Update

Author: f0cii

backtest/backtest.go

@@ -42,6 +42,7 @@ type Backtest struct {
 	symbol           string
 	strategy         Strategy
 	exchanges        []ExchangeSim
+	baseOutputDir    string
 	outputDir        string
 	exchangeLogFiles []string // 撮合日志记录文件
 
@@ -83,12 +84,12 @@ func init() {
 // outputDir: 日志输出目录
 func NewBacktest(data *dataloader.Data, symbol string, start time.Time, end time.Time, strategy Strategy, exchanges []ExchangeSim, outputDir string) *Backtest {
 	b := &Backtest{
-		data:      data,
-		symbol:    symbol,
-		start:     start,
-		end:       end,
-		strategy:  strategy,
-		outputDir: outputDir,
+		data:          data,
+		symbol:        symbol,
+		start:         start,
+		end:           end,
+		strategy:      strategy,
+		baseOutputDir: outputDir,
 	}
 	b.exchanges = exchanges
 	var exs []Exchange
@@ -122,12 +123,12 @@ func (b *Backtest) Run() {
 
 	SetIdGenerate(utils.NewIdGenerate(b.start))
 
-	err := os.MkdirAll(b.outputDir, os.ModePerm)
+	err := os.MkdirAll(b.baseOutputDir, os.ModePerm)
 	if err != nil {
 		panic(err)
 	}
 
-	b.outputDir = filepath.Join(b.outputDir, time.Now().Format("20060102150405"))
+	b.outputDir = filepath.Join(b.baseOutputDir, time.Now().Format("20060102150405"))
 
 	logger := NewBtLogger(b,
 		filepath.Join(b.outputDir, "result.log"),

backtest/logger.go

@@ -50,8 +50,10 @@ func NewBtLogger(gct GetCurrentTime, path string, level string, jsonFormat bool,
 }
 
 func (l *BtLogger) build() {
-	writeSyncer := []zapcore.WriteSyncer{
-		zapcore.AddSync(l.createLumberjackHook()),
+	var writeSyncer []zapcore.WriteSyncer
+
+	if l.Path != "" {
+		writeSyncer = append(writeSyncer, zapcore.AddSync(l.createLumberjackHook()))
 	}
 
 	if l.Stdout {

exchangelogger.go

@@ -0,0 +1,57 @@
+package crex
+
+// EmptyExchangeLogger 交易所撮合日志
+type EmptyExchangeLogger struct {
+}
+
+func (l *EmptyExchangeLogger) Debug(args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Debugf(template string, args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Debugw(msg string, keysAndValues ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Info(args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Infof(template string, args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Infow(msg string, keysAndValues ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Warn(args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Warnf(template string, args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Warnw(msg string, keysAndValues ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Error(args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Errorf(template string, args ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Errorw(msg string, keysAndValues ...interface{}) {
+
+}
+
+func (l *EmptyExchangeLogger) Sync() {
+
+}

exchanges/bitmexsim/bitmexsim_test.go

@@ -5,5 +5,5 @@ import (
 )
 
 func testExchange() Exchange {
-	return NewBitMEXSim(nil, 10000, 0, 0)
+	return NewBitMEXSim(nil, 10000, -0.00025, 0.00075)
 }

exchanges/deribitsim/deribitsim.go

@@ -619,6 +619,10 @@ func (b *DeribitSim) RunEventLoopOnce() (err error) {
 }
 
 func (b *DeribitSim) logOrderInfo(msg string, event string, order *Order) {
+	if b.eLog == nil {
+		return
+	}
+
 	ob := b.data.GetOrderBook()
 	position := b.getPosition(order.Symbol)
 	b.eLog.Infow(msg,

exchanges/deribitsim/deribitsim_test.go

@@ -2,12 +2,32 @@ package deribitsim
 
 import (
 	. "github.com/coinrust/crex"
+	"github.com/coinrust/crex/dataloader"
 	"github.com/coinrust/crex/math"
+	"github.com/coinrust/crex/utils"
 	"testing"
+	"time"
 )
 
 func testExchange() Exchange {
-	return NewDeribitSim(nil, 10000, 0, 0)
+	start, _ := time.Parse("2006-01-02 15:04:05", "2019-10-01 00:00:00")
+	end, _ := time.Parse("2006-01-02 15:04:05", "2019-10-02 00:00:00")
+	SetIdGenerate(utils.NewIdGenerate(start))
+	data := dataloader.NewCsvData("../../data-samples/deribit/deribit_BTC-PERPETUAL_and_futures_tick_by_tick_book_snapshots_10_levels_2019-10-01_2019-11-01.csv")
+	data.Reset(start, end)
+	ex := NewDeribitSim(data, 10000, -0.00025, 0.00075)
+	ex.SetExchangeLogger(&EmptyExchangeLogger{})
+	return ex
+}
+
+func TestReduceOrder(t *testing.T) {
+	ex := testExchange()
+	order, err := ex.PlaceOrder("BTC-PERPETUAL", Buy, OrderTypeMarket, 3000, 10)
+	if err != nil {
+		t.Error(err)
+		return
+	}
+	t.Logf("%#v", order)
 }
 
 // 计算公式: