mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
753 lines
22 KiB
Go
753 lines
22 KiB
Go
package cmd
|
|
|
|
import (
|
|
"bufio"
|
|
"context"
|
|
"fmt"
|
|
"os"
|
|
"path/filepath"
|
|
"sort"
|
|
"strings"
|
|
"syscall"
|
|
"time"
|
|
|
|
"github.com/fatih/color"
|
|
"github.com/google/uuid"
|
|
"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/data/tsv"
|
|
"github.com/c9s/bbgo/pkg/exchange"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/service"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
)
|
|
|
|
func init() {
|
|
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().String("sync-exchange", "", "specify only one exchange to sync backtest data")
|
|
BacktestCmd.Flags().String("session", "", "specify only one exchange session to run backtest")
|
|
|
|
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")
|
|
BacktestCmd.Flags().Bool("subdir", false, "generate report in the sub-directory of the output directory")
|
|
RootCmd.AddCommand(BacktestCmd)
|
|
}
|
|
|
|
var BacktestCmd = &cobra.Command{
|
|
Use: "backtest",
|
|
Short: "run backtest with 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
|
|
}
|
|
|
|
syncExchangeName, err := cmd.Flags().GetString("sync-exchange")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
sessionName, err := cmd.Flags().GetString("session")
|
|
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
|
|
}
|
|
|
|
generatingReport := len(outputDirectory) > 0
|
|
|
|
reportFileInSubDir, err := cmd.Flags().GetBool("subdir")
|
|
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
|
|
}
|
|
|
|
shouldVerify, err := cmd.Flags().GetBool("verify")
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
userConfig, err := bbgo.Load(configFile, true)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if userConfig.Backtest == nil {
|
|
return errors.New("backtest config is not defined")
|
|
}
|
|
|
|
ctx, cancel := context.WithCancel(context.Background())
|
|
defer cancel()
|
|
|
|
var now = time.Now().Local()
|
|
var startTime, endTime time.Time
|
|
|
|
startTime = userConfig.Backtest.StartTime.Time().Local()
|
|
|
|
// 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().Local()
|
|
} else {
|
|
endTime = now
|
|
}
|
|
|
|
log.Infof("starting backtest with startTime %s", startTime.Format(time.ANSIC))
|
|
|
|
environ := bbgo.NewEnvironment()
|
|
if err := BootstrapBacktestEnvironment(ctx, environ); 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
|
|
bbgo.SetBackTesting(backtestService)
|
|
|
|
if len(sessionName) > 0 {
|
|
userConfig.Backtest.Sessions = []string{sessionName}
|
|
} else if len(syncExchangeName) > 0 {
|
|
userConfig.Backtest.Sessions = []string{syncExchangeName}
|
|
} else if len(userConfig.Backtest.Sessions) == 0 {
|
|
log.Infof("backtest.sessions is not defined, using all supported exchanges: %v", types.SupportedExchanges)
|
|
for _, exName := range types.SupportedExchanges {
|
|
userConfig.Backtest.Sessions = append(userConfig.Backtest.Sessions, exName.String())
|
|
}
|
|
}
|
|
|
|
var sourceExchanges = make(map[types.ExchangeName]types.Exchange)
|
|
for _, name := range userConfig.Backtest.Sessions {
|
|
exName, err := types.ValidExchangeName(name)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
publicExchange, err := exchange.NewPublic(exName)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
sourceExchanges[exName] = publicExchange
|
|
}
|
|
|
|
var syncFromTime time.Time
|
|
|
|
// user can 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)
|
|
}
|
|
|
|
if wantSync {
|
|
log.Infof("starting synchronization: %v", userConfig.Backtest.Symbols)
|
|
if err := sync(ctx, userConfig, backtestService, sourceExchanges, syncFromTime.Local(), endTime.Local()); err != nil {
|
|
return err
|
|
}
|
|
log.Info("synchronization done")
|
|
|
|
if shouldVerify {
|
|
err := verify(userConfig, backtestService, sourceExchanges, syncFromTime.Local(), endTime.Local())
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
|
|
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 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)
|
|
}
|
|
|
|
environ.SetStartTime(startTime)
|
|
|
|
// exchangeNameStr is the session name.
|
|
for name, sourceExchange := range sourceExchanges {
|
|
backtestExchange, err := backtest.NewExchange(sourceExchange.Name(), sourceExchange, backtestService, userConfig.Backtest)
|
|
if err != nil {
|
|
return errors.Wrap(err, "failed to create backtest exchange")
|
|
}
|
|
session := environ.AddExchange(name.String(), backtestExchange)
|
|
exchangeFromConfig := userConfig.Sessions[name.String()]
|
|
if exchangeFromConfig != nil {
|
|
session.UseHeikinAshi = exchangeFromConfig.UseHeikinAshi
|
|
}
|
|
}
|
|
|
|
if err := environ.Init(ctx); err != nil {
|
|
return err
|
|
}
|
|
|
|
for _, session := range environ.Sessions() {
|
|
userDataStream := session.UserDataStream.(types.StandardStreamEmitter)
|
|
backtestEx := session.Exchange.(*backtest.Exchange)
|
|
backtestEx.MarketDataStream = session.MarketDataStream.(types.StandardStreamEmitter)
|
|
backtestEx.BindUserData(userDataStream)
|
|
}
|
|
|
|
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
|
|
}
|
|
|
|
backTestIntervals := []types.Interval{types.Interval1h, types.Interval1d}
|
|
exchangeSources, err := toExchangeSources(environ.Sessions(), startTime, endTime, backTestIntervals...)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
var kLineHandlers []func(k types.KLine, exSource *backtest.ExchangeDataSource)
|
|
var manifests backtest.Manifests
|
|
var runID = userConfig.GetSignature() + "_" + uuid.NewString()
|
|
var reportDir = outputDirectory
|
|
var sessionTradeStats = make(map[string]map[string]*types.TradeStats)
|
|
|
|
var tradeCollectorList []*bbgo.TradeCollector
|
|
for _, exSource := range exchangeSources {
|
|
sessionName := exSource.Session.Name
|
|
tradeStatsMap := make(map[string]*types.TradeStats)
|
|
for usedSymbol := range exSource.Session.Positions() {
|
|
market, _ := exSource.Session.Market(usedSymbol)
|
|
position := types.NewPositionFromMarket(market)
|
|
orderStore := bbgo.NewOrderStore(usedSymbol)
|
|
orderStore.AddOrderUpdate = true
|
|
tradeCollector := bbgo.NewTradeCollector(usedSymbol, position, orderStore)
|
|
|
|
tradeStats := types.NewTradeStats(usedSymbol)
|
|
tradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
|
|
tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
|
|
if profit == nil {
|
|
return
|
|
}
|
|
tradeStats.Add(profit)
|
|
})
|
|
tradeStatsMap[usedSymbol] = tradeStats
|
|
|
|
orderStore.BindStream(exSource.Session.UserDataStream)
|
|
tradeCollector.BindStream(exSource.Session.UserDataStream)
|
|
tradeCollectorList = append(tradeCollectorList, tradeCollector)
|
|
}
|
|
sessionTradeStats[sessionName] = tradeStatsMap
|
|
}
|
|
kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
|
|
if k.Interval == types.Interval1d && k.Closed {
|
|
for _, collector := range tradeCollectorList {
|
|
collector.Process()
|
|
}
|
|
}
|
|
})
|
|
|
|
if generatingReport {
|
|
if reportFileInSubDir {
|
|
// reportDir = filepath.Join(reportDir, backtestSessionName)
|
|
reportDir = filepath.Join(reportDir, runID)
|
|
}
|
|
if err := util.SafeMkdirAll(reportDir); err != nil {
|
|
return err
|
|
}
|
|
|
|
startTimeStr := startTime.Format("20060102")
|
|
endTimeStr := endTime.Format("20060102")
|
|
kLineSubDir := strings.Join([]string{"klines", "_", startTimeStr, "-", endTimeStr}, "")
|
|
kLineDataDir := filepath.Join(outputDirectory, "shared", kLineSubDir)
|
|
if err := util.SafeMkdirAll(kLineDataDir); err != nil {
|
|
return err
|
|
}
|
|
|
|
stateRecorder := backtest.NewStateRecorder(reportDir)
|
|
err = trader.IterateStrategies(func(st bbgo.StrategyID) error {
|
|
return stateRecorder.Scan(st.(backtest.Instance))
|
|
})
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
manifests = stateRecorder.Manifests()
|
|
manifests, err = rewriteManifestPaths(manifests, reportDir)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
// state snapshot
|
|
kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
|
|
// snapshot per 1m
|
|
if k.Interval == types.Interval1m && k.Closed {
|
|
if _, err := stateRecorder.Snapshot(); err != nil {
|
|
log.WithError(err).Errorf("state record failed to snapshot the strategy state")
|
|
}
|
|
}
|
|
})
|
|
|
|
dumper := backtest.NewKLineDumper(kLineDataDir)
|
|
defer func() {
|
|
if err := dumper.Close(); err != nil {
|
|
log.WithError(err).Errorf("kline dumper can not close files")
|
|
}
|
|
}()
|
|
|
|
kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
|
|
if err := dumper.Record(k); err != nil {
|
|
log.WithError(err).Errorf("can not write kline to file")
|
|
}
|
|
})
|
|
|
|
// equity curve recording -- record per 1h kline
|
|
equityCurveTsv, err := tsv.NewWriterFile(filepath.Join(reportDir, "equity_curve.tsv"))
|
|
if err != nil {
|
|
return err
|
|
}
|
|
defer func() { _ = equityCurveTsv.Close() }()
|
|
|
|
_ = equityCurveTsv.Write([]string{
|
|
"time",
|
|
"in_usd",
|
|
})
|
|
defer equityCurveTsv.Flush()
|
|
|
|
kLineHandlers = append(kLineHandlers, func(k types.KLine, exSource *backtest.ExchangeDataSource) {
|
|
if k.Interval != types.Interval1h {
|
|
return
|
|
}
|
|
|
|
balances, err := exSource.Exchange.QueryAccountBalances(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("query back-test account balance error")
|
|
} else {
|
|
assets := balances.Assets(exSource.Session.AllLastPrices(), k.EndTime.Time())
|
|
_ = equityCurveTsv.Write([]string{
|
|
k.EndTime.Time().Format(time.RFC1123),
|
|
assets.InUSD().String(),
|
|
})
|
|
}
|
|
})
|
|
|
|
ordersTsv, err := tsv.NewWriterFile(filepath.Join(reportDir, "orders.tsv"))
|
|
if err != nil {
|
|
return err
|
|
}
|
|
defer func() { _ = ordersTsv.Close() }()
|
|
_ = ordersTsv.Write(types.Order{}.CsvHeader())
|
|
|
|
for _, exSource := range exchangeSources {
|
|
exSource.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
|
if order.Status == types.OrderStatusFilled {
|
|
for _, record := range order.CsvRecords() {
|
|
_ = ordersTsv.Write(record)
|
|
}
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
runCtx, cancelRun := context.WithCancel(ctx)
|
|
for _, exK := range exchangeSources {
|
|
exK.Callbacks = kLineHandlers
|
|
}
|
|
go func() {
|
|
defer cancelRun()
|
|
|
|
// Optimize back-test speed for single exchange source
|
|
var numOfExchangeSources = len(exchangeSources)
|
|
if numOfExchangeSources == 1 {
|
|
exSource := exchangeSources[0]
|
|
for k := range exSource.C {
|
|
exSource.Exchange.ConsumeKLine(k)
|
|
}
|
|
|
|
if err := exSource.Exchange.CloseMarketData(); err != nil {
|
|
log.WithError(err).Errorf("close market data error")
|
|
}
|
|
return
|
|
}
|
|
|
|
RunMultiExchangeData:
|
|
for {
|
|
for _, exK := range exchangeSources {
|
|
k, more := <-exK.C
|
|
if !more {
|
|
if err := exK.Exchange.CloseMarketData(); err != nil {
|
|
log.WithError(err).Errorf("close market data error")
|
|
return
|
|
}
|
|
break RunMultiExchangeData
|
|
}
|
|
|
|
exK.Exchange.ConsumeKLine(k)
|
|
}
|
|
}
|
|
}()
|
|
|
|
cmdutil.WaitForSignal(runCtx, syscall.SIGINT, syscall.SIGTERM)
|
|
|
|
log.Infof("shutting down trader...")
|
|
bbgo.Shutdown()
|
|
|
|
// put the logger back to print the pnl
|
|
log.SetLevel(log.InfoLevel)
|
|
|
|
// aggregate total balances
|
|
initTotalBalances := types.BalanceMap{}
|
|
finalTotalBalances := types.BalanceMap{}
|
|
var sessionNames []string
|
|
for _, session := range environ.Sessions() {
|
|
sessionNames = append(sessionNames, session.Name)
|
|
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,
|
|
}
|
|
|
|
allKLineIntervals := map[types.Interval]struct{}{}
|
|
for _, interval := range backTestIntervals {
|
|
allKLineIntervals[interval] = struct{}{}
|
|
}
|
|
|
|
for _, session := range environ.Sessions() {
|
|
for _, sub := range session.Subscriptions {
|
|
if sub.Channel == types.KLineChannel {
|
|
allKLineIntervals[sub.Options.Interval] = struct{}{}
|
|
}
|
|
}
|
|
}
|
|
for interval := range allKLineIntervals {
|
|
summaryReport.Intervals = append(summaryReport.Intervals, interval)
|
|
}
|
|
|
|
for _, session := range environ.Sessions() {
|
|
for symbol, trades := range session.Trades {
|
|
intervalProfits := sessionTradeStats[session.Name][symbol].IntervalProfits[types.Interval1d]
|
|
symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades, intervalProfits)
|
|
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.json", 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 err
|
|
}
|
|
|
|
// 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) (
|
|
*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,
|
|
}
|
|
|
|
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 toExchangeSources(sessions map[string]*bbgo.ExchangeSession, startTime, endTime time.Time, extraIntervals ...types.Interval) (exchangeSources []backtest.ExchangeDataSource, err error) {
|
|
for _, session := range sessions {
|
|
backtestEx := session.Exchange.(*backtest.Exchange)
|
|
|
|
c, err := backtestEx.SubscribeMarketData(startTime, endTime, extraIntervals...)
|
|
if err != nil {
|
|
return exchangeSources, err
|
|
}
|
|
|
|
sessionCopy := session
|
|
src := backtest.ExchangeDataSource{
|
|
C: c,
|
|
Exchange: backtestEx,
|
|
Session: sessionCopy,
|
|
}
|
|
backtestEx.Src = &src
|
|
exchangeSources = append(exchangeSources, src)
|
|
}
|
|
return exchangeSources, nil
|
|
}
|
|
|
|
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 {
|
|
exCustom, ok := sourceExchange.(types.CustomIntervalProvider)
|
|
|
|
var supportIntervals map[types.Interval]int
|
|
if ok {
|
|
supportIntervals = exCustom.SupportedInterval()
|
|
} else {
|
|
supportIntervals = types.SupportedIntervals
|
|
}
|
|
|
|
// sort intervals
|
|
var intervals []types.Interval
|
|
for interval := range supportIntervals {
|
|
intervals = append(intervals, interval)
|
|
}
|
|
sort.Slice(intervals, func(i, j int) bool {
|
|
return intervals[i].Duration() < intervals[j].Duration()
|
|
})
|
|
|
|
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
|
|
}
|