first commit

plugins/backtestResultExporter.js

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+// Small plugin that subscribes to some events, stores
+// them and sends it to the parent process.
+
+const log = require('../core/log');
+const _ = require('lodash');
+const util = require('../core/util.js');
+const env = util.gekkoEnv();
+const config = util.getConfig();
+const moment = require('moment');
+const fs = require('fs');
+
+const BacktestResultExporter = function() {
+  this.performanceReport;
+  this.roundtrips = [];
+  this.stratUpdates = [];
+  this.stratCandles = [];
+  this.trades = [];
+
+  this.candleProps = config.backtestResultExporter.data.stratCandleProps;
+
+  if(!config.backtestResultExporter.data.stratUpdates)
+    this.processStratUpdate = null;
+
+  if(!config.backtestResultExporter.data.roundtrips)
+    this.processRoundtrip = null;
+
+  if(!config.backtestResultExporter.data.stratCandles)
+    this.processStratCandles = null;
+
+  if(!config.backtestResultExporter.data.portfolioValues)
+    this.processPortfolioValueChange = null;
+
+  if(!config.backtestResultExporter.data.trades)
+    this.processTradeCompleted = null;
+
+  _.bindAll(this);
+}
+
+BacktestResultExporter.prototype.processPortfolioValueChange = function(portfolio) {
+  this.portfolioValue = portfolio.balance;
+}
+
+BacktestResultExporter.prototype.processStratCandle = function(candle) {
+  let strippedCandle;
+
+  if(!this.candleProps) {
+    strippedCandle = {
+      ...candle,
+      start: candle.start.unix()
+    }
+  } else {
+    strippedCandle = {
+      ..._.pick(candle, this.candleProps),
+      start: candle.start.unix()
+    }
+  }
+
+  if(config.backtestResultExporter.data.portfolioValues)
+    strippedCandle.portfolioValue = this.portfolioValue;
+
+  this.stratCandles.push(strippedCandle);
+};
+
+BacktestResultExporter.prototype.processRoundtrip = function(roundtrip) {
+  this.roundtrips.push({
+    ...roundtrip,
+    entryAt: roundtrip.entryAt.unix(),
+    exitAt: roundtrip.exitAt.unix()
+  });
+};
+
+BacktestResultExporter.prototype.processTradeCompleted = function(trade) {
+  this.trades.push({
+    ...trade,
+    date: trade.date.unix()
+  });
+};
+
+BacktestResultExporter.prototype.processStratUpdate = function(stratUpdate) {
+  this.stratUpdates.push({
+    ...stratUpdate,
+    date: stratUpdate.date.unix()
+  });
+}
+
+BacktestResultExporter.prototype.processPerformanceReport = function(performanceReport) {
+  this.performanceReport = performanceReport;
+}
+
+BacktestResultExporter.prototype.finalize = function(done) {
+  const backtest = {
+    market: config.watch,
+    tradingAdvisor: config.tradingAdvisor,
+    strategyParameters: config[config.tradingAdvisor.method],
+    performanceReport: this.performanceReport
+  };
+
+  if(config.backtestResultExporter.data.stratUpdates)
+    backtest.stratUpdates = this.stratUpdates;
+
+  if(config.backtestResultExporter.data.roundtrips)
+    backtest.roundtrips = this.roundtrips;
+
+  if(config.backtestResultExporter.data.stratCandles)
+    backtest.stratCandles = this.stratCandles;
+
+  if(config.backtestResultExporter.data.trades)
+    backtest.trades = this.trades;
+
+  if(env === 'child-process') {
+    process.send({backtest});
+  }
+
+  if(config.backtestResultExporter.writeToDisk) {
+    this.writeToDisk(backtest, done);
+  } else {
+    done();
+  }
+};
+
+BacktestResultExporter.prototype.writeToDisk = function(backtest, next) {
+  let filename;
+
+  if(config.backtestResultExporter.filename) {
+    filename = config.backtestResultExporter.filename;
+  } else {
+    const now = moment().format('YYYY-MM-DD_HH-mm-ss');
+    filename = `backtest-${config.tradingAdvisor.method}-${now}.json`;
+  }
+
+  fs.writeFile(
+    util.dirs().gekko + filename,
+    JSON.stringify(backtest),
+    err => {
+      if(err) {
+        log.error('unable to write backtest result', err);
+      } else {
+        log.info('written backtest to: ', util.dirs().gekko + filename);
+      }
+
+      next();
+    }
+  );
+}
+
+module.exports = BacktestResultExporter;