mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 17:13:51 +00:00
94 lines
2.2 KiB
Go
94 lines
2.2 KiB
Go
package backtest
|
|
|
|
import (
|
|
"context"
|
|
"errors"
|
|
"math/rand"
|
|
"testing"
|
|
"time"
|
|
|
|
"github.com/stretchr/testify/assert"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type KLineFixtureGenerator struct {
|
|
Symbol string
|
|
Interval types.Interval
|
|
StartTime, EndTime time.Time
|
|
StartPrice fixedpoint.Value
|
|
}
|
|
|
|
func (g *KLineFixtureGenerator) Generate(ctx context.Context, c chan types.KLine) error {
|
|
defer close(c)
|
|
|
|
startTime := g.StartTime
|
|
price := g.StartPrice
|
|
|
|
if price.IsZero() {
|
|
return errors.New("startPrice can not be zero")
|
|
}
|
|
|
|
for startTime.Before(g.EndTime) {
|
|
open := price
|
|
high := price.Mul(fixedpoint.NewFromFloat(1.01))
|
|
low := price.Mul(fixedpoint.NewFromFloat(0.99))
|
|
amp := high.Sub(low)
|
|
cls := low.Add(amp.Mul(fixedpoint.NewFromFloat(rand.Float64())))
|
|
|
|
vol := fixedpoint.NewFromFloat(rand.Float64() * 1000.0)
|
|
quoteVol := fixedpoint.NewFromFloat(rand.Float64() * 1000.0).Mul(price)
|
|
|
|
nextStartTime := startTime.Add(g.Interval.Duration())
|
|
k := types.KLine{
|
|
Exchange: types.ExchangeBinance,
|
|
Symbol: g.Symbol,
|
|
StartTime: types.Time(startTime),
|
|
EndTime: types.Time(nextStartTime.Add(-time.Millisecond)),
|
|
Interval: g.Interval,
|
|
Open: open,
|
|
Close: cls,
|
|
High: high,
|
|
Low: low,
|
|
Volume: vol,
|
|
QuoteVolume: quoteVol,
|
|
Closed: true,
|
|
}
|
|
select {
|
|
case <-ctx.Done():
|
|
return ctx.Err()
|
|
case c <- k:
|
|
}
|
|
price = cls
|
|
startTime = nextStartTime
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func TestKLineFixtureGenerator(t *testing.T) {
|
|
startTime := time.Date(2022, time.January, 1, 0, 0, 0, 0, time.Local)
|
|
endTime := time.Date(2022, time.January, 31, 0, 0, 0, 0, time.Local)
|
|
ctx := context.Background()
|
|
g := &KLineFixtureGenerator{
|
|
Symbol: "BTCUSDT",
|
|
Interval: types.Interval1m,
|
|
StartTime: startTime,
|
|
EndTime: endTime,
|
|
StartPrice: fixedpoint.NewFromFloat(18000.0),
|
|
}
|
|
|
|
c := make(chan types.KLine, 20)
|
|
go func() {
|
|
err := g.Generate(ctx, c)
|
|
assert.NoError(t, err)
|
|
}()
|
|
for k := range c {
|
|
// high must higher than low
|
|
assert.True(t, k.High.Compare(k.Low) > 0)
|
|
assert.True(t, k.StartTime.After(startTime) || k.StartTime.Equal(startTime))
|
|
assert.True(t, k.StartTime.Before(endTime))
|
|
}
|
|
}
|