bbgo_origin/pkg/service/backtest_test.go

157 lines
4.7 KiB
Go

package service
import (
"context"
"database/sql"
"testing"
"time"
"github.com/jmoiron/sqlx"
log "github.com/sirupsen/logrus"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/exchange"
"github.com/c9s/bbgo/pkg/types"
)
func TestBacktestService_QueryExistingDataRange(t *testing.T) {
db, err := prepareDB(t)
if err != nil {
t.Fatal(err)
}
defer db.Close()
ctx := context.Background()
dbx := sqlx.NewDb(db.DB, "sqlite3")
ex, err := exchange.NewPublic(types.ExchangeBinance)
assert.NoError(t, err)
service := &BacktestService{DB: dbx}
symbol := "BTCUSDT"
now := time.Now()
startTime1 := now.AddDate(0, 0, -7).Truncate(time.Hour)
endTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
// empty range
t1, t2, err := service.QueryExistingDataRange(ctx, ex, symbol, types.Interval1h, startTime1, endTime1)
assert.Error(t, sql.ErrNoRows, err)
assert.Nil(t, t1)
assert.Nil(t, t2)
}
func TestBacktestService_SyncPartial(t *testing.T) {
db, err := prepareDB(t)
if err != nil {
t.Fatal(err)
}
defer db.Close()
ctx := context.Background()
dbx := sqlx.NewDb(db.DB, "sqlite3")
ex, err := exchange.NewPublic(types.ExchangeBinance)
assert.NoError(t, err)
service := &BacktestService{DB: dbx}
symbol := "BTCUSDT"
now := time.Now()
startTime1 := now.AddDate(0, 0, -7).Truncate(time.Hour)
endTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
startTime2 := now.AddDate(0, 0, -5).Truncate(time.Hour)
endTime2 := now.AddDate(0, 0, -4).Truncate(time.Hour)
// kline query is exclusive
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, startTime1.Add(-time.Second), endTime1.Add(time.Second))
assert.NoError(t, err)
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, startTime2.Add(-time.Second), endTime2.Add(time.Second))
assert.NoError(t, err)
timeRanges, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
assert.NoError(t, err)
assert.NotEmpty(t, timeRanges)
t.Run("fill missing time ranges", func(t *testing.T) {
err = service.SyncPartial(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
assert.NoError(t, err, "sync partial should not return error")
timeRanges2, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
assert.NoError(t, err)
assert.Empty(t, timeRanges2)
})
t.Run("extend time ranges", func(t *testing.T) {
startTime3 := startTime1.AddDate(0, 0, -3)
endTime3 := endTime2.AddDate(0, 0, 3)
err = service.SyncPartial(ctx, ex, symbol, types.Interval1h, startTime3, endTime3)
assert.NoError(t, err, "sync partial should not return error")
timeRanges3, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime3, endTime3)
assert.NoError(t, err)
assert.Empty(t, timeRanges3)
})
}
func TestBacktestService_FindMissingTimeRanges(t *testing.T) {
db, err := prepareDB(t)
if err != nil {
t.Fatal(err)
}
defer db.Close()
ctx := context.Background()
dbx := sqlx.NewDb(db.DB, "sqlite3")
ex, err := exchange.NewPublic(types.ExchangeBinance)
assert.NoError(t, err)
service := &BacktestService{DB: dbx}
symbol := "BTCUSDT"
now := time.Now()
startTime1 := now.AddDate(0, 0, -6).Truncate(time.Hour)
endTime1 := now.AddDate(0, 0, -5).Truncate(time.Hour)
startTime2 := now.AddDate(0, 0, -4).Truncate(time.Hour)
endTime2 := now.AddDate(0, 0, -3).Truncate(time.Hour)
// kline query is exclusive
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, startTime1.Add(-time.Second), endTime1.Add(time.Second))
assert.NoError(t, err)
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, startTime2.Add(-time.Second), endTime2.Add(time.Second))
assert.NoError(t, err)
t1, t2, err := service.QueryExistingDataRange(ctx, ex, symbol, types.Interval1h)
if assert.NoError(t, err) {
assert.Equal(t, startTime1, t1.Time(), "start time point should match")
assert.Equal(t, endTime2, t2.Time(), "end time point should match")
}
timeRanges, err := service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
if assert.NoError(t, err) {
assert.NotEmpty(t, timeRanges)
assert.Len(t, timeRanges, 1, "should find one missing time range")
t.Logf("found timeRanges: %+v", timeRanges)
log.SetLevel(log.DebugLevel)
for _, timeRange := range timeRanges {
err = service.SyncKLineByInterval(ctx, ex, symbol, types.Interval1h, timeRange.Start.Add(time.Second), timeRange.End.Add(-time.Second))
assert.NoError(t, err)
}
timeRanges, err = service.FindMissingTimeRanges(ctx, ex, symbol, types.Interval1h, startTime1, endTime2)
assert.NoError(t, err)
assert.Empty(t, timeRanges, "after partial sync, missing time ranges should be back-filled")
}
}