backtest: check quoteQuantity only when price is given

apps/backtest-report/components/TradingViewChart.js

@@ -43,6 +43,8 @@ const parseOrder = () => {
           case "quantity":
             d[key] = +d[key];
             break;
+          case "update_time":
+          case "creation_time":
           case "time":
             d[key] = new Date(d[key]);
             break;
@@ -150,7 +152,7 @@ const ordersToMarkets = (interval, orders) => {
   // var markers = [{ time: data[data.length - 48].time, position: 'aboveBar', color: '#f68410', shape: 'circle', text: 'D' }];
   for (let i = 0; i < orders.length; i++) {
     let order = orders[i];
-    let t = order.time.getTime() / 1000.0;
+    let t = order.update_time.getTime() / 1000.0;
     let lastMarker = markers.length > 0 ? markers[markers.length - 1] : null;
     if (lastMarker) {
       let remainder = lastMarker.time % intervalSecs;

config/grid.yaml

@@ -31,8 +31,8 @@ backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2022-01-10"
-  endTime: "2022-01-11"
+  startTime: "2022-05-09"
+  endTime: "2022-05-20"
   symbols:
     - BTCUSDT
   sessions: [binance]
@@ -53,9 +53,9 @@ exchangeStrategies:
     #     exp:
     #       domain: [20_000, 30_000]
     #       range: [0.2, 0.001]
-    gridNumber: 100
+    gridNumber: 30
     profitSpread: 1000.0  # The profit price spread that you want to add to your sell order when your buy order is executed
     upperPrice: 50_000.0
     lowerPrice: 20_000.0
-    long: true  # The sell order is submitted in the same order amount as the filled corresponding buy order, rather than the same quantity.
+    # long: true  # The sell order is submitted in the same order amount as the filled corresponding buy order, rather than the same quantity.
 

pkg/backtest/matching.go

@@ -118,9 +118,11 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
 		return nil, nil, fmt.Errorf("order quantity %s is less than minQuantity %s, order: %+v", o.Quantity.String(), m.Market.MinQuantity.String(), o)
 	}
 
-	quoteQuantity := o.Quantity.Mul(price)
-	if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
-		return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
+	if !price.IsZero() {
+		quoteQuantity := o.Quantity.Mul(price)
+		if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
+			return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
+		}
 	}
 
 	switch o.Side {

pkg/types/order.go

@@ -220,26 +220,30 @@ type Order struct {
 
 func (o Order) CsvHeader() []string {
 	return []string{
-		"time",
 		"order_id",
 		"symbol",
 		"side",
 		"order_type",
+		"status",
 		"price",
 		"quantity",
+		"creation_time",
+		"update_time",
 	}
 }
 
 func (o Order) CsvRecords() [][]string {
 	return [][]string{
 		{
-			o.UpdateTime.Time().UTC().Format(time.RFC1123),
 			strconv.FormatUint(o.OrderID, 10),
 			o.Symbol,
 			string(o.Side),
 			string(o.Type),
+			string(o.Status),
 			o.Price.String(),
 			o.Quantity.String(),
+			o.CreationTime.Time().UTC().Format(time.RFC1123),
+			o.UpdateTime.Time().UTC().Format(time.RFC1123),
 		},
 	}
 }