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137 lines
3.6 KiB
Go
137 lines
3.6 KiB
Go
package backtest
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import (
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"context"
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"time"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/exchange/max"
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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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type Exchange struct {
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sourceExchange types.ExchangeName
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publicExchange types.Exchange
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srv *service.BacktestService
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startTime time.Time
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account *types.Account
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config *bbgo.Backtest
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closedOrders []types.SubmitOrder
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openOrders []types.SubmitOrder
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stream *Stream
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}
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func NewExchange(sourceExchange types.ExchangeName, srv *service.BacktestService, config *bbgo.Backtest) *Exchange {
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ex, err := newPublicExchange(sourceExchange)
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if err != nil {
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panic(err)
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}
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if config == nil {
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panic(errors.New("backtest config can not be nil"))
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}
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startTime, err := config.ParseStartTime()
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if err != nil {
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panic(err)
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}
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balances := config.Account.Balances.BalanceMap()
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account := &types.Account{
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MakerCommission: config.Account.MakerCommission,
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TakerCommission: config.Account.TakerCommission,
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AccountType: "SPOT", // currently not used
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}
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account.UpdateBalances(balances)
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return &Exchange{
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sourceExchange: sourceExchange,
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publicExchange: ex,
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srv: srv,
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config: config,
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account: account,
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startTime: startTime,
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}
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}
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func (e *Exchange) NewStream() types.Stream {
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if e.stream != nil {
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panic("backtest stream is already allocated, please check if there are extra NewStream calls")
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}
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e.stream = &Stream{exchange: e}
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return e.stream
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}
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func (e Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) {
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panic("implement me")
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}
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func (e Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
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panic("implement me")
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}
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func (e Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) {
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panic("implement me")
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}
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func (e Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error {
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panic("implement me")
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}
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func (e Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
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return e.account, nil
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}
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func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
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return e.account.Balances(), nil
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}
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func (e Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
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return e.publicExchange.QueryKLines(ctx, symbol, interval, options)
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}
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func (e Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error) {
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// we don't need query trades for backtest
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return nil, nil
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}
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func (e Exchange) Name() types.ExchangeName {
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return e.publicExchange.Name()
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}
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func (e Exchange) PlatformFeeCurrency() string {
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return e.publicExchange.PlatformFeeCurrency()
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}
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func (e Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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return e.publicExchange.QueryMarkets(ctx)
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}
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func (e Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
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return nil, nil
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}
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func (e Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
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return nil, nil
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}
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func newPublicExchange(sourceExchange types.ExchangeName) (types.Exchange, error) {
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switch sourceExchange {
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case types.ExchangeBinance:
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return binance.New("", ""), nil
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case types.ExchangeMax:
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return max.New("", ""), nil
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}
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return nil, errors.Errorf("exchange %s is not supported", sourceExchange)
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}
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