mirror of
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260 lines
8.7 KiB
Go
260 lines
8.7 KiB
Go
package backtest
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import (
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"encoding/json"
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"fmt"
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"io/ioutil"
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"os"
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"path/filepath"
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"strings"
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"time"
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"github.com/fatih/color"
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"github.com/gofrs/flock"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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type Run struct {
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ID string `json:"id"`
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Config *bbgo.Config `json:"config"`
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Time time.Time `json:"time"`
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}
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type ReportIndex struct {
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Runs []Run `json:"runs,omitempty"`
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}
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// SummaryReport is the summary of the back-test session
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type SummaryReport struct {
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StartTime time.Time `json:"startTime"`
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EndTime time.Time `json:"endTime"`
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Sessions []string `json:"sessions"`
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Symbols []string `json:"symbols"`
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Intervals []types.Interval `json:"intervals"`
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InitialTotalBalances types.BalanceMap `json:"initialTotalBalances"`
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FinalTotalBalances types.BalanceMap `json:"finalTotalBalances"`
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InitialEquityValue fixedpoint.Value `json:"initialEquityValue"`
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FinalEquityValue fixedpoint.Value `json:"finalEquityValue"`
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// TotalProfit is the profit aggregated from the symbol reports
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TotalProfit fixedpoint.Value `json:"totalProfit,omitempty"`
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TotalUnrealizedProfit fixedpoint.Value `json:"totalUnrealizedProfit,omitempty"`
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TotalGrossProfit fixedpoint.Value `json:"totalGrossProfit,omitempty"`
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TotalGrossLoss fixedpoint.Value `json:"totalGrossLoss,omitempty"`
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SymbolReports []SessionSymbolReport `json:"symbolReports,omitempty"`
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Manifests Manifests `json:"manifests,omitempty"`
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}
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func ReadSummaryReport(filename string) (*SummaryReport, error) {
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o, err := ioutil.ReadFile(filename)
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if err != nil {
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return nil, err
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}
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var report SummaryReport
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err = json.Unmarshal(o, &report)
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return &report, err
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}
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// SessionSymbolReport is the report per exchange session
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// trades are merged, collected and re-calculated
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type SessionSymbolReport struct {
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Exchange types.ExchangeName `json:"exchange"`
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Symbol string `json:"symbol,omitempty"`
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Intervals []types.Interval `json:"intervals,omitempty"`
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Subscriptions []types.Subscription `json:"subscriptions"`
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Market types.Market `json:"market"`
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LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
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StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
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PnL *pnl.AverageCostPnlReport `json:"pnl,omitempty"`
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InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
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FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
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Manifests Manifests `json:"manifests,omitempty"`
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Sharpe fixedpoint.Value `json:"sharpeRatio"`
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Sortino fixedpoint.Value `json:"sortinoRatio"`
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}
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func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {
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return InQuoteAsset(r.InitialBalances, r.Market, r.StartPrice)
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}
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func (r *SessionSymbolReport) FinalEquityValue() fixedpoint.Value {
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return InQuoteAsset(r.FinalBalances, r.Market, r.LastPrice)
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}
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func (r *SessionSymbolReport) Print(wantBaseAssetBaseline bool) {
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color.Green("%s %s PROFIT AND LOSS REPORT", r.Exchange, r.Symbol)
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color.Green("===============================================")
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r.PnL.Print()
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initQuoteAsset := r.InitialEquityValue()
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finalQuoteAsset := r.FinalEquityValue()
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color.Green("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", r.Market.QuoteCurrency, r.Market.FormatQuantity(initQuoteAsset), r.Market.QuoteCurrency, r.Market.BaseCurrency, r.StartPrice)
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color.Green("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", r.Market.QuoteCurrency, r.Market.FormatQuantity(finalQuoteAsset), r.Market.QuoteCurrency, r.Market.BaseCurrency, r.LastPrice)
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if r.PnL.Profit.Sign() > 0 {
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color.Green("REALIZED PROFIT: +%v %s", r.PnL.Profit, r.Market.QuoteCurrency)
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} else {
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color.Red("REALIZED PROFIT: %v %s", r.PnL.Profit, r.Market.QuoteCurrency)
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}
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if r.PnL.UnrealizedProfit.Sign() > 0 {
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color.Green("UNREALIZED PROFIT: +%v %s", r.PnL.UnrealizedProfit, r.Market.QuoteCurrency)
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} else {
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color.Red("UNREALIZED PROFIT: %v %s", r.PnL.UnrealizedProfit, r.Market.QuoteCurrency)
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}
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if finalQuoteAsset.Compare(initQuoteAsset) > 0 {
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color.Green("ASSET INCREASED: +%v %s (+%s)", finalQuoteAsset.Sub(initQuoteAsset), r.Market.QuoteCurrency, finalQuoteAsset.Sub(initQuoteAsset).Div(initQuoteAsset).FormatPercentage(2))
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} else {
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color.Red("ASSET DECREASED: %v %s (%s)", finalQuoteAsset.Sub(initQuoteAsset), r.Market.QuoteCurrency, finalQuoteAsset.Sub(initQuoteAsset).Div(initQuoteAsset).FormatPercentage(2))
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}
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if r.Sharpe.Sign() > 0 {
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color.Green("REALIZED SHARPE RATIO: %s", r.Sharpe.FormatString(4))
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} else {
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color.Red("REALIZED SHARPE RATIO: %s", r.Sharpe.FormatString(4))
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}
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if r.Sortino.Sign() > 0 {
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color.Green("REALIZED SORTINO RATIO: %s", r.Sortino.FormatString(4))
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} else {
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color.Red("REALIZED SORTINO RATIO: %s", r.Sortino.FormatString(4))
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}
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if wantBaseAssetBaseline {
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if r.LastPrice.Compare(r.StartPrice) > 0 {
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color.Green("%s BASE ASSET PERFORMANCE: +%s (= (%s - %s) / %s)",
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r.Market.BaseCurrency,
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r.LastPrice.Sub(r.StartPrice).Div(r.StartPrice).FormatPercentage(2),
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r.LastPrice.FormatString(2),
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r.StartPrice.FormatString(2),
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r.StartPrice.FormatString(2))
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} else {
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color.Red("%s BASE ASSET PERFORMANCE: %s (= (%s - %s) / %s)",
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r.Market.BaseCurrency,
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r.LastPrice.Sub(r.StartPrice).Div(r.StartPrice).FormatPercentage(2),
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r.LastPrice.FormatString(2),
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r.StartPrice.FormatString(2),
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r.StartPrice.FormatString(2))
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}
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}
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}
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const SessionTimeFormat = "2006-01-02T15_04"
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// FormatSessionName returns the back-test session name
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func FormatSessionName(sessions []string, symbols []string, startTime, endTime time.Time) string {
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return fmt.Sprintf("%s_%s_%s-%s",
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strings.Join(sessions, "-"),
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strings.Join(symbols, "-"),
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startTime.Format(SessionTimeFormat),
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endTime.Format(SessionTimeFormat),
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)
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}
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func WriteReportIndex(outputDirectory string, reportIndex *ReportIndex) error {
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indexFile := getReportIndexPath(outputDirectory)
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indexLock := flock.New(indexFile)
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if err := indexLock.Lock(); err != nil {
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log.WithError(err).Errorf("report index file lock error while write report: %s", err)
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return err
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}
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defer func() {
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if err := indexLock.Unlock(); err != nil {
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log.WithError(err).Errorf("report index file unlock error while write report: %s", err)
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}
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}()
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return writeReportIndexLocked(outputDirectory, reportIndex)
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}
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func LoadReportIndex(outputDirectory string) (*ReportIndex, error) {
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indexFile := getReportIndexPath(outputDirectory)
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indexLock := flock.New(indexFile)
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if err := indexLock.Lock(); err != nil {
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log.WithError(err).Errorf("report index file lock error while load report: %s", err)
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return nil, err
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}
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defer func() {
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if err := indexLock.Unlock(); err != nil {
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log.WithError(err).Errorf("report index file unlock error while load report: %s", err)
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}
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}()
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return loadReportIndexLocked(indexFile)
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}
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func AddReportIndexRun(outputDirectory string, run Run) error {
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// append report index
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indexFile := getReportIndexPath(outputDirectory)
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indexLock := flock.New(indexFile)
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if err := indexLock.Lock(); err != nil {
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log.WithError(err).Errorf("report index file lock error: %s", err)
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return err
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}
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defer func() {
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if err := indexLock.Unlock(); err != nil {
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log.WithError(err).Errorf("report index file unlock error: %s", err)
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}
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}()
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reportIndex, err := loadReportIndexLocked(indexFile)
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if err != nil {
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return err
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}
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reportIndex.Runs = append(reportIndex.Runs, run)
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return writeReportIndexLocked(indexFile, reportIndex)
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}
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// InQuoteAsset converts all balances in quote asset
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func InQuoteAsset(balances types.BalanceMap, market types.Market, price fixedpoint.Value) fixedpoint.Value {
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quote := balances[market.QuoteCurrency]
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base := balances[market.BaseCurrency]
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return base.Total().Mul(price).Add(quote.Total())
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}
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func getReportIndexPath(outputDirectory string) string {
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return filepath.Join(outputDirectory, "index.json")
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}
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// writeReportIndexLocked must be protected by file lock
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func writeReportIndexLocked(indexFilePath string, reportIndex *ReportIndex) error {
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if err := util.WriteJsonFile(indexFilePath, reportIndex); err != nil {
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return err
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}
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return nil
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}
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// loadReportIndexLocked must be protected by file lock
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func loadReportIndexLocked(indexFilePath string) (*ReportIndex, error) {
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var reportIndex ReportIndex
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if fileInfo, err := os.Stat(indexFilePath); err != nil {
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return nil, err
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} else if fileInfo.Size() != 0 {
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o, err := ioutil.ReadFile(indexFilePath)
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if err != nil {
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return nil, err
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}
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if err := json.Unmarshal(o, &reportIndex); err != nil {
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return nil, err
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}
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}
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return &reportIndex, nil
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}
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