package bbgo import ( "context" "fmt" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo/accounting" "github.com/c9s/bbgo/pkg/bbgo/types" "github.com/c9s/bbgo/pkg/util" ) type BackTestStream struct { types.StandardPrivateStream } func (s *BackTestStream) Connect(ctx context.Context) error { return nil } func (s *BackTestStream) Close() error { return nil } type BackTestTrader struct { // Context is trading Context Context *Context SourceKLines []types.KLine ProfitAndLossCalculator *accounting.ProfitAndLossCalculator doneOrders []*types.SubmitOrder pendingOrders []*types.SubmitOrder } func (trader *BackTestTrader) SubmitOrder(cxt context.Context, order *types.SubmitOrder) { trader.pendingOrders = append(trader.pendingOrders, order) } func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy MarketStrategy) (chan struct{}, error) { logrus.Infof("[regression] number of kline data: %d", len(trader.SourceKLines)) done := make(chan struct{}) defer close(done) if err := strategy.OnLoad(trader.Context, trader); err != nil { return nil, err } stream := &BackTestStream{} if err := strategy.OnNewStream(stream); err != nil { return nil, err } var tradeID int64 = 0 for _, kline := range trader.SourceKLines { logrus.Debugf("kline %+v", kline) fmt.Print(".") stream.EmitKLineClosed(kline) for _, order := range trader.pendingOrders { switch order.Side { case types.SideTypeBuy: fmt.Print("B") case types.SideTypeSell: fmt.Print("S") } var price float64 if order.Type == types.OrderTypeLimit { price = util.MustParseFloat(order.PriceString) } else { price = kline.GetClose() } volume := util.MustParseFloat(order.QuantityString) fee := 0.0 feeCurrency := "" trader.Context.Lock() if order.Side == types.SideTypeBuy { fee = price * volume * 0.001 feeCurrency = "USDT" quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency] if quote.Available < volume*price { logrus.Fatalf("quote balance not enough: %+v", quote) } quote.Available -= volume * price trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote base := trader.Context.Balances[trader.Context.Market.BaseCurrency] base.Available += volume trader.Context.Balances[trader.Context.Market.BaseCurrency] = base } else { fee = volume * 0.001 feeCurrency = "BTC" base := trader.Context.Balances[trader.Context.Market.BaseCurrency] if base.Available < volume { logrus.Fatalf("base balance not enough: %+v", base) } base.Available -= volume trader.Context.Balances[trader.Context.Market.BaseCurrency] = base quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency] quote.Available += volume * price trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote } trader.Context.Unlock() trade := types.Trade{ ID: tradeID, Price: price, Quantity: volume, Side: string(order.Side), IsBuyer: order.Side == types.SideTypeBuy, IsMaker: false, Time: kline.EndTime, Symbol: trader.Context.Symbol, Fee: fee, FeeCurrency: feeCurrency, } tradeID++ trader.ProfitAndLossCalculator.AddTrade(trade) trader.doneOrders = append(trader.doneOrders, order) } // clear pending orders trader.pendingOrders = nil } fmt.Print("\n") report := trader.ProfitAndLossCalculator.Calculate() report.Print() logrus.Infof("wallet balance:") for _, balance := range trader.Context.Balances { logrus.Infof(" %s: %f", balance.Currency, balance.Available) } return done, nil }