mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
775 lines
23 KiB
Go
775 lines
23 KiB
Go
package cmd
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import (
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"bufio"
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"context"
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"fmt"
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"os"
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"path/filepath"
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"strings"
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"syscall"
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"time"
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"github.com/fatih/color"
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"github.com/google/uuid"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/backtest"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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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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func init() {
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BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
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BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
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BacktestCmd.Flags().String("sync-from", "", "sync backtest data from the given time, which will override the time range in the backtest config")
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BacktestCmd.Flags().String("sync-exchange", "", "specify only one exchange to sync backtest data")
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BacktestCmd.Flags().String("session", "", "specify only one exchange session to run backtest")
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BacktestCmd.Flags().Bool("verify", false, "verify the kline back-test data")
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BacktestCmd.Flags().Bool("base-asset-baseline", false, "use base asset performance as the competitive baseline performance")
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BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
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BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
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BacktestCmd.Flags().Bool("force", false, "force execution without confirm")
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BacktestCmd.Flags().String("output", "", "the report output directory")
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BacktestCmd.Flags().Bool("subdir", false, "generate report in the sub-directory of the output directory")
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RootCmd.AddCommand(BacktestCmd)
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}
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var BacktestCmd = &cobra.Command{
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Use: "backtest",
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Short: "run backtest with strategies",
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SilenceUsage: true,
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RunE: func(cmd *cobra.Command, args []string) error {
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verboseCnt, err := cmd.Flags().GetCount("verbose")
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if err != nil {
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return err
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}
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if viper.GetBool("debug") {
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verboseCnt = 2
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}
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configFile, err := cmd.Flags().GetString("config")
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if err != nil {
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return err
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}
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if len(configFile) == 0 {
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return errors.New("--config option is required")
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}
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wantBaseAssetBaseline, err := cmd.Flags().GetBool("base-asset-baseline")
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if err != nil {
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return err
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}
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wantSync, err := cmd.Flags().GetBool("sync")
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if err != nil {
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return err
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}
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syncExchangeName, err := cmd.Flags().GetString("sync-exchange")
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if err != nil {
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return err
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}
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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return err
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}
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force, err := cmd.Flags().GetBool("force")
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if err != nil {
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return err
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}
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outputDirectory, err := cmd.Flags().GetString("output")
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if err != nil {
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return err
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}
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generatingReport := len(outputDirectory) > 0
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reportFileInSubDir, err := cmd.Flags().GetBool("subdir")
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if err != nil {
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return err
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}
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syncOnly, err := cmd.Flags().GetBool("sync-only")
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if err != nil {
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return err
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}
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syncFromDateStr, err := cmd.Flags().GetString("sync-from")
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if err != nil {
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return err
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}
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shouldVerify, err := cmd.Flags().GetBool("verify")
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if err != nil {
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return err
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}
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userConfig, err := bbgo.Load(configFile, true)
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if err != nil {
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return err
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}
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if userConfig.Backtest == nil {
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return errors.New("backtest config is not defined")
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}
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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var now = time.Now().Local()
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var startTime, endTime time.Time
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startTime = userConfig.Backtest.StartTime.Time().Local()
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// set default start time to the past 6 months
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// userConfig.Backtest.StartTime = now.AddDate(0, -6, 0).Format("2006-01-02")
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if userConfig.Backtest.EndTime != nil {
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endTime = userConfig.Backtest.EndTime.Time().Local()
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} else {
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endTime = now
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}
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// ensure that we're using local time
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startTime = startTime.Local()
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endTime = endTime.Local()
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log.Infof("starting backtest with startTime %s", startTime.Format(time.RFC3339))
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environ := bbgo.NewEnvironment()
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if err := bbgo.BootstrapBacktestEnvironment(ctx, environ); err != nil {
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return err
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}
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if environ.DatabaseService == nil {
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return errors.New("database service is not enabled, please check your environment variables DB_DRIVER and DB_DSN")
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}
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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environ.BacktestService = backtestService
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bbgo.SetBackTesting(backtestService)
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if len(sessionName) > 0 {
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userConfig.Backtest.Sessions = []string{sessionName}
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} else if len(syncExchangeName) > 0 {
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userConfig.Backtest.Sessions = []string{syncExchangeName}
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} else if len(userConfig.Backtest.Sessions) == 0 {
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log.Infof("backtest.sessions is not defined, using all supported exchanges: %v", types.SupportedExchanges)
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for _, exName := range types.SupportedExchanges {
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userConfig.Backtest.Sessions = append(userConfig.Backtest.Sessions, exName.String())
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}
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}
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var sourceExchanges = make(map[types.ExchangeName]types.Exchange)
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for _, name := range userConfig.Backtest.Sessions {
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exName, err := types.ValidExchangeName(name)
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if err != nil {
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return err
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}
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publicExchange, err := exchange.NewPublic(exName)
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if err != nil {
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return err
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}
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sourceExchanges[exName] = publicExchange
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// Set exchange to use futures
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if userConfig.Sessions[exName.String()].Futures {
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futuresExchange, ok := publicExchange.(types.FuturesExchange)
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if !ok {
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return fmt.Errorf("exchange %s does not support futures", publicExchange.Name())
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}
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futuresExchange.UseFutures()
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}
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}
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var syncFromTime time.Time
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// user can override the sync from time if the option is given
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if len(syncFromDateStr) > 0 {
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syncFromTime, err = time.Parse(types.DateFormat, syncFromDateStr)
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if err != nil {
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return err
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}
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if syncFromTime.After(startTime) {
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return fmt.Errorf("sync-from time %s can not be latter than the backtest start time %s", syncFromTime, startTime)
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}
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syncFromTime = syncFromTime.Local()
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} else {
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// we need at least 1 month backward data for EMA and last prices
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syncFromTime = startTime.AddDate(0, -1, 0)
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log.Infof("adjusted sync start time %s to %s for backward market data", startTime, syncFromTime)
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}
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if wantSync {
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log.Infof("starting synchronization: %v", userConfig.Backtest.Symbols)
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if err := sync(ctx, userConfig, backtestService, sourceExchanges, syncFromTime, endTime); err != nil {
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return err
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}
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log.Info("synchronization done")
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if shouldVerify {
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err := verify(userConfig, backtestService, sourceExchanges, syncFromTime, endTime)
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if err != nil {
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return err
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}
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}
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if syncOnly {
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return nil
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}
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}
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if userConfig.Backtest.RecordTrades {
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log.Warn("!!! Trade recording is enabled for back-testing !!!")
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log.Warn("!!! To run back-testing, you should use an isolated database for storing back-testing trades !!!")
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log.Warn("!!! The trade record in the current database WILL ALL BE DELETED BEFORE THIS BACK-TESTING !!!")
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if !force {
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if !confirmation("Are you sure to continue?") {
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return nil
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}
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}
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if err := environ.TradeService.DeleteAll(); err != nil {
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return err
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}
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}
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if verboseCnt == 2 {
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log.SetLevel(log.DebugLevel)
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} else if verboseCnt > 0 {
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log.SetLevel(log.InfoLevel)
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} else {
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// default mode, disable strategy logging and order executor logging
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log.SetLevel(log.ErrorLevel)
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}
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environ.SetStartTime(startTime)
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// exchangeNameStr is the session name.
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for name, sourceExchange := range sourceExchanges {
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backtestExchange, err := backtest.NewExchange(sourceExchange.Name(), sourceExchange, backtestService, userConfig.Backtest)
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if err != nil {
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return errors.Wrap(err, "failed to create backtest exchange")
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}
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session := environ.AddExchange(name.String(), backtestExchange)
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exchangeFromConfig := userConfig.Sessions[name.String()]
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if exchangeFromConfig != nil {
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session.UseHeikinAshi = exchangeFromConfig.UseHeikinAshi
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session.Futures = exchangeFromConfig.Futures
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}
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}
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if err := environ.Init(ctx); err != nil {
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return err
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}
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for _, session := range environ.Sessions() {
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userDataStream := session.UserDataStream.(types.StandardStreamEmitter)
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backtestEx := session.Exchange.(*backtest.Exchange)
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backtestEx.MarketDataStream = session.MarketDataStream.(types.StandardStreamEmitter)
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backtestEx.BindUserData(userDataStream)
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}
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trader := bbgo.NewTrader(environ)
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if verboseCnt == 0 {
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trader.DisableLogging()
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}
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if err := trader.Configure(userConfig); err != nil {
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return err
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}
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if err := trader.Initialize(ctx); err != nil {
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return err
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}
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if err := trader.Run(ctx); err != nil {
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return err
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}
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allKLineIntervals, requiredInterval, backTestIntervals := backtest.CollectSubscriptionIntervals(environ)
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exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(), startTime, endTime, requiredInterval, backTestIntervals...)
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if err != nil {
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return err
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}
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var kLineHandlers []func(k types.KLine, exSource *backtest.ExchangeDataSource)
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var manifests backtest.Manifests
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var runID = userConfig.GetSignature() + "_" + uuid.NewString()
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var reportDir = outputDirectory
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var sessionTradeStats = make(map[string]map[string]*types.TradeStats)
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// for each exchange session, iterate the positions and
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// allocate trade collector to calculate the tradeStats
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var tradeCollectorList []*core.TradeCollector
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for _, exSource := range exchangeSources {
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sessionName := exSource.Session.Name
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tradeStatsMap := make(map[string]*types.TradeStats)
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for usedSymbol := range exSource.Session.Positions() {
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market, _ := exSource.Session.Market(usedSymbol)
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position := types.NewPositionFromMarket(market)
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orderStore := core.NewOrderStore(usedSymbol)
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orderStore.AddOrderUpdate = true
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tradeCollector := core.NewTradeCollector(usedSymbol, position, orderStore)
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tradeStats := types.NewTradeStats(usedSymbol)
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tradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
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tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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tradeStats.Add(profit)
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})
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tradeStatsMap[usedSymbol] = tradeStats
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orderStore.BindStream(exSource.Session.UserDataStream)
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tradeCollector.BindStream(exSource.Session.UserDataStream)
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tradeCollectorList = append(tradeCollectorList, tradeCollector)
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}
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sessionTradeStats[sessionName] = tradeStatsMap
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}
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kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
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if k.Interval == types.Interval1d && k.Closed {
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for _, collector := range tradeCollectorList {
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collector.Process()
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}
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}
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})
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if generatingReport {
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if reportFileInSubDir {
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// reportDir = filepath.Join(reportDir, backtestSessionName)
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reportDir = filepath.Join(reportDir, runID)
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}
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if err := util.SafeMkdirAll(reportDir); err != nil {
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return err
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}
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startTimeStr := startTime.Format("20060102")
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endTimeStr := endTime.Format("20060102")
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kLineSubDir := strings.Join([]string{"klines", "_", startTimeStr, "-", endTimeStr}, "")
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kLineDataDir := filepath.Join(outputDirectory, "shared", kLineSubDir)
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if err := util.SafeMkdirAll(kLineDataDir); err != nil {
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return err
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}
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stateRecorder := backtest.NewStateRecorder(reportDir)
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err = trader.IterateStrategies(func(st bbgo.StrategyID) error {
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return stateRecorder.Scan(st.(backtest.Instance))
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})
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if err != nil {
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return err
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}
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manifests = stateRecorder.Manifests()
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manifests, err = rewriteManifestPaths(manifests, reportDir)
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if err != nil {
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return err
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}
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// state snapshot
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kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
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// snapshot per 1m
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if k.Interval == types.Interval1m && k.Closed {
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if _, err := stateRecorder.Snapshot(); err != nil {
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log.WithError(err).Errorf("state record failed to snapshot the strategy state")
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}
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}
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})
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dumper := backtest.NewKLineDumper(kLineDataDir)
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defer func() {
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if err := dumper.Close(); err != nil {
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log.WithError(err).Errorf("kline dumper can not close files")
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}
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}()
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kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
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if err := dumper.Record(k); err != nil {
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log.WithError(err).Errorf("can not write kline to file")
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}
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})
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// equity curve recording -- record per 1h kline
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equityCurveTsv, err := tsv.NewWriterFile(filepath.Join(reportDir, "equity_curve.tsv"))
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if err != nil {
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return err
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}
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defer func() { _ = equityCurveTsv.Close() }()
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_ = equityCurveTsv.Write([]string{
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"time",
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"in_usd",
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})
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defer equityCurveTsv.Flush()
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kLineHandlers = append(kLineHandlers, func(k types.KLine, exSource *backtest.ExchangeDataSource) {
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if k.Interval != types.Interval1h {
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return
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}
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balances, err := exSource.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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log.WithError(err).Errorf("query back-test account balance error")
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} else {
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assets := balances.Assets(exSource.Session.AllLastPrices(), k.EndTime.Time())
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_ = equityCurveTsv.Write([]string{
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k.EndTime.Time().Format(time.RFC1123),
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assets.InUSD().String(),
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})
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}
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})
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ordersTsv, err := tsv.NewWriterFile(filepath.Join(reportDir, "orders.tsv"))
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if err != nil {
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return err
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}
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defer func() { _ = ordersTsv.Close() }()
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_ = ordersTsv.Write(types.Order{}.CsvHeader())
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for _, exSource := range exchangeSources {
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exSource.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if order.Status == types.OrderStatusFilled {
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for _, record := range order.CsvRecords() {
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_ = ordersTsv.Write(record)
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}
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}
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})
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}
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}
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runCtx, cancelRun := context.WithCancel(ctx)
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for _, exK := range exchangeSources {
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exK.Callbacks = kLineHandlers
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}
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go func() {
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defer cancelRun()
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// Optimize back-test speed for single exchange source
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var numOfExchangeSources = len(exchangeSources)
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if numOfExchangeSources == 1 {
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exSource := exchangeSources[0]
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for k := range exSource.C {
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exSource.Exchange.ConsumeKLine(k, requiredInterval)
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}
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if err := exSource.Exchange.CloseMarketData(); err != nil {
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log.WithError(err).Errorf("close market data error")
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}
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return
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}
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RunMultiExchangeData:
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for {
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for _, exK := range exchangeSources {
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k, more := <-exK.C
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if !more {
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if err := exK.Exchange.CloseMarketData(); err != nil {
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log.WithError(err).Errorf("close market data error")
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return
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}
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break RunMultiExchangeData
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}
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exK.Exchange.ConsumeKLine(k, requiredInterval)
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}
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}
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}()
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cmdutil.WaitForSignal(runCtx, syscall.SIGINT, syscall.SIGTERM)
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log.Infof("shutting down trader...")
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gracefulShutdownPeriod := 30 * time.Second
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shtCtx, cancelShutdown := context.WithTimeout(bbgo.NewTodoContextWithExistingIsolation(ctx), gracefulShutdownPeriod)
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bbgo.Shutdown(shtCtx)
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cancelShutdown()
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// put the logger back to print the pnl
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log.SetLevel(log.InfoLevel)
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// aggregate total balances
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initTotalBalances := types.BalanceMap{}
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finalTotalBalances := types.BalanceMap{}
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var sessionNames []string
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for _, session := range environ.Sessions() {
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sessionNames = append(sessionNames, session.Name)
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accountConfig := userConfig.Backtest.GetAccount(session.Name)
|
|
initBalances := accountConfig.Balances.BalanceMap()
|
|
initTotalBalances = initTotalBalances.Add(initBalances)
|
|
|
|
finalBalances := session.GetAccount().Balances()
|
|
finalTotalBalances = finalTotalBalances.Add(finalBalances)
|
|
}
|
|
|
|
summaryReport := &backtest.SummaryReport{
|
|
StartTime: startTime,
|
|
EndTime: endTime,
|
|
Sessions: sessionNames,
|
|
InitialTotalBalances: initTotalBalances,
|
|
FinalTotalBalances: finalTotalBalances,
|
|
Manifests: manifests,
|
|
Symbols: nil,
|
|
}
|
|
|
|
for interval := range allKLineIntervals {
|
|
summaryReport.Intervals = append(summaryReport.Intervals, interval)
|
|
}
|
|
|
|
for _, session := range environ.Sessions() {
|
|
for symbol, trades := range session.Trades {
|
|
if len(trades.Trades) == 0 {
|
|
log.Warnf("session has no %s trades", symbol)
|
|
continue
|
|
}
|
|
|
|
tradeState := sessionTradeStats[session.Name][symbol]
|
|
profitFactor := tradeState.ProfitFactor
|
|
winningRatio := tradeState.WinningRatio
|
|
intervalProfits := tradeState.IntervalProfits[types.Interval1d]
|
|
|
|
symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), intervalProfits, profitFactor, winningRatio)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
summaryReport.Symbols = append(summaryReport.Symbols, symbol)
|
|
summaryReport.SymbolReports = append(summaryReport.SymbolReports, *symbolReport)
|
|
summaryReport.TotalProfit = symbolReport.PnL.Profit
|
|
summaryReport.TotalUnrealizedProfit = symbolReport.PnL.UnrealizedProfit
|
|
summaryReport.InitialEquityValue = summaryReport.InitialEquityValue.Add(symbolReport.InitialEquityValue())
|
|
summaryReport.FinalEquityValue = summaryReport.FinalEquityValue.Add(symbolReport.FinalEquityValue())
|
|
summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
|
|
summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)
|
|
|
|
// write report to a file
|
|
if generatingReport {
|
|
reportFileName := fmt.Sprintf("symbol_report_%s_%s.json", session.Name, symbol)
|
|
if err := util.WriteJsonFile(filepath.Join(reportDir, reportFileName), &symbolReport); err != nil {
|
|
return err
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
if generatingReport {
|
|
summaryReportFile := filepath.Join(reportDir, "summary.json")
|
|
|
|
// output summary report filepath to stdout, so that our optimizer can read from it
|
|
fmt.Println(summaryReportFile)
|
|
|
|
if err := util.WriteJsonFile(summaryReportFile, summaryReport); err != nil {
|
|
return errors.Wrapf(err, "can not write summary report json file: %s", summaryReportFile)
|
|
}
|
|
|
|
configJsonFile := filepath.Join(reportDir, "config.json")
|
|
if err := util.WriteJsonFile(configJsonFile, userConfig); err != nil {
|
|
return errors.Wrapf(err, "can not write config json file: %s", configJsonFile)
|
|
}
|
|
|
|
// append report index
|
|
if reportFileInSubDir {
|
|
if err := backtest.AddReportIndexRun(outputDirectory, backtest.Run{
|
|
ID: runID,
|
|
Config: userConfig,
|
|
Time: time.Now(),
|
|
}); err != nil {
|
|
return err
|
|
}
|
|
}
|
|
} else {
|
|
color.Green("BACK-TEST REPORT")
|
|
color.Green("===============================================\n")
|
|
color.Green("START TIME: %s\n", startTime.Format(time.RFC1123))
|
|
color.Green("END TIME: %s\n", endTime.Format(time.RFC1123))
|
|
color.Green("INITIAL TOTAL BALANCE: %v\n", initTotalBalances)
|
|
color.Green("FINAL TOTAL BALANCE: %v\n", finalTotalBalances)
|
|
for _, symbolReport := range summaryReport.SymbolReports {
|
|
symbolReport.Print(wantBaseAssetBaseline)
|
|
}
|
|
}
|
|
|
|
return nil
|
|
},
|
|
}
|
|
|
|
func createSymbolReport(
|
|
userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade,
|
|
intervalProfit *types.IntervalProfitCollector,
|
|
profitFactor, winningRatio fixedpoint.Value,
|
|
) (
|
|
*backtest.SessionSymbolReport,
|
|
error,
|
|
) {
|
|
backtestExchange, ok := session.Exchange.(*backtest.Exchange)
|
|
if !ok {
|
|
return nil, fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
|
|
}
|
|
|
|
market, ok := session.Market(symbol)
|
|
if !ok {
|
|
return nil, fmt.Errorf("market not found: %s, %s", symbol, session.Exchange.Name())
|
|
}
|
|
|
|
startPrice, ok := session.StartPrice(symbol)
|
|
if !ok {
|
|
return nil, fmt.Errorf("start price not found: %s, %s. run --sync first", symbol, session.Exchange.Name())
|
|
}
|
|
|
|
lastPrice, ok := session.LastPrice(symbol)
|
|
if !ok {
|
|
return nil, fmt.Errorf("last price not found: %s, %s", symbol, session.Exchange.Name())
|
|
}
|
|
|
|
calculator := &pnl.AverageCostCalculator{
|
|
TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
|
|
Market: market,
|
|
}
|
|
|
|
sharpeRatio := fixedpoint.NewFromFloat(intervalProfit.GetSharpe())
|
|
sortinoRatio := fixedpoint.NewFromFloat(intervalProfit.GetSortino())
|
|
|
|
report := calculator.Calculate(symbol, trades, lastPrice)
|
|
accountConfig := userConfig.Backtest.GetAccount(session.Exchange.Name().String())
|
|
initBalances := accountConfig.Balances.BalanceMap()
|
|
finalBalances := session.GetAccount().Balances()
|
|
symbolReport := backtest.SessionSymbolReport{
|
|
Exchange: session.Exchange.Name(),
|
|
Symbol: symbol,
|
|
Market: market,
|
|
LastPrice: lastPrice,
|
|
StartPrice: startPrice,
|
|
PnL: report,
|
|
InitialBalances: initBalances,
|
|
FinalBalances: finalBalances,
|
|
// Manifests: manifests,
|
|
Sharpe: sharpeRatio,
|
|
Sortino: sortinoRatio,
|
|
ProfitFactor: profitFactor,
|
|
WinningRatio: winningRatio,
|
|
}
|
|
|
|
for _, s := range session.Subscriptions {
|
|
symbolReport.Subscriptions = append(symbolReport.Subscriptions, s)
|
|
}
|
|
|
|
sessionKLineIntervals := map[types.Interval]struct{}{}
|
|
for _, sub := range session.Subscriptions {
|
|
if sub.Channel == types.KLineChannel {
|
|
sessionKLineIntervals[sub.Options.Interval] = struct{}{}
|
|
}
|
|
}
|
|
|
|
for interval := range sessionKLineIntervals {
|
|
symbolReport.Intervals = append(symbolReport.Intervals, interval)
|
|
}
|
|
|
|
return &symbolReport, nil
|
|
}
|
|
|
|
func verify(
|
|
userConfig *bbgo.Config, backtestService *service.BacktestService,
|
|
sourceExchanges map[types.ExchangeName]types.Exchange, startTime, endTime time.Time,
|
|
) error {
|
|
for _, sourceExchange := range sourceExchanges {
|
|
err := backtestService.Verify(sourceExchange, userConfig.Backtest.Symbols, startTime, endTime)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
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
|
|
}
|
|
}
|
|
}
|
|
|
|
func getExchangeIntervals(ex types.Exchange) types.IntervalMap {
|
|
exCustom, ok := ex.(types.CustomIntervalProvider)
|
|
if ok {
|
|
return exCustom.SupportedInterval()
|
|
}
|
|
return types.SupportedIntervals
|
|
}
|
|
|
|
func sync(
|
|
ctx context.Context, userConfig *bbgo.Config, backtestService *service.BacktestService,
|
|
sourceExchanges map[types.ExchangeName]types.Exchange, syncFrom, syncTo time.Time,
|
|
) error {
|
|
for _, symbol := range userConfig.Backtest.Symbols {
|
|
for _, sourceExchange := range sourceExchanges {
|
|
var supportIntervals = getExchangeIntervals(sourceExchange)
|
|
|
|
if !userConfig.Backtest.SyncSecKLines {
|
|
delete(supportIntervals, types.Interval1s)
|
|
}
|
|
|
|
// sort intervals
|
|
var intervals = supportIntervals.Slice()
|
|
intervals.Sort()
|
|
|
|
for _, interval := range intervals {
|
|
if err := backtestService.Sync(ctx, sourceExchange, symbol, interval, syncFrom, syncTo); err != nil {
|
|
return err
|
|
}
|
|
}
|
|
}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func rewriteManifestPaths(manifests backtest.Manifests, basePath string) (backtest.Manifests, error) {
|
|
var filterManifests = backtest.Manifests{}
|
|
for k, m := range manifests {
|
|
p, err := filepath.Rel(basePath, m)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
filterManifests[k] = p
|
|
}
|
|
return filterManifests, nil
|
|
}
|