Add Gridbot Backtesting PoC

Author: valamidev

.vscode/settings.json

@@ -0,0 +1,3 @@
+{
+    "editor.formatOnSave": true
+}

src/emulator/strategy_optimizer.ts

@@ -33,7 +33,7 @@ export class StrategyOptimizer {
       let value = elem[1][0] + (elem[1][1] - elem[1][0]) * Math.random();
 
       if (elem[1][2] === 'float') {
-        value = _.round(value, elem[1][3]);
+        value = _.floor(value, elem[1][3]);
       }
 
       if (elem[1][2] === 'int') {

src/httpserver/controllers/backtest.controller.ts

@@ -5,10 +5,10 @@ import { OptimizeConfig, BacktestService } from '../services/backtest.service';
 
 @Controller('backtest')
 export class BacktestController {
-  constructor(private backtestService: BacktestService) {}
+  constructor(private backtestService: BacktestService) { }
 
   @Post('optimize')
-  async getAll(@Body() optimizeConfig: OptimizeConfig): Promise<any> {
+  async optimize(@Body() optimizeConfig: OptimizeConfig): Promise<any> {
     try {
       return await this.backtestService.optimize(optimizeConfig);
     } catch (err) {
@@ -17,4 +17,16 @@ export class BacktestController {
       throw new InternalServerErrorException();
     }
   }
+
+  @Post('gridbot')
+  async gridbot(@Body() optimizeConfig: OptimizeConfig): Promise<any> {
+    try {
+      return await this.backtestService.optimize(optimizeConfig);
+    } catch (err) {
+      logger.error(`NestJS API error, ${err}`);
+
+      throw new InternalServerErrorException();
+    }
+  }
+
 }

src/httpserver/controllers/gridbot.controller.ts

@@ -0,0 +1,20 @@
+import { Controller, Post, InternalServerErrorException, Body } from '@nestjs/common';
+
+import { logger } from '../../logger';
+import { GridbotService } from '../services/gridbot.service';
+
+@Controller('gridbot')
+export class GridbotController {
+  constructor(private gridbotService: GridbotService) { }
+
+  @Post('backtest')
+  async backtest(@Body() gridbotConfig: any): Promise<any> {
+    try {
+      return await this.gridbotService.backtest(gridbotConfig);
+    } catch (err) {
+      logger.error(`NestJS API error, ${err}`);
+
+      throw new InternalServerErrorException();
+    }
+  }
+}

src/httpserver/main.module.ts

@@ -5,9 +5,11 @@ import { StrategyService } from './services/strategy.service';
 import { StrategyController } from './controllers/strategy.controller';
 import { BacktestService } from './services/backtest.service';
 import { BacktestController } from './controllers/backtest.controller';
+import { GridbotService } from './services/gridbot.service';
+import { GridbotController } from './controllers/gridbot.controller';
 
 @Module({
-  providers: [TradepairsService, StrategyService, BacktestService],
-  controllers: [TradepairsController, StrategyController, BacktestController],
+  providers: [TradepairsService, StrategyService, BacktestService, GridbotService],
+  controllers: [TradepairsController, StrategyController, BacktestController, GridbotController],
 })
-export class MainModule {}
+export class MainModule { }

src/httpserver/services/gridbot.service.ts

@@ -0,0 +1,45 @@
+import { Injectable } from '@nestjs/common';
+import { OHLCV } from 'sand-ex/build/types';
+import _ from 'lodash';
+
+import tradePairs from '../../tradepairs/tradepairs';
+import { GridBotConfig, GridBot } from '../../grid_bot';
+
+@Injectable()
+export class GridbotService {
+  async backtest(config: any): Promise<any> {
+    const exchange = 'binance';
+    const symbol = 'BTC/USDT';
+    const candleLimit = 1440 * 30;
+
+    const candleData = await tradePairs.getCandlestickFromDB(exchange, symbol, 60, candleLimit);
+
+    if (candleData) {
+      const candleSticks = candleData.map(c => [c.time, c.open, c.high, c.low, c.close, c.volume]);
+
+      // Strategy optimizer, helper function
+      const gridBotConfig: GridBotConfig = {
+        priceLow: 7500,
+        priceHigh: 10000,
+        gridQuantity: 8,
+        balanceQuote: 10000,
+        fee: 0.00075, // 0.0075% / 100,
+      };
+
+      const gridBot = new GridBot(gridBotConfig);
+
+      console.log(candleSticks.length);
+
+      for (let i = 0; i < candleSticks.length; i++) {
+        gridBot.update((candleSticks[i] as unknown) as OHLCV);
+      }
+
+      console.log(gridBot.exchange.getOrders().length);
+
+      console.log(gridBot.balanceAsset);
+      console.log(gridBot.balanceQuote + gridBot.balanceAsset * candleSticks[candleSticks.length - 1][4]);
+
+      return '';
+    }
+  }
+}

src/tradepairs/tradepairs.ts

@@ -19,13 +19,21 @@ class TradePairs {
     limit: number,
   ): Promise<batchedOHLCV | undefined> {
     try {
-      const limitCandlestick = ~~(limit + ((_.max(intervalsTimeInSec) as number) / EXCHANGE_BASE_INTERVAL_IN_SEC) * 1.5);
+      const limitCandlestick = ~~(
+        limit +
+        ((_.max(intervalsTimeInSec) as number) / EXCHANGE_BASE_INTERVAL_IN_SEC) * 1.5
+      );
 
       const batch = {};
       const result = new Map();
 
       if (exchange && symbol && intervalsTimeInSec && limitCandlestick) {
-        const candledata = await this._getCandlestickFromDB(exchange, symbol, EXCHANGE_BASE_INTERVAL_IN_SEC, limitCandlestick);
+        const candledata = await this.getCandlestickFromDB(
+          exchange,
+          symbol,
+          EXCHANGE_BASE_INTERVAL_IN_SEC,
+          limitCandlestick,
+        );
 
         batch[EXCHANGE_BASE_INTERVAL_IN_SEC] = candledata;
 
@@ -55,14 +63,19 @@ class TradePairs {
     }
   }
 
-  private async _getCandlestickFromDB(exchange: string, symbol: string, interval: number, limit: number): Promise<OHLCV[] | undefined> {
+  public async getCandlestickFromDB(
+    exchange: string,
+    symbol: string,
+    interval: number,
+    limit: number,
+  ): Promise<OHLCV[] | undefined> {
     try {
       // eslint-disable-next-line @typescript-eslint/no-explicit-any
       let rows: any = [];
 
       // TODO add proper support Tick Chart values
       if ([16, 32, 64, 128, 256, 512, 1024].indexOf(interval) >= 0) {
-        rows = await this.getTickchartFromDB(exchange, symbol, interval, limit);
+        rows = await this._getTickchartFromDB(exchange, symbol, interval, limit);
 
         // Sort by time asc
         rows = _.sortBy(rows, ['time']);
@@ -71,10 +84,12 @@ class TradePairs {
       }
 
       // Converted Candles
-      if (interval != EXCHANGE_BASE_INTERVAL_IN_SEC && limit != 0) {
+      if (interval !== EXCHANGE_BASE_INTERVAL_IN_SEC && limit !== 0) {
+        // eslint-disable-next-line no-param-reassign
         limit *= interval / EXCHANGE_BASE_INTERVAL_IN_SEC;
 
         // Limit should be always higher than convert ratio * 1,5 + 1
+        // eslint-disable-next-line no-param-reassign
         limit += (interval / EXCHANGE_BASE_INTERVAL_IN_SEC) * 1.5;
       }
 
@@ -83,7 +98,7 @@ class TradePairs {
       [rows] = await ExchangeDB.query('SELECT * FROM ?? ORDER BY `time` DESC LIMIT ?;', [tableName, ~~limit + 1]);
 
       // Convert into new time frame
-      if (interval != EXCHANGE_BASE_INTERVAL_IN_SEC) {
+      if (interval !== EXCHANGE_BASE_INTERVAL_IN_SEC) {
         rows = CandleConvert.json(rows, EXCHANGE_BASE_INTERVAL_IN_SEC, interval);
       }
 
@@ -96,11 +111,21 @@ class TradePairs {
     }
   }
 
-  public async getTickchartFromDB(exchange: string, symbol: string, tickLength: number, limit: number, time = 0): Promise<OHLCV[] | undefined> {
+  private async _getTickchartFromDB(
+    exchange: string,
+    symbol: string,
+    tickLength: number,
+    limit: number,
+    time = 0,
+  ): Promise<OHLCV[] | undefined> {
     try {
       const tableName = Utils.tradesName(exchange, symbol);
 
-      const [rows] = await ExchangeDB.query('SELECT * FROM ?? WHERE time > ? ORDER BY `time` DESC LIMIT ?;', [tableName, time, limit]);
+      const [rows] = await ExchangeDB.query('SELECT * FROM ?? WHERE time > ? ORDER BY `time` DESC LIMIT ?;', [
+        tableName,
+        time,
+        limit,
+      ]);
 
       return CandleConvert.tick_chart(rows as Trade[], tickLength);
     } catch (e) {

tsconfig.json

@@ -8,7 +8,6 @@
     "allowSyntheticDefaultImports": true,
     "suppressImplicitAnyIndexErrors": true,
     "target": "es2017",
-    "newLine": "lf",
     "noImplicitAny": true,
     "moduleResolution": "node",
     "sourceMap": true,