batch: refactor batch query

config/sync.yaml

@@ -30,3 +30,7 @@ sync:
   - BTCUSDT
   - ETHUSDT
   - LINKUSDT
+
+  depositHistory: true
+  rewardHistory: true
+  withdrawHistory: true

pkg/exchange/batch/batch.go

@@ -1,169 +0,0 @@
-package batch
-
-import (
-	"context"
-	"sort"
-	"time"
-
-	"github.com/pkg/errors"
-
-	"github.com/sirupsen/logrus"
-	"golang.org/x/time/rate"
-
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-var log = logrus.WithField("component", "batch")
-
-type KLineBatchQuery struct {
-	types.Exchange
-}
-
-func (e KLineBatchQuery) Query(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) (c chan []types.KLine, errC chan error) {
-	c = make(chan []types.KLine, 1000)
-	errC = make(chan error, 1)
-
-	go func() {
-		defer close(c)
-		defer close(errC)
-
-		var tryQueryKlineTimes = 0
-		for startTime.Before(endTime) {
-			log.Debugf("batch query klines %s %s %s <=> %s", symbol, interval, startTime, endTime)
-
-			kLines, err := e.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
-				StartTime: &startTime,
-				EndTime:   &endTime,
-			})
-
-			if err != nil {
-				errC <- err
-				return
-			}
-
-			// ensure the kline is in the right order
-			sort.Slice(kLines, func(i, j int) bool {
-				return kLines[i].StartTime.Unix() < kLines[j].StartTime.Unix()
-			})
-
-			if len(kLines) == 0 {
-				return
-			}
-
-			tryQueryKlineTimes++
-			const BatchSize = 200
-
-			var batchKLines = make([]types.KLine, 0, BatchSize)
-			for _, kline := range kLines {
-				// ignore any kline before the given start time of the batch query
-				if kline.StartTime.Before(startTime) {
-					continue
-				}
-
-				// if there is a kline after the endTime of the batch query, it means the data is out of scope, we should exit
-				if kline.StartTime.After(endTime) || kline.EndTime.After(endTime) {
-					if len(batchKLines) != 0 {
-						c <- batchKLines
-						batchKLines = nil
-					}
-					return
-				}
-
-				batchKLines = append(batchKLines, kline)
-
-				if len(batchKLines) == BatchSize {
-					c <- batchKLines
-					batchKLines = nil
-				}
-
-				// The issue is in FTX, prev endtime = next start time , so if add 1 ms , it would query forever.
-				// (above comment was written by @tony1223)
-				startTime = kline.EndTime.Time()
-				tryQueryKlineTimes = 0
-			}
-
-			// push the rest klines in the buffer
-			if len(batchKLines) > 0 {
-				c <- batchKLines
-				batchKLines = nil
-			}
-
-			if tryQueryKlineTimes > 10 { // it means loop 10 times
-				errC <- errors.Errorf("there's a dead loop in batch.go#Query , symbol: %s , interval: %s, startTime:%s ", symbol, interval, startTime.String())
-				return
-			}
-		}
-	}()
-
-	return c, errC
-}
-
-type RewardBatchQuery struct {
-	Service types.ExchangeRewardService
-}
-
-func (q *RewardBatchQuery) Query(ctx context.Context, startTime, endTime time.Time) (c chan types.Reward, errC chan error) {
-	c = make(chan types.Reward, 500)
-	errC = make(chan error, 1)
-
-	go func() {
-		limiter := rate.NewLimiter(rate.Every(5*time.Second), 2) // from binance (original 1200, use 1000 for safety)
-
-		defer close(c)
-		defer close(errC)
-
-		lastID := ""
-		rewardKeys := make(map[string]struct{}, 500)
-
-		for startTime.Before(endTime) {
-			if err := limiter.Wait(ctx); err != nil {
-				log.WithError(err).Error("rate limit error")
-			}
-
-			log.Infof("batch querying rewards %s <=> %s", startTime, endTime)
-
-			rewards, err := q.Service.QueryRewards(ctx, startTime)
-			if err != nil {
-				errC <- err
-				return
-			}
-
-			// empty data
-			if len(rewards) == 0 {
-				return
-			}
-
-			// there is no new data
-			if len(rewards) == 1 && rewards[0].UUID == lastID {
-				return
-			}
-
-			newCnt := 0
-			for _, o := range rewards {
-				if _, ok := rewardKeys[o.UUID]; ok {
-					continue
-				}
-
-				if o.CreatedAt.Time().After(endTime) {
-					// stop batch query
-					return
-				}
-
-				newCnt++
-				c <- o
-				rewardKeys[o.UUID] = struct{}{}
-			}
-
-			if newCnt == 0 {
-				return
-			}
-
-			end := len(rewards) - 1
-			startTime = rewards[end].CreatedAt.Time()
-			lastID = rewards[end].UUID
-		}
-
-	}()
-
-	return c, errC
-}

pkg/exchange/batch/batch_test.go

@@ -0,0 +1,2 @@
+package batch
+

pkg/exchange/batch/closedorders.go

@@ -2,93 +2,39 @@ package batch
 
 import (
 	"context"
-	"sort"
+	"strconv"
 	"time"
 
-	"github.com/sirupsen/logrus"
 	"golang.org/x/time/rate"
 
 	"github.com/c9s/bbgo/pkg/types"
 )
 
 type ClosedOrderBatchQuery struct {
-	types.Exchange
+	types.ExchangeTradeHistoryService
 }
 
-func (e ClosedOrderBatchQuery) Query(ctx context.Context, symbol string, startTime, endTime time.Time, lastOrderID uint64) (c chan types.Order, errC chan error) {
-	c = make(chan types.Order, 500)
-	errC = make(chan error, 1)
-
-	tradeHistoryService, ok := e.Exchange.(types.ExchangeTradeHistoryService)
-	if !ok {
-		defer close(c)
-		defer close(errC)
-		// skip exchanges that does not support trading history services
-		logrus.Warnf("exchange %s does not implement ExchangeTradeHistoryService, skip syncing closed orders (ClosedOrderBatchQuery.Query) ", e.Exchange.Name())
-		return c, errC
+func (q *ClosedOrderBatchQuery) Query(ctx context.Context, symbol string, startTime, endTime time.Time, lastOrderID uint64) (c chan types.Order, errC chan error) {
+	query := &AsyncTimeRangedBatchQuery{
+		Type:    types.Order{},
+		Limiter: rate.NewLimiter(rate.Every(5*time.Second), 2),
+		Q: func(startTime, endTime time.Time) (interface{}, error) {
+			orders, err := q.ExchangeTradeHistoryService.QueryClosedOrders(ctx, symbol, startTime, endTime, lastOrderID)
+			return orders, err
+		},
+		T: func(obj interface{}) time.Time {
+			return time.Time(obj.(types.Order).CreationTime)
+		},
+		ID: func(obj interface{}) string {
+			order := obj.(types.Order)
+			if order.OrderID > lastOrderID {
+				lastOrderID = order.OrderID
+			}
+			return strconv.FormatUint(order.OrderID, 10)
+		},
 	}
 
-	go func() {
-		limiter := rate.NewLimiter(rate.Every(5*time.Second), 2) // from binance (original 1200, use 1000 for safety)
-
-		defer close(c)
-		defer close(errC)
-
-		orderIDs := make(map[uint64]struct{}, 500)
-		if lastOrderID > 0 {
-			orderIDs[lastOrderID] = struct{}{}
-		}
-
-		for startTime.Before(endTime) {
-			if err := limiter.Wait(ctx); err != nil {
-				logrus.WithError(err).Error("rate limit error")
-			}
-
-			logrus.Infof("batch querying %s closed orders %s <=> %s", symbol, startTime, endTime)
-
-			orders, err := tradeHistoryService.QueryClosedOrders(ctx, symbol, startTime, endTime, lastOrderID)
-			if err != nil {
-				errC <- err
-				return
-			}
-			for _, o := range orders {
-				logrus.Infof("%+v", o)
-			}
-
-			if len(orders) == 0 {
-				return
-			} else if len(orders) > 0 {
-				allExists := true
-				for _, o := range orders {
-					if _, exists := orderIDs[o.OrderID]; !exists {
-						allExists = false
-						break
-					}
-				}
-				if allExists {
-					return
-				}
-			}
-
-			// sort orders by time in ascending order
-			sort.Slice(orders, func(i, j int) bool {
-				return orders[i].CreationTime.Before(time.Time(orders[j].CreationTime))
-			})
-
-			for _, o := range orders {
-				if _, ok := orderIDs[o.OrderID]; ok {
-					continue
-				}
-
-				c <- o
-				startTime = o.CreationTime.Time()
-				lastOrderID = o.OrderID
-				orderIDs[o.OrderID] = struct{}{}
-			}
-		}
-
-	}()
-
+	c = make(chan types.Order, 100)
+	errC = query.Query(ctx, c, startTime, endTime)
 	return c, errC
 }
-

pkg/exchange/batch/kline.go

@@ -0,0 +1,38 @@
+package batch
+
+import (
+	"context"
+	"time"
+
+	"golang.org/x/time/rate"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type KLineBatchQuery struct {
+	types.Exchange
+}
+
+func (e *KLineBatchQuery) Query(ctx context.Context, symbol string, interval types.Interval, startTime, endTime time.Time) (c chan types.KLine, errC chan error) {
+	query := &AsyncTimeRangedBatchQuery{
+		Type:    types.KLine{},
+		Limiter: rate.NewLimiter(rate.Every(5*time.Second), 2),
+		Q: func(startTime, endTime time.Time) (interface{}, error) {
+			return e.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
+				StartTime: &startTime,
+				EndTime:   &endTime,
+			})
+		},
+		T: func(obj interface{}) time.Time {
+			return time.Time(obj.(types.KLine).StartTime)
+		},
+		ID: func(obj interface{}) string {
+			kline := obj.(types.KLine)
+			return kline.StartTime.String()
+		},
+	}
+
+	c = make(chan types.KLine, 100)
+	errC = query.Query(ctx, c, startTime, endTime)
+	return c, errC
+}

pkg/exchange/batch/reward.go

@@ -0,0 +1,34 @@
+package batch
+
+import (
+	"context"
+	"time"
+
+	"golang.org/x/time/rate"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type RewardBatchQuery struct {
+	Service types.ExchangeRewardService
+}
+
+func (q *RewardBatchQuery) Query(ctx context.Context, startTime, endTime time.Time) (c chan types.Reward, errC chan error) {
+	query := &AsyncTimeRangedBatchQuery{
+		Type:    types.Reward{},
+		Limiter: rate.NewLimiter(rate.Every(5*time.Second), 2),
+		Q: func(startTime, endTime time.Time) (interface{}, error) {
+			return q.Service.QueryRewards(ctx, startTime)
+		},
+		T: func(obj interface{}) time.Time {
+			return time.Time(obj.(types.Reward).CreatedAt)
+		},
+		ID: func(obj interface{}) string {
+			return obj.(types.Reward).UUID
+		},
+	}
+
+	c = make(chan types.Reward, 500)
+	errC = query.Query(ctx, c, startTime, endTime)
+	return c, errC
+}

pkg/exchange/batch/time_range_query.go

@@ -0,0 +1,115 @@
+package batch
+
+import (
+	"context"
+	"reflect"
+	"sort"
+	"time"
+
+	"github.com/sirupsen/logrus"
+	"golang.org/x/time/rate"
+)
+
+var log = logrus.WithField("component", "batch")
+
+type AsyncTimeRangedBatchQuery struct {
+	// Type is the object type of the result
+	Type interface{}
+
+	// Limiter is the rate limiter for each query
+	Limiter *rate.Limiter
+
+	// Q is the remote query function
+	Q func(startTime, endTime time.Time) (interface{}, error)
+
+	// T function returns time of an object
+	T func(obj interface{}) time.Time
+
+	// ID returns the ID of the object
+	ID func(obj interface{}) string
+
+	// JumpIfEmpty jump the startTime + duration when the result is empty
+	JumpIfEmpty time.Duration
+}
+
+func (q *AsyncTimeRangedBatchQuery) Query(ctx context.Context, ch interface{}, startTime, endTime time.Time) chan error {
+	errC := make(chan error, 1)
+	cRef := reflect.ValueOf(ch)
+	// cRef := reflect.MakeChan(reflect.TypeOf(q.Type), 100)
+
+	go func() {
+		defer cRef.Close()
+		defer close(errC)
+
+		idMap := make(map[string]struct{}, 100)
+		for startTime.Before(endTime) {
+			if q.Limiter != nil {
+				if err := q.Limiter.Wait(ctx); err != nil {
+					errC <- err
+					return
+				}
+			}
+
+			log.Debugf("batch querying %T: %v <=> %v", q.Type, startTime, endTime)
+
+			sliceInf, err := q.Q(startTime, endTime)
+			if err != nil {
+				errC <- err
+				return
+			}
+
+			listRef := reflect.ValueOf(sliceInf)
+			listLen := listRef.Len()
+
+			if listLen == 0 {
+				if q.JumpIfEmpty > 0 {
+					startTime = startTime.Add(q.JumpIfEmpty)
+					continue
+				}
+
+				return
+			}
+
+			// sort by time
+			sort.Slice(listRef.Interface(), func(i, j int) bool {
+				a := listRef.Index(i)
+				b := listRef.Index(j)
+				tA := q.T(a.Interface())
+				tB := q.T(b.Interface())
+				return tA.Before(tB)
+			})
+
+			sentAny := false
+			for i := 0; i < listLen; i++ {
+				item := listRef.Index(i)
+				entryTime := q.T(item.Interface())
+
+				if entryTime.Before(startTime) {
+					continue
+				}
+				if entryTime.After(endTime) {
+					continue
+				}
+
+				obj := item.Interface()
+				id := q.ID(obj)
+				if _, exists := idMap[id]; exists {
+					log.Debugf("batch querying %T: duplicated id %s", q.Type, id)
+					continue
+				}
+
+				idMap[id] = struct{}{}
+
+				cRef.Send(item)
+				sentAny = true
+				startTime = entryTime
+			}
+
+			if !sentAny {
+				return
+			}
+		}
+	}()
+
+	return errC
+}

pkg/exchange/batch/time_range_query_test.go

@@ -0,0 +1,45 @@
+package batch
+
+import (
+	"context"
+	"strconv"
+	"testing"
+	"time"
+)
+
+func Test_TimeRangedQuery(t *testing.T) {
+	startTime := time.Date(2021, time.January, 1, 0, 0, 0, 0, time.UTC)
+	endTime := time.Date(2021, time.January, 2, 0, 0, 0, 0, time.UTC)
+	q := &AsyncTimeRangedBatchQuery{
+		Type: time.Time{},
+		T: func(obj interface{}) time.Time {
+			return obj.(time.Time)
+		},
+		ID: func(obj interface{}) string {
+			return strconv.FormatInt(obj.(time.Time).UnixMilli(), 10)
+		},
+		Q: func(startTime, endTime time.Time) (interface{}, error) {
+			var cnt = 0
+			var data []time.Time
+			for startTime.Before(endTime) && cnt < 5 {
+				d := startTime
+				data = append(data, d)
+				cnt++
+				startTime = startTime.Add(time.Minute)
+			}
+			t.Logf("data: %v", data)
+			return data, nil
+		},
+	}
+
+	ch := make(chan time.Time, 100)
+
+	// consumer
+	go func() {
+		for d := range ch {
+			_ = d
+		}
+	}()
+	errC := q.Query(context.Background(), ch, startTime, endTime)
+	<-errC
+}

pkg/exchange/batch/trade.go

@@ -2,113 +2,45 @@ package batch
 
 import (
 	"context"
-	"errors"
 	"time"
 
-	"github.com/sirupsen/logrus"
 	"golang.org/x/time/rate"
 
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+var closedErrChan = make(chan error)
+
+func init() {
+	close(closedErrChan)
+}
+
 type TradeBatchQuery struct {
-	types.Exchange
+	types.ExchangeTradeHistoryService
 }
 
 func (e TradeBatchQuery) Query(ctx context.Context, symbol string, options *types.TradeQueryOptions) (c chan types.Trade, errC chan error) {
-	c = make(chan types.Trade, 500)
-	errC = make(chan error, 1)
-
-	tradeHistoryService, ok := e.Exchange.(types.ExchangeTradeHistoryService)
-	if !ok {
-		close(errC)
-		close(c)
-		// skip exchanges that does not support trading history services
-		logrus.Warnf("exchange %s does not implement ExchangeTradeHistoryService, skip syncing closed orders (TradeBatchQuery.Query)", e.Exchange.Name())
-		return c, errC
+	startTime := *options.StartTime
+	endTime := *options.EndTime
+	query := &AsyncTimeRangedBatchQuery{
+		Type:    types.Trade{},
+		Limiter: rate.NewLimiter(rate.Every(5*time.Second), 2),
+		Q: func(startTime, endTime time.Time) (interface{}, error) {
+			return e.ExchangeTradeHistoryService.QueryTrades(ctx, symbol, options)
+		},
+		T: func(obj interface{}) time.Time {
+			return time.Time(obj.(types.Trade).Time)
+		},
+		ID: func(obj interface{}) string {
+			trade := obj.(types.Trade)
+			if trade.ID > options.LastTradeID {
+				options.LastTradeID = trade.ID
+			}
+			return trade.Key().String()
+		},
 	}
 
-	if options.StartTime == nil {
-
-		errC <- errors.New("start time is required for syncing trades")
-		close(errC)
-		close(c)
-		return c, errC
-	}
-
-	var lastTradeID = options.LastTradeID
-	var startTime = *options.StartTime
-	var endTime = *options.EndTime
-
-	go func() {
-		limiter := rate.NewLimiter(rate.Every(5*time.Second), 2) // from binance (original 1200, use 1000 for safety)
-
-		defer close(c)
-		defer close(errC)
-
-		var tradeKeys = map[types.TradeKey]struct{}{}
-
-		for startTime.Before(endTime) {
-			if err := limiter.Wait(ctx); err != nil {
-				logrus.WithError(err).Error("rate limit error")
-			}
-
-			logrus.Infof("querying %s trades from id=%d limit=%d between %s <=> %s", symbol, lastTradeID, options.Limit, startTime, endTime)
-
-			var err error
-			var trades []types.Trade
-
-			trades, err = tradeHistoryService.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
-				StartTime:   options.StartTime,
-				LastTradeID: lastTradeID,
-			})
-
-			// sort trades by time in ascending order
-			types.SortTradesAscending(trades)
-
-			if err != nil {
-				errC <- err
-				return
-			}
-
-			// if all trades are duplicated or empty, we end the batch query
-			if len(trades) == 0 {
-				return
-			}
-
-			if len(trades) > 0 {
-				allExists := true
-				for _, td := range trades {
-					k := td.Key()
-					if _, exists := tradeKeys[k]; !exists {
-						allExists = false
-						break
-					}
-				}
-				if allExists {
-					return
-				}
-			}
-
-			for _, td := range trades {
-				key := td.Key()
-
-				logrus.Debugf("checking trade key: %v trade: %+v", key, td)
-
-				if _, ok := tradeKeys[key]; ok {
-					logrus.Debugf("ignore duplicated trade: %+v", key)
-					continue
-				}
-
-				lastTradeID = td.ID
-				startTime = time.Time(td.Time)
-				tradeKeys[key] = struct{}{}
-
-				// ignore the first trade if last TradeID is given
-				c <- td
-			}
-		}
-	}()
-
+	c = make(chan types.Trade, 100)
+	errC = query.Query(ctx, c, startTime, endTime)
 	return c, errC
 }

pkg/exchange/binance/stream_test.go

@@ -1,58 +0,0 @@
-package binance
-
-import (
-	"context"
-	batch2 "github.com/c9s/bbgo/pkg/exchange/batch"
-	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
-	"os"
-	"testing"
-	"time"
-)
-
-func Test_Batch(t *testing.T) {
-	key := os.Getenv("BINANCE_API_KEY")
-	secret := os.Getenv("BINANCE_API_SECRET")
-	if len(key) == 0 && len(secret) == 0 {
-		t.Skip("api key/secret are not configured")
-	}
-
-	e := New(key, secret)
-	//stream := NewStream(key, secret, subAccount, e)
-
-	batch := &batch2.KLineBatchQuery{Exchange: e}
-
-	ctx, cancel := context.WithCancel(context.Background())
-	defer cancel()
-	// should use channel here
-
-	starttime, _ := time.Parse("2006-1-2 15:04", "2021-08-01 00:00")
-	endtime, _ := time.Parse("2006-1-2 15:04", "2021-12-14 00:19")
-	klineC, _ := batch.Query(ctx, "XRPUSDT", types.Interval1m, starttime, endtime)
-
-	var lastmintime time.Time
-	var lastmaxtime time.Time
-	for klines := range klineC {
-		assert.NotEmpty(t, klines)
-
-		var nowMinTime = klines[0].StartTime
-		var nowMaxTime = klines[0].StartTime
-		for _, item := range klines {
-			if nowMaxTime.Unix() < item.StartTime.Unix() {
-				nowMaxTime = item.StartTime
-			}
-			if nowMinTime.Unix() > item.StartTime.Unix() {
-				nowMinTime = item.StartTime
-			}
-		}
-		assert.True(t, nowMinTime.Unix() <= nowMaxTime.Unix())
-		assert.True(t, nowMinTime.Unix() > lastmaxtime.Unix())
-		assert.True(t, nowMaxTime.Unix() > lastmaxtime.Unix())
-
-		lastmintime = nowMinTime.Time()
-		lastmaxtime = nowMaxTime.Time()
-		assert.True(t, lastmintime.Unix() <= lastmaxtime.Unix())
-
-	}
-
-}

pkg/exchange/ftx/stream_test.go

@@ -1,89 +0,0 @@
-package ftx
-
-import (
-	"context"
-	batch2 "github.com/c9s/bbgo/pkg/exchange/batch"
-	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
-	"os"
-	"testing"
-	"time"
-)
-
-func TestLastKline(t *testing.T) {
-	key := os.Getenv("FTX_API_KEY")
-	secret := os.Getenv("FTX_API_SECRET")
-	subAccount := os.Getenv("FTX_SUBACCOUNT")
-	if len(key) == 0 && len(secret) == 0 {
-		t.Skip("api key/secret are not configured")
-	}
-
-	e := NewExchange(key, secret, subAccount)
-	//stream := NewStream(key, secret, subAccount, e)
-
-	ctx, cancel := context.WithCancel(context.Background())
-	defer cancel()
-	klines := getLastClosedKLine(e, ctx, "XRPUSD", types.Interval1m)
-	assert.Equal(t, 1, len(klines))
-
-}
-
-func Test_Batch(t *testing.T) {
-	key := os.Getenv("FTX_API_KEY")
-	secret := os.Getenv("FTX_API_SECRET")
-	subAccount := os.Getenv("FTX_SUBACCOUNT")
-	if len(key) == 0 && len(secret) == 0 {
-		t.Skip("api key/secret are not configured")
-	}
-
-	e := NewExchange(key, secret, subAccount)
-	//stream := NewStream(key, secret, subAccount, e)
-
-	batch := &batch2.KLineBatchQuery{Exchange: e}
-
-	ctx, cancel := context.WithCancel(context.Background())
-	defer cancel()
-	// should use channel here
-
-	starttime, err := time.Parse("2006-1-2 15:04", "2021-08-01 00:00")
-	assert.NoError(t, err)
-	endtime, err := time.Parse("2006-1-2 15:04", "2021-08-04 00:19")
-	assert.NoError(t, err)
-
-	klineC, errC := batch.Query(ctx, "XRPUSDT", types.Interval1d, starttime, endtime)
-
-	if err := <-errC; err != nil {
-		assert.NoError(t, err)
-	}
-
-	var lastmintime time.Time
-	var lastmaxtime time.Time
-
-	for klines := range klineC {
-		assert.NotEmpty(t, klines)
-
-		var nowMinTime = klines[0].StartTime
-		var nowMaxTime = klines[0].StartTime
-		for _, item := range klines {
-
-			if nowMaxTime.Unix() < item.StartTime.Unix() {
-				nowMaxTime = item.StartTime
-			}
-			if nowMinTime.Unix() > item.StartTime.Unix() {
-				nowMinTime = item.StartTime
-			}
-
-		}
-
-		if !lastmintime.IsZero() {
-			assert.True(t, nowMinTime.Unix() <= nowMaxTime.Unix())
-			assert.True(t, nowMinTime.Unix() > lastmaxtime.Unix())
-			assert.True(t, nowMaxTime.Unix() > lastmaxtime.Unix())
-		}
-		lastmintime = nowMinTime.Time()
-		lastmaxtime = nowMaxTime.Time()
-		assert.True(t, lastmintime.Unix() <= lastmaxtime.Unix())
-
-	}
-
-}

pkg/exchange/max/exchange.go

@@ -245,7 +245,7 @@ func (e *Exchange) queryClosedOrdersByLastOrderID(ctx context.Context, symbol st
 		orders = append(orders, *order)
 	}
 
-	orders = types.SortOrderAscending(orders)
+	orders = types.SortOrdersAscending(orders)
 	return orders, nil
 }
 

pkg/service/backtest.go

@@ -12,7 +12,7 @@ import (
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 
-	batch2 "github.com/c9s/bbgo/pkg/exchange/batch"
+	"github.com/c9s/bbgo/pkg/exchange/batch"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -23,26 +23,16 @@ type BacktestService struct {
 func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
 	log.Infof("synchronizing lastKLine for interval %s from exchange %s", interval, exchange.Name())
 
-	batch := &batch2.KLineBatchQuery{Exchange: exchange}
+	q := &batch.KLineBatchQuery{Exchange: exchange}
 
-	// should use channel here
-	klineC, errC := batch.Query(ctx, symbol, interval, startTime, endTime)
-
-	// var previousKLine types.KLine
-	count := 0
-	for klines := range klineC {
-		if err := s.BatchInsert(klines); err != nil {
+	klineC, errC := q.Query(ctx, symbol, interval, startTime, endTime)
+	for kline := range klineC {
+		if err := s.Insert(kline); err != nil {
 			return err
 		}
-		count += len(klines)
-	}
-	log.Debugf("inserted klines %s %s data: %d", symbol, interval.String(), count)
-
-	if err := <-errC; err != nil {
-		return err
 	}
 
-	return nil
+	return <-errC
 }
 
 func (s *BacktestService) Verify(symbols []string, startTime time.Time, endTime time.Time, sourceExchange types.Exchange, verboseCnt int) error {
@@ -306,27 +296,6 @@ func (s *BacktestService) Insert(kline types.KLine) error {
 	return err
 }
 
-// BatchInsert Note: all kline should be same exchange, or it will cause issue.
-func (s *BacktestService) BatchInsert(kline []types.KLine) error {
-	if len(kline) == 0 {
-		return nil
-	}
-	if len(kline[0].Exchange) == 0 {
-		return errors.New("kline.Exchange field should not be empty")
-	}
-
-	tableName := s._targetKlineTable(kline[0].Exchange)
-
-	sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
-		" VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
-
-	tx := s.DB.MustBegin()
-	if _, err := tx.NamedExec(sql, kline); err != nil {
-		return err
-	}
-	return tx.Commit()
-}
-
 func (s *BacktestService) _deleteDuplicatedKLine(k types.KLine) error {
 
 	if len(k.Exchange) == 0 {

pkg/service/order.go

@@ -58,7 +58,14 @@ func (s *OrderService) Sync(ctx context.Context, exchange types.Exchange, symbol
 		startTime = records[0].CreationTime.Time()
 	}
 
-	b := &batch.ClosedOrderBatchQuery{Exchange: exchange}
+	exchangeTradeHistoryService, ok := exchange.(types.ExchangeTradeHistoryService)
+	if !ok {
+		return nil
+	}
+
+	b := &batch.ClosedOrderBatchQuery{
+		ExchangeTradeHistoryService: exchangeTradeHistoryService,
+	}
 	ordersC, errC := b.Query(ctx, symbol, startTime, time.Now(), lastID)
 	for order := range ordersC {
 		select {

pkg/service/trade.go

@@ -96,7 +96,15 @@ func (s *TradeService) Sync(ctx context.Context, exchange types.Exchange, symbol
 		startTime = last.Time.Time()
 	}
 
-	b := &batch.TradeBatchQuery{Exchange: exchange}
+	exchangeTradeHistoryService, ok := exchange.(types.ExchangeTradeHistoryService)
+	if !ok {
+		return nil
+	}
+
+	b := &batch.TradeBatchQuery{
+		ExchangeTradeHistoryService: exchangeTradeHistoryService,
+	}
+
 	tradeC, errC := b.Query(ctx, symbol, &types.TradeQueryOptions{
 		LastTradeID: lastTradeID,
 		StartTime:   &startTime,

pkg/types/sort.go

@@ -12,9 +12,17 @@ func SortTradesAscending(trades []Trade) []Trade {
 	return trades
 }
 
-func SortOrderAscending(orders []Order) []Order {
+func SortOrdersAscending(orders []Order) []Order {
 	sort.Slice(orders, func(i, j int) bool {
 		return orders[i].CreationTime.Time().Before(orders[j].CreationTime.Time())
 	})
 	return orders
 }
+
+func SortKLinesAscending(klines []KLine) []KLine {
+	sort.Slice(klines, func(i, j int) bool {
+		return klines[i].StartTime.Unix() < klines[j].StartTime.Unix()
+	})
+
+	return klines
+}

pkg/types/trade.go

@@ -229,3 +229,7 @@ type TradeKey struct {
 	ID       uint64
 	Side     SideType
 }
+
+func (k TradeKey) String() string {
+	return k.Exchange.String() + strconv.FormatUint(k.ID, 10) + k.Side.String()
+}