mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 16:21:09 +00:00
327 lines
9.0 KiB
Go
327 lines
9.0 KiB
Go
package cmd
|
|
|
|
import (
|
|
"bufio"
|
|
"context"
|
|
"fmt"
|
|
"os"
|
|
"strings"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/accounting/pnl"
|
|
"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"
|
|
"github.com/pkg/errors"
|
|
log "github.com/sirupsen/logrus"
|
|
"github.com/spf13/cobra"
|
|
)
|
|
|
|
func init() {
|
|
BacktestCmd.Flags().String("exchange", "", "target exchange")
|
|
BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
|
|
BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
|
|
BacktestCmd.Flags().String("sync-from", "", "sync backtest data from the given time, which will override the time range in the backtest config")
|
|
BacktestCmd.Flags().Bool("base-asset-baseline", false, "use base asset performance as the competitive baseline performance")
|
|
BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
|
|
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 {
|
|
verboseCnt, err := cmd.Flags().GetCount("verbose")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
configFile, err := cmd.Flags().GetString("config")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if len(configFile) == 0 {
|
|
return errors.New("--config option is required")
|
|
}
|
|
|
|
wantBaseAssetBaseline, err := cmd.Flags().GetBool("base-asset-baseline")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
wantSync, err := cmd.Flags().GetBool("sync")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
syncOnly, err := cmd.Flags().GetBool("sync-only")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
syncFromDateStr, err := cmd.Flags().GetString("sync-from")
|
|
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
|
|
}
|
|
|
|
sourceExchange, err := cmdutil.NewExchange(exchangeName)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
ctx, cancel := context.WithCancel(context.Background())
|
|
defer cancel()
|
|
|
|
userConfig, err := bbgo.Load(configFile, true)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if userConfig.Backtest == nil {
|
|
return errors.New("backtest config is not defined")
|
|
}
|
|
|
|
now := time.Now()
|
|
// set default start time to the past 6 months
|
|
if len(userConfig.Backtest.StartTime) == 0 {
|
|
userConfig.Backtest.StartTime = now.AddDate(0, -6, 0).Format("2006-01-02")
|
|
}
|
|
if len(userConfig.Backtest.EndTime) == 0 {
|
|
userConfig.Backtest.EndTime = now.Format("2006-01-02")
|
|
}
|
|
|
|
if len(userConfig.CrossExchangeStrategies) > 0 {
|
|
log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
|
|
}
|
|
|
|
startTime, err := userConfig.Backtest.ParseStartTime()
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
log.Infof("starting backtest with startTime %s", startTime.Format(time.ANSIC))
|
|
|
|
environ := bbgo.NewEnvironment()
|
|
if err := BootstrapBacktestEnvironment(ctx, environ, userConfig); err != nil {
|
|
return err
|
|
}
|
|
|
|
if environ.DatabaseService == nil {
|
|
return errors.New("database service is not enabled, please check your environment variables DB_DRIVER and DB_DSN")
|
|
}
|
|
|
|
backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
|
|
environ.BacktestService = backtestService
|
|
|
|
if wantSync {
|
|
var syncFromTime = startTime
|
|
|
|
// override the sync from time if the option is given
|
|
if len(syncFromDateStr) > 0 {
|
|
syncFromTime, err = time.Parse(types.DateFormat, syncFromDateStr)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if syncFromTime.After(startTime) {
|
|
return fmt.Errorf("sync-from time %s can not be latter than the backtest start time %s", syncFromTime, startTime)
|
|
}
|
|
} else {
|
|
// we need at least 1 month backward data for EMA and last prices
|
|
syncFromTime = syncFromTime.AddDate(0, -1, 0)
|
|
log.Infof("adjusted sync start time to %s for backward market data", syncFromTime)
|
|
}
|
|
|
|
log.Info("starting synchronization...")
|
|
for _, symbol := range userConfig.Backtest.Symbols {
|
|
if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime); err != nil {
|
|
return err
|
|
}
|
|
}
|
|
log.Info("synchronization done")
|
|
|
|
var corruptCnt = 0
|
|
for _, symbol := range userConfig.Backtest.Symbols {
|
|
log.Infof("verifying backtesting data...")
|
|
|
|
for interval := range types.SupportedIntervals {
|
|
log.Infof("verifying %s %s kline data...", symbol, interval)
|
|
|
|
klineC, errC := backtestService.QueryKLinesCh(startTime, time.Now(), sourceExchange, []string{symbol}, []types.Interval{interval})
|
|
var emptyKLine types.KLine
|
|
var prevKLine types.KLine
|
|
for k := range klineC {
|
|
if verboseCnt > 1 {
|
|
fmt.Print(".")
|
|
}
|
|
|
|
if prevKLine != emptyKLine {
|
|
if prevKLine.StartTime.Add(interval.Duration()) != k.StartTime {
|
|
corruptCnt++
|
|
log.Errorf("found kline data corrupted at time: %s kline: %+v", k.StartTime, k)
|
|
log.Errorf("between %d and %d",
|
|
prevKLine.StartTime.Unix(),
|
|
k.StartTime.Unix())
|
|
}
|
|
}
|
|
|
|
prevKLine = k
|
|
}
|
|
|
|
if verboseCnt > 1 {
|
|
fmt.Println()
|
|
}
|
|
|
|
if err := <-errC; err != nil {
|
|
return err
|
|
}
|
|
}
|
|
}
|
|
|
|
log.Infof("backtest verification completed")
|
|
if corruptCnt > 0 {
|
|
log.Errorf("found %d corruptions", corruptCnt)
|
|
} else {
|
|
log.Infof("found %d corruptions", corruptCnt)
|
|
}
|
|
|
|
if syncOnly {
|
|
return nil
|
|
}
|
|
}
|
|
|
|
log.Warn("!!! To run backtest, you should use an isolated database for storing backtest trades !!!")
|
|
log.Warn("!!! The trade record in the current database WILL ALL BE DELETE !!!")
|
|
if !confirmation("Are you sure to continue?") {
|
|
return nil
|
|
}
|
|
|
|
if err := environ.TradeService.DeleteAll(); err != nil {
|
|
return err
|
|
}
|
|
|
|
backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
|
|
environ.SetStartTime(startTime)
|
|
environ.AddExchange(exchangeName.String(), backtestExchange)
|
|
|
|
if err := environ.Init(ctx); err != nil {
|
|
return err
|
|
}
|
|
|
|
trader := bbgo.NewTrader(environ)
|
|
|
|
if verboseCnt == 2 {
|
|
log.SetLevel(log.DebugLevel)
|
|
} else if verboseCnt > 0 {
|
|
log.SetLevel(log.InfoLevel)
|
|
} else {
|
|
// default mode, disable strategy logging and order executor logging
|
|
log.SetLevel(log.ErrorLevel)
|
|
trader.DisableLogging()
|
|
}
|
|
|
|
if err := trader.Configure(userConfig); err != nil {
|
|
return err
|
|
}
|
|
|
|
if err := trader.Run(ctx); err != nil {
|
|
return err
|
|
}
|
|
|
|
<-backtestExchange.Done()
|
|
|
|
log.Infof("shutting down trader...")
|
|
shutdownCtx, cancel := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
|
|
trader.Graceful.Shutdown(shutdownCtx)
|
|
cancel()
|
|
|
|
// put the logger back to print the pnl
|
|
log.SetLevel(log.InfoLevel)
|
|
for _, session := range environ.Sessions() {
|
|
calculator := &pnl.AverageCostCalculator{
|
|
TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
|
|
}
|
|
for symbol, trades := range session.Trades {
|
|
market, ok := session.Market(symbol)
|
|
if !ok {
|
|
return fmt.Errorf("market not found: %s", symbol)
|
|
}
|
|
|
|
startPrice, ok := session.StartPrice(symbol)
|
|
if !ok {
|
|
return fmt.Errorf("start price not found: %s", symbol)
|
|
}
|
|
|
|
log.Infof("%s PROFIT AND LOSS REPORT", symbol)
|
|
log.Infof("===============================================")
|
|
|
|
lastPrice, ok := session.LastPrice(symbol)
|
|
if !ok {
|
|
return fmt.Errorf("last price not found: %s", symbol)
|
|
}
|
|
|
|
report := calculator.Calculate(symbol, trades.Trades, lastPrice)
|
|
report.Print()
|
|
|
|
initBalances := userConfig.Backtest.Account.Balances.BalanceMap()
|
|
finalBalances := session.Account.Balances()
|
|
|
|
log.Infof("INITIAL BALANCES:")
|
|
initBalances.Print()
|
|
|
|
log.Infof("FINAL BALANCES:")
|
|
finalBalances.Print()
|
|
|
|
if wantBaseAssetBaseline {
|
|
initBaseAsset := inBaseAsset(initBalances, market, startPrice)
|
|
finalBaseAsset := inBaseAsset(finalBalances, market, lastPrice)
|
|
log.Infof("INITIAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
|
|
log.Infof("FINAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)
|
|
|
|
log.Infof("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (finalBaseAsset-initBaseAsset)/initBaseAsset*100.0, finalBaseAsset, initBaseAsset, initBaseAsset)
|
|
log.Infof("%s PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
|
|
}
|
|
}
|
|
}
|
|
|
|
return nil
|
|
},
|
|
}
|
|
|
|
func confirmation(s string) bool {
|
|
reader := bufio.NewReader(os.Stdin)
|
|
for {
|
|
fmt.Printf("%s [y/N]: ", s)
|
|
|
|
response, err := reader.ReadString('\n')
|
|
if err != nil {
|
|
log.Fatal(err)
|
|
}
|
|
|
|
response = strings.ToLower(strings.TrimSpace(response))
|
|
|
|
if response == "y" || response == "yes" {
|
|
return true
|
|
} else if response == "n" || response == "no" {
|
|
return false
|
|
} else {
|
|
return false
|
|
}
|
|
}
|
|
}
|