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Implemented backtesting orders

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This commit is contained in:
Luke I. Wilson
2023-05-13 09:09:11 -05:00
parent 2ca0ccc293
commit 4a12b93992
5 changed files with 177 additions and 32 deletions
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33
backtesting_test.go
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@@ -21,13 +21,14 @@ const testDataCSV = `date,open,high,low,close,volume
func newTestingDataframe() *df.DataFrame {
data, err := ReadDataCSVFromReader(strings.NewReader(testDataCSV), DataCSVLayout{
DateFormat: "2006-01-02",
Date: "date",
Open: "open",
High: "high",
Low: "low",
Close: "close",
Volume: "volume",
LatestFirst: false,
DateFormat: "2006-01-02",
Date: "date",
Open: "open",
High: "high",
Low: "low",
Close: "close",
Volume: "volume",
})
if err != nil {
panic(err)
@@ -37,7 +38,7 @@ func newTestingDataframe() *df.DataFrame {
func TestBacktestingBrokerCandles(t *testing.T) {
data := newTestingDataframe()
broker := NewTestBroker(nil, data, 0, 0, 0)
broker := NewTestBroker(nil, data, 0, 0, 0, 0)
candles, err := broker.Candles("EUR_USD", "D", 3)
if err != nil {
@@ -79,17 +80,17 @@ func TestBacktestingBrokerCandles(t *testing.T) {
}
func TestBacktestingBrokerFunctions(t *testing.T) {
broker := NewTestBroker(nil, nil, 100000, 20, 0)
broker := NewTestBroker(nil, nil, 100_000, 20, 0, 0)
if broker.NAV() != 100000 {
t.Errorf("Expected NAV to be 100000, got %f", broker.NAV())
if broker.NAV() != 100_000 {
t.Errorf("Expected NAV to be 100_000, got %f", broker.NAV())
}
}
func TestBacktestingBrokerOrders(t *testing.T) {
broker := NewTestBroker(nil, newTestingDataframe(), 100000, 50, 0)
broker := NewTestBroker(nil, newTestingDataframe(), 100_000, 50, 0, 0)
timeBeforeOrder := time.Now()
order, err := broker.MarketOrder("EUR_USD", 1000, 0, 0) // Buy 50,000 USD for 1000 EUR with no stop loss or take profit
order, err := broker.MarketOrder("EUR_USD", 50_000, 0, 0) // Buy 50,000 USD for 1000 EUR with no stop loss or take profit
if err != nil {
t.Fatal(err)
}
@@ -100,11 +101,11 @@ func TestBacktestingBrokerOrders(t *testing.T) {
if order.Symbol() != "EUR_USD" {
t.Errorf("Expected symbol to be EUR_USD, got %s", order.Symbol())
}
if order.Units() != 1000 {
t.Errorf("Expected units to be 1000, got %f", order.Units())
if order.Units() != 50_000 {
t.Errorf("Expected units to be 50_000, got %f", order.Units())
}
if order.Price() != 1.15 {
t.Errorf("Expected open price to be 1.15 (first close), got %f", order.Price())
t.Errorf("Expected order price to be 1.15 (first close), got %f", order.Price())
}
if order.Fulfilled() != true {
t.Error("Expected order to be fulfilled")