Custom Data Source Example
A minimal custom data source service written in Go, and a test strategy to check it. Steps:
- Deploy the service below on a server reachable from the public internet; the data source URL is then
http://<server>:9090/data(replace<server>with the server's public IP or domain name). - In the backtest configuration, set the exchange's data source (
feeder) to that URL and backtest the test strategy below.
The service:
mylang
package main
import (
"fmt"
"net/http"
"encoding/json"
)
func Handle (w http.ResponseWriter, r *http.Request) {
// e.g. set on backtest DataSource: http://xxx.xx.x.xx:9090/data
// request: GET http://xxx.xx.x.xx:9090/data?custom=0&depth=20&detail=true&eid=OKX
// &from=1584921600&period=86400000&round=true&symbol=BTC_USDT&to=1611244800&trades=1
// request: GET http://xxx.xx.x.xx:9090/data?custom=0&depth=20&detail=true&eid=Futures_Binance
// &from=1599958800&period=3600000&round=true&symbol=BTC_USDT.swap&to=1611244800&trades=0
fmt.Println("request:", r)
// response
defer func() {
// response data
/* e.g. data
{
"detail": {
"eid": "Binance",
"symbol": "BTC_USDT",
"alias": "BTCUSDT",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"marginCurrency": "USDT",
"basePrecision": 5,
"quotePrecision": 2,
"minQty": 0.00001,
"maxQty": 9000,
"minNotional": 5,
"maxNotional": 9000000,
"priceTick": 0.01,
"volumeTick": 0.00001,
"marginLevel": 10
},
"schema": [
"time",
"open",
"high",
"low",
"close",
"vol"
],
"data": [
[1610755200000, 3673743, 3795000, 3535780, 3599498, 8634843151],
[1610841600000, 3599498, 3685250, 3385000, 3582861, 8015772738],
[1610928000000, 3582499, 3746983, 3480000, 3663127, 7069811875],
[1611014400000, 3662246, 3785000, 3584406, 3589149, 7961130777],
[1611100800000, 3590194, 3641531, 3340000, 3546823, 8936842292],
[1611187200000, 3546823, 3560000, 3007100, 3085013, 13500407666],
[1611273600000, 3085199, 3382653, 2885000, 3294517, 14297168405],
[1611360000000, 3295000, 3345600, 3139016, 3207800, 6459528768],
[1611446400000, 3207800, 3307100, 3090000, 3225990, 5797803797],
[1611532800000, 3225945, 3487500, 3191000, 3225420, 8849922692]
]
}
*/
// /* Simulation-level Tick
ret := map[string]interface{}{
"detail": map[string]interface{}{
"eid": "Binance",
"symbol": "BTC_USDT",
"alias": "BTCUSDT",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"marginCurrency": "USDT",
"basePrecision": 5,
"quotePrecision": 2,
"minQty": 0.00001,
"maxQty": 9000,
"minNotional": 5,
"maxNotional": 9000000,
"priceTick": 0.01,
"volumeTick": 0.00001,
"marginLevel": 10,
},
"schema": []string{"time","open","high","low","close","vol"},
"data": []interface{}{
// 1610755200000: 2021-01-16 08:00:00
[]int64{1610755200000, 3673743, 3795000, 3535780, 3599498, 8634843151},
// 1610841600000: 2021-01-17 08:00:00
[]int64{1610841600000, 3599498, 3685250, 3385000, 3582861, 8015772738},
[]int64{1610928000000, 3582499, 3746983, 3480000, 3663127, 7069811875},
[]int64{1611014400000, 3662246, 3785000, 3584406, 3589149, 7961130777},
[]int64{1611100800000, 3590194, 3641531, 3340000, 3546823, 8936842292},
[]int64{1611187200000, 3546823, 3560000, 3007100, 3085013, 13500407666},
[]int64{1611273600000, 3085199, 3382653, 2885000, 3294517, 14297168405},
[]int64{1611360000000, 3295000, 3345600, 3139016, 3207800, 6459528768},
[]int64{1611446400000, 3207800, 3307100, 3090000, 3225990, 5797803797},
[]int64{1611532800000, 3225945, 3487500, 3191000, 3225420, 8849922692},
},
}
// */
/* Live trading-level Tick
ret := map[string]interface{}{
"detail": map[string]interface{}{
"eid": "Binance",
"symbol": "BTC_USDT",
"alias": "BTCUSDT",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"marginCurrency": "USDT",
"basePrecision": 5,
"quotePrecision": 2,
"minQty": 0.00001,
"maxQty": 9000,
"minNotional": 5,
"maxNotional": 9000000,
"priceTick": 0.01,
"volumeTick": 0.00001,
"marginLevel": 10,
},
"schema": []string{"time", "asks", "bids", "trades", "close", "vol"},
"data": []interface{}{
[]interface{}{1610755200000,
[]interface{}{[]int64{9531300, 10}},
[]interface{}{[]int64{9531300, 10}},
[]interface{}{[]int64{1610755200000, 0, 9531300, 10}},
9497060, 787},
[]interface{}{1610841600000,
[]interface{}{[]int64{9531300, 15}},
[]interface{}{[]int64{9531300, 15}},
[]interface{}{[]int64{1610841600000, 0, 9531300, 11}},
9497061, 789},
},
}
*/
b, _ := json.Marshal(ret)
w.Write(b)
}()
}
func main () {
fmt.Println("listen http://localhost:9090")
http.HandleFunc("/data", Handle)
http.ListenAndServe(":9090", nil)
}
Test strategy (JavaScript):
javascript
/*backtest
start: 2021-01-16 08:00:00
end: 2021-01-22 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"OKX","currency":"BTC_USDT","feeder":"http://<server>:9090/data"}]
args: [["number",2]]
*/
function main() {
var ticker = exchange.GetTicker()
var records = exchange.GetRecords()
Log(exchange.GetName(), exchange.GetCurrency())
Log(ticker)
Log(records)
}