release candidate csvsource backtest

Author: go-dockly

.gitignore

@@ -14,6 +14,7 @@
 *.out
 
 .idea
+.vscode
 
 # Dependency directories (remove the comment below to include it)
 # vendor/
@@ -48,6 +49,7 @@ testoutput
 
 *.swp
 /pkg/backtest/assets.go
+/data/backtest
 
 coverage.txt
 coverage_dum.txt

doc/topics/back-testing.md

@@ -1,9 +1,13 @@
 ## Back-testing
 
-*Before you start back-testing, you need to setup [MySQL](../../README.md#configure-mysql-database) or [SQLite3
+Currently bbgo supports two ways to run backtests:
+
+  1: Through csv data source (supported right now are binance, bybit and OkEx)
+
+  2: Alternatively run backtests through [MySQL](../../README.md#configure-mysql-database) or [SQLite3
 ](../../README.md#configure-sqlite3-database). Using MySQL is highly recommended.*
 
-First, you need to add the back-testing config to your `bbgo.yaml`:
+Let's start by adding the back-testing section to your config eg: `bbgo.yaml`:
 
 ```yaml
 backtest:
@@ -41,8 +45,11 @@ Note on date formats, the following date formats are supported:
 * RFC822, which looks like `02 Jan 06 15:04 MST`
 * You can also use `2021-11-26T15:04:56`
 
-And then, you can sync remote exchange k-lines (candle bars) data for back-testing:
-
+And then, you can sync remote exchange k-lines (candle bars) data for back-testing through csv data source:
+```sh
+bbgo backtest -v --csv --verify --config config/grid.yaml
+```
+or use the sql data source like so:
 ```sh
 bbgo backtest -v --sync --config config/grid.yaml
 ```
@@ -67,6 +74,11 @@ Run back-test:
 ```sh
 bbgo backtest --base-asset-baseline --config config/grid.yaml
 ```
+or through csv data source
+
+```sh
+bbgo backtest -v --csv --base-asset-baseline --config config/grid.yaml --output data/backtest
+```
 
 If you're developing a strategy, you might want to start with a command like this:
 

pkg/backtest/exchange.go

@@ -55,7 +55,7 @@ var ErrEmptyOrderType = errors.New("order type can not be empty string")
 type Exchange struct {
 	sourceName     types.ExchangeName
 	publicExchange types.Exchange
-	srv            *service.BacktestService
+	srv            service.BackTestable
 	currentTime    time.Time
 
 	account *types.Account
@@ -78,7 +78,7 @@ type Exchange struct {
 }
 
 func NewExchange(
-	sourceName types.ExchangeName, sourceExchange types.Exchange, srv *service.BacktestService, config *bbgo.Backtest,
+	sourceName types.ExchangeName, sourceExchange types.Exchange, srv service.BackTestable, config *bbgo.Backtest,
 ) (*Exchange, error) {
 	ex := sourceExchange
 
@@ -366,6 +366,7 @@ func (e *Exchange) SubscribeMarketData(
 			loadedIntervals[sub.Options.Interval] = struct{}{}
 
 		default:
+			// todo support stream back test with csv tick source
 			// Since Environment is not yet been injected at this point, no hard error
 			log.Errorf("stream channel %s is not supported in backtest", sub.Channel)
 		}
@@ -375,12 +376,12 @@ func (e *Exchange) SubscribeMarketData(
 	for symbol := range loadedSymbols {
 		symbols = append(symbols, symbol)
 	}
+	symbols = append(symbols, "FXSUSDT")
 
 	var intervals []types.Interval
 	for interval := range loadedIntervals {
 		intervals = append(intervals, interval)
 	}
-
 	log.Infof("querying klines from database with exchange: %v symbols: %v and intervals: %v for back-testing", e.Name(), symbols, intervals)
 	if len(symbols) == 0 {
 		log.Warnf("empty symbols, will not query kline data from the database")

pkg/backtest/report.go

@@ -68,49 +68,21 @@ func ReadSummaryReport(filename string) (*SummaryReport, error) {
 // SessionSymbolReport is the report per exchange session
 // trades are merged, collected and re-calculated
 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"`
-	TradeCount               fixedpoint.Value          `json:"tradeCount,omitempty"`
-	RoundTurnCount           fixedpoint.Value          `json:"roundTurnCount,omitempty"`
-	TotalNetProfit           fixedpoint.Value          `json:"totalNetProfit,omitempty"`
-	AvgNetProfit             fixedpoint.Value          `json:"avgNetProfit,omitempty"`
-	GrossProfit              fixedpoint.Value          `json:"grossProfit,omitempty"`
-	GrossLoss                fixedpoint.Value          `json:"grossLoss,omitempty"`
-	PRR                      fixedpoint.Value          `json:"prr,omitempty"`
-	PercentProfitable        fixedpoint.Value          `json:"percentProfitable,omitempty"`
-	MaxDrawdown              fixedpoint.Value          `json:"maxDrawdown,omitempty"`
-	AverageDrawdown          fixedpoint.Value          `json:"avgDrawdown,omitempty"`
-	MaxProfit                fixedpoint.Value          `json:"maxProfit,omitempty"`
-	MaxLoss                  fixedpoint.Value          `json:"maxLoss,omitempty"`
-	AvgProfit                fixedpoint.Value          `json:"avgProfit,omitempty"`
-	AvgLoss                  fixedpoint.Value          `json:"avgLoss,omitempty"`
-	TotalTimeInMarketSec     int64                     `json:"totalTimeInMarketSec,omitempty"`
-	AvgHoldSec               int64                     `json:"avgHoldSec,omitempty"`
-	WinningCount             int                       `json:"winningCount,omitempty"`
-	LosingCount              int                       `json:"losingCount,omitempty"`
-	MaxLossStreak            int                       `json:"maxLossStreak,omitempty"`
-	Sharpe                   fixedpoint.Value          `json:"sharpeRatio"`
-	AnnualHistoricVolatility fixedpoint.Value          `json:"annualHistoricVolatility,omitempty"`
-	CAGR                     fixedpoint.Value          `json:"cagr,omitempty"`
-	Calmar                   fixedpoint.Value          `json:"calmar,omitempty"`
-	Sterling                 fixedpoint.Value          `json:"sterling,omitempty"`
-	Burke                    fixedpoint.Value          `json:"burke,omitempty"`
-	Kelly                    fixedpoint.Value          `json:"kelly,omitempty"`
-	OptimalF                 fixedpoint.Value          `json:"optimalF,omitempty"`
-	StatN                    fixedpoint.Value          `json:"statN,omitempty"`
-	StdErr                   fixedpoint.Value          `json:"statNStdErr,omitempty"`
-	Sortino                  fixedpoint.Value          `json:"sortinoRatio"`
-	ProfitFactor             fixedpoint.Value          `json:"profitFactor"`
-	WinningRatio             fixedpoint.Value          `json:"winningRatio"`
+	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"`
 }
 
 func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {

pkg/bbgo/config.go

@@ -12,6 +12,7 @@ import (
 	"github.com/pkg/errors"
 	"gopkg.in/yaml.v3"
 
+	"github.com/c9s/bbgo/pkg/datasource/csvsource"
 	"github.com/c9s/bbgo/pkg/datatype"
 	"github.com/c9s/bbgo/pkg/dynamic"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -150,7 +151,8 @@ type Backtest struct {
 	Sessions []string                   `json:"sessions" yaml:"sessions"`
 
 	// sync 1 second interval KLines
-	SyncSecKLines bool `json:"syncSecKLines,omitempty" yaml:"syncSecKLines,omitempty"`
+	SyncSecKLines bool                 `json:"syncSecKLines,omitempty" yaml:"syncSecKLines,omitempty"`
+	CsvSource     *csvsource.CsvConfig `json:"csvConfig,omitempty" yaml:"csvConfig,omitempty"`
 }
 
 func (b *Backtest) GetAccount(n string) BacktestAccount {

pkg/bbgo/environment.go

@@ -40,9 +40,9 @@ func init() {
 // IsBackTesting is a global variable that indicates the current environment is back-test or not.
 var IsBackTesting = false
 
-var BackTestService *service.BacktestService
+var BackTestService service.BackTestable
 
-func SetBackTesting(s *service.BacktestService) {
+func SetBackTesting(s service.BackTestable) {
 	BackTestService = s
 	IsBackTesting = s != nil
 }
@@ -85,7 +85,7 @@ type Environment struct {
 	TradeService      *service.TradeService
 	ProfitService     *service.ProfitService
 	PositionService   *service.PositionService
-	BacktestService   *service.BacktestService
+	BacktestService   service.BackTestable
 	RewardService     *service.RewardService
 	MarginService     *service.MarginService
 	SyncService       *service.SyncService