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Update everything to use new DataFrame wrapper

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This commit is contained in:
Luke I. Wilson
2023-05-14 15:28:02 -05:00
parent 7899f3f509
commit c00a468249
6 changed files with 39 additions and 36 deletions
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21
backtesting.go
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@@ -5,7 +5,6 @@ import (
"strconv"
"time"
df "github.com/rocketlaunchr/dataframe-go"
"golang.org/x/exp/rand"
)
@@ -31,7 +30,7 @@ func Backtest(trader *Trader) {
type TestBroker struct {
SignalManager
DataBroker Broker
Data *df.DataFrame
Data *DataFrame
Cash float64
Leverage float64
Spread float64 // Number of pips to add to the price when buying and subtract when selling. (Forex)
@@ -42,10 +41,10 @@ type TestBroker struct {
positions []Position
}
func (b *TestBroker) Candles(symbol string, frequency string, count int) (*df.DataFrame, error) {
func (b *TestBroker) Candles(symbol string, frequency string, count int) (*DataFrame, error) {
// Check if we reached the end of the existing data.
if b.Data != nil && b.candleCount >= b.Data.NRows() {
return b.Data.Copy(), ErrEOF
if b.Data != nil && b.candleCount >= b.Data.Len() {
return b.Data.Copy(0, -1), ErrEOF
}
// Catch up to the start candles.
@@ -59,7 +58,7 @@ func (b *TestBroker) Candles(symbol string, frequency string, count int) (*df.Da
// candles does the same as the public Candles except it doesn't increment b.candleCount so that it can be used
// internally to fetch candles without incrementing the count.
func (b *TestBroker) candles(symbol string, frequency string, count int) (*df.DataFrame, error) {
func (b *TestBroker) candles(symbol string, frequency string, count int) (*DataFrame, error) {
if b.DataBroker != nil && b.Data == nil {
// Fetch a lot of candles from the broker so we don't keep asking.
candles, err := b.DataBroker.Candles(symbol, frequency, Max(count, 1000))
@@ -83,7 +82,7 @@ func (b *TestBroker) candles(symbol string, frequency string, count int) (*df.Da
end := Max(b.candleCount, 1) - 1
start := Max(Max(b.candleCount, 1)-count, 0)
return b.Data.Copy(df.Range{Start: &start, End: &end}), nil
return b.Data.Copy(start, end), nil
}
func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takeProfit float64) (Order, error) {
@@ -96,11 +95,7 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
return nil, err
}
}
closeIdx, err := b.Data.NameToColumn("Close")
if err != nil {
return nil, err
}
price := b.Data.Series[closeIdx].Value(Max(b.candleCount-1, 0)).(float64) // Get the last close price.
price := b.Data.Close(Max(b.candleCount-1, 0)) // Get the last close price.
// Instantly fulfill the order.
b.Cash -= price * units * LeverageToMargin(b.Leverage)
@@ -138,7 +133,7 @@ func (b *TestBroker) Positions() []Position {
return b.positions
}
func NewTestBroker(dataBroker Broker, data *df.DataFrame, cash, leverage, spread float64, startCandles int) *TestBroker {
func NewTestBroker(dataBroker Broker, data *DataFrame, cash, leverage, spread float64, startCandles int) *TestBroker {
return &TestBroker{
DataBroker: dataBroker,
Data: data,