bbgo_origin/pkg/cmd/backtest.go

456 lines
13 KiB
Go

package cmd
import (
"bufio"
"context"
"encoding/json"
"fmt"
"io/ioutil"
"os"
"path/filepath"
"strings"
"time"
"github.com/fatih/color"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/spf13/cobra"
"github.com/spf13/viper"
"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/fixedpoint"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
)
type BackTestReport struct {
Symbol string `json:"symbol,omitempty"`
LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
PnLReport *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
}
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("verify", false, "verify the kline back-test data")
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")
BacktestCmd.Flags().Bool("force", false, "force execution without confirm")
BacktestCmd.Flags().String("output", "", "the report output directory")
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
}
if viper.GetBool("debug") {
verboseCnt = 2
}
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
}
force, err := cmd.Flags().GetBool("force")
if err != nil {
return err
}
outputDirectory, err := cmd.Flags().GetString("output")
if err != nil {
return err
}
jsonOutputEnabled := len(outputDirectory) > 0
syncOnly, err := cmd.Flags().GetBool("sync-only")
if err != nil {
return err
}
syncFromDateStr, err := cmd.Flags().GetString("sync-from")
if err != nil {
return err
}
shouldVerify, err := cmd.Flags().GetBool("verify")
if err != nil {
return err
}
exchangeNameStr, err := cmd.Flags().GetString("exchange")
if err != nil {
return err
}
userConfig, err := bbgo.Load(configFile, true)
if err != nil {
return err
}
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)
}
// if it's declared in the cmd , use the cmd one first
if exchangeNameStr == "" {
exchangeNameStr = userConfig.Backtest.Session
}
var sourceExchange types.Exchange
var exchangeName types.ExchangeName
for key, session := range userConfig.Sessions {
if exchangeNameStr == key {
publicExchange, err := cmdutil.NewExchangePublic(session.ExchangeName)
if err != nil {
return err
}
sourceExchange = publicExchange
exchangeName = session.ExchangeName
}
}
if sourceExchange == nil {
exchangeName, err = types.ValidExchangeName(exchangeNameStr)
if err != nil {
return err
}
sourceExchange, err = cmdutil.NewExchangePublic(exchangeName)
if err != nil {
return err
}
}
ctx, cancel := context.WithCancel(context.Background())
defer cancel()
if userConfig.Backtest == nil {
return errors.New("backtest config is not defined")
}
var now = time.Now()
var startTime, endTime time.Time
startTime = userConfig.Backtest.StartTime.Time()
// set default start time to the past 6 months
// userConfig.Backtest.StartTime = now.AddDate(0, -6, 0).Format("2006-01-02")
if userConfig.Backtest.EndTime != nil {
endTime = userConfig.Backtest.EndTime.Time()
} else {
endTime = now
}
_ = endTime
if len(userConfig.CrossExchangeStrategies) > 0 {
log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
}
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 time.Time
// 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 = startTime.AddDate(0, -1, 0)
log.Infof("adjusted sync start time %s to %s for backward market data", startTime, syncFromTime)
}
log.Info("starting synchronization...")
for _, symbol := range userConfig.Backtest.Symbols {
exCustom, ok := sourceExchange.(types.CustomIntervalProvider)
var supportIntervals map[types.Interval]int
if ok {
supportIntervals = exCustom.SupportedInterval()
} else {
supportIntervals = types.SupportedIntervals
}
for interval := range supportIntervals {
// if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime); err != nil {
// return err
// }
firstKLine, err := backtestService.QueryFirstKLine(sourceExchange.Name(), symbol, interval)
if err != nil {
return errors.Wrapf(err, "failed to query backtest kline")
}
// if we don't have klines before the start time endpoint, the back-test will fail.
// because the last price will be missing.
if firstKLine != nil {
if err := backtestService.SyncExist(ctx, sourceExchange, symbol, syncFromTime, time.Now(), interval); err != nil {
return err
}
} else {
if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime, time.Now(), interval); err != nil {
return err
}
}
}
}
log.Info("synchronization done")
if shouldVerify {
err2, done := backtestService.Verify(userConfig.Backtest.Symbols, startTime, time.Now(), sourceExchange, verboseCnt)
if done {
return err2
}
}
if syncOnly {
return nil
}
}
if userConfig.Backtest.RecordTrades {
log.Warn("!!! Trade recording is enabled for back-testing !!!")
log.Warn("!!! To run back-testing, you should use an isolated database for storing back-testing trades !!!")
log.Warn("!!! The trade record in the current database WILL ALL BE DELETED BEFORE THIS BACK-TESTING !!!")
if !force {
if !confirmation("Are you sure to continue?") {
return nil
}
}
if err := environ.TradeService.DeleteAll(); err != nil {
return err
}
}
if userConfig.Backtest == nil {
return errors.New("backtest config can not be nil")
}
backtestExchange, err := backtest.NewExchange(exchangeName, sourceExchange, backtestService, userConfig.Backtest)
if err != nil {
return errors.Wrap(err, "failed to create backtest exchange")
}
environ.SetStartTime(startTime)
// exchangeNameStr is the session name.
environ.AddExchange(exchangeNameStr, backtestExchange)
if err := environ.Init(ctx); err != nil {
return err
}
trader := bbgo.NewTrader(environ)
if verboseCnt == 0 {
trader.DisableLogging()
}
if err := trader.Configure(userConfig); err != nil {
return err
}
if err := trader.Run(ctx); err != nil {
return err
}
backtestExchange.FeedMarketData()
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() {
for symbol, trades := range session.Trades {
market, ok := session.Market(symbol)
if !ok {
return fmt.Errorf("market not found: %s", symbol)
}
calculator := &pnl.AverageCostCalculator{
TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
Market: market,
}
startPrice, ok := session.StartPrice(symbol)
if !ok {
return fmt.Errorf("start price not found: %s", symbol)
}
lastPrice, ok := session.LastPrice(symbol)
if !ok {
return fmt.Errorf("last price not found: %s", symbol)
}
log.Infof("%s PROFIT AND LOSS REPORT", symbol)
log.Infof("===============================================")
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 jsonOutputEnabled {
result := BackTestReport{
Symbol: symbol,
LastPrice: lastPrice,
StartPrice: startPrice,
PnLReport: report,
InitialBalances: initBalances,
FinalBalances: finalBalances,
}
jsonOutput, err := json.MarshalIndent(&result, "", " ")
if err != nil {
return err
}
if err := ioutil.WriteFile(filepath.Join(outputDirectory, symbol+".json"), jsonOutput, 0644); err != nil {
return err
}
}
initQuoteAsset := inQuoteAsset(initBalances, market, startPrice)
finalQuoteAsset := inQuoteAsset(finalBalances, market, lastPrice)
log.Infof("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(initQuoteAsset), market.QuoteCurrency, market.BaseCurrency, startPrice)
log.Infof("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(finalQuoteAsset), market.QuoteCurrency, market.BaseCurrency, lastPrice)
if report.Profit.Sign() > 0 {
color.Green("REALIZED PROFIT: +%v %s", report.Profit, market.QuoteCurrency)
} else {
color.Red("REALIZED PROFIT: %v %s", report.Profit, market.QuoteCurrency)
}
if report.UnrealizedProfit.Sign() > 0 {
color.Green("UNREALIZED PROFIT: +%v %s", report.UnrealizedProfit, market.QuoteCurrency)
} else {
color.Red("UNREALIZED PROFIT: %v %s", report.UnrealizedProfit, market.QuoteCurrency)
}
if finalQuoteAsset.Compare(initQuoteAsset) > 0 {
color.Green("ASSET INCREASED: +%v %s (+%s)", finalQuoteAsset.Sub(initQuoteAsset), market.QuoteCurrency, finalQuoteAsset.Sub(initQuoteAsset).Div(initQuoteAsset).FormatPercentage(2))
} else {
color.Red("ASSET DECREASED: %v %s (%s)", finalQuoteAsset.Sub(initQuoteAsset), market.QuoteCurrency, finalQuoteAsset.Sub(initQuoteAsset).Div(initQuoteAsset).FormatPercentage(2))
}
if wantBaseAssetBaseline {
// initBaseAsset := inBaseAsset(initBalances, market, startPrice)
// finalBaseAsset := inBaseAsset(finalBalances, market, lastPrice)
// log.Infof("INITIAL ASSET IN %s ~= %s %s (1 %s = %f)", market.BaseCurrency, market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
// log.Infof("FINAL ASSET IN %s ~= %s %s (1 %s = %f)", market.BaseCurrency, market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)
if lastPrice.Compare(startPrice) > 0 {
color.Green("%s BASE ASSET PERFORMANCE: +%s (= (%s - %s) / %s)",
market.BaseCurrency,
lastPrice.Sub(startPrice).Div(startPrice).FormatPercentage(2),
lastPrice.FormatString(2),
startPrice.FormatString(2),
startPrice.FormatString(2))
} else {
color.Red("%s BASE ASSET PERFORMANCE: %s (= (%s - %s) / %s)",
market.BaseCurrency,
lastPrice.Sub(startPrice).Div(startPrice).FormatPercentage(2),
lastPrice.FormatString(2),
startPrice.FormatString(2),
startPrice.FormatString(2))
}
}
}
}
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
}
}
}