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backtest: fix order update_time update in the matching engine
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fixes: #631
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@c9s
c9s committed May 21, 2022
1 parent f06ec76 commit 18fc68f
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Showing 3 changed files with 94 additions and 25 deletions.
2 changes: 1 addition & 1 deletion apps/backtest-report/components/TradingViewChart.js
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Original file line number Diff line number Diff line change
Expand Up @@ -160,7 +160,7 @@ const ordersToMarkets = (interval, orders) => {
let endTime = (startTime + intervalSecs);
// skip the marker in the same interval of the last marker
if (t < endTime) {
continue
// continue
}
}

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48 changes: 28 additions & 20 deletions pkg/backtest/matching.go
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Original file line number Diff line number Diff line change
Expand Up @@ -7,6 +7,7 @@ import (
"time"

"github.com/pkg/errors"
"github.com/sirupsen/logrus"

"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
Expand All @@ -23,15 +24,18 @@ func incTradeID() uint64 {
return atomic.AddUint64(&tradeID, 1)
}

var klineMatchingLogger = logrus.WithField("backtest", "klineEngine")

// SimplePriceMatching implements a simple kline data driven matching engine for backtest
//go:generate callbackgen -type SimplePriceMatching
type SimplePriceMatching struct {
Symbol string
Market types.Market

mu sync.Mutex
bidOrders []types.Order
askOrders []types.Order
mu sync.Mutex
bidOrders []types.Order
askOrders []types.Order
closedOrders []types.Order

LastPrice fixedpoint.Value
LastKLine types.KLine
Expand Down Expand Up @@ -118,11 +122,9 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
return nil, nil, fmt.Errorf("order quantity %s is less than minQuantity %s, order: %+v", o.Quantity.String(), m.Market.MinQuantity.String(), o)
}

if !price.IsZero() {
quoteQuantity := o.Quantity.Mul(price)
if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
}
quoteQuantity := o.Quantity.Mul(price)
if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
}

switch o.Side {
Expand All @@ -147,7 +149,7 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
m.EmitOrderUpdate(order)

// emit trade before we publish order
trade := m.newTradeFromOrder(order, false)
trade := m.newTradeFromOrder(&order, false)
m.executeTrade(trade)

// update the order status
Expand Down Expand Up @@ -184,11 +186,9 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
// execute trade, update account balances
if trade.IsBuyer {
err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.Price.Mul(trade.Quantity))

m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity.Sub(trade.Fee.Div(trade.Price)))
} else {
err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)

m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price).Sub(trade.Fee))
}

Expand All @@ -201,7 +201,7 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
return
}

func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool) types.Trade {
func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool) types.Trade {
// BINANCE uses 0.1% for both maker and taker
// MAX uses 0.050% for maker and 0.15% for taker
var feeRate fixedpoint.Value
Expand Down Expand Up @@ -258,6 +258,8 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
}

func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
klineMatchingLogger.Debugf("kline buy to price %s", price.String())

var askOrders []types.Order

for _, o := range m.askOrders {
Expand Down Expand Up @@ -320,19 +322,24 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
m.askOrders = askOrders
m.LastPrice = price

for _, o := range closedOrders {
trade := m.newTradeFromOrder(o, true)
for i := range closedOrders {
o := closedOrders[i]
trade := m.newTradeFromOrder(&o, true)
m.executeTrade(trade)
closedOrders[i] = o

trades = append(trades, trade)

m.EmitOrderUpdate(o)
}
m.closedOrders = append(m.closedOrders, closedOrders...)

return closedOrders, trades
}

func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
klineMatchingLogger.Debugf("kline sell to price %s", price.String())

var sellPrice = price
var bidOrders []types.Order
for _, o := range m.bidOrders {
Expand Down Expand Up @@ -370,9 +377,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders

case types.OrderTypeLimit, types.OrderTypeLimitMaker:
if sellPrice.Compare(o.Price) <= 0 {
if o.Price.Compare(m.LastKLine.High) > 0 {
o.Price = m.LastKLine.High
}
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
Expand All @@ -388,14 +392,17 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
m.bidOrders = bidOrders
m.LastPrice = price

for _, o := range closedOrders {
trade := m.newTradeFromOrder(o, true)
for i := range closedOrders {
o := closedOrders[i]
trade := m.newTradeFromOrder(&o, true)
m.executeTrade(trade)
closedOrders[i] = o

trades = append(trades, trade)

m.EmitOrderUpdate(o)
}
m.closedOrders = append(m.closedOrders, closedOrders...)

return closedOrders, trades
}
Expand All @@ -410,7 +417,8 @@ func (m *SimplePriceMatching) processKLine(kline types.KLine) {
m.BuyToPrice(kline.High)
}

if kline.Low.Compare(kline.Close) > 0 {
// if low is lower than close, sell to low first, and then buy up to close
if kline.Low.Compare(kline.Close) < 0 {
m.SellToPrice(kline.Low)
m.BuyToPrice(kline.Close)
} else {
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69 changes: 65 additions & 4 deletions pkg/backtest/matching_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -21,7 +21,69 @@ func newLimitOrder(symbol string, side types.SideType, price, quantity float64)
}
}

func TestSimplePriceMatching_LimitOrder(t *testing.T) {
func TestSimplePriceMatching_processKLine(t *testing.T) {
account := &types.Account{
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
}
account.UpdateBalances(types.BalanceMap{
"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)},
})
market := types.Market{
Symbol: "BTCUSDT",
PricePrecision: 8,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "BTC",
MinNotional: fixedpoint.MustNewFromString("0.001"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("0.001"),
}

t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
engine := &SimplePriceMatching{
Account: account,
Market: market,
CurrentTime: t1,
}

for i := 0; i <= 5; i++ {
var p = 20000.0 + float64(i)*1000.0
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, p, 0.001))
assert.NoError(t, err)
}

t2 := t1.Add(time.Minute)

// should match 25000, 24000
k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000)
assert.Equal(t, t2.Add(time.Minute-time.Millisecond), k.EndTime.Time())

engine.processKLine(k)
assert.Equal(t, 3, len(engine.bidOrders))
assert.Len(t, engine.bidOrders, 3)
assert.Equal(t, 3, len(engine.closedOrders))

for _, o := range engine.closedOrders {
assert.Equal(t, k.EndTime.Time(), o.UpdateTime.Time())
}
}

func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h, l, c float64) types.KLine {
return types.KLine{
Symbol: symbol,
StartTime: types.Time(startTime),
EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)),
Interval: interval,
Open: fixedpoint.NewFromFloat(o),
High: fixedpoint.NewFromFloat(h),
Low: fixedpoint.NewFromFloat(l),
Close: fixedpoint.NewFromFloat(c),
Closed: true,
}
}

func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
account := &types.Account{
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
Expand All @@ -44,9 +106,8 @@ func TestSimplePriceMatching_LimitOrder(t *testing.T) {
}

engine := &SimplePriceMatching{
CurrentTime: time.Now(),
Account: account,
Market: market,
Account: account,
Market: market,
}

for i := 0; i < 5; i++ {
Expand Down

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