mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
add strict start time, sync time checking for preventing back-test failure
related to #311
This commit is contained in:
parent
132fe893e1
commit
f1e3cc6049
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@ -27,6 +27,8 @@ func init() {
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BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
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BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
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BacktestCmd.Flags().String("sync-from", "", "sync backtest data from the given time, which will override the time range in the backtest config")
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BacktestCmd.Flags().Bool("verify", false, "verify the kline back-test data")
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BacktestCmd.Flags().Bool("base-asset-baseline", false, "use base asset performance as the competitive baseline performance")
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BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
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BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
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@ -73,6 +75,7 @@ var BacktestCmd = &cobra.Command{
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if err != nil {
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return err
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}
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jsonOutputEnabled := len(outputDirectory) > 0
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syncOnly, err := cmd.Flags().GetBool("sync-only")
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@ -85,6 +88,11 @@ var BacktestCmd = &cobra.Command{
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return err
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}
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shouldVerify, err := cmd.Flags().GetBool("verify")
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if err != nil {
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return err
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}
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exchangeNameStr, err := cmd.Flags().GetString("exchange")
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if err != nil {
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return err
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@ -145,7 +153,7 @@ var BacktestCmd = &cobra.Command{
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environ.BacktestService = backtestService
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if wantSync {
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var syncFromTime = startTime
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var syncFromTime time.Time
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// override the sync from time if the option is given
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if len(syncFromDateStr) > 0 {
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@ -159,61 +167,78 @@ var BacktestCmd = &cobra.Command{
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}
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} else {
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// we need at least 1 month backward data for EMA and last prices
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syncFromTime = syncFromTime.AddDate(0, -1, 0)
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log.Infof("adjusted sync start time to %s for backward market data", syncFromTime)
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syncFromTime = startTime.AddDate(0, -1, 0)
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log.Infof("adjusted sync start time %s to %s for backward market data", startTime, syncFromTime)
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}
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log.Info("starting synchronization...")
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for _, symbol := range userConfig.Backtest.Symbols {
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firstKLine, err := backtestService.QueryFirstKLine(sourceExchange.Name(), symbol, types.Interval1m)
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if err != nil {
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return errors.Wrapf(err, "failed to query backtest kline")
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}
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// if we don't have klines before the start time endpoint, the back-test will fail.
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// because the last price will be missing.
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if syncFromTime.Before(firstKLine.EndTime) {
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return fmt.Errorf("the sync-from-time you gave %s is earlier than the previous sync entry %s. "+
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"re-syncing data from the earlier date before your first sync is not support,"+
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"please clean up the kline table and restart a new sync",
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syncFromTime,
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firstKLine.EndTime)
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}
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if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime); err != nil {
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return err
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}
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}
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log.Info("synchronization done")
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var corruptCnt = 0
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for _, symbol := range userConfig.Backtest.Symbols {
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log.Infof("verifying backtesting data...")
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if shouldVerify {
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var corruptCnt = 0
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for _, symbol := range userConfig.Backtest.Symbols {
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log.Infof("verifying backtesting data...")
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for interval := range types.SupportedIntervals {
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log.Infof("verifying %s %s kline data...", symbol, interval)
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for interval := range types.SupportedIntervals {
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log.Infof("verifying %s %s kline data...", symbol, interval)
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klineC, errC := backtestService.QueryKLinesCh(startTime, time.Now(), sourceExchange, []string{symbol}, []types.Interval{interval})
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var emptyKLine types.KLine
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var prevKLine types.KLine
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for k := range klineC {
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if verboseCnt > 1 {
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fmt.Fprint(os.Stderr, ".")
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}
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if prevKLine != emptyKLine {
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if prevKLine.StartTime.Add(interval.Duration()) != k.StartTime {
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corruptCnt++
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log.Errorf("found kline data corrupted at time: %s kline: %+v", k.StartTime, k)
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log.Errorf("between %d and %d",
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prevKLine.StartTime.Unix(),
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k.StartTime.Unix())
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klineC, errC := backtestService.QueryKLinesCh(startTime, time.Now(), sourceExchange, []string{symbol}, []types.Interval{interval})
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var emptyKLine types.KLine
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var prevKLine types.KLine
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for k := range klineC {
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if verboseCnt > 1 {
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fmt.Fprint(os.Stderr, ".")
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}
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if prevKLine != emptyKLine {
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if prevKLine.StartTime.Add(interval.Duration()) != k.StartTime {
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corruptCnt++
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log.Errorf("found kline data corrupted at time: %s kline: %+v", k.StartTime, k)
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log.Errorf("between %d and %d",
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prevKLine.StartTime.Unix(),
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k.StartTime.Unix())
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}
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}
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prevKLine = k
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}
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prevKLine = k
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}
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if verboseCnt > 1 {
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fmt.Fprintln(os.Stderr)
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}
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if verboseCnt > 1 {
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fmt.Fprintln(os.Stderr)
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}
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if err := <-errC; err != nil {
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return err
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if err := <-errC; err != nil {
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return err
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}
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}
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}
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}
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log.Infof("backtest verification completed")
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if corruptCnt > 0 {
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log.Errorf("found %d corruptions", corruptCnt)
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} else {
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log.Infof("found %d corruptions", corruptCnt)
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log.Infof("backtest verification completed")
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if corruptCnt > 0 {
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log.Errorf("found %d corruptions", corruptCnt)
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} else {
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log.Infof("found %d corruptions", corruptCnt)
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}
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}
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if syncOnly {
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@ -2,6 +2,7 @@ package service
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import (
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"context"
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"strconv"
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"strings"
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"time"
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@ -20,13 +21,13 @@ type BacktestService struct {
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func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
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log.Infof("synchronizing lastKLine for interval %s from exchange %s", interval, exchange.Name())
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lastKLine, err := s.QueryLast(exchange.Name(), symbol, interval)
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lastKLine, err := s.QueryKLine(exchange.Name(), symbol, interval, "DESC", 1)
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if err != nil {
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return err
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}
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if lastKLine != nil {
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log.Infof("found last checkpoint %s", lastKLine.EndTime)
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log.Infof("found the last %s kline data checkpoint %s", symbol, lastKLine.EndTime)
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startTime = lastKLine.StartTime.Add(time.Minute)
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}
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@ -59,12 +60,21 @@ func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, sym
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return nil
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}
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// QueryLast queries the last order from the database
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func (s *BacktestService) QueryLast(ex types.ExchangeName, symbol string, interval types.Interval) (*types.KLine, error) {
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func (s *BacktestService) QueryFirstKLine(ex types.ExchangeName, symbol string, interval types.Interval) (*types.KLine, error) {
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return s.QueryKLine(ex, symbol, interval, "ASC", 1)
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}
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// QueryLastKLine queries the last kline from the database
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func (s *BacktestService) QueryLastKLine(ex types.ExchangeName, symbol string, interval types.Interval) (*types.KLine, error) {
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return s.QueryKLine(ex, symbol, interval, "DESC", 1)
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}
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// QueryKLine queries the klines from the database
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func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
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log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
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// make the SQL syntax IDE friendly, so that it can analyze it.
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sql := "SELECT * FROM binance_klines WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT 1"
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sql := "SELECT * FROM binance_klines WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time " + orderBy + " LIMIT " + strconv.Itoa(limit)
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sql = strings.ReplaceAll(sql, "binance_klines", ex.String()+"_klines")
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rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
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@ -74,7 +84,7 @@ func (s *BacktestService) QueryLast(ex types.ExchangeName, symbol string, interv
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})
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if err != nil {
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return nil, errors.Wrap(err, "query last order error")
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return nil, errors.Wrap(err, "query kline error")
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}
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if rows.Err() != nil {
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