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94 lines
2.2 KiB
Go
94 lines
2.2 KiB
Go
package backtest
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import (
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"context"
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"errors"
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"math/rand"
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type KLineFixtureGenerator struct {
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Symbol string
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Interval types.Interval
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StartTime, EndTime time.Time
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StartPrice fixedpoint.Value
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}
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func (g *KLineFixtureGenerator) Generate(ctx context.Context, c chan types.KLine) error {
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defer close(c)
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startTime := g.StartTime
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price := g.StartPrice
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if price.IsZero() {
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return errors.New("startPrice can not be zero")
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}
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for startTime.Before(g.EndTime) {
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open := price
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high := price.Mul(fixedpoint.NewFromFloat(1.01))
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low := price.Mul(fixedpoint.NewFromFloat(0.99))
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amp := high.Sub(low)
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cls := low.Add(amp.Mul(fixedpoint.NewFromFloat(rand.Float64())))
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vol := fixedpoint.NewFromFloat(rand.Float64() * 1000.0)
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quoteVol := fixedpoint.NewFromFloat(rand.Float64() * 1000.0).Mul(price)
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nextStartTime := startTime.Add(g.Interval.Duration())
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k := types.KLine{
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Exchange: types.ExchangeBinance,
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Symbol: g.Symbol,
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StartTime: types.Time(startTime),
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EndTime: types.Time(nextStartTime.Add(-time.Millisecond)),
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Interval: g.Interval,
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Open: open,
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Close: cls,
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High: high,
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Low: low,
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Volume: vol,
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QuoteVolume: quoteVol,
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Closed: true,
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}
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select {
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case <-ctx.Done():
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return ctx.Err()
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case c <- k:
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}
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price = cls
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startTime = nextStartTime
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}
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return nil
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}
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func TestKLineFixtureGenerator(t *testing.T) {
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startTime := time.Date(2022, time.January, 1, 0, 0, 0, 0, time.Local)
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endTime := time.Date(2022, time.January, 31, 0, 0, 0, 0, time.Local)
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ctx := context.Background()
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g := &KLineFixtureGenerator{
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Symbol: "BTCUSDT",
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Interval: types.Interval1m,
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StartTime: startTime,
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EndTime: endTime,
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StartPrice: fixedpoint.NewFromFloat(18000.0),
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}
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c := make(chan types.KLine, 20)
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go func() {
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err := g.Generate(ctx, c)
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assert.NoError(t, err)
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}()
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for k := range c {
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// high must higher than low
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assert.True(t, k.High.Compare(k.Low) > 0)
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assert.True(t, k.StartTime.After(startTime) || k.StartTime.Equal(startTime))
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assert.True(t, k.StartTime.Before(endTime))
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}
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}
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