package backtest import ( "context" "fmt" "time" "github.com/pkg/errors" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/exchange/binance" "github.com/c9s/bbgo/pkg/exchange/max" "github.com/c9s/bbgo/pkg/service" "github.com/c9s/bbgo/pkg/types" ) type Exchange struct { sourceName types.ExchangeName publicExchange types.Exchange srv *service.BacktestService startTime, endTime time.Time account *types.Account config *bbgo.Backtest stream *Stream trades map[string][]types.Trade closedOrders map[string][]types.Order matchingBooks map[string]*SimplePriceMatching markets types.MarketMap doneC chan struct{} } func NewExchange(sourceName types.ExchangeName, srv *service.BacktestService, config *bbgo.Backtest) *Exchange { ex, err := newPublicExchange(sourceName) if err != nil { panic(err) } if config == nil { panic(errors.New("backtest config can not be nil")) } markets, err := bbgo.LoadExchangeMarketsWithCache(context.Background(), ex) if err != nil { panic(err) } startTime, err := config.ParseStartTime() if err != nil { panic(err) } endTime, err := config.ParseEndTime() if err != nil { panic(err) } account := &types.Account{ MakerCommission: config.Account.MakerCommission, TakerCommission: config.Account.TakerCommission, AccountType: "SPOT", // currently not used } balances := config.Account.Balances.BalanceMap() account.UpdateBalances(balances) e := &Exchange{ sourceName: sourceName, publicExchange: ex, markets: markets, srv: srv, config: config, account: account, startTime: startTime, endTime: endTime, matchingBooks: make(map[string]*SimplePriceMatching), closedOrders: make(map[string][]types.Order), trades: make(map[string][]types.Trade), doneC: make(chan struct{}), } return e } func (e *Exchange) Done() chan struct{} { return e.doneC } func (e *Exchange) NewStream() types.Stream { if e.stream != nil { panic("backtest stream can not be allocated twice") } e.stream = &Stream{exchange: e} e.stream.OnTradeUpdate(func(trade types.Trade) { e.trades[trade.Symbol] = append(e.trades[trade.Symbol], trade) }) for symbol, market := range e.markets { matching := &SimplePriceMatching{ CurrentTime: e.startTime, Account: e.account, Market: market, MakerCommission: e.config.Account.MakerCommission, TakerCommission: e.config.Account.TakerCommission, } matching.OnTradeUpdate(e.stream.EmitTradeUpdate) matching.OnOrderUpdate(e.stream.EmitOrderUpdate) matching.OnBalanceUpdate(e.stream.EmitBalanceUpdate) e.matchingBooks[symbol] = matching } return e.stream } func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) { for _, order := range orders { symbol := order.Symbol matching, ok := e.matchingBooks[symbol] if !ok { return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol) } createdOrder, trade, err := matching.PlaceOrder(order) if err != nil { return nil, err } if createdOrder != nil { createdOrders = append(createdOrders, *createdOrder) // market order can be closed immediately. switch createdOrder.Status { case types.OrderStatusFilled, types.OrderStatusCanceled, types.OrderStatusRejected: e.closedOrders[symbol] = append(e.closedOrders[symbol], *createdOrder) } e.stream.EmitOrderUpdate(*createdOrder) } if trade != nil { e.stream.EmitTradeUpdate(*trade) } } return createdOrders, nil } func (e Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) { matching, ok := e.matchingBooks[symbol] if !ok { return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol) } return append(matching.bidOrders, matching.askOrders...), nil } func (e Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) { orders, ok := e.closedOrders[symbol] if !ok { return orders, fmt.Errorf("matching engine is not initialized for symbol %s", symbol) } return orders, nil } func (e Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error { for _, order := range orders { matching, ok := e.matchingBooks[order.Symbol] if !ok { return fmt.Errorf("matching engine is not initialized for symbol %s", order.Symbol) } canceledOrder, err := matching.CancelOrder(order) if err != nil { return err } e.stream.EmitOrderUpdate(canceledOrder) } return nil } func (e Exchange) QueryAccount(ctx context.Context) (*types.Account, error) { return e.account, nil } func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) { return e.account.Balances(), nil } func (e Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) { if options.EndTime != nil { return e.srv.QueryKLinesBackward(e.sourceName, symbol, interval, *options.EndTime) } if options.StartTime != nil { return e.srv.QueryKLinesForward(e.sourceName, symbol, interval, *options.StartTime) } return nil, errors.New("endTime or startTime can not be nil") } func (e Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) { // we don't need query trades for backtest return nil, nil } func (e Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) { // Not using Tickers in back test (yet) return nil, nil } func (e Exchange) Name() types.ExchangeName { return e.publicExchange.Name() } func (e Exchange) PlatformFeeCurrency() string { return e.publicExchange.PlatformFeeCurrency() } func (e Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) { return e.publicExchange.QueryMarkets(ctx) } func (e Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) { return nil, nil } func (e Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) { return nil, nil } func newPublicExchange(sourceExchange types.ExchangeName) (types.Exchange, error) { switch sourceExchange { case types.ExchangeBinance: return binance.New("", ""), nil case types.ExchangeMax: return max.New("", ""), nil } return nil, fmt.Errorf("exchange %s is not supported", sourceExchange) }