first commit

core/markets/backtest.js

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+var _ = require('lodash');
+var util = require('../util');
+var config = util.getConfig();
+var dirs = util.dirs();
+var log = require(dirs.core + 'log');
+var moment = require('moment');
+
+var adapter = config[config.adapter];
+var Reader = require(dirs.gekko + adapter.path + '/reader');
+var daterange = config.backtest.daterange;
+
+var to = moment.utc(daterange.to);
+var from = moment.utc(daterange.from);
+
+if(to <= from)
+  util.die('This daterange does not make sense.')
+
+if(!from.isValid())
+  util.die('invalid `from`');
+
+if(!to.isValid())
+  util.die('invalid `to`');
+
+var Market = function() {
+
+  _.bindAll(this);
+  this.pushing = false;
+  this.ended = false;
+  this.closed = false;
+
+  Readable.call(this, {objectMode: true});
+
+  log.write('');
+  log.info('\tWARNING: BACKTESTING FEATURE NEEDS PROPER TESTING');
+  log.info('\tWARNING: ACT ON THESE NUMBERS AT YOUR OWN RISK!');
+  log.write('');
+
+  this.reader = new Reader();
+  this.batchSize = config.backtest.batchSize;
+  this.iterator = {
+    from: from.clone(),
+    to: from.clone().add(this.batchSize, 'm').subtract(1, 's')
+  }
+}
+
+var Readable = require('stream').Readable;
+Market.prototype = Object.create(Readable.prototype, {
+  constructor: { value: Market }
+});
+
+Market.prototype._read = _.once(function() {
+  this.get();
+});
+
+Market.prototype.get = function() {
+  if(this.iterator.to >= to) {
+    this.iterator.to = to;
+    this.ended = true;
+  }
+
+  this.reader.get(
+    this.iterator.from.unix(),
+    this.iterator.to.unix(),
+    'full',
+    this.processCandles
+  )
+}
+
+Market.prototype.processCandles = function(err, candles) {
+  this.pushing = true;
+  var amount = _.size(candles);
+
+  if(amount === 0) {
+    if(this.ended) {
+      this.closed = true;
+      this.reader.close();
+      this.push({isFinished: true});
+    } else {
+      util.die('Query returned no candles (do you have local data for the specified range?)');
+    }
+  }
+
+  if(!this.ended && amount < this.batchSize) {
+    var d = function(ts) {
+      return moment.unix(ts).utc().format('YYYY-MM-DD HH:mm:ss');
+    }
+    var from = d(_.first(candles).start);
+    var to = d(_.last(candles).start);
+    log.warn(`Simulation based on incomplete market data (${this.batchSize - amount} missing between ${from} and ${to}).`);
+  }
+
+  _.each(candles, function(c, i) {
+    c.start = moment.unix(c.start);
+    this.push(c);
+  }, this);
+
+  this.pushing = false;
+
+  this.iterator = {
+    from: this.iterator.from.clone().add(this.batchSize, 'm'),
+    to: this.iterator.from.clone().add(this.batchSize * 2, 'm').subtract(1, 's')
+  }
+
+  if(!this.closed)
+    this.get();
+}
+
+module.exports = Market;