mirror of
https://github.com/c9s/bbgo.git
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286 lines
8.1 KiB
Go
286 lines
8.1 KiB
Go
package cmd
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import (
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"context"
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"fmt"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/backtest"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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func init() {
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BacktestCmd.Flags().String("exchange", "", "target exchange")
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BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
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BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
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BacktestCmd.Flags().String("sync-from", time.Now().AddDate(0, -6, 0).Format(types.DateFormat), "sync backtest data from the given time")
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BacktestCmd.Flags().Bool("base-asset-baseline", false, "use base asset performance as the competitive baseline performance")
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BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
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BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
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RootCmd.AddCommand(BacktestCmd)
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}
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var BacktestCmd = &cobra.Command{
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Use: "backtest",
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Short: "backtest your strategies",
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SilenceUsage: true,
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RunE: func(cmd *cobra.Command, args []string) error {
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verboseCnt, err := cmd.Flags().GetCount("verbose")
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if err != nil {
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return err
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}
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configFile, err := cmd.Flags().GetString("config")
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if err != nil {
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return err
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}
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if len(configFile) == 0 {
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return errors.New("--config option is required")
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}
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wantBaseAssetBaseline, err := cmd.Flags().GetBool("base-asset-baseline")
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if err != nil {
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return err
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}
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wantSync, err := cmd.Flags().GetBool("sync")
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if err != nil {
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return err
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}
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syncOnly, err := cmd.Flags().GetBool("sync-only")
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if err != nil {
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return err
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}
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syncFromDateStr, err := cmd.Flags().GetString("sync-from")
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if err != nil {
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return err
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}
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syncFromTime, err := time.Parse(types.DateFormat, syncFromDateStr)
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if err != nil {
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return err
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}
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exchangeNameStr, err := cmd.Flags().GetString("exchange")
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if err != nil {
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return err
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}
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exchangeName, err := types.ValidExchangeName(exchangeNameStr)
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if err != nil {
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return err
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}
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sourceExchange, err := cmdutil.NewExchange(exchangeName)
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if err != nil {
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return err
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}
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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userConfig, err := bbgo.Load(configFile, true)
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if err != nil {
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return err
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}
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db, err := cmdutil.ConnectMySQL()
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if err != nil {
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return err
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}
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if userConfig.Backtest == nil {
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return errors.New("backtest config is not defined")
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}
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// set default start time to the past 6 months
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if len(userConfig.Backtest.StartTime) == 0 {
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userConfig.Backtest.StartTime = time.Now().AddDate(0, -6, 0).Format("2006-01-02")
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}
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startTime, err := userConfig.Backtest.ParseStartTime()
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if err != nil {
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return err
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}
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backtestService := &service.BacktestService{DB: db}
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if wantSync {
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log.Info("starting synchronization...")
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for _, symbol := range userConfig.Backtest.Symbols {
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if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime); err != nil {
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return err
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}
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}
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log.Info("synchronization done")
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var corruptCnt = 0
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for _, symbol := range userConfig.Backtest.Symbols {
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log.Infof("verifying backtesting data...")
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for interval := range types.SupportedIntervals {
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log.Infof("verifying %s %s kline data...", symbol, interval)
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klineC, errC := backtestService.QueryKLinesCh(startTime, time.Now(), sourceExchange, []string{symbol}, []types.Interval{interval})
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var emptyKLine types.KLine
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var prevKLine types.KLine
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for k := range klineC {
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if verboseCnt > 1 {
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fmt.Print(".")
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}
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if prevKLine != emptyKLine {
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if prevKLine.StartTime.Add(interval.Duration()) != k.StartTime {
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corruptCnt++
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log.Errorf("found kline data corrupted at time: %s kline: %+v", k.StartTime, k)
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log.Errorf("between %d and %d",
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prevKLine.StartTime.Unix(),
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k.StartTime.Unix())
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}
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}
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prevKLine = k
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}
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if verboseCnt > 1 {
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fmt.Println()
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}
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if err := <-errC; err != nil {
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return err
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}
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}
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}
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log.Infof("backtest verification completed")
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if corruptCnt > 0 {
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log.Errorf("found %d corruptions", corruptCnt)
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} else {
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log.Infof("found %d corruptions", corruptCnt)
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}
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if syncOnly {
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return nil
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}
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}
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backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
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environ := bbgo.NewEnvironment()
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environ.SetStartTime(startTime)
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environ.AddExchange(exchangeName.String(), backtestExchange)
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environ.Notifiability = bbgo.Notifiability{
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SymbolChannelRouter: bbgo.NewPatternChannelRouter(nil),
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SessionChannelRouter: bbgo.NewPatternChannelRouter(nil),
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ObjectChannelRouter: bbgo.NewObjectChannelRouter(),
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}
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trader := bbgo.NewTrader(environ)
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if verboseCnt == 2 {
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log.SetLevel(log.DebugLevel)
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} else if verboseCnt > 0 {
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log.SetLevel(log.InfoLevel)
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} else {
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// default mode, disable strategy logging and order executor logging
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log.SetLevel(log.ErrorLevel)
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trader.DisableLogging()
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}
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if userConfig.RiskControls != nil {
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log.Infof("setting risk controls: %+v", userConfig.RiskControls)
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trader.SetRiskControls(userConfig.RiskControls)
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}
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for _, entry := range userConfig.ExchangeStrategies {
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log.Infof("attaching strategy %T on %s instead of %v", entry.Strategy, exchangeName.String(), entry.Mounts)
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trader.AttachStrategyOn(exchangeName.String(), entry.Strategy)
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}
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if len(userConfig.CrossExchangeStrategies) > 0 {
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log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
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}
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if err := trader.Run(ctx); err != nil {
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return err
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}
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<-backtestExchange.Done()
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log.Infof("shutting down trader...")
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shutdownCtx, cancel := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
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trader.Graceful.Shutdown(shutdownCtx)
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cancel()
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// put the logger back to print the pnl
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log.SetLevel(log.InfoLevel)
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for _, session := range environ.Sessions() {
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calculator := &pnl.AverageCostCalculator{
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TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
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}
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for symbol, trades := range session.Trades {
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market, ok := session.Market(symbol)
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if !ok {
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return fmt.Errorf("market not found: %s", symbol)
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}
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startPrice, ok := session.StartPrice(symbol)
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if !ok {
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return fmt.Errorf("start price not found: %s", symbol)
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}
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log.Infof("%s PROFIT AND LOSS REPORT", symbol)
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log.Infof("===============================================")
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lastPrice, ok := session.LastPrice(symbol)
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if !ok {
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return fmt.Errorf("last price not found: %s", symbol)
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}
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report := calculator.Calculate(symbol, trades, lastPrice)
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report.Print()
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initBalances := userConfig.Backtest.Account.Balances.BalanceMap()
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finalBalances := session.Account.Balances()
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log.Infof("INITIAL BALANCES:")
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initBalances.Print()
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log.Infof("FINAL BALANCES:")
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finalBalances.Print()
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if wantBaseAssetBaseline {
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initBaseAsset := InBaseAsset(initBalances, market, startPrice)
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finalBaseAsset := InBaseAsset(finalBalances, market, lastPrice)
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log.Infof("INITIAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
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log.Infof("FINAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)
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log.Infof("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (finalBaseAsset-initBaseAsset)/initBaseAsset*100.0, finalBaseAsset, initBaseAsset, initBaseAsset)
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log.Infof("%s PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
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}
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}
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}
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return nil
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},
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}
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func InBaseAsset(balances types.BalanceMap, market types.Market, price float64) float64 {
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quote := balances[market.QuoteCurrency]
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base := balances[market.BaseCurrency]
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return (base.Locked.Float64() + base.Available.Float64()) + ((quote.Locked.Float64() + quote.Available.Float64()) / price)
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}
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