98 lines
2.2 KiB
Go
98 lines
2.2 KiB
Go
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package backtest
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import (
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"fmt"
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"path/filepath"
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"strconv"
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"time"
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"go.uber.org/multierr"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/data/tsv"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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const DateFormat = "2006-01-02T15:04"
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type symbolInterval struct {
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Symbol string
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Interval types.Interval
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}
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// KLineDumper dumps the received kline data into a folder for the backtest report to load the charts.
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type KLineDumper struct {
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OutputDirectory string
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writers map[symbolInterval]*tsv.Writer
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filenames map[symbolInterval]string
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}
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func NewKLineDumper(outputDirectory string) *KLineDumper {
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return &KLineDumper{
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OutputDirectory: outputDirectory,
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writers: make(map[symbolInterval]*tsv.Writer),
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filenames: make(map[symbolInterval]string),
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}
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}
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func (d *KLineDumper) Filenames() map[symbolInterval]string {
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return d.filenames
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}
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func (d *KLineDumper) formatFileName(symbol string, interval types.Interval) string {
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return filepath.Join(d.OutputDirectory, fmt.Sprintf("%s-%s.tsv",
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symbol,
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interval))
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}
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var csvHeader = []string{"date", "startTime", "endTime", "interval", "open", "high", "low", "close", "volume"}
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func (d *KLineDumper) encode(k types.KLine) []string {
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return []string{
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time.Time(k.StartTime).Format(time.ANSIC), // ANSIC date - for javascript to parse (this works with Date.parse(date_str)
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strconv.FormatInt(k.StartTime.Unix(), 10),
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strconv.FormatInt(k.EndTime.Unix(), 10),
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k.Interval.String(),
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k.Open.String(),
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k.High.String(),
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k.Low.String(),
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k.Close.String(),
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k.Volume.String(),
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}
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}
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func (d *KLineDumper) Record(k types.KLine) error {
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si := symbolInterval{Symbol: k.Symbol, Interval: k.Interval}
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w, ok := d.writers[si]
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if !ok {
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filename := d.formatFileName(k.Symbol, k.Interval)
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w2, err := tsv.NewWriterFile(filename)
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if err != nil {
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return err
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}
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w = w2
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d.writers[si] = w2
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d.filenames[si] = filename
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if err2 := w2.Write(csvHeader); err2 != nil {
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return err2
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}
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}
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return w.Write(d.encode(k))
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}
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func (d *KLineDumper) Close() error {
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var err error = nil
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for _, w := range d.writers {
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w.Flush()
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err2 := w.Close()
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if err2 != nil {
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err = multierr.Append(err, err2)
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}
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}
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return err
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}
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