mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
525 lines
16 KiB
Go
525 lines
16 KiB
Go
package service
|
|
|
|
import (
|
|
"context"
|
|
"database/sql"
|
|
"fmt"
|
|
"strconv"
|
|
"strings"
|
|
"time"
|
|
|
|
sq "github.com/Masterminds/squirrel"
|
|
"github.com/jmoiron/sqlx"
|
|
"github.com/pkg/errors"
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/exchange/batch"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type BacktestService struct {
|
|
DB *sqlx.DB
|
|
}
|
|
|
|
func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
|
|
log.Infof("synchronizing %s klines with interval %s: %s <=> %s", exchange.Name(), interval, startTime, endTime)
|
|
|
|
// TODO: use isFutures here
|
|
_, _, isIsolated, isolatedSymbol := getExchangeAttributes(exchange)
|
|
// override symbol if isolatedSymbol is not empty
|
|
if isIsolated && len(isolatedSymbol) > 0 {
|
|
symbol = isolatedSymbol
|
|
}
|
|
|
|
if s.DB.DriverName() == "sqlite3" {
|
|
_, _ = s.DB.Exec("PRAGMA journal_mode = WAL")
|
|
_, _ = s.DB.Exec("PRAGMA synchronous = NORMAL")
|
|
}
|
|
|
|
tasks := []SyncTask{
|
|
{
|
|
Type: types.KLine{},
|
|
Select: SelectLastKLines(exchange.Name(), symbol, interval, startTime, endTime, 100),
|
|
Time: func(obj interface{}) time.Time {
|
|
return obj.(types.KLine).StartTime.Time()
|
|
},
|
|
ID: func(obj interface{}) string {
|
|
kline := obj.(types.KLine)
|
|
return strconv.FormatInt(kline.StartTime.UnixMilli(), 10)
|
|
// return kline.Symbol + kline.Interval.String() + strconv.FormatInt(kline.StartTime.UnixMilli(), 10)
|
|
},
|
|
BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
|
|
q := &batch.KLineBatchQuery{Exchange: exchange}
|
|
return q.Query(ctx, symbol, interval, startTime, endTime)
|
|
},
|
|
BatchInsertBuffer: 500,
|
|
BatchInsert: func(obj interface{}) error {
|
|
kLines := obj.([]types.KLine)
|
|
return s.BatchInsert(kLines)
|
|
},
|
|
Insert: func(obj interface{}) error {
|
|
kline := obj.(types.KLine)
|
|
return s.Insert(kline)
|
|
},
|
|
LogInsert: log.GetLevel() == log.DebugLevel,
|
|
},
|
|
}
|
|
|
|
for _, sel := range tasks {
|
|
if err := sel.execute(ctx, s.DB, startTime, endTime); err != nil {
|
|
return err
|
|
}
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *BacktestService) Verify(sourceExchange types.Exchange, symbols []string, startTime time.Time, endTime time.Time) error {
|
|
var corruptCnt = 0
|
|
for _, symbol := range symbols {
|
|
for interval := range types.SupportedIntervals {
|
|
log.Infof("verifying %s %s backtesting data: %s to %s...", symbol, interval, startTime, endTime)
|
|
|
|
timeRanges, err := s.FindMissingTimeRanges(context.Background(), sourceExchange, symbol, interval,
|
|
startTime, endTime)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if len(timeRanges) == 0 {
|
|
continue
|
|
}
|
|
|
|
log.Warnf("%s %s found missing time ranges:", symbol, interval)
|
|
corruptCnt += len(timeRanges)
|
|
for _, timeRange := range timeRanges {
|
|
log.Warnf("- %s", timeRange.String())
|
|
}
|
|
}
|
|
}
|
|
|
|
log.Infof("backtest verification completed")
|
|
if corruptCnt > 0 {
|
|
log.Errorf("found %d corruptions", corruptCnt)
|
|
} else {
|
|
log.Infof("found %d corruptions", corruptCnt)
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *BacktestService) SyncFresh(ctx context.Context, exchange types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time) error {
|
|
log.Infof("starting fresh sync %s %s %s: %s <=> %s", exchange.Name(), symbol, interval, startTime, endTime)
|
|
startTime = startTime.Truncate(time.Minute).Add(-2 * time.Second)
|
|
endTime = endTime.Truncate(time.Minute).Add(2 * time.Second)
|
|
return s.SyncKLineByInterval(ctx, exchange, symbol, interval, startTime, endTime)
|
|
}
|
|
|
|
// QueryKLine queries the klines from the database
|
|
func (s *BacktestService) QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
|
|
log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
|
|
|
|
tableName := targetKlineTable(ex)
|
|
// make the SQL syntax IDE friendly, so that it can analyze it.
|
|
sql := fmt.Sprintf("SELECT * FROM `%s` WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)
|
|
|
|
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
|
"interval": interval,
|
|
"symbol": symbol,
|
|
})
|
|
defer rows.Close()
|
|
|
|
if err != nil {
|
|
return nil, errors.Wrap(err, "query kline error")
|
|
}
|
|
|
|
if rows.Err() != nil {
|
|
return nil, rows.Err()
|
|
}
|
|
|
|
if rows.Next() {
|
|
var kline types.KLine
|
|
err = rows.StructScan(&kline)
|
|
return &kline, err
|
|
}
|
|
|
|
return nil, rows.Err()
|
|
}
|
|
|
|
// QueryKLinesForward is used for querying klines to back-testing
|
|
func (s *BacktestService) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
|
|
tableName := targetKlineTable(exchange)
|
|
sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :start_time AND `symbol` = :symbol AND `interval` = :interval and exchange = :exchange ORDER BY end_time ASC LIMIT :limit"
|
|
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
|
|
|
|
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
|
"start_time": startTime,
|
|
"limit": limit,
|
|
"symbol": symbol,
|
|
"interval": interval,
|
|
"exchange": exchange.String(),
|
|
})
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return s.scanRows(rows)
|
|
}
|
|
|
|
func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
|
|
tableName := targetKlineTable(exchange)
|
|
|
|
sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :end_time and exchange = :exchange AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT :limit"
|
|
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
|
|
sql = "SELECT t.* FROM (" + sql + ") AS t ORDER BY t.end_time ASC"
|
|
|
|
rows, err := s.DB.NamedQuery(sql, map[string]interface{}{
|
|
"limit": limit,
|
|
"end_time": endTime,
|
|
"symbol": symbol,
|
|
"interval": interval,
|
|
"exchange": exchange.String(),
|
|
})
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
return s.scanRows(rows)
|
|
}
|
|
|
|
func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) {
|
|
|
|
if len(symbols) == 0 {
|
|
return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
|
|
}
|
|
|
|
tableName := targetKlineTable(exchange.Name())
|
|
sql := "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) and exchange = :exchange ORDER BY end_time ASC"
|
|
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
|
|
|
|
sql, args, err := sqlx.Named(sql, map[string]interface{}{
|
|
"since": since,
|
|
"until": until,
|
|
"symbols": symbols,
|
|
"intervals": types.IntervalSlice(intervals),
|
|
"exchange": exchange.Name().String(),
|
|
})
|
|
|
|
sql, args, err = sqlx.In(sql, args...)
|
|
if err != nil {
|
|
return returnError(err)
|
|
}
|
|
sql = s.DB.Rebind(sql)
|
|
|
|
rows, err := s.DB.Queryx(sql, args...)
|
|
if err != nil {
|
|
return returnError(err)
|
|
}
|
|
|
|
return s.scanRowsCh(rows)
|
|
}
|
|
|
|
func returnError(err error) (chan types.KLine, chan error) {
|
|
ch := make(chan types.KLine, 0)
|
|
close(ch)
|
|
log.WithError(err).Error("backtest query error")
|
|
|
|
errC := make(chan error, 1)
|
|
// avoid blocking
|
|
go func() {
|
|
errC <- err
|
|
close(errC)
|
|
}()
|
|
return ch, errC
|
|
}
|
|
|
|
// scanRowsCh scan rows into channel
|
|
func (s *BacktestService) scanRowsCh(rows *sqlx.Rows) (chan types.KLine, chan error) {
|
|
ch := make(chan types.KLine, 500)
|
|
errC := make(chan error, 1)
|
|
|
|
go func() {
|
|
defer close(errC)
|
|
defer close(ch)
|
|
defer rows.Close()
|
|
|
|
for rows.Next() {
|
|
var kline types.KLine
|
|
if err := rows.StructScan(&kline); err != nil {
|
|
errC <- err
|
|
return
|
|
}
|
|
|
|
ch <- kline
|
|
}
|
|
|
|
if err := rows.Err(); err != nil {
|
|
errC <- err
|
|
return
|
|
}
|
|
|
|
}()
|
|
|
|
return ch, errC
|
|
}
|
|
|
|
func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err error) {
|
|
defer rows.Close()
|
|
for rows.Next() {
|
|
var kline types.KLine
|
|
if err := rows.StructScan(&kline); err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
klines = append(klines, kline)
|
|
}
|
|
|
|
return klines, rows.Err()
|
|
}
|
|
|
|
func targetKlineTable(exchangeName types.ExchangeName) string {
|
|
return strings.ToLower(exchangeName.String()) + "_klines"
|
|
}
|
|
|
|
var errExchangeFieldIsUnset = errors.New("kline.Exchange field should not be empty")
|
|
|
|
func (s *BacktestService) Insert(kline types.KLine) error {
|
|
if len(kline.Exchange) == 0 {
|
|
return errExchangeFieldIsUnset
|
|
}
|
|
|
|
tableName := targetKlineTable(kline.Exchange)
|
|
|
|
sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
|
|
"VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume)", tableName)
|
|
|
|
_, err := s.DB.NamedExec(sql, kline)
|
|
return err
|
|
}
|
|
|
|
// BatchInsert Note: all kline should be same exchange, or it will cause issue.
|
|
func (s *BacktestService) BatchInsert(kline []types.KLine) error {
|
|
if len(kline) == 0 {
|
|
return nil
|
|
}
|
|
|
|
tableName := targetKlineTable(kline[0].Exchange)
|
|
|
|
sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
|
|
" VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
|
|
|
|
tx := s.DB.MustBegin()
|
|
if _, err := tx.NamedExec(sql, kline); err != nil {
|
|
if e := tx.Rollback(); e != nil {
|
|
log.WithError(e).Fatalf("cannot rollback insertion %v", err)
|
|
}
|
|
return err
|
|
}
|
|
return tx.Commit()
|
|
}
|
|
|
|
type TimeRange struct {
|
|
Start time.Time
|
|
End time.Time
|
|
}
|
|
|
|
func (t *TimeRange) String() string {
|
|
return t.Start.String() + " ~ " + t.End.String()
|
|
}
|
|
|
|
func (s *BacktestService) Sync(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) error {
|
|
t1, t2, err := s.QueryExistingDataRange(ctx, ex, symbol, interval, since, until)
|
|
if err != nil && err != sql.ErrNoRows {
|
|
return err
|
|
}
|
|
|
|
if err == sql.ErrNoRows || t1 == nil || t2 == nil {
|
|
// fallback to fresh sync
|
|
return s.SyncFresh(ctx, ex, symbol, interval, since, until)
|
|
}
|
|
|
|
return s.SyncPartial(ctx, ex, symbol, interval, since, until)
|
|
}
|
|
|
|
// SyncPartial
|
|
// find the existing data time range (t1, t2)
|
|
// scan if there is a missing part
|
|
// create a time range slice []TimeRange
|
|
// iterate the []TimeRange slice to sync data.
|
|
func (s *BacktestService) SyncPartial(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) error {
|
|
log.Infof("starting partial sync %s %s %s: %s <=> %s", ex.Name(), symbol, interval, since, until)
|
|
|
|
t1, t2, err := s.QueryExistingDataRange(ctx, ex, symbol, interval, since, until)
|
|
if err != nil && err != sql.ErrNoRows {
|
|
return err
|
|
}
|
|
|
|
if err == sql.ErrNoRows || t1 == nil || t2 == nil {
|
|
// fallback to fresh sync
|
|
return s.SyncFresh(ctx, ex, symbol, interval, since, until)
|
|
}
|
|
|
|
timeRanges, err := s.FindMissingTimeRanges(ctx, ex, symbol, interval, t1.Time(), t2.Time())
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if len(timeRanges) > 0 {
|
|
log.Infof("found missing data time ranges: %v", timeRanges)
|
|
}
|
|
|
|
// there are few cases:
|
|
// t1 == since && t2 == until
|
|
// [since] ------- [t1] data [t2] ------ [until]
|
|
if since.Before(t1.Time()) && t1.Time().Sub(since) > interval.Duration() {
|
|
// shift slice
|
|
timeRanges = append([]TimeRange{
|
|
{Start: since.Add(-2 * time.Second), End: t1.Time()}, // we should include since
|
|
}, timeRanges...)
|
|
}
|
|
|
|
if t2.Time().Before(until) && until.Sub(t2.Time()) > interval.Duration() {
|
|
timeRanges = append(timeRanges, TimeRange{
|
|
Start: t2.Time(),
|
|
End: until.Add(-interval.Duration()), // include until
|
|
})
|
|
}
|
|
|
|
for _, timeRange := range timeRanges {
|
|
err = s.SyncKLineByInterval(ctx, ex, symbol, interval, timeRange.Start.Add(time.Second), timeRange.End.Add(-time.Second))
|
|
if err != nil {
|
|
return err
|
|
}
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
// FindMissingTimeRanges returns the missing time ranges, the start/end time represents the existing data time points.
|
|
// So when sending kline query to the exchange API, we need to add one second to the start time and minus one second to the end time.
|
|
func (s *BacktestService) FindMissingTimeRanges(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, since, until time.Time) ([]TimeRange, error) {
|
|
query := SelectKLineTimePoints(ex.Name(), symbol, interval, since, until)
|
|
sql, args, err := query.ToSql()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
rows, err := s.DB.QueryContext(ctx, sql, args...)
|
|
defer rows.Close()
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
var timeRanges []TimeRange
|
|
var lastTime = since
|
|
var intervalDuration = interval.Duration()
|
|
for rows.Next() {
|
|
var tt types.Time
|
|
if err := rows.Scan(&tt); err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
var t = time.Time(tt)
|
|
if t.Sub(lastTime) > intervalDuration {
|
|
timeRanges = append(timeRanges, TimeRange{
|
|
Start: lastTime,
|
|
End: t,
|
|
})
|
|
}
|
|
|
|
lastTime = t
|
|
}
|
|
|
|
if lastTime.Before(until) && until.Sub(lastTime) > intervalDuration {
|
|
timeRanges = append(timeRanges, TimeRange{
|
|
Start: lastTime,
|
|
End: until,
|
|
})
|
|
}
|
|
|
|
return timeRanges, nil
|
|
}
|
|
|
|
func (s *BacktestService) QueryExistingDataRange(ctx context.Context, ex types.Exchange, symbol string, interval types.Interval, tArgs ...time.Time) (start, end *types.Time, err error) {
|
|
sel := SelectKLineTimeRange(ex.Name(), symbol, interval, tArgs...)
|
|
sql, args, err := sel.ToSql()
|
|
if err != nil {
|
|
return nil, nil, err
|
|
}
|
|
|
|
var t1, t2 types.Time
|
|
|
|
row := s.DB.QueryRowContext(ctx, sql, args...)
|
|
|
|
if err := row.Scan(&t1, &t2); err != nil {
|
|
return nil, nil, err
|
|
}
|
|
|
|
if err := row.Err(); err != nil {
|
|
return nil, nil, err
|
|
}
|
|
|
|
if t1 == (types.Time{}) || t2 == (types.Time{}) {
|
|
return nil, nil, nil
|
|
}
|
|
|
|
return &t1, &t2, nil
|
|
}
|
|
|
|
func SelectKLineTimePoints(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
|
|
conditions := sq.And{
|
|
sq.Eq{"symbol": symbol},
|
|
sq.Eq{"`interval`": interval.String()},
|
|
}
|
|
|
|
if len(args) == 2 {
|
|
since := args[0]
|
|
until := args[1]
|
|
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
|
|
}
|
|
|
|
tableName := targetKlineTable(ex)
|
|
|
|
return sq.Select("start_time").
|
|
From(tableName).
|
|
Where(conditions).
|
|
OrderBy("start_time ASC")
|
|
}
|
|
|
|
// SelectKLineTimeRange returns the existing klines time range (since < kline.start_time < until)
|
|
func SelectKLineTimeRange(ex types.ExchangeName, symbol string, interval types.Interval, args ...time.Time) sq.SelectBuilder {
|
|
conditions := sq.And{
|
|
sq.Eq{"symbol": symbol},
|
|
sq.Eq{"`interval`": interval.String()},
|
|
}
|
|
|
|
if len(args) == 2 {
|
|
// NOTE
|
|
// sqlite does not support timezone format, so we are converting to local timezone
|
|
// mysql works in this case, so this is a workaround
|
|
since := args[0]
|
|
until := args[1]
|
|
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
|
|
}
|
|
|
|
tableName := targetKlineTable(ex)
|
|
|
|
return sq.Select("MIN(start_time) AS t1, MAX(start_time) AS t2").
|
|
From(tableName).
|
|
Where(conditions)
|
|
}
|
|
|
|
// TODO: add is_futures column since the klines data is different
|
|
func SelectLastKLines(ex types.ExchangeName, symbol string, interval types.Interval, startTime, endTime time.Time, limit uint64) sq.SelectBuilder {
|
|
tableName := targetKlineTable(ex)
|
|
return sq.Select("*").
|
|
From(tableName).
|
|
Where(sq.And{
|
|
sq.Eq{"symbol": symbol},
|
|
sq.Eq{"`interval`": interval.String()},
|
|
sq.Expr("start_time BETWEEN ? AND ?", startTime, endTime),
|
|
}).
|
|
OrderBy("start_time DESC").
|
|
Limit(limit)
|
|
}
|