feature: add multiple exchange support in backtest

fix: change doc, since --exchange removed from backtest

fix: test for config changes

config/bollgrid.yaml

@@ -52,11 +52,12 @@ backtest:
   symbols:
   - BTCUSDT
   account:
-    makerCommission: 15
-    takerCommission: 15
-    balances:
-      BTC: 0.0
-      USDT: 10000.0
+    max:
+      makerCommission: 15
+      takerCommission: 15
+      balances:
+        BTC: 0.0
+        USDT: 10000.0
 
 exchangeStrategies:
 - on: max

config/bollmaker.yaml

@@ -5,8 +5,13 @@ persistence:
     port: 6379
     db: 0
 
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: BINANCE
+
 # example command:
-#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
 backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
@@ -16,9 +21,10 @@ backtest:
   symbols:
   - ETHUSDT
   account:
-    balances:
-      ETH: 1.0
-      USDT: 20_000.0
+    binance:
+      balances:
+        ETH: 1.0
+        USDT: 20_000.0
 
 exchangeStrategies:
 

config/grid-usdttwd.yaml

@@ -30,12 +30,13 @@ backtest:
   symbols:
   - USDTTWD
   account:
-    makerCommission: 15
-    takerCommission: 15
-    balances:
-      BTC: 0.0
-      USDT: 10_000.0
-      TWD: 100_000.0
+    max:
+      makerCommission: 15
+      takerCommission: 15
+      balances:
+        BTC: 0.0
+        USDT: 10_000.0
+        TWD: 100_000.0
 
 exchangeStrategies:
 - on: max

config/grid.yaml

@@ -4,9 +4,9 @@ sessions:
     exchange: binance
     envVarPrefix: binance
 
-  max:
-    exchange: max
-    envVarPrefix: max
+  #max:
+  #  exchange: max
+  #  envVarPrefix: max
 
 riskControls:
   # This is the session-based risk controller, which let you configure different risk controller by session.
@@ -26,23 +26,24 @@ riskControls:
               maxOrderAmount: 1000.0
 
 # example command:
-#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
 backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2021-01-10"
-  endTime: "2021-01-21"
+  startTime: "2022-01-10"
+  endTime: "2022-01-11"
   symbols:
-  - BTCUSDT
+    - BTCUSDT
   account:
-    balances:
-      BTC: 0.0
-      USDT: 10000.0
+    binance:
+      balances:
+        BTC: 0.0
+        USDT: 10000.0
 
 exchangeStrategies:
 
-- on: max
+- on: binance
   grid:
     symbol: BTCUSDT
     quantity: 0.001

config/pricedrop.yaml

@@ -40,18 +40,19 @@ backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2020-01-01"
-  endTime: "2020-01-15"
+  startTime: "2022-01-01"
+  endTime: "2022-01-15"
   symbols:
   - BTCUSDT
   account:
-    makerCommission: 15
-    takerCommission: 15
-    buyerCommission: 0
-    sellerCommission: 0
-    balances:
-      BTC: 0.1
-      USDT: 10000.0
+    binance:
+      makerCommission: 15
+      takerCommission: 15
+      buyerCommission: 0
+      sellerCommission: 0
+      balances:
+        BTC: 0.1
+        USDT: 10000.0
 
 exchangeStrategies:
 - on: binance

config/schedule-ethusdt.yaml

@@ -1,14 +1,21 @@
 ---
-# time godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange binance --base-asset-baseline --config config/schedule-ethusdt.yaml -v
+
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+# time godotenv -f .env.local -- go run ./cmd/bbgo backtest --base-asset-baseline --config config/schedule-ethusdt.yaml -v
 backtest:
   startTime: "2021-08-01"
   endTime: "2021-08-07"
   symbols:
   - ETHUSDT
   account:
-    balances:
-      ETH: 1.0
-      USDT: 20_000.0
+    binance:
+      balances:
+        ETH: 1.0
+        USDT: 20_000.0
 
 riskControls:
   # This is the session-based risk controller, which let you configure different risk controller by session.

config/skeleton.yaml

@@ -16,6 +16,7 @@ backtest:
   symbols:
     - BNBBUSD
   account:
-    balances:
-      BNB: 0
-      BUSD: 10000
+    binance:
+      balances:
+        BNB: 0
+        BUSD: 10000

config/support-margin.yaml

@@ -44,29 +44,29 @@ backtest:
   startTime: "2020-09-04"
   endTime: "2020-09-14"
   symbols:
-  - BTCUSDT
-  - ETHUSDT
+  - LINKUSDT
   account:
-    makerCommission: 15
-    takerCommission: 15
-    balances:
-      BTC: 0.0
-      USDT: 10000.0
+    binance:
+      makerCommission: 15
+      takerCommission: 15
+      balances:
+        LINK: 0.0
+        USDT: 10000.0
 
 exchangeStrategies:
 
 - on: binance_margin_linkusdt
   support:
     symbol: LINKUSDT
     interval: 1m
-    minVolume: 1_000
+    minVolume: 2_000
     marginOrderSideEffect: borrow
 
     scaleQuantity:
       byVolume:
         exp:
           domain: [ 1_000, 200_000 ]
-          range: [ 0.5, 1.0 ]
+          range: [ 3.0, 5.0 ]
 
     maxBaseAssetBalance: 1000.0
     minQuoteAssetBalance: 2000.0

config/support.yaml

@@ -44,9 +44,10 @@ backtest:
   - BTCUSDT
   - ETHUSDT
   account:
-    balances:
-      BTC: 0.0
-      USDT: 10000.0
+    binance:
+      balances:
+        BTC: 0.0
+        USDT: 10000.0
 
 exchangeStrategies:
 

doc/commands/bbgo.md

@@ -47,7 +47,7 @@ bbgo [flags]
 * [bbgo orderupdate](bbgo_orderupdate.md)	 - Listen to order update events
 * [bbgo pnl](bbgo_pnl.md)	 - pnl calculator
 * [bbgo run](bbgo_run.md)	 - run strategies from config file
-* [bbgo submit-order](bbgo_submit-order.md)	 - place limit order to the exchange
+* [bbgo submit-order](bbgo_submit-order.md)	 - place order to the exchange
 * [bbgo sync](bbgo_sync.md)	 - sync trades and orders history
 * [bbgo trades](bbgo_trades.md)	 - Query trading history
 * [bbgo tradeupdate](bbgo_tradeupdate.md)	 - Listen to trade update events

doc/commands/bbgo_account.md

@@ -3,7 +3,7 @@
 show user account details (ex: balance)
 
 ```
-bbgo account [--session=[exchange_name]] [flags]
+bbgo account [--session SESSION] [flags]
 ```
 
 ### Options

doc/commands/bbgo_backtest.md

@@ -10,7 +10,6 @@ bbgo backtest [flags]
 
 ```
       --base-asset-baseline   use base asset performance as the competitive baseline performance
-      --exchange string       target exchange
       --force                 force execution without confirm
   -h, --help                  help for backtest
       --output string         the report output directory

doc/commands/bbgo_balances.md

@@ -3,7 +3,7 @@
 Show user account balances
 
 ```
-bbgo balances --session SESSION [flags]
+bbgo balances [--session SESSION] [flags]
 ```
 
 ### Options

doc/commands/bbgo_submit-order.md

@@ -1,6 +1,6 @@
 ## bbgo submit-order
 
-place limit order to the exchange
+place order to the exchange
 
 ```
 bbgo submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANTITY [--price PRICE] [flags]

doc/topics/back-testing.md

@@ -20,9 +20,10 @@ backtest:
 
   account:
     # the initial account balance you want to start with
-    balances:
-      BTC: 0.0
-      USDT: 10000.0
+    binance: # exchange name
+      balances:
+        BTC: 0.0
+        USDT: 10000.0
 ```
 
 Note on date formats, the following date formats are supported:
@@ -33,7 +34,7 @@ Note on date formats, the following date formats are supported:
 And then, you can sync remote exchange k-lines (candle bars) data for back-testing:
 
 ```sh
-bbgo backtest --exchange binance -v --sync --sync-only --sync-from 2020-11-01 --config config/grid.yaml
+bbgo backtest -v --sync --sync-only --sync-from 2020-11-01 --config config/grid.yaml
 ```
 
 Note that, you should sync from an earlier date before your startTime because some indicator like EMA needs more data to calculate the current EMA value.
@@ -48,13 +49,13 @@ Here we sync one month before `2021-01-10`.
 Run back-test:
 
 ```sh
-bbgo backtest --exchange binance --base-asset-baseline --config config/grid.yaml
+bbgo backtest --base-asset-baseline --config config/grid.yaml
 ```
 
 If you're developing a strategy, you might want to start with a command like this:
 
 ```shell
-godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange binance --config config/grid.yaml --base-asset-baseline
+godotenv -f .env.local -- go run ./cmd/bbgo backtest --config config/grid.yaml --base-asset-baseline
 ```
 
 ## See Also