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149 lines
3.6 KiB
Go
149 lines
3.6 KiB
Go
package bbgo
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import (
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"context"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/types"
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)
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type BackTestStream struct {
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types.StandardStream
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}
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func (s *BackTestStream) Connect(ctx context.Context) error {
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return nil
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}
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func (s *BackTestStream) Close() error {
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return nil
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}
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type BackTestTrader struct {
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// Context is trading Context
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Context *Context
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SourceKLines []types.KLine
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ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
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doneOrders []types.SubmitOrder
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pendingOrders []types.SubmitOrder
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}
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func (trader *BackTestTrader) SubmitOrder(ctx context.Context, order types.SubmitOrder) {
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trader.pendingOrders = append(trader.pendingOrders, order)
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}
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/*
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func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleExchangeStrategy) (chan struct{}, error) {
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logrus.Infof("[regression] number of kline data: %d", len(trader.SourceKLines))
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done := make(chan struct{})
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defer close(done)
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if err := strategy.OnLoad(trader.Context, trader); err != nil {
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return nil, err
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}
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stream := &BackTestStream{}
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if err := strategy.OnNewStream(stream); err != nil {
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return nil, err
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}
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var tradeID int64 = 0
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for _, kline := range trader.SourceKLines {
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logrus.Debugf("kline %+v", kline)
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fmt.Print(".")
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stream.EmitKLineClosed(kline)
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for _, order := range trader.pendingOrders {
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switch order.Side {
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case types.SideTypeBuy:
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fmt.Print("B")
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case types.SideTypeSell:
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fmt.Print("S")
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}
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var price float64
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if order.Type == types.OrderTypeLimit {
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price = util.MustParseFloat(order.PriceString)
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} else {
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price = kline.GetClose()
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}
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volume := util.MustParseFloat(order.QuantityString)
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fee := 0.0
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feeCurrency := ""
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trader.Context.Lock()
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if order.Side == types.SideTypeBuy {
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fee = price * volume * 0.001
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feeCurrency = "USDT"
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quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
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if quote.Available < volume*price {
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logrus.Fatalf("quote balance not enough: %+v", quote)
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}
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quote.Available -= volume * price
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trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote
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base := trader.Context.Balances[trader.Context.Market.BaseCurrency]
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base.Available += volume
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trader.Context.Balances[trader.Context.Market.BaseCurrency] = base
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} else {
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fee = volume * 0.001
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feeCurrency = "BTC"
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base := trader.Context.Balances[trader.Context.Market.BaseCurrency]
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if base.Available < volume {
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logrus.Fatalf("base balance not enough: %+v", base)
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}
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base.Available -= volume
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trader.Context.Balances[trader.Context.Market.BaseCurrency] = base
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quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
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quote.Available += volume * price
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trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote
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}
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trader.Context.Unlock()
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trade := types.Trade{
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ID: tradeID,
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Price: price,
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Quantity: volume,
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Side: string(order.Side),
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IsBuyer: order.Side == types.SideTypeBuy,
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IsMaker: false,
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Time: kline.EndTime,
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Symbol: trader.Context.Symbol,
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Fee: fee,
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FeeCurrency: feeCurrency,
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}
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tradeID++
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trader.ProfitAndLossCalculator.AddTrade(trade)
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trader.doneOrders = append(trader.doneOrders, order)
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}
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// clear pending orders
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trader.pendingOrders = nil
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}
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fmt.Print("\n")
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report := trader.ProfitAndLossCalculator.Calculate()
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report.Print()
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logrus.Infof("wallet balance:")
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for _, balance := range trader.Context.Balances {
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logrus.Infof(" %s: %f", balance.Currency, balance.Available)
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}
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return done, nil
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}
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*/
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