backtest

package
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 Go to latest Published: Jul 15, 2023 License: AGPL-3.0 Imports: 29 Imported by: 0

Documentation

Overview

The backtest process

The backtest engine loads the klines from the database into a kline-channel, there are multiple matching engine that matches the order sent from the strategy.

for each kline, the backtest engine:

1) load the kline, run matching logics to send out order update and trades to the user data stream. 2) once the matching process for the kline is done, the kline will be pushed to the market data stream. 3) go to 1 and load the next kline.

There are 2 ways that a strategy could work with backtest engine:

  1. the strategy receives kline from the market data stream, and then it submits the order by the given market data to the backtest engine. backtest engine receives the order and then pushes the trade and order updates to the user data stream.

    the strategy receives the trade and update its position.

  2. the strategy places the orders when it starts. (like grid) the strategy then receives the order updates and then submit a new order by its order update message.

We need to ensure that:

  1. if the strategy submits the order from the market data stream, since it's a separate goroutine, the strategy should block the backtest engine to process the trades before the next kline is published.

Index

Constants

View Source 
const DateFormat = "2006-01-02T15:04"
View Source 
const FeeToken = "FEE"

FeeToken is used to simulate the exchange platform fee token This is to ease the back-testing environment for closing positions.

View Source 
const SessionTimeFormat = "2006-01-02T15_04"

Variables

View Source 
var ErrNegativeQuantity = errors.New("order quantity can not be negative")
View Source 
var ErrUnimplemented = errors.New("unimplemented method")
View Source 
var ErrZeroQuantity = errors.New("order quantity can not be zero")
View Source 
var FS = &fs{}

Functions

func AddReportIndexRun 

func AddReportIndexRun(outputDirectory string, run Run) error

func CollectSubscriptionIntervals 

func CollectSubscriptionIntervals(environ *bbgo.Environment) (allKLineIntervals map[types.Interval]struct{}, requiredInterval types.Interval, backTestIntervals []types.Interval)

func FormatSessionName 

func FormatSessionName(sessions []string, symbols []string, startTime, endTime time.Time) string

FormatSessionName returns the back-test session name

func InQuoteAsset 

func InQuoteAsset(balances types.BalanceMap, market types.Market, price fixedpoint.Value) fixedpoint.Value

InQuoteAsset converts all balances in quote asset

func WriteReportIndex 

func WriteReportIndex(outputDirectory string, reportIndex *ReportIndex) error

Types

type Exchange 

type Exchange struct {
	MarketDataStream types.StandardStreamEmitter

	Src *ExchangeDataSource
	// contains filtered or unexported fields
}

func NewExchange 

func NewExchange(sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest) (*Exchange, error)

func (*Exchange) BindUserData 

func (e *Exchange) BindUserData(userDataStream types.StandardStreamEmitter)

func (*Exchange) CancelOrders 

func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) error

func (*Exchange) CloseMarketData 

func (e *Exchange) CloseMarketData() error

func (*Exchange) ConsumeKLine 

func (e *Exchange) ConsumeKLine(k types.KLine, requiredInterval types.Interval)

func (*Exchange) Name 

func (e *Exchange) Name() types.ExchangeName

func (*Exchange) NewStream 

func (e *Exchange) NewStream() types.Stream

func (*Exchange) PlatformFeeCurrency 

func (e *Exchange) PlatformFeeCurrency() string

func (*Exchange) QueryAccount 

func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error)

func (*Exchange) QueryAccountBalances 

func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)

func (*Exchange) QueryClosedOrders 

func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error)

func (*Exchange) QueryDepositHistory 

func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error)

func (*Exchange) QueryKLines 

func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error)

func (*Exchange) QueryMarkets 

func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error)

func (*Exchange) QueryOpenOrders 

func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error)

func (*Exchange) QueryOrder 

func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.Order, error)

func (*Exchange) QueryTicker 

func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error)

func (*Exchange) QueryTickers 

func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error)

func (*Exchange) QueryTrades 

func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) ([]types.Trade, error)

func (*Exchange) QueryWithdrawHistory 

func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error)

func (*Exchange) SubmitOrder 

func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error)

func (*Exchange) SubscribeMarketData 

func (e *Exchange) SubscribeMarketData(startTime, endTime time.Time, requiredInterval types.Interval, extraIntervals ...types.Interval) (chan types.KLine, error)

type ExchangeDataSource 

type ExchangeDataSource struct {
	C         chan types.KLine
	Exchange  *Exchange
	Session   *bbgo.ExchangeSession
	Callbacks []func(types.KLine, *ExchangeDataSource)
}

func InitializeExchangeSources 

func InitializeExchangeSources(sessions map[string]*bbgo.ExchangeSession, startTime, endTime time.Time, requiredInterval types.Interval, extraIntervals ...types.Interval) (exchangeSources []*ExchangeDataSource, err error)

type FeeModeFunction 

type FeeModeFunction func(order *types.Order, market *types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string)

type Instance 

type Instance interface {
	ID() string
	InstanceID() string
}

type InstancePropertyIndex 

type InstancePropertyIndex struct {
	ID         string
	InstanceID string
	Property   string
}

type KLineDumper 

type KLineDumper struct {
	OutputDirectory string
	// contains filtered or unexported fields
}

KLineDumper dumps the received kline data into a folder for the backtest report to load the charts.

func NewKLineDumper 

func NewKLineDumper(outputDirectory string) *KLineDumper

func (*KLineDumper) Close 

func (d *KLineDumper) Close() error

func (*KLineDumper) Filenames 

func (d *KLineDumper) Filenames() map[symbolInterval]string

func (*KLineDumper) Record 

func (d *KLineDumper) Record(k types.KLine) error

type ManifestEntry 

type ManifestEntry struct {
	Type             string `json:"type"`
	Filename         string `json:"filename"`
	StrategyID       string `json:"strategyID"`
	StrategyInstance string `json:"strategyInstance"`
	StrategyProperty string `json:"strategyProperty"`
}

type Manifests 

type Manifests map[InstancePropertyIndex]string

func (Manifests) MarshalJSON 

func (m Manifests) MarshalJSON() ([]byte, error)

func (*Manifests) UnmarshalJSON 

func (m *Manifests) UnmarshalJSON(j []byte) error

type PriceOrder 

type PriceOrder struct {
	Price fixedpoint.Value
	Order types.Order
}

type PriceOrderSlice 

type PriceOrderSlice []PriceOrder

func (PriceOrderSlice) Find 

func (slice PriceOrderSlice) Find(price fixedpoint.Value, descending bool) (pv PriceOrder, idx int)

FindPriceVolumePair finds the pair by the given price, this function is a read-only operation, so we use the value receiver to avoid copy value from the pointer If the price is not found, it will return the index where the price can be inserted at. true for descending (bid orders), false for ascending (ask orders)

func (PriceOrderSlice) First 

func (slice PriceOrderSlice) First() (PriceOrder, bool)

func (PriceOrderSlice) InsertAt 

func (slice PriceOrderSlice) InsertAt(idx int, po PriceOrder) PriceOrderSlice

func (PriceOrderSlice) Len 

func (slice PriceOrderSlice) Len() int

func (PriceOrderSlice) Less 

func (slice PriceOrderSlice) Less(i, j int) bool

func (PriceOrderSlice) Remove 

func (slice PriceOrderSlice) Remove(price fixedpoint.Value, descending bool) PriceOrderSlice

func (PriceOrderSlice) Swap 

func (slice PriceOrderSlice) Swap(i, j int)

func (PriceOrderSlice) Upsert 

func (slice PriceOrderSlice) Upsert(po PriceOrder, descending bool) PriceOrderSlice

type ReportIndex 

type ReportIndex struct {
	Runs []Run `json:"runs,omitempty"`
}

func LoadReportIndex 

func LoadReportIndex(outputDirectory string) (*ReportIndex, error)

type Run 

type Run struct {
	ID     string       `json:"id"`
	Config *bbgo.Config `json:"config"`
	Time   time.Time    `json:"time"`
}

type SessionSymbolReport 

type SessionSymbolReport struct {
	Exchange        types.ExchangeName        `json:"exchange"`
	Symbol          string                    `json:"symbol,omitempty"`
	Intervals       []types.Interval          `json:"intervals,omitempty"`
	Subscriptions   []types.Subscription      `json:"subscriptions"`
	Market          types.Market              `json:"market"`
	LastPrice       fixedpoint.Value          `json:"lastPrice,omitempty"`
	StartPrice      fixedpoint.Value          `json:"startPrice,omitempty"`
	PnL             *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
	InitialBalances types.BalanceMap          `json:"initialBalances,omitempty"`
	FinalBalances   types.BalanceMap          `json:"finalBalances,omitempty"`
	Manifests       Manifests                 `json:"manifests,omitempty"`
	Sharpe          fixedpoint.Value          `json:"sharpeRatio"`
	Sortino         fixedpoint.Value          `json:"sortinoRatio"`
	ProfitFactor    fixedpoint.Value          `json:"profitFactor"`
	WinningRatio    fixedpoint.Value          `json:"winningRatio"`
}

SessionSymbolReport is the report per exchange session trades are merged, collected and re-calculated

func (*SessionSymbolReport) FinalEquityValue 

func (r *SessionSymbolReport) FinalEquityValue() fixedpoint.Value

func (*SessionSymbolReport) InitialEquityValue 

func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value

func (*SessionSymbolReport) Print 

func (r *SessionSymbolReport) Print(wantBaseAssetBaseline bool)

type SimplePriceMatching 

type SimplePriceMatching struct {
	Symbol string
	Market types.Market
	// contains filtered or unexported fields
}

SimplePriceMatching implements a simple kline data driven matching engine for backtest

func (*SimplePriceMatching) CancelOrder 

func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error)

func (*SimplePriceMatching) EmitBalanceUpdate 

func (m *SimplePriceMatching) EmitBalanceUpdate(balances types.BalanceMap)

func (*SimplePriceMatching) EmitOrderUpdate 

func (m *SimplePriceMatching) EmitOrderUpdate(order types.Order)

func (*SimplePriceMatching) EmitTradeUpdate 

func (m *SimplePriceMatching) EmitTradeUpdate(trade types.Trade)

func (*SimplePriceMatching) OnBalanceUpdate 

func (m *SimplePriceMatching) OnBalanceUpdate(cb func(balances types.BalanceMap))

func (*SimplePriceMatching) OnOrderUpdate 

func (m *SimplePriceMatching) OnOrderUpdate(cb func(order types.Order))

func (*SimplePriceMatching) OnTradeUpdate 

func (m *SimplePriceMatching) OnTradeUpdate(cb func(trade types.Trade))

func (*SimplePriceMatching) PlaceOrder 

func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *types.Trade, error)

PlaceOrder returns the created order object, executed trade (if any) and error

type StateRecorder 

type StateRecorder struct {
	// contains filtered or unexported fields
}

func NewStateRecorder 

func NewStateRecorder(outputDir string) *StateRecorder

func (*StateRecorder) Close 

func (r *StateRecorder) Close() error

func (*StateRecorder) Manifests 

func (r *StateRecorder) Manifests() Manifests

func (*StateRecorder) Scan 

func (r *StateRecorder) Scan(instance Instance) error

func (*StateRecorder) Snapshot 

func (r *StateRecorder) Snapshot() (int, error)

type SummaryReport 

type SummaryReport struct {
	StartTime            time.Time        `json:"startTime"`
	EndTime              time.Time        `json:"endTime"`
	Sessions             []string         `json:"sessions"`
	Symbols              []string         `json:"symbols"`
	Intervals            []types.Interval `json:"intervals"`
	InitialTotalBalances types.BalanceMap `json:"initialTotalBalances"`
	FinalTotalBalances   types.BalanceMap `json:"finalTotalBalances"`

	InitialEquityValue fixedpoint.Value `json:"initialEquityValue"`
	FinalEquityValue   fixedpoint.Value `json:"finalEquityValue"`

	// TotalProfit is the profit aggregated from the symbol reports
	TotalProfit           fixedpoint.Value `json:"totalProfit,omitempty"`
	TotalUnrealizedProfit fixedpoint.Value `json:"totalUnrealizedProfit,omitempty"`

	TotalGrossProfit fixedpoint.Value `json:"totalGrossProfit,omitempty"`
	TotalGrossLoss   fixedpoint.Value `json:"totalGrossLoss,omitempty"`

	SymbolReports []SessionSymbolReport `json:"symbolReports,omitempty"`

	Manifests Manifests `json:"manifests,omitempty"`
}

SummaryReport is the summary of the back-test session

func ReadSummaryReport 

func ReadSummaryReport(filename string) (*SummaryReport, error)

Source Files

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