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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
View File

@ -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,

29
backtesting_test.go
View File

@ -37,29 +37,29 @@ func newTestingDataframe() *df.DataFrame {
}
func TestBacktestingBrokerCandles(t *testing.T) {
data := newTestingDataframe()
data := NewDataFrame(newTestingDataframe())
broker := NewTestBroker(nil, data, 0, 0, 0, 0)
candles, err := broker.Candles("EUR_USD", "D", 3)
if err != nil {
t.Fatal(err)
}
if candles.NRows() != 1 {
t.Errorf("Expected 1 candle, got %d", candles.NRows())
if candles.Len() != 1 {
t.Errorf("Expected 1 candle, got %d", candles.Len())
}
if candles.Series[0].Value(0).(time.Time) != time.Date(2022, 1, 1, 0, 0, 0, 0, time.UTC) {
t.Errorf("Expected first candle to be 2022-01-01, got %s", candles.Series[0].Value(0))
if candles.Date(0) != time.Date(2022, 1, 1, 0, 0, 0, 0, time.UTC) {
t.Errorf("Expected first candle to be 2022-01-01, got %s", candles.Date(0))
}
candles, err = broker.Candles("EUR_USD", "D", 3)
if err != nil {
t.Fatal(err)
}
if candles.NRows() != 2 {
t.Errorf("Expected 2 candles, got %d", candles.NRows())
if candles.Len() != 2 {
t.Errorf("Expected 2 candles, got %d", candles.Len())
}
if candles.Series[0].Value(1).(time.Time) != time.Date(2022, 1, 2, 0, 0, 0, 0, time.UTC) {
t.Errorf("Expected second candle to be 2022-01-02, got %s", candles.Series[0].Value(1))
if candles.Date(1) != time.Date(2022, 1, 2, 0, 0, 0, 0, time.UTC) {
t.Errorf("Expected second candle to be 2022-01-02, got %s", candles.Date(1))
}
for i := 0; i < 7; i++ { // 7 because we want to call broker.Candles 9 times total
@ -71,11 +71,11 @@ func TestBacktestingBrokerCandles(t *testing.T) {
t.Errorf("Candles is nil on iteration %d", i+1)
}
}
if candles.NRows() != 5 {
t.Errorf("Expected 5 candles, got %d", candles.NRows())
if candles.Len() != 5 {
t.Errorf("Expected 5 candles, got %d", candles.Len())
}
if candles.Series[4].Value(4).(float64) != 1.3 {
t.Errorf("Expected the last closing price to be 1.3, got %f", candles.Series[4].Value(4))
if candles.Close(4) != 1.3 {
t.Errorf("Expected the last closing price to be 1.3, got %f", candles.Close(4))
}
}
@ -88,7 +88,8 @@ func TestBacktestingBrokerFunctions(t *testing.T) {
}
func TestBacktestingBrokerOrders(t *testing.T) {
broker := NewTestBroker(nil, newTestingDataframe(), 100_000, 50, 0, 0)
data := NewDataFrame(newTestingDataframe())
broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
timeBeforeOrder := time.Now()
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 {

4
broker.go
View File

@ -3,8 +3,6 @@ package autotrader
import (
"errors"
"time"
df "github.com/rocketlaunchr/dataframe-go"
)
type OrderType string
@ -53,7 +51,7 @@ type Position interface {
type Broker interface {
// Candles returns a dataframe of candles for the given symbol, frequency, and count by querying the broker.
Candles(symbol string, frequency string, count int) (*df.DataFrame, error)
Candles(symbol string, frequency string, count int) (*DataFrame, error)
MarketOrder(symbol string, units float64, stopLoss, takeProfit float64) (Order, error)
NAV() float64 // NAV returns the net asset value of the account.
// Orders returns a slice of orders that have been placed with the broker. If an order has been canceled or

2
cmd/sma_crossover.go
View File

@ -49,7 +49,7 @@ func main() {
// AccountID: "101-001-14983263-001",
// DemoAccount: true,
// }),
Broker: auto.NewTestBroker(nil, data, 10000, 50, 0.0002, 0),
Broker: auto.NewTestBroker(nil, auto.NewDataFrame(data), 10000, 50, 0.0002, 0),
Strategy: &SMAStrategy{},
Symbol: "EUR_USD",
Frequency: "D",

14
data.go
View File

@ -252,8 +252,18 @@ type DataFrame struct {
data *df.DataFrame // DataFrame with a Date, Open, High, Low, Close, and Volume column.
}
func (o *DataFrame) Copy() *DataFrame {
return &DataFrame{o.data.Copy()}
// Copy copies the DataFrame from start to end (inclusive). If end is -1, it will copy to the end of the DataFrame. If start is out of bounds, nil is returned.
func (o *DataFrame) Copy(start, end int) *DataFrame {
var _end *int
if start < 0 || start >= o.Len() {
return nil
} else if end >= 0 {
if end < start {
return nil
}
_end = &end
}
return &DataFrame{o.data.Copy(df.Range{Start: &start, End: _end})}
}
// Len returns the number of rows in the DataFrame or 0 if the DataFrame is nil.

5
trader.go
View File

@ -9,7 +9,6 @@ import (
"time"
"github.com/go-co-op/gocron"
df "github.com/rocketlaunchr/dataframe-go"
)
// Trader acts as the primary interface to the broker and strategy. To the strategy, it provides all the information
@ -23,12 +22,12 @@ type Trader struct {
CandlesToKeep int
Log *log.Logger
data *df.DataFrame
data *DataFrame
sched *gocron.Scheduler
idx int
}
func (t *Trader) Data() *df.DataFrame {
func (t *Trader) Data() *DataFrame {
return t.data
}