Merge pull request c9s#813 from zenixls2/feature/drift_study

feature: drift study

config/drift.yaml

@@ -0,0 +1,80 @@
+---
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+sessions:
+  binance:
+    exchange: binance
+    futures: false
+    envVarPrefix: binance
+    heikinAshi: false
+
+exchangeStrategies:
+
+- on: binance
+  drift:
+    canvasPath: "./output.png"
+    symbol: ETHUSDT
+    # kline interval for indicators
+    interval: 15m
+    window: 2
+    stoploss: 0.3%
+    source: close
+    predictOffset: 2
+    # position avg +- takeProfitFactor * atr as take profit price
+    takeProfitFactor: 1.4
+    noTrailingStopLoss: true
+    # stddev on high/low-source
+    hlVarianceMultiplier: 0.22
+
+    generateGraph: true
+    graphPNLDeductFee: false
+    graphPNLPath: "./pnl.png"
+    graphCumPNLPath: "./cumpnl.png"
+    #exits:
+    #- roiStopLoss:
+    #   percentage: 0.8%
+    #- roiTakeProfit:
+    #   percentage: 35%
+    #- protectiveStopLoss:
+    #   activationRatio: 0.6%
+    #   stopLossRatio: 0.1%
+    #   placeStopOrder: false
+    #- protectiveStopLoss:
+    #   activationRatio: 5%
+    #   stopLossRatio: 1%
+    #   placeStopOrder: false
+    #- cumulatedVolumeTakeProfit:
+    #   interval: 5m
+    #   window: 2
+    #   minQuoteVolume: 200_000_000
+    #- protectiveStopLoss:
+    #    activationRatio: 2%
+    #    stopLossRatio: 1%
+    #    placeStopOrder: false
+
+sync:
+  userDataStream:
+    trades: true
+    filledOrders: true
+  sessions:
+    - binance
+  symbols:
+    - ETHUSDT
+
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-06-18"
+  symbols:
+    - ETHUSDT
+  sessions: [binance]
+  accounts:
+    binance:
+      #makerFeeRate: 0.00001
+      #takerFeeRate: 0.00001
+      balances:
+        ETH: 10
+        USDT: 5000.0

config/driftBTC.yaml

@@ -0,0 +1,91 @@
+---
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+sessions:
+  binance:
+    exchange: binance
+    futures: false
+    envVarPrefix: binance
+    heikinAshi: false
+
+exchangeStrategies:
+
+- on: binance
+  drift:
+    canvasPath: "./output.png"
+    symbol: BTCBUSD
+    # kline interval for indicators
+    interval: 15m
+    window: 2
+    stoploss: 0.3%
+    source: close
+    predictOffset: 2
+    # position avg +- takeProfitFactor * atr as take profit price
+    takeProfitFactor: 1.2
+    noTrailingStopLoss: true
+    # stddev on high/low-source
+    hlVarianceMultiplier: 0.27
+
+    generateGraph: true
+    graphPNLDeductFee: true
+    graphPNLPath: "./pnl.png"
+    graphCumPNLPath: "./cumpnl.png"
+    exits:
+    #- roiStopLoss:
+    #   percentage: 0.8%
+    #- roiTakeProfit:
+    #   percentage: 3%
+    #- protectiveStopLoss:
+    #   activationRatio: 0.5%
+    #   stopLossRatio: 0.1%
+    #   placeStopOrder: false
+    - trailingStop:
+        callbackRate: 1%
+        # activationRatio is relative to the average cost,
+        # when side is buy, 1% means lower 1% than the average cost.
+        # when side is sell, 1% means higher 1% than the average cost.
+        activationRatio: 3%
+        # minProfit uses the position ROI to calculate the profit ratio
+        minProfit: 1%
+        interval: 1m
+        side: buy
+        closePosition: 100%
+    #- protectiveStopLoss:
+    #   activationRatio: 5%
+    #   stopLossRatio: 1%
+    #   placeStopOrder: false
+    #- cumulatedVolumeTakeProfit:
+    #   interval: 5m
+    #   window: 2
+    #   minQuoteVolume: 200_000_000
+    #- protectiveStopLoss:
+    #    activationRatio: 2%
+    #    stopLossRatio: 1%
+    #    placeStopOrder: false
+
+sync:
+  userDataStream:
+    trades: true
+    filledOrders: true
+  sessions:
+    - binance
+  symbols:
+    - BTCBUSD
+
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-06-18"
+  symbols:
+    - BTCBUSD
+  sessions: [binance]
+  accounts:
+    binance:
+      makerFeeRate: 0.000
+      takerFeeRate: 0.00075
+      balances:
+        BTC: 10
+        BUSD: 5000.0

go.mod

@@ -2,7 +2,7 @@
 
 module github.com/c9s/bbgo
 
-go 1.17
+go 1.18
 
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.0
@@ -43,6 +43,7 @@ require (
 	github.com/spf13/viper v1.7.1
 	github.com/stretchr/testify v1.7.0
 	github.com/valyala/fastjson v1.5.1
+	github.com/wcharczuk/go-chart/v2 v2.1.0
 	github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90
 	github.com/x-cray/logrus-prefixed-formatter v0.5.2
 	github.com/zserge/lorca v0.1.9
@@ -75,6 +76,7 @@ require (
 	github.com/go-test/deep v1.0.6 // indirect
 	github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 // indirect
 	github.com/golang-sql/sqlexp v0.1.0 // indirect
+	github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 // indirect
 	github.com/golang/mock v1.6.0 // indirect
 	github.com/golang/protobuf v1.5.2 // indirect
 	github.com/hashicorp/hcl v1.0.0 // indirect
@@ -117,6 +119,7 @@ require (
 	go.opentelemetry.io/otel/trace v0.19.0 // indirect
 	go.uber.org/atomic v1.9.0 // indirect
 	golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e // indirect
+	golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 // indirect
 	golang.org/x/mod v0.5.1 // indirect
 	golang.org/x/net v0.0.0-20220403103023-749bd193bc2b // indirect
 	golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c // indirect

go.sum

@@ -182,6 +182,7 @@ github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0kt
 github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
 github.com/golang-sql/sqlexp v0.1.0 h1:ZCD6MBpcuOVfGVqsEmY5/4FtYiKz6tSyUv9LPEDei6A=
 github.com/golang-sql/sqlexp v0.1.0/go.mod h1:J4ad9Vo8ZCWQ2GMrC4UCQy1JpCbwU9m3EOqtpKwwwHI=
+github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 h1:DACJavvAHhabrF08vX0COfcOBJRhZ8lUbR+ZWIs0Y5g=
 github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0/go.mod h1:E/TSTwGwJL78qG/PmXZO1EjYhfJinVAhrmmHX6Z8B9k=
 github.com/golang/glog v0.0.0-20160126235308-23def4e6c14b/go.mod h1:SBH7ygxi8pfUlaOkMMuAQtPIUF8ecWP5IEl/CR7VP2Q=
 github.com/golang/groupcache v0.0.0-20190129154638-5b532d6fd5ef/go.mod h1:cIg4eruTrX1D+g88fzRXU5OdNfaM+9IcxsU14FzY7Hc=
@@ -516,6 +517,7 @@ github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0
 github.com/ugorji/go/codec v1.2.3/go.mod h1:5FxzDJIgeiWJZslYHPj+LS1dq1ZBQVelZFnjsFGI/Uc=
 github.com/valyala/fastjson v1.5.1 h1:SXaQZVSwLjZOVhDEhjiCcDtnX0Feu7Z7A1+C5atpoHM=
 github.com/valyala/fastjson v1.5.1/go.mod h1:CLCAqky6SMuOcxStkYQvblddUtoRxhYMGLrsQns1aXY=
+github.com/wcharczuk/go-chart/v2 v2.1.0 h1:tY2slqVQ6bN+yHSnDYwZebLQFkphK4WNrVwnt7CJZ2I=
 github.com/wcharczuk/go-chart/v2 v2.1.0/go.mod h1:yx7MvAVNcP/kN9lKXM/NTce4au4DFN99j6i1OwDclNA=
 github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90 h1:G/O1RFjhc9hgVYjaPQ0Oceqxf3GwRQl/5XEAWYetjmg=
 github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90/go.mod h1:rpXAuuHgyEJb6kXcXldlkOjU6y4x+YcASKKXJNUhh0Y=
@@ -584,6 +586,7 @@ golang.org/x/exp v0.0.0-20200224162631-6cc2880d07d6/go.mod h1:3jZMyOhIsHpP37uCMk
 golang.org/x/image v0.0.0-20180708004352-c73c2afc3b81/go.mod h1:ux5Hcp/YLpHSI86hEcLt0YII63i6oz57MZXIpbrjZUs=
 golang.org/x/image v0.0.0-20190227222117-0694c2d4d067/go.mod h1:kZ7UVZpmo3dzQBMxlp+ypCbDeSB+sBbTgSJuh5dn5js=
 golang.org/x/image v0.0.0-20190802002840-cff245a6509b/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
+golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 h1:QelT11PB4FXiDEXucrfNckHoFxwt8USGY1ajP1ZF5lM=
 golang.org/x/image v0.0.0-20200927104501-e162460cd6b5/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
 golang.org/x/lint v0.0.0-20181026193005-c67002cb31c3/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
 golang.org/x/lint v0.0.0-20190227174305-5b3e6a55c961/go.mod h1:wehouNa3lNwaWXcvxsM5YxQ5yQlVC4a0KAMCusXpPoU=

pkg/bbgo/environment.go

@@ -453,6 +453,10 @@ func (environ *Environment) SetStartTime(t time.Time) *Environment {
 	return environ
 }
 
+func (environ *Environment) StartTime() time.Time {
+	return environ.startTime
+}
+
 // SetSyncStartTime overrides the default trade scan time (-7 days)
 func (environ *Environment) SetSyncStartTime(t time.Time) *Environment {
 	environ.syncStartTime = t

pkg/bbgo/order_executor_general.go

@@ -2,6 +2,7 @@ package bbgo
 
 import (
 	"context"
+	"fmt"
 	"strings"
 
 	log "github.com/sirupsen/logrus"
@@ -102,7 +103,7 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
 
 	createdOrders, err := e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
 	if err != nil {
-		log.WithError(err).Errorf("can not place orders")
+		err = fmt.Errorf("can not place orders: %w", err)
 	}
 
 	e.orderStore.Add(createdOrders...)
@@ -113,9 +114,11 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
 
 // GracefulCancelActiveOrderBook cancels the orders from the active orderbook.
 func (e *GeneralOrderExecutor) GracefulCancelActiveOrderBook(ctx context.Context, activeOrders *ActiveOrderBook) error {
+	if activeOrders.NumOfOrders() == 0 {
+		return nil
+	}
 	if err := activeOrders.GracefulCancel(ctx, e.session.Exchange); err != nil {
-		log.WithError(err).Errorf("graceful cancel order error")
-		return err
+		return fmt.Errorf("graceful cancel order error: %w", err)
 	}
 
 	e.tradeCollector.Process()

pkg/cmd/builtin.go

@@ -33,4 +33,5 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/xnav"
 	_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
+	_ "github.com/c9s/bbgo/pkg/strategy/drift"
 )

pkg/indicator/alma.go

@@ -15,8 +15,8 @@ import (
 type ALMA struct {
 	types.SeriesBase
 	types.IntervalWindow         // required
-	Offset               float64 // required: recommend to be 5
-	Sigma                int     // required: recommend to be 0.5
+	Offset               float64 // required: recommend to be 0.5
+	Sigma                int     // required: recommend to be 5
 	weight               []float64
 	sum                  float64
 	input                []float64

pkg/indicator/atr.go

@@ -22,6 +22,24 @@ type ATR struct {
 
 var _ types.SeriesExtend = &ATR{}
 
+func (inc *ATR) Clone() *ATR {
+	out := &ATR{
+		IntervalWindow:       inc.IntervalWindow,
+		PercentageVolatility: inc.PercentageVolatility[:],
+		PreviousClose:        inc.PreviousClose,
+		RMA:                  inc.RMA.Clone().(*RMA),
+		EndTime:              inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR {
+	c := inc.Clone()
+	c.Update(high, low, cloze)
+	return c
+}
+
 func (inc *ATR) Update(high, low, cloze float64) {
 	if inc.Window <= 0 {
 		panic("window must be greater than 0")

pkg/indicator/boll.go

@@ -21,7 +21,6 @@ Bollinger Bands Technical indicator guide:
 
 //go:generate callbackgen -type BOLL
 type BOLL struct {
-	types.SeriesBase
 	types.IntervalWindow
 
 	// K is the multiplier of Std, generally it's 2
@@ -74,7 +73,6 @@ func (inc *BOLL) LastDownBand() float64 {
 
 func (inc *BOLL) Update(value float64) {
 	if inc.SMA == nil {
-		inc.SeriesBase.Series = inc
 		inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow}
 	}
 

pkg/indicator/const.go

@@ -9,4 +9,3 @@ import (
 var three = fixedpoint.NewFromInt(3)
 
 var zeroTime = time.Time{}
-

pkg/indicator/dema.go

@@ -18,6 +18,23 @@ type DEMA struct {
 	UpdateCallbacks []func(value float64)
 }
 
+func (inc *DEMA) Clone() *DEMA {
+	out := &DEMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		a1:             inc.a1.Clone(),
+		a2:             inc.a2.Clone(),
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *DEMA) TestUpdate(value float64) *DEMA {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *DEMA) Update(value float64) {
 	if len(inc.Values) == 0 {
 		inc.SeriesBase.Series = inc