package service import ( "context" "strings" "time" "github.com/jmoiron/sqlx" "github.com/pkg/errors" log "github.com/sirupsen/logrus" batch2 "github.com/c9s/bbgo/pkg/exchange/batch" "github.com/c9s/bbgo/pkg/types" ) type BacktestService struct { DB *sqlx.DB } 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()) lastKLine, err := s.QueryLast(exchange.Name(), symbol, interval) if err != nil { return err } if lastKLine != nil { log.Infof("found last checkpoint %s", lastKLine.EndTime) startTime = lastKLine.StartTime.Add(time.Minute) } batch := &batch2.KLineBatchQuery{Exchange: exchange} // should use channel here klineC, errC := batch.Query(ctx, symbol, interval, startTime, endTime) // var previousKLine types.KLine for k := range klineC { if err := s.Insert(k); err != nil { return err } } if err := <-errC; err != nil { return err } return nil } func (s *BacktestService) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error { endTime := time.Now() for interval := range types.SupportedIntervals { if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime); err != nil { return err } } return nil } // QueryLast queries the last order from the database func (s *BacktestService) QueryLast(ex types.ExchangeName, symbol string, interval types.Interval) (*types.KLine, error) { log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval) // make the SQL syntax IDE friendly, so that it can analyze it. sql := "SELECT * FROM binance_klines WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT 1" sql = strings.ReplaceAll(sql, "binance_klines", ex.String()+"_klines") rows, err := s.DB.NamedQuery(sql, map[string]interface{}{ "exchange": ex, "interval": interval, "symbol": symbol, }) if err != nil { return nil, errors.Wrap(err, "query last order error") } if rows.Err() != nil { return nil, rows.Err() } defer rows.Close() if rows.Next() { var kline types.KLine err = rows.StructScan(&kline) return &kline, err } return nil, rows.Err() } func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) { sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :start_time AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time ASC LIMIT :limit" sql = strings.ReplaceAll(sql, "binance_klines", exchange.String()+"_klines") rows, err := s.DB.NamedQuery(sql, map[string]interface{}{ "start_time": startTime, "limit": limit, "symbol": symbol, "interval": interval, }) if err != nil { return nil, err } return s.scanRows(rows) } func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) { sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :end_time AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT :limit" sql = strings.ReplaceAll(sql, "binance_klines", exchange.String()+"_klines") sql = "SELECT t.* FROM (" + sql + ") AS t ORDER BY t.end_time ASC" rows, err := s.DB.NamedQuery(sql, map[string]interface{}{ "limit": limit, "end_time": endTime, "symbol": symbol, "interval": interval, }) if err != nil { return nil, err } return s.scanRows(rows) } func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) { sql := "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) ORDER BY end_time ASC" sql = strings.ReplaceAll(sql, "binance_klines", exchange.Name().String()+"_klines") sql, args, err := sqlx.Named(sql, map[string]interface{}{ "since": since, "until": until, "symbols": symbols, "intervals": types.IntervalSlice(intervals), }) sql, args, err = sqlx.In(sql, args...) sql = s.DB.Rebind(sql) rows, err := s.DB.Queryx(sql, args...) if err != nil { log.WithError(err).Error("query error") errC := make(chan error, 1) // avoid blocking go func() { errC <- err close(errC) }() return nil, errC } return s.scanRowsCh(rows) } // scanRowsCh scan rows into channel func (s *BacktestService) scanRowsCh(rows *sqlx.Rows) (chan types.KLine, chan error) { ch := make(chan types.KLine, 500) errC := make(chan error, 1) go func() { defer close(errC) defer close(ch) defer rows.Close() for rows.Next() { var kline types.KLine if err := rows.StructScan(&kline); err != nil { errC <- err return } ch <- kline } if err := rows.Err(); err != nil { errC <- err return } }() return ch, errC } func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err error) { for rows.Next() { var kline types.KLine if err := rows.StructScan(&kline); err != nil { return nil, err } klines = append(klines, kline) } return klines, rows.Err() } func (s *BacktestService) Insert(kline types.KLine) error { if len(kline.Exchange) == 0 { return errors.New("kline.Exchange field should not be empty") } sql := "INSERT INTO `binance_klines` (`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)" sql = strings.ReplaceAll(sql, "binance_klines", kline.Exchange.String()+"_klines") _, err := s.DB.NamedExec(sql, kline) return err }