backtest

package
v1.29.0 Latest Latest
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 Go to latest Published: Apr 1, 2022 License: MIT Imports: 13 Imported by: 3

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.

  1. 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

This section is empty.

Variables

View Source 
var DefaultFeeRate = fixedpoint.NewFromFloat(0.075 * 0.01)

DefaultFeeRate set the fee rate for most cases BINANCE uses 0.1% for both maker and taker 

for BNB holders, it's 0.075% for both maker and taker

MAX uses 0.050% for maker and 0.15% for taker

View Source 
var ErrUnimplemented = errors.New("unimplemented method")

Functions

This section is empty.

Types

type Exchange 

type Exchange struct {
	// 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) CancelOrders 

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

func (*Exchange) CloseMarketData added in v1.28.0 

func (e *Exchange) CloseMarketData() error

func (*Exchange) ConsumeKLine added in v1.28.0 

func (e *Exchange) ConsumeKLine(k types.KLine)

func (*Exchange) GetMarketData added in v1.28.0 

func (e *Exchange) GetMarketData() (chan types.KLine, error)

func (*Exchange) InitMarketData added in v1.28.0 

func (e *Exchange) InitMarketData()

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) QueryTicker added in v1.11.1 

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

func (*Exchange) QueryTickers added in v1.11.0 

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) SubmitOrders 

func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err 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 SimplePriceMatching 

type SimplePriceMatching struct {
	Symbol string
	Market types.Market

	LastPrice   fixedpoint.Value
	LastKLine   types.KLine
	CurrentTime time.Time

	Account *types.Account

	MakerFeeRate fixedpoint.Value `json:"makerFeeRate"`
	TakerFeeRate fixedpoint.Value `json:"takerFeeRate"`
	// contains filtered or unexported fields
}

SimplePriceMatching implements a simple kline data driven matching engine for backtest

func (*SimplePriceMatching) BuyToPrice 

func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade)

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) (closedOrders *types.Order, trades *types.Trade, err error)

func (*SimplePriceMatching) SellToPrice 

func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade)

type Stream 

type Stream struct {
	types.StandardStream
	// contains filtered or unexported fields
}

func (*Stream) Close 

func (s *Stream) Close() error

func (*Stream) Connect 

func (s *Stream) Connect(ctx context.Context) error

Source Files

View all Source files

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