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grid2: add TestBacktestStrategy skeleton for backtesting in unit test
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parent
35297b9bbf
commit
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@ -17,7 +17,7 @@ sessions:
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# go run ./cmd/bbgo backtest --config config/grid2.yaml --base-asset-baseline
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backtest:
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startTime: "2021-06-01"
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endTime: "2021-12-31"
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endTime: "2021-06-30"
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symbols:
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- BTCUSDT
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sessions: [binance]
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@ -3,12 +3,17 @@
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package grid2
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import (
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"context"
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"testing"
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"github.com/sirupsen/logrus"
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"github.com/stretchr/testify/assert"
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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/exchange"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -322,3 +327,83 @@ func TestStrategy_calculateProfit(t *testing.T) {
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assert.InDelta(t, sellQuantity.Float64()-buyOrder.Quantity.Float64(), profit.Profit.Float64(), 0.001)
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})
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}
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func TestBacktestStrategy(t *testing.T) {
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startTime, err := types.ParseLooseFormatTime("2021-06-01")
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assert.NoError(t, err)
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endTime, err := types.ParseLooseFormatTime("2021-06-30")
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assert.NoError(t, err)
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backtestConfig := &bbgo.Backtest{
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StartTime: startTime,
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EndTime: &endTime,
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RecordTrades: false,
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FeeMode: bbgo.BacktestFeeModeToken,
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Accounts: map[string]bbgo.BacktestAccount{
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"binance": {
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MakerFeeRate: number(0.075 * 0.01),
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TakerFeeRate: number(0.075 * 0.01),
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Balances: bbgo.BacktestAccountBalanceMap{
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"USDT": number(10_000.0),
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"BTC": number(1.0),
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},
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},
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},
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Symbols: []string{"BTCUSDT"},
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Sessions: []string{"binance"},
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SyncSecKLines: false,
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}
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t.Logf("backtestConfig: %+v", backtestConfig)
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ctx := context.Background()
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environ := bbgo.NewEnvironment()
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err = environ.ConfigureDatabaseDriver(ctx, "sqlite3", "../../../data/bbgo_test.sqlite3")
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assert.NoError(t, err)
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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defer func() {
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err := environ.DatabaseService.DB.Close()
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assert.NoError(t, err)
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}()
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environ.BacktestService = backtestService
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bbgo.SetBackTesting(backtestService)
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defer bbgo.SetBackTesting(nil)
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exName, err := types.ValidExchangeName("binance")
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if !assert.NoError(t, err) {
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return
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}
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publicExchange, err := exchange.NewPublic(exName)
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if !assert.NoError(t, err) {
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return
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}
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backtestExchange, err := backtest.NewExchange(publicExchange.Name(), publicExchange, backtestService, backtestConfig)
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if !assert.NoError(t, err) {
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return
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}
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session := environ.AddExchange(exName.String(), backtestExchange)
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assert.NotNil(t, session)
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err = environ.Init(ctx)
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assert.NoError(t, err)
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for _, ses := range environ.Sessions() {
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userDataStream := ses.UserDataStream.(types.StandardStreamEmitter)
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backtestEx := ses.Exchange.(*backtest.Exchange)
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backtestEx.MarketDataStream = ses.MarketDataStream.(types.StandardStreamEmitter)
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backtestEx.BindUserData(userDataStream)
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}
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trader := bbgo.NewTrader(environ)
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if assert.NotNil(t, trader) {
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trader.DisableLogging()
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}
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// TODO: add grid2 to the user config and run backtest
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}
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