	if err := e.MarketDataStream.Close(); err != nil {
 		log.WithError(err).Error("stream close error")
 		return err
 	}

pkg/backtest/stream.go

@@ -1,41 +0,0 @@
-package backtest
-
-import (
-	"context"
-
-	"github.com/sirupsen/logrus"
-
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-var log = logrus.WithField("cmd", "backtest")
-
-type Stream struct {
-	types.StandardStream
-
-	exchange *Exchange
-}
-
-func (s *Stream) Connect(ctx context.Context) error {
-	if s.PublicOnly {
-		if s.exchange.marketDataStream != nil {
-			panic("you should not set up more than 1 market data stream in back-test")
-		}
-		s.exchange.marketDataStream = s
-	} else {
-
-		// assign user data stream back
-		if s.exchange.userDataStream != nil {
-			panic("you should not set up more than 1 user data stream in back-test")
-		}
-		s.exchange.userDataStream = s
-	}
-
-	s.EmitConnect()
-	s.EmitStart()
-	return nil
-}
-
-func (s *Stream) Close() error {
-	return nil
-}

pkg/bbgo/session.go

@@ -213,6 +213,8 @@ type ExchangeSession struct {
 
 	Exchange types.Exchange `json:"-" yaml:"-"`
 
+	UseHeikinAshi bool `json:"heikinAshi,omitempty" yaml:"heikinAshi,omitempty"`
+
 	// Trades collects the executed trades from the exchange
 	// map: symbol -> []trade
 	Trades map[string]*types.TradeSlice `json:"-" yaml:"-"`
@@ -346,6 +348,12 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 		}
 	}
 
+	if session.UseHeikinAshi {
+		session.MarketDataStream = &types.HeikinAshiStream{
+			StandardStreamEmitter: session.MarketDataStream.(types.StandardStreamEmitter),
+		}
+	}
+
 	// query and initialize the balances
 	if !session.PublicOnly {
 		account, err := session.Exchange.QueryAccount(ctx)
@@ -400,6 +408,15 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 	}
 
 	// update last prices
+	if session.UseHeikinAshi {
+		session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+			if _, ok := session.startPrices[kline.Symbol]; !ok {
+				session.startPrices[kline.Symbol] = kline.Open
+			}
+
+			session.lastPrices[kline.Symbol] = session.MarketDataStream.(*types.HeikinAshiStream).LastOrigin[kline.Symbol][kline.Interval].Close
+		})
+	} else {
 		session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
 			if _, ok := session.startPrices[kline.Symbol]; !ok {
 				session.startPrices[kline.Symbol] = kline.Open
@@ -407,6 +424,7 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 
 			session.lastPrices[kline.Symbol] = kline.Close
 		})
+	}
 
 	session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
 		session.lastPrices[trade.Symbol] = trade.Price

pkg/cmd/backtest.go

@@ -255,7 +255,11 @@ var BacktestCmd = &cobra.Command{
 			if err != nil {
 				return errors.Wrap(err, "failed to create backtest exchange")
 			}
-			environ.AddExchange(name.String(), backtestExchange)
+			session := environ.AddExchange(name.String(), backtestExchange)
+			exchangeFromConfig := userConfig.Sessions[name.String()]
+			if exchangeFromConfig != nil {
+				session.UseHeikinAshi = exchangeFromConfig.UseHeikinAshi
+			}
 		}
 
 		if err := environ.Init(ctx); err != nil {
@@ -640,6 +644,8 @@ func confirmation(s string) bool {
 func toExchangeSources(sessions map[string]*bbgo.ExchangeSession, extraIntervals ...types.Interval) (exchangeSources []backtest.ExchangeDataSource, err error) {
 	for _, session := range sessions {
 		exchange := session.Exchange.(*backtest.Exchange)
+		exchange.UserDataStream = session.UserDataStream.(types.StandardStreamEmitter)
+		exchange.MarketDataStream = session.MarketDataStream.(types.StandardStreamEmitter)
 		exchange.InitMarketData()
 
 		c, err := exchange.SubscribeMarketData(extraIntervals...)

pkg/types/backtest_stream.go

@@ -0,0 +1,19 @@
+package types
+
+import (
+	"context"
+)
+
+type BacktestStream struct {
+	StandardStreamEmitter
+}
+
+func (s *BacktestStream) Connect(ctx context.Context) error {
+	s.EmitConnect()
+	s.EmitStart()
+	return nil
+}
+
+func (s *BacktestStream) Close() error {
+	return nil
+}

pkg/types/heikinashi_stream.go

@@ -0,0 +1,72 @@
+package types
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
+
+type HeikinAshiStream struct {
+	StandardStreamEmitter
+	lastAshi   map[string]map[Interval]*KLine
+	LastOrigin map[string]map[Interval]*KLine
+}
+
+func (s *HeikinAshiStream) EmitKLineClosed(kline KLine) {
+	ashi := kline
+	if s.lastAshi == nil {
+		s.lastAshi = make(map[string]map[Interval]*KLine)
+		s.LastOrigin = make(map[string]map[Interval]*KLine)
+	}
+	if s.lastAshi[kline.Symbol] == nil {
+		s.lastAshi[kline.Symbol] = make(map[Interval]*KLine)
+		s.LastOrigin[kline.Symbol] = make(map[Interval]*KLine)
+	}
+	lastAshi := s.lastAshi[kline.Symbol][kline.Interval]
+	if lastAshi == nil {
+		ashi.Close = kline.Close.Add(kline.High).
+			Add(kline.Low).
+			Add(kline.Open).
+			Div(Four)
+		// High and Low are the same
+		s.lastAshi[kline.Symbol][kline.Interval] = &ashi
+		s.LastOrigin[kline.Symbol][kline.Interval] = &kline
+	} else {
+		ashi.Close = kline.Close.Add(kline.High).
+			Add(kline.Low).
+			Add(kline.Open).
+			Div(Four)
+		ashi.Open = lastAshi.Open.Add(lastAshi.Close).Div(Two)
+		// High and Low are the same
+		s.lastAshi[kline.Symbol][kline.Interval] = &ashi
+		s.LastOrigin[kline.Symbol][kline.Interval] = &kline
+	}
+	s.StandardStreamEmitter.EmitKLineClosed(ashi)
+}
+
+// No writeback to lastAshi
+func (s *HeikinAshiStream) EmitKLine(kline KLine) {
+	ashi := kline
+	if s.lastAshi == nil {
+		s.lastAshi = make(map[string]map[Interval]*KLine)
+	}
+	if s.lastAshi[kline.Symbol] == nil {
+		s.lastAshi[kline.Symbol] = make(map[Interval]*KLine)
+	}
+	lastAshi := s.lastAshi[kline.Symbol][kline.Interval]
+	if lastAshi == nil {
+		ashi.Close = kline.Close.Add(kline.High).
+			Add(kline.Low).
+			Add(kline.Open).
+			Div(Four)
+	} else {
+		ashi.Close = kline.Close.Add(kline.High).
+			Add(kline.Low).
+			Add(kline.Open).
+			Div(Four)
+		ashi.Open = lastAshi.Open.Add(lastAshi.Close).Div(Two)
+	}
+	s.StandardStreamEmitter.EmitKLine(ashi)
+}
+
+var _ StandardStreamEmitter = &HeikinAshiStream{}

pkg/types/stream.go

@@ -28,7 +28,9 @@ type Stream interface {
 	StandardStreamEventHub
 
 	Subscribe(channel Channel, symbol string, options SubscribeOptions)
+	GetSubscriptions() []Subscription
 	SetPublicOnly()
+	GetPublicOnly() bool
 	Connect(ctx context.Context) error
 	Close() error
 }
@@ -104,6 +106,25 @@ type StandardStream struct {
 	FuturesPositionSnapshotCallbacks []func(futuresPositions FuturesPositionMap)
 }
 
+type StandardStreamEmitter interface {
+	Stream
+	EmitStart()
+	EmitConnect()
+	EmitDisconnect()
+	EmitTradeUpdate(Trade)
+	EmitOrderUpdate(Order)
+	EmitBalanceSnapshot(BalanceMap)
+	EmitBalanceUpdate(BalanceMap)
+	EmitKLineClosed(KLine)
+	EmitKLine(KLine)
+	EmitBookUpdate(SliceOrderBook)
+	EmitBookTickerUpdate(BookTicker)
+	EmitBookSnapshot(SliceOrderBook)
+	EmitMarketTrade(Trade)
+	EmitFuturesPositionUpdate(FuturesPositionMap)
+	EmitFuturesPositionSnapshot(FuturesPositionMap)
+}
+
 func NewStandardStream() StandardStream {
 	return StandardStream{
 		ReconnectC: make(chan struct{}, 1),
@@ -115,6 +136,10 @@ func (s *StandardStream) SetPublicOnly() {
 	s.PublicOnly = true
 }
 
+func (s *StandardStream) GetPublicOnly() bool {
+	return s.PublicOnly
+}
+
 func (s *StandardStream) SetEndpointCreator(creator EndpointCreator) {
 	s.endpointCreator = creator
 }
@@ -254,6 +279,10 @@ func (s *StandardStream) ping(ctx context.Context, conn *websocket.Conn, cancel
 	}
 }
 
+func (s *StandardStream) GetSubscriptions() []Subscription {
+	return s.Subscriptions
+}
+
 func (s *StandardStream) Subscribe(channel Channel, symbol string, options SubscribeOptions) {
 	s.Subscriptions = append(s.Subscriptions, Subscription{
 		Channel: channel,