mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 16:21:09 +00:00
107 lines
2.6 KiB
Go
107 lines
2.6 KiB
Go
package cmd
|
|
|
|
import (
|
|
"context"
|
|
"syscall"
|
|
"time"
|
|
|
|
"github.com/pkg/errors"
|
|
log "github.com/sirupsen/logrus"
|
|
"github.com/spf13/cobra"
|
|
|
|
"github.com/c9s/bbgo/pkg/backtest"
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/cmd/cmdutil"
|
|
"github.com/c9s/bbgo/pkg/service"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
func init() {
|
|
BacktestCmd.Flags().String("exchange", "", "target exchange")
|
|
BacktestCmd.Flags().String("start", "", "start time")
|
|
BacktestCmd.Flags().Bool("backtest", true, "sync backtest data")
|
|
BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
|
|
RootCmd.AddCommand(BacktestCmd)
|
|
}
|
|
|
|
var BacktestCmd = &cobra.Command{
|
|
Use: "backtest",
|
|
Short: "backtest your strategies",
|
|
SilenceUsage: true,
|
|
RunE: func(cmd *cobra.Command, args []string) error {
|
|
configFile, err := cmd.Flags().GetString("config")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if len(configFile) == 0 {
|
|
return errors.New("--config option is required")
|
|
}
|
|
|
|
ctx, cancel := context.WithCancel(context.Background())
|
|
defer cancel()
|
|
|
|
userConfig, err := bbgo.Load(configFile)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
exchangeNameStr, err := cmd.Flags().GetString("exchange")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
exchangeName, err := types.ValidExchangeName(exchangeNameStr)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
db, err := cmdutil.ConnectMySQL()
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
// set default start time to the past 6 months
|
|
startTime := time.Now().AddDate(0, -6, 0)
|
|
|
|
startTimeArg, err := cmd.Flags().GetString("start")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if len(startTimeArg) > 0 {
|
|
startTime, err = time.Parse("2006-01-02", startTimeArg)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
|
|
backtestService := &service.BacktestService{DB: db}
|
|
|
|
exchange := backtest.NewExchange(exchangeName, backtestService, startTime)
|
|
environ := bbgo.NewEnvironment()
|
|
environ.AddExchange(exchangeName.String(), exchange)
|
|
|
|
trader := bbgo.NewTrader(environ)
|
|
if userConfig.RiskControls != nil {
|
|
trader.SetRiskControls(userConfig.RiskControls)
|
|
}
|
|
|
|
for _, entry := range userConfig.ExchangeStrategies {
|
|
log.Infof("attaching strategy %T on %s instead of %v", entry.Strategy, exchangeName.String(), entry.Mounts)
|
|
trader.AttachStrategyOn(exchangeName.String(), entry.Strategy)
|
|
}
|
|
|
|
if len(userConfig.CrossExchangeStrategies) > 0 {
|
|
log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
|
|
}
|
|
|
|
if err := trader.Run(ctx) ; err != nil {
|
|
return err
|
|
}
|
|
|
|
cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
|
|
return nil
|
|
},
|
|
}
|