package backtest import ( "errors" "os" "strings" "testing" "time" "github.com/shopspring/decimal" "github.com/thrasher-corp/gocryptotrader/backtester/common" "github.com/thrasher-corp/gocryptotrader/backtester/config" "github.com/thrasher-corp/gocryptotrader/backtester/data" "github.com/thrasher-corp/gocryptotrader/backtester/data/kline" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/eventholder" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/exchange" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/risk" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/size" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/statistics" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/strategies" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/strategies/base" "github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/strategies/dollarcostaverage" "github.com/thrasher-corp/gocryptotrader/backtester/funding" "github.com/thrasher-corp/gocryptotrader/backtester/report" gctcommon "github.com/thrasher-corp/gocryptotrader/common" "github.com/thrasher-corp/gocryptotrader/common/convert" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/database" "github.com/thrasher-corp/gocryptotrader/database/drivers" "github.com/thrasher-corp/gocryptotrader/engine" gctexchange "github.com/thrasher-corp/gocryptotrader/exchanges" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline" ) const testExchange = "Bitstamp" var leet *decimal.Decimal func TestMain(m *testing.M) { oneThreeThreeSeven := decimal.NewFromInt(1337) leet = &oneThreeThreeSeven os.Exit(m.Run()) } func TestNewFromConfig(t *testing.T) { t.Parallel() _, err := NewFromConfig(nil, "", "") if !errors.Is(err, errNilConfig) { t.Errorf("received %v, expected %v", err, errNilConfig) } cfg := &config.Config{} _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, base.ErrStrategyNotFound) { t.Errorf("received: %v, expected: %v", err, base.ErrStrategyNotFound) } cfg.CurrencySettings = []config.CurrencySettings{ { ExchangeName: "test", Base: "test", Quote: "test", }, } _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, engine.ErrExchangeNotFound) { t.Errorf("received: %v, expected: %v", err, engine.ErrExchangeNotFound) } cfg.CurrencySettings[0].ExchangeName = testExchange _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, errInvalidConfigAsset) { t.Errorf("received: %v, expected: %v", err, errInvalidConfigAsset) } cfg.CurrencySettings[0].Asset = asset.Spot.String() _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, currency.ErrPairNotFound) { t.Errorf("received: %v, expected: %v", err, currency.ErrPairNotFound) } cfg.CurrencySettings[0].Base = "btc" cfg.CurrencySettings[0].Quote = "usd" _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, base.ErrStrategyNotFound) { t.Errorf("received: %v, expected: %v", err, base.ErrStrategyNotFound) } cfg.StrategySettings = config.StrategySettings{ Name: dollarcostaverage.Name, CustomSettings: map[string]interface{}{ "hello": "moto", }, } cfg.CurrencySettings[0].Base = "BTC" cfg.CurrencySettings[0].Quote = "USD" cfg.DataSettings.APIData = &config.APIData{ StartDate: time.Time{}, EndDate: time.Time{}, } _, err = NewFromConfig(cfg, "", "") if err != nil && !strings.Contains(err.Error(), "unrecognised dataType") { t.Error(err) } cfg.DataSettings.DataType = common.CandleStr _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, errIntervalUnset) { t.Errorf("received: %v, expected: %v", err, errIntervalUnset) } cfg.DataSettings.Interval = gctkline.OneMin.Duration() cfg.CurrencySettings[0].MakerFee = decimal.Zero cfg.CurrencySettings[0].TakerFee = decimal.Zero _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, gctcommon.ErrDateUnset) { t.Errorf("received: %v, expected: %v", err, gctcommon.ErrDateUnset) } cfg.DataSettings.APIData.StartDate = time.Now().Add(-time.Minute) cfg.DataSettings.APIData.EndDate = time.Now() cfg.DataSettings.APIData.InclusiveEndDate = true _, err = NewFromConfig(cfg, "", "") if !errors.Is(err, nil) { t.Errorf("received: %v, expected: %v", err, nil) } } func TestLoadDataAPI(t *testing.T) { t.Parallel() bt := BackTest{ Reports: &report.Data{}, } cp := currency.NewPair(currency.BTC, currency.USDT) cfg := &config.Config{ CurrencySettings: []config.CurrencySettings{ { ExchangeName: "Binance", Asset: asset.Spot.String(), Base: cp.Base.String(), Quote: cp.Quote.String(), InitialQuoteFunds: leet, Leverage: config.Leverage{}, BuySide: config.MinMax{}, SellSide: config.MinMax{}, MakerFee: decimal.Zero, TakerFee: decimal.Zero, }, }, DataSettings: config.DataSettings{ DataType: common.CandleStr, Interval: gctkline.OneMin.Duration(), APIData: &config.APIData{ StartDate: time.Now().Add(-time.Minute), EndDate: time.Now(), }}, StrategySettings: config.StrategySettings{ Name: dollarcostaverage.Name, CustomSettings: map[string]interface{}{ "hello": "moto", }, }, } em := engine.ExchangeManager{} exch, err := em.NewExchangeByName("Binance") if err != nil { t.Fatal(err) } exch.SetDefaults() b := exch.GetBase() b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ Available: currency.Pairs{cp}, Enabled: currency.Pairs{cp}, AssetEnabled: convert.BoolPtr(true), ConfigFormat: ¤cy.PairFormat{Uppercase: true}, RequestFormat: ¤cy.PairFormat{Uppercase: true}} _, err = bt.loadData(cfg, exch, cp, asset.Spot, false) if err != nil { t.Error(err) } } func TestLoadDataDatabase(t *testing.T) { t.Parallel() bt := BackTest{ Reports: &report.Data{}, } cp := currency.NewPair(currency.BTC, currency.USDT) cfg := &config.Config{ CurrencySettings: []config.CurrencySettings{ { ExchangeName: "Binance", Asset: asset.Spot.String(), Base: cp.Base.String(), Quote: cp.Quote.String(), InitialQuoteFunds: leet, Leverage: config.Leverage{}, BuySide: config.MinMax{}, SellSide: config.MinMax{}, MakerFee: decimal.Zero, TakerFee: decimal.Zero, }, }, DataSettings: config.DataSettings{ DataType: common.CandleStr, Interval: gctkline.OneMin.Duration(), DatabaseData: &config.DatabaseData{ Config: database.Config{ Enabled: true, Driver: "sqlite3", ConnectionDetails: drivers.ConnectionDetails{ Database: "gocryptotrader.db", }, }, StartDate: time.Now().Add(-time.Minute), EndDate: time.Now(), InclusiveEndDate: true, }}, StrategySettings: config.StrategySettings{ Name: dollarcostaverage.Name, CustomSettings: map[string]interface{}{ "hello": "moto", }, }, } em := engine.ExchangeManager{} exch, err := em.NewExchangeByName("Binance") if err != nil { t.Fatal(err) } exch.SetDefaults() b := exch.GetBase() b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ Available: currency.Pairs{cp}, Enabled: currency.Pairs{cp}, AssetEnabled: convert.BoolPtr(true), ConfigFormat: ¤cy.PairFormat{Uppercase: true}, RequestFormat: ¤cy.PairFormat{Uppercase: true}} bt.databaseManager, err = engine.SetupDatabaseConnectionManager(&cfg.DataSettings.DatabaseData.Config) if err != nil { t.Fatal(err) } _, err = bt.loadData(cfg, exch, cp, asset.Spot, false) if err != nil && !strings.Contains(err.Error(), "unable to retrieve data from GoCryptoTrader database") { t.Error(err) } } func TestLoadDataCSV(t *testing.T) { t.Parallel() bt := BackTest{ Reports: &report.Data{}, } cp := currency.NewPair(currency.BTC, currency.USDT) cfg := &config.Config{ CurrencySettings: []config.CurrencySettings{ { ExchangeName: "Binance", Asset: asset.Spot.String(), Base: cp.Base.String(), Quote: cp.Quote.String(), InitialQuoteFunds: leet, Leverage: config.Leverage{}, BuySide: config.MinMax{}, SellSide: config.MinMax{}, MakerFee: decimal.Zero, TakerFee: decimal.Zero, }, }, DataSettings: config.DataSettings{ DataType: common.CandleStr, Interval: gctkline.OneMin.Duration(), CSVData: &config.CSVData{ FullPath: "test", }}, StrategySettings: config.StrategySettings{ Name: dollarcostaverage.Name, CustomSettings: map[string]interface{}{ "hello": "moto", }, }, } em := engine.ExchangeManager{} exch, err := em.NewExchangeByName("Binance") if err != nil { t.Fatal(err) } exch.SetDefaults() b := exch.GetBase() b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ Available: currency.Pairs{cp}, Enabled: currency.Pairs{cp}, AssetEnabled: convert.BoolPtr(true), ConfigFormat: ¤cy.PairFormat{Uppercase: true}, RequestFormat: ¤cy.PairFormat{Uppercase: true}} _, err = bt.loadData(cfg, exch, cp, asset.Spot, false) if err != nil && !strings.Contains(err.Error(), "The system cannot find the file specified.") && !strings.Contains(err.Error(), "no such file or directory") { t.Error(err) } } func TestLoadDataLive(t *testing.T) { t.Parallel() bt := BackTest{ Reports: &report.Data{}, shutdown: make(chan struct{}), } cp := currency.NewPair(currency.BTC, currency.USDT) cfg := &config.Config{ CurrencySettings: []config.CurrencySettings{ { ExchangeName: "Binance", Asset: asset.Spot.String(), Base: cp.Base.String(), Quote: cp.Quote.String(), InitialQuoteFunds: leet, Leverage: config.Leverage{}, BuySide: config.MinMax{}, SellSide: config.MinMax{}, MakerFee: decimal.Zero, TakerFee: decimal.Zero, }, }, DataSettings: config.DataSettings{ DataType: common.CandleStr, Interval: gctkline.OneMin.Duration(), LiveData: &config.LiveData{ APIKeyOverride: "test", APISecretOverride: "test", APIClientIDOverride: "test", API2FAOverride: "test", RealOrders: true, }}, StrategySettings: config.StrategySettings{ Name: dollarcostaverage.Name, CustomSettings: map[string]interface{}{ "hello": "moto", }, }, } em := engine.ExchangeManager{} exch, err := em.NewExchangeByName("Binance") if err != nil { t.Fatal(err) } exch.SetDefaults() b := exch.GetBase() b.CurrencyPairs.Pairs = make(map[asset.Item]*currency.PairStore) b.CurrencyPairs.Pairs[asset.Spot] = ¤cy.PairStore{ Available: currency.Pairs{cp}, Enabled: currency.Pairs{cp}, AssetEnabled: convert.BoolPtr(true), ConfigFormat: ¤cy.PairFormat{Uppercase: true}, RequestFormat: ¤cy.PairFormat{Uppercase: true}} _, err = bt.loadData(cfg, exch, cp, asset.Spot, false) if err != nil { t.Error(err) } bt.Stop() } func TestLoadLiveData(t *testing.T) { t.Parallel() err := loadLiveData(nil, nil) if !errors.Is(err, common.ErrNilArguments) { t.Error(err) } cfg := &config.Config{} err = loadLiveData(cfg, nil) if !errors.Is(err, common.ErrNilArguments) { t.Error(err) } b := &gctexchange.Base{ Name: testExchange, API: gctexchange.API{ AuthenticatedSupport: false, AuthenticatedWebsocketSupport: false, PEMKeySupport: false, Credentials: struct { Key string Secret string ClientID string PEMKey string Subaccount string }{}, CredentialsValidator: struct { RequiresPEM bool RequiresKey bool RequiresSecret bool RequiresClientID bool RequiresBase64DecodeSecret bool }{ RequiresPEM: true, RequiresKey: true, RequiresSecret: true, RequiresClientID: true, RequiresBase64DecodeSecret: true, }, }, } err = loadLiveData(cfg, b) if !errors.Is(err, common.ErrNilArguments) { t.Error(err) } cfg.DataSettings.LiveData = &config.LiveData{ RealOrders: true, } cfg.DataSettings.Interval = gctkline.OneDay.Duration() cfg.DataSettings.DataType = common.CandleStr err = loadLiveData(cfg, b) if err != nil { t.Error(err) } cfg.DataSettings.LiveData.APIKeyOverride = "1234" cfg.DataSettings.LiveData.APISecretOverride = "1234" cfg.DataSettings.LiveData.APIClientIDOverride = "1234" cfg.DataSettings.LiveData.API2FAOverride = "1234" cfg.DataSettings.LiveData.APISubAccountOverride = "1234" err = loadLiveData(cfg, b) if err != nil { t.Error(err) } } func TestReset(t *testing.T) { t.Parallel() f := funding.SetupFundingManager(true, false) bt := BackTest{ shutdown: make(chan struct{}), Datas: &data.HandlerPerCurrency{}, Strategy: &dollarcostaverage.Strategy{}, Portfolio: &portfolio.Portfolio{}, Exchange: &exchange.Exchange{}, Statistic: &statistics.Statistic{}, EventQueue: &eventholder.Holder{}, Reports: &report.Data{}, Funding: f, } bt.Reset() if bt.Funding.IsUsingExchangeLevelFunding() { t.Error("expected false") } } func TestFullCycle(t *testing.T) { t.Parallel() ex := testExchange cp := currency.NewPair(currency.BTC, currency.USD) a := asset.Spot tt := time.Now() stats := &statistics.Statistic{} stats.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic) stats.ExchangeAssetPairStatistics[ex] = make(map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic) stats.ExchangeAssetPairStatistics[ex][a] = make(map[currency.Pair]*statistics.CurrencyPairStatistic) port, err := portfolio.Setup(&size.Size{ BuySide: exchange.MinMax{}, SellSide: exchange.MinMax{}, }, &risk.Risk{}, decimal.Zero) if err != nil { t.Error(err) } _, err = port.SetupCurrencySettingsMap(&exchange.Settings{Exchange: ex, Asset: a, Pair: cp}) if err != nil { t.Error(err) } f := funding.SetupFundingManager(false, true) b, err := funding.CreateItem(ex, a, cp.Base, decimal.Zero, decimal.Zero) if err != nil { t.Error(err) } quote, err := funding.CreateItem(ex, a, cp.Quote, decimal.NewFromInt(1337), decimal.Zero) if err != nil { t.Error(err) } pair, err := funding.CreatePair(b, quote) if err != nil { t.Error(err) } err = f.AddPair(pair) if err != nil { t.Error(err) } bt := BackTest{ shutdown: nil, Datas: &data.HandlerPerCurrency{}, Strategy: &dollarcostaverage.Strategy{}, Portfolio: port, Exchange: &exchange.Exchange{}, Statistic: stats, EventQueue: &eventholder.Holder{}, Reports: &report.Data{}, Funding: f, } bt.Datas.Setup() k := kline.DataFromKline{ Item: gctkline.Item{ Exchange: ex, Pair: cp, Asset: a, Interval: gctkline.FifteenMin, Candles: []gctkline.Candle{{ Time: tt, Open: 1337, High: 1337, Low: 1337, Close: 1337, Volume: 1337, }}, }, Base: data.Base{}, RangeHolder: &gctkline.IntervalRangeHolder{ Start: gctkline.CreateIntervalTime(tt), End: gctkline.CreateIntervalTime(tt.Add(gctkline.FifteenMin.Duration())), Ranges: []gctkline.IntervalRange{ { Start: gctkline.CreateIntervalTime(tt), End: gctkline.CreateIntervalTime(tt.Add(gctkline.FifteenMin.Duration())), Intervals: []gctkline.IntervalData{ { Start: gctkline.CreateIntervalTime(tt), End: gctkline.CreateIntervalTime(tt.Add(gctkline.FifteenMin.Duration())), HasData: true, }, }, }, }, }, } err = k.Load() if err != nil { t.Error(err) } bt.Datas.SetDataForCurrency(ex, a, cp, &k) err = bt.Run() if err != nil { t.Error(err) } } func TestStop(t *testing.T) { t.Parallel() bt := BackTest{shutdown: make(chan struct{})} bt.Stop() } func TestFullCycleMulti(t *testing.T) { t.Parallel() ex := testExchange cp := currency.NewPair(currency.BTC, currency.USD) a := asset.Spot tt := time.Now() stats := &statistics.Statistic{} stats.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic) stats.ExchangeAssetPairStatistics[ex] = make(map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic) stats.ExchangeAssetPairStatistics[ex][a] = make(map[currency.Pair]*statistics.CurrencyPairStatistic) port, err := portfolio.Setup(&size.Size{ BuySide: exchange.MinMax{}, SellSide: exchange.MinMax{}, }, &risk.Risk{}, decimal.Zero) if err != nil { t.Error(err) } _, err = port.SetupCurrencySettingsMap(&exchange.Settings{Exchange: ex, Asset: a, Pair: cp}) if err != nil { t.Error(err) } f := funding.SetupFundingManager(false, true) b, err := funding.CreateItem(ex, a, cp.Base, decimal.Zero, decimal.Zero) if err != nil { t.Error(err) } quote, err := funding.CreateItem(ex, a, cp.Quote, decimal.NewFromInt(1337), decimal.Zero) if err != nil { t.Error(err) } pair, err := funding.CreatePair(b, quote) if err != nil { t.Error(err) } err = f.AddPair(pair) if err != nil { t.Error(err) } bt := BackTest{ shutdown: nil, Datas: &data.HandlerPerCurrency{}, Portfolio: port, Exchange: &exchange.Exchange{}, Statistic: stats, EventQueue: &eventholder.Holder{}, Reports: &report.Data{}, Funding: f, } bt.Strategy, err = strategies.LoadStrategyByName(dollarcostaverage.Name, true) if err != nil { t.Error(err) } bt.Datas.Setup() k := kline.DataFromKline{ Item: gctkline.Item{ Exchange: ex, Pair: cp, Asset: a, Interval: gctkline.FifteenMin, Candles: []gctkline.Candle{{ Time: tt, Open: 1337, High: 1337, Low: 1337, Close: 1337, Volume: 1337, }}, }, Base: data.Base{}, RangeHolder: &gctkline.IntervalRangeHolder{ Start: gctkline.CreateIntervalTime(tt), End: gctkline.CreateIntervalTime(tt.Add(gctkline.FifteenMin.Duration())), Ranges: []gctkline.IntervalRange{ { Start: gctkline.CreateIntervalTime(tt), End: gctkline.CreateIntervalTime(tt.Add(gctkline.FifteenMin.Duration())), Intervals: []gctkline.IntervalData{ { Start: gctkline.CreateIntervalTime(tt), End: gctkline.CreateIntervalTime(tt.Add(gctkline.FifteenMin.Duration())), HasData: true, }, }, }, }, }, } err = k.Load() if err != nil { t.Error(err) } bt.Datas.SetDataForCurrency(ex, a, cp, &k) err = bt.Run() if err != nil { t.Error(err) } }