mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
484 lines
14 KiB
Go
484 lines
14 KiB
Go
package cmd
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import (
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"bufio"
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"context"
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"encoding/json"
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"fmt"
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"io/ioutil"
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"os"
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"path/filepath"
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"strings"
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"time"
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"github.com/fatih/color"
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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/cmd/cmdutil"
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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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type BackTestReport struct {
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Symbol string `json:"symbol,omitempty"`
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LastPrice fixedpoint.Value `json:"lastPrice,omitempty"`
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StartPrice fixedpoint.Value `json:"startPrice,omitempty"`
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PnLReport *pnl.AverageCostPnlReport `json:"pnlReport,omitempty"`
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InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
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FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
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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().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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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: "backtest your 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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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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jsonOutputEnabled := len(outputDirectory) > 0
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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 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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if userConfig.Backtest == nil {
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return errors.New("backtest config is not defined")
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}
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acceptAllSessions := false
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var whitelistedSessions map[string]struct{}
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if len(userConfig.Backtest.Sessions) == 0 {
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acceptAllSessions = true
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} else {
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for _, name := range userConfig.Backtest.Sessions {
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_, 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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whitelistedSessions[name] = struct{}{}
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}
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}
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sourceExchanges := make(map[string]types.Exchange)
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for key, session := range userConfig.Sessions {
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ok := acceptAllSessions
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if !ok {
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_, ok = whitelistedSessions[key]
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}
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if ok {
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publicExchange, err := cmdutil.NewExchangePublic(session.ExchangeName)
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if err != nil {
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return err
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}
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sourceExchanges[key] = publicExchange
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}
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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()
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var startTime, endTime time.Time
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startTime = userConfig.Backtest.StartTime.Time()
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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()
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} else {
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endTime = now
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}
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_ = endTime
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log.Infof("starting backtest with startTime %s", startTime.Format(time.ANSIC))
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environ := bbgo.NewEnvironment()
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if err := BootstrapBacktestEnvironment(ctx, environ, userConfig); 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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if wantSync {
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var syncFromTime time.Time
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// 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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} 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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log.Info("starting synchronization...")
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for _, symbol := range userConfig.Backtest.Symbols {
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for _, sourceExchange := range sourceExchanges {
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exCustom, ok := sourceExchange.(types.CustomIntervalProvider)
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var supportIntervals map[types.Interval]int
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if ok {
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supportIntervals = exCustom.SupportedInterval()
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} else {
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supportIntervals = types.SupportedIntervals
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}
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for interval := range supportIntervals {
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// if err := s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime); err != nil {
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// return err
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// }
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firstKLine, err := backtestService.QueryFirstKLine(sourceExchange.Name(), symbol, interval)
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if err != nil {
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return errors.Wrapf(err, "failed to query backtest kline")
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}
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// if we don't have klines before the start time endpoint, the back-test will fail.
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// because the last price will be missing.
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if firstKLine != nil {
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if err := backtestService.SyncExist(ctx, sourceExchange, symbol, syncFromTime, time.Now(), interval); err != nil {
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return err
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}
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} else {
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if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime, time.Now(), interval); err != nil {
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return err
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}
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}
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}
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}
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}
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log.Info("synchronization done")
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for _, sourceExchange := range sourceExchanges {
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if shouldVerify {
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err2, done := backtestService.Verify(userConfig.Backtest.Symbols, startTime, time.Now(), sourceExchange, verboseCnt)
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if done {
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return err2
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}
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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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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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environ.AddExchange(name, backtestExchange)
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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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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.Run(ctx); err != nil {
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return err
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}
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type KChanEx struct {
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KChan chan types.KLine
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Exchange *backtest.Exchange
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}
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for _, session := range environ.Sessions() {
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backtestExchange := session.Exchange.(*backtest.Exchange)
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backtestExchange.InitMarketData()
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}
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var klineChans []KChanEx
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for _, session := range environ.Sessions() {
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exchange := session.Exchange.(*backtest.Exchange)
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c, err := exchange.GetMarketData()
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if err != nil {
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return err
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}
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klineChans = append(klineChans, KChanEx{KChan: c, Exchange: exchange})
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}
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for {
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count := len(klineChans)
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for _, kchanex := range klineChans {
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kLine, more := <-kchanex.KChan
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if more {
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kchanex.Exchange.ConsumeKLine(kLine)
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} else {
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if err := kchanex.Exchange.CloseMarketData(); err != nil {
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return err
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}
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count--
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}
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}
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if count == 0 {
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break
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}
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}
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log.Infof("shutting down trader...")
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shutdownCtx, cancel := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
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trader.Graceful.Shutdown(shutdownCtx)
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cancel()
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// put the logger back to print the pnl
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log.SetLevel(log.InfoLevel)
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for _, session := range environ.Sessions() {
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backtestExchange := session.Exchange.(*backtest.Exchange)
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exchangeName := session.Exchange.Name().String()
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for symbol, trades := range session.Trades {
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market, ok := session.Market(symbol)
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if !ok {
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return fmt.Errorf("market not found: %s, %s", symbol, exchangeName)
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}
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calculator := &pnl.AverageCostCalculator{
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TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
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Market: market,
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}
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startPrice, ok := session.StartPrice(symbol)
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if !ok {
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return fmt.Errorf("start price not found: %s, %s", symbol, exchangeName)
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}
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lastPrice, ok := session.LastPrice(symbol)
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if !ok {
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return fmt.Errorf("last price not found: %s, %s", symbol, exchangeName)
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}
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color.Green("%s %s PROFIT AND LOSS REPORT", strings.ToUpper(exchangeName), symbol)
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color.Green("===============================================")
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report := calculator.Calculate(symbol, trades.Trades, lastPrice)
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report.Print()
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initBalances := userConfig.Backtest.Account[exchangeName].Balances.BalanceMap()
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finalBalances := session.Account.Balances()
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log.Infof("INITIAL BALANCES:")
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initBalances.Print()
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log.Infof("FINAL BALANCES:")
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finalBalances.Print()
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if jsonOutputEnabled {
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result := BackTestReport{
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Symbol: symbol,
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LastPrice: lastPrice,
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StartPrice: startPrice,
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PnLReport: report,
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InitialBalances: initBalances,
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FinalBalances: finalBalances,
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}
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jsonOutput, err := json.MarshalIndent(&result, "", " ")
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if err != nil {
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return err
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}
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if err := ioutil.WriteFile(filepath.Join(outputDirectory, symbol+".json"), jsonOutput, 0644); err != nil {
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return err
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}
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}
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initQuoteAsset := inQuoteAsset(initBalances, market, startPrice)
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finalQuoteAsset := inQuoteAsset(finalBalances, market, lastPrice)
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log.Infof("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(initQuoteAsset), market.QuoteCurrency, market.BaseCurrency, startPrice)
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log.Infof("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", market.QuoteCurrency, market.FormatQuantity(finalQuoteAsset), market.QuoteCurrency, market.BaseCurrency, lastPrice)
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if report.Profit.Sign() > 0 {
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color.Green("REALIZED PROFIT: +%v %s", report.Profit, market.QuoteCurrency)
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} else {
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color.Red("REALIZED PROFIT: %v %s", report.Profit, market.QuoteCurrency)
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}
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if report.UnrealizedProfit.Sign() > 0 {
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color.Green("UNREALIZED PROFIT: +%v %s", report.UnrealizedProfit, market.QuoteCurrency)
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} else {
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color.Red("UNREALIZED PROFIT: %v %s", report.UnrealizedProfit, market.QuoteCurrency)
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}
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if finalQuoteAsset.Compare(initQuoteAsset) > 0 {
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color.Green("ASSET INCREASED: +%v %s (+%s)", finalQuoteAsset.Sub(initQuoteAsset), market.QuoteCurrency, finalQuoteAsset.Sub(initQuoteAsset).Div(initQuoteAsset).FormatPercentage(2))
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} else {
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color.Red("ASSET DECREASED: %v %s (%s)", finalQuoteAsset.Sub(initQuoteAsset), market.QuoteCurrency, finalQuoteAsset.Sub(initQuoteAsset).Div(initQuoteAsset).FormatPercentage(2))
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}
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if wantBaseAssetBaseline {
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// initBaseAsset := inBaseAsset(initBalances, market, startPrice)
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// finalBaseAsset := inBaseAsset(finalBalances, market, lastPrice)
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// log.Infof("INITIAL ASSET IN %s ~= %s %s (1 %s = %f)", market.BaseCurrency, market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
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// log.Infof("FINAL ASSET IN %s ~= %s %s (1 %s = %f)", market.BaseCurrency, market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)
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if lastPrice.Compare(startPrice) > 0 {
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color.Green("%s BASE ASSET PERFORMANCE: +%s (= (%s - %s) / %s)",
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market.BaseCurrency,
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lastPrice.Sub(startPrice).Div(startPrice).FormatPercentage(2),
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lastPrice.FormatString(2),
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startPrice.FormatString(2),
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startPrice.FormatString(2))
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} else {
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color.Red("%s BASE ASSET PERFORMANCE: %s (= (%s - %s) / %s)",
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market.BaseCurrency,
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lastPrice.Sub(startPrice).Div(startPrice).FormatPercentage(2),
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lastPrice.FormatString(2),
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startPrice.FormatString(2),
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startPrice.FormatString(2))
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}
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}
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}
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}
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return nil
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},
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}
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func confirmation(s string) bool {
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reader := bufio.NewReader(os.Stdin)
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for {
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fmt.Printf("%s [y/N]: ", s)
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response, err := reader.ReadString('\n')
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if err != nil {
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log.Fatal(err)
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}
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response = strings.ToLower(strings.TrimSpace(response))
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if response == "y" || response == "yes" {
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return true
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} else if response == "n" || response == "no" {
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return false
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} else {
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return false
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}
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}
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}
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