backtester: standalone application (thrasher-corp#988)

* Ramshackle early leads to GRPC backtester

* Adds GRPC server, default config generation

* Partial support for GRPC backtester config

* Update to use Buf, merge fixes

* Full config for GRPC

* Adds new commands, causes big panic

* Fixes panics

* Setup for the future

* Docs update

* test

* grpc tests

* Fix merge issues. Lint and test

* minor fixes after rebase

* Docs, formatting and main fixes

* Change buf owner

* shazNits

* test-123

* rpc fixes

* string fixes

* Removes --singlerun flag and just relies on --singlerunstrategypath

* fixes test

* initial post merge compatability fixes

* this actually all seems to work? unexpected

* adds pluginpath to config

* rm unused func. add gitignore

* rm unused func. add gitignore

* lintle

* tITLE cASE lOG fIX,rm auth package, gitignore, tmpdir fix

* buf updates + gen. go mod tidy

* x2

* Update default port, update error text

.github/workflows/proto-lint.yml

@@ -35,3 +35,14 @@ jobs:
 
       - name: buf format
         run: buf format --diff --exit-code
+
+      - name: buf generate backtester
+        working-directory: ./backtester/btrpc
+        run: buf generate
+
+      - uses: bufbuild/buf-lint-action@v1
+        with:
+          input: ./backtester/btrpc
+
+      - name: buf format backtester
+        run: buf format --diff --exit-code

.gitignore

@@ -16,6 +16,8 @@ vendor/
 # Binaries for programs and plugins
 gocryptotrader
 cmd/gctcli/gctcli
+backtester/backtester
+backtester/btcli/btcli
 *.exe
 *.exe~
 *.dll

backtester/README.md

@@ -45,13 +45,14 @@ An event-driven backtesting tool to test and iterate trading strategies using hi
 - Fund transfer. At a strategy level, transfer funds between exchanges to allow for complex strategy design
 - Backtesting support for futures asset types
 - Example cash and carry spot futures strategy
+- Long-running application
+- GRPC server implementation
 
 ## Planned Features
 We welcome pull requests on any feature for the Backtester! We will be especially appreciative of any contribution towards the following planned features:
 
 | Feature | Description |
 |---------|-------------|
-| Long-running application | Transform the Backtester to run a GRPC server, where commands can be sent to run Backtesting operations. Allowing for many strategies to be run, analysed and tweaked in a more efficient manner |
 | Leverage support | Leverage is a good way to enhance profit and loss and is important to include in strategies |
 | Enhance config-builder | Create an application that can create strategy configs in a more visual manner and execute them via GRPC to allow for faster customisation of strategies |
 | Save Backtester results to database | This will allow for easier comparison of results over time |

backtester/btcli/README.md

@@ -0,0 +1,51 @@
+# GoCryptoTrader Backtester: Btcli package
+
+<img src="/backtester/common/backtester.png?raw=true" width="350px" height="350px" hspace="70">
+
+
+[![Build Status](https://github.com/thrasher-corp/gocryptotrader/actions/workflows/tests.yml/badge.svg?branch=master)](https://github.com/thrasher-corp/gocryptotrader/actions/workflows/tests.yml)
+[![Software License](https://img.shields.io/badge/License-MIT-orange.svg?style=flat-square)](https://github.com/thrasher-corp/gocryptotrader/blob/master/LICENSE)
+[![GoDoc](https://godoc.org/github.com/thrasher-corp/gocryptotrader?status.svg)](https://godoc.org/github.com/thrasher-corp/gocryptotrader/backtester/btcli)
+[![Coverage Status](http://codecov.io/github/thrasher-corp/gocryptotrader/coverage.svg?branch=master)](http://codecov.io/github/thrasher-corp/gocryptotrader?branch=master)
+[![Go Report Card](https://goreportcard.com/badge/github.com/thrasher-corp/gocryptotrader)](https://goreportcard.com/report/github.com/thrasher-corp/gocryptotrader)
+
+
+This btcli package is part of the GoCryptoTrader codebase.
+
+## This is still in active development
+
+You can track ideas, planned features and what's in progress on this Trello board: [https://trello.com/b/ZAhMhpOy/gocryptotrader](https://trello.com/b/ZAhMhpOy/gocryptotrader).
+
+Join our slack to discuss all things related to GoCryptoTrader! [GoCryptoTrader Slack](https://join.slack.com/t/gocryptotrader/shared_invite/enQtNTQ5NDAxMjA2Mjc5LTc5ZDE1ZTNiOGM3ZGMyMmY1NTAxYWZhODE0MWM5N2JlZDk1NDU0YTViYzk4NTk3OTRiMDQzNGQ1YTc4YmRlMTk)
+
+## Btcli overview
+
+This folder contains the GoCryptoTrader Backtester CMD CLI application. It can be used to interact
+with the GoCryptoTrader Backtester's GRPC server and send commands to be processed server-side.
+
+For a list of commands, you can run the following
+
+```
+go run .
+```
+
+### Please click GoDocs chevron above to view current GoDoc information for this package
+
+## Contribution
+
+Please feel free to submit any pull requests or suggest any desired features to be added.
+
+When submitting a PR, please abide by our coding guidelines:
+
++ Code must adhere to the official Go [formatting](https://golang.org/doc/effective_go.html#formatting) guidelines (i.e. uses [gofmt](https://golang.org/cmd/gofmt/)).
++ Code must be documented adhering to the official Go [commentary](https://golang.org/doc/effective_go.html#commentary) guidelines.
++ Code must adhere to our [coding style](https://github.com/thrasher-corp/gocryptotrader/blob/master/doc/coding_style.md).
++ Pull requests need to be based on and opened against the `master` branch.
+
+## Donations
+
+<img src="https://github.com/thrasher-corp/gocryptotrader/blob/master/web/src/assets/donate.png?raw=true" hspace="70">
+
+If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:
+
+***bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc***

backtester/btcli/commands.go

@@ -0,0 +1,252 @@
+package main
+
+import (
+	"fmt"
+	"path/filepath"
+
+	"github.com/thrasher-corp/gocryptotrader/backtester/btrpc"
+	"github.com/thrasher-corp/gocryptotrader/backtester/config"
+	"github.com/urfave/cli/v2"
+	"google.golang.org/protobuf/types/known/timestamppb"
+)
+
+var executeStrategyFromFileCommand = &cli.Command{
+	Name:      "executestrategyfromfile",
+	Usage:     "runs the strategy from a config file",
+	ArgsUsage: "<path>",
+	Action:    executeStrategyFromFile,
+	Flags: []cli.Flag{
+		&cli.StringFlag{
+			Name:    "path",
+			Aliases: []string{"p"},
+			Usage:   "the filepath to a strategy to execute",
+		},
+	},
+}
+
+func executeStrategyFromFile(c *cli.Context) error {
+	conn, cancel, err := setupClient(c)
+	if err != nil {
+		return err
+	}
+	defer closeConn(conn, cancel)
+
+	if c.NArg() == 0 && c.NumFlags() == 0 {
+		return cli.ShowCommandHelp(c, "executestrategyfromfile")
+	}
+
+	var path string
+	if c.IsSet("path") {
+		path = c.String("path")
+	} else {
+		path = c.Args().First()
+	}
+
+	client := btrpc.NewBacktesterServiceClient(conn)
+	result, err := client.ExecuteStrategyFromFile(
+		c.Context,
+		&btrpc.ExecuteStrategyFromFileRequest{
+			StrategyFilePath: path,
+		},
+	)
+
+	if err != nil {
+		return err
+	}
+
+	jsonOutput(result)
+	return nil
+}
+
+var executeStrategyFromConfigCommand = &cli.Command{
+	Name:        "executestrategyfromconfig",
+	Usage:       "runs the default strategy config but via passing in as a struct instead of a filepath - this is a proof-of-concept implementation",
+	Description: "the cli is not a good place to manage this type of command with n variables to pass in from a command line",
+	Action:      executeStrategyFromConfig,
+}
+
+// executeStrategyFromConfig this is a proof of concept command
+// it demonstrates that a user can send complex strategies via GRPC
+// and have them execute. The ultimate goal is to allow a user to continuously
+// tweak values and send them via GRPC and determine the best returns then test them across
+// large ranges of data to avoid over fitting
+func executeStrategyFromConfig(c *cli.Context) error {
+	conn, cancel, err := setupClient(c)
+	if err != nil {
+		return err
+	}
+	defer closeConn(conn, cancel)
+	defaultPath := filepath.Join(
+		"..",
+		"config",
+		"strategyexamples",
+		"ftx-cash-carry.strat")
+	defaultConfig, err := config.ReadStrategyConfigFromFile(defaultPath)
+	if err != nil {
+		return err
+	}
+	customSettings := make([]*btrpc.CustomSettings, len(defaultConfig.StrategySettings.CustomSettings))
+	x := 0
+	for k, v := range defaultConfig.StrategySettings.CustomSettings {
+		customSettings[x] = &btrpc.CustomSettings{
+			KeyField: k,
+			KeyValue: fmt.Sprintf("%v", v),
+		}
+		x++
+	}
+
+	currencySettings := make([]*btrpc.CurrencySettings, len(defaultConfig.CurrencySettings))
+	for i := range defaultConfig.CurrencySettings {
+		var sd *btrpc.SpotDetails
+		if defaultConfig.CurrencySettings[i].SpotDetails != nil {
+			sd.InitialBaseFunds = defaultConfig.CurrencySettings[i].SpotDetails.InitialBaseFunds.String()
+			sd.InitialQuoteFunds = defaultConfig.CurrencySettings[i].SpotDetails.InitialQuoteFunds.String()
+		}
+		var fd *btrpc.FuturesDetails
+		if defaultConfig.CurrencySettings[i].FuturesDetails != nil {
+			fd.Leverage = &btrpc.Leverage{
+				CanUseLeverage:                 defaultConfig.CurrencySettings[i].FuturesDetails.Leverage.CanUseLeverage,
+				MaximumOrdersWithLeverageRatio: defaultConfig.CurrencySettings[i].FuturesDetails.Leverage.MaximumOrdersWithLeverageRatio.String(),
+				MaximumLeverageRate:            defaultConfig.CurrencySettings[i].FuturesDetails.Leverage.MaximumOrderLeverageRate.String(),
+				MaximumCollateralLeverageRate:  defaultConfig.CurrencySettings[i].FuturesDetails.Leverage.MaximumCollateralLeverageRate.String(),
+			}
+		}
+		currencySettings[i] = &btrpc.CurrencySettings{
+			ExchangeName: defaultConfig.CurrencySettings[i].ExchangeName,
+			Asset:        defaultConfig.CurrencySettings[i].Asset.String(),
+			Base:         defaultConfig.CurrencySettings[i].Base.String(),
+			Quote:        defaultConfig.CurrencySettings[i].Quote.String(),
+			BuySide: &btrpc.PurchaseSide{
+				MinimumSize:  defaultConfig.CurrencySettings[i].BuySide.MinimumSize.String(),
+				MaximumSize:  defaultConfig.CurrencySettings[i].BuySide.MaximumSize.String(),
+				MaximumTotal: defaultConfig.CurrencySettings[i].BuySide.MaximumTotal.String(),
+			},
+			SellSide: &btrpc.PurchaseSide{
+				MinimumSize:  defaultConfig.CurrencySettings[i].SellSide.MinimumSize.String(),
+				MaximumSize:  defaultConfig.CurrencySettings[i].SellSide.MaximumSize.String(),
+				MaximumTotal: defaultConfig.CurrencySettings[i].SellSide.MaximumTotal.String(),
+			},
+			MinSlippagePercent:        defaultConfig.CurrencySettings[i].MinimumSlippagePercent.String(),
+			MaxSlippagePercent:        defaultConfig.CurrencySettings[i].MaximumSlippagePercent.String(),
+			MakerFeeOverride:          defaultConfig.CurrencySettings[i].MakerFee.String(),
+			TakerFeeOverride:          defaultConfig.CurrencySettings[i].TakerFee.String(),
+			MaximumHoldingsRatio:      defaultConfig.CurrencySettings[i].MaximumHoldingsRatio.String(),
+			SkipCandleVolumeFitting:   defaultConfig.CurrencySettings[i].SkipCandleVolumeFitting,
+			UseExchangeOrderLimits:    defaultConfig.CurrencySettings[i].CanUseExchangeLimits,
+			UseExchangePnlCalculation: defaultConfig.CurrencySettings[i].UseExchangePNLCalculation,
+			SpotDetails:               sd,
+			FuturesDetails:            fd,
+		}
+	}
+
+	exchangeLevelFunding := make([]*btrpc.ExchangeLevelFunding, len(defaultConfig.FundingSettings.ExchangeLevelFunding))
+	for i := range defaultConfig.FundingSettings.ExchangeLevelFunding {
+		exchangeLevelFunding[i] = &btrpc.ExchangeLevelFunding{
+			ExchangeName: defaultConfig.FundingSettings.ExchangeLevelFunding[i].ExchangeName,
+			Asset:        defaultConfig.FundingSettings.ExchangeLevelFunding[i].Asset.String(),
+			Currency:     defaultConfig.FundingSettings.ExchangeLevelFunding[i].Currency.String(),
+			InitialFunds: defaultConfig.FundingSettings.ExchangeLevelFunding[i].InitialFunds.String(),
+			TransferFee:  defaultConfig.FundingSettings.ExchangeLevelFunding[i].TransferFee.String(),
+		}
+	}
+
+	dataSettings := &btrpc.DataSettings{
+		Interval: uint64(defaultConfig.DataSettings.Interval.Duration().Nanoseconds()),
+		Datatype: defaultConfig.DataSettings.DataType,
+	}
+	if defaultConfig.DataSettings.APIData != nil {
+		dataSettings.ApiData = &btrpc.ApiData{
+			StartDate:        timestamppb.New(defaultConfig.DataSettings.APIData.StartDate),
+			EndDate:          timestamppb.New(defaultConfig.DataSettings.APIData.EndDate),
+			InclusiveEndDate: defaultConfig.DataSettings.APIData.InclusiveEndDate,
+		}
+	}
+	if defaultConfig.DataSettings.LiveData != nil {
+		dataSettings.LiveData = &btrpc.LiveData{
+			ApiKeyOverride:        defaultConfig.DataSettings.LiveData.APIKeyOverride,
+			ApiSecretOverride:     defaultConfig.DataSettings.LiveData.APISecretOverride,
+			ApiClientIdOverride:   defaultConfig.DataSettings.LiveData.APIClientIDOverride,
+			Api_2FaOverride:       defaultConfig.DataSettings.LiveData.API2FAOverride,
+			ApiSubAccountOverride: defaultConfig.DataSettings.LiveData.APISubAccountOverride,
+			UseRealOrders:         defaultConfig.DataSettings.LiveData.RealOrders,
+		}
+	}
+	if defaultConfig.DataSettings.CSVData != nil {
+		dataSettings.CsvData = &btrpc.CSVData{
+			Path: defaultConfig.DataSettings.CSVData.FullPath,
+		}
+	}
+	if defaultConfig.DataSettings.DatabaseData != nil {
+		dbConnectionDetails := &btrpc.DatabaseConnectionDetails{
+			Host:     defaultConfig.DataSettings.DatabaseData.Config.Host,
+			Port:     uint32(defaultConfig.DataSettings.DatabaseData.Config.Port),
+			Password: defaultConfig.DataSettings.DatabaseData.Config.Password,
+			Database: defaultConfig.DataSettings.DatabaseData.Config.Database,
+			SslMode:  defaultConfig.DataSettings.DatabaseData.Config.SSLMode,
+			UserName: defaultConfig.DataSettings.DatabaseData.Config.Username,
+		}
+		dbConfig := &btrpc.DatabaseConfig{
+			Config: dbConnectionDetails,
+		}
+		dataSettings.DatabaseData = &btrpc.DatabaseData{
+			StartDate:        timestamppb.New(defaultConfig.DataSettings.DatabaseData.StartDate),
+			EndDate:          timestamppb.New(defaultConfig.DataSettings.DatabaseData.EndDate),
+			Config:           dbConfig,
+			Path:             defaultConfig.DataSettings.DatabaseData.Path,
+			InclusiveEndDate: defaultConfig.DataSettings.DatabaseData.InclusiveEndDate,
+		}
+	}
+
+	cfg := &btrpc.Config{
+		Nickname: defaultConfig.Nickname,
+		Goal:     defaultConfig.Goal,
+		StrategySettings: &btrpc.StrategySettings{
+			Name:                            defaultConfig.StrategySettings.Name,
+			UseSimultaneousSignalProcessing: defaultConfig.StrategySettings.SimultaneousSignalProcessing,
+			DisableUsdTracking:              defaultConfig.StrategySettings.DisableUSDTracking,
+			CustomSettings:                  customSettings,
+		},
+		FundingSettings: &btrpc.FundingSettings{
+			UseExchangeLevelFunding: defaultConfig.FundingSettings.UseExchangeLevelFunding,
+			ExchangeLevelFunding:    exchangeLevelFunding,
+		},
+		CurrencySettings: currencySettings,
+		DataSettings:     dataSettings,
+		PortfolioSettings: &btrpc.PortfolioSettings{
+			Leverage: &btrpc.Leverage{
+				CanUseLeverage:                 defaultConfig.PortfolioSettings.Leverage.CanUseLeverage,
+				MaximumOrdersWithLeverageRatio: defaultConfig.PortfolioSettings.Leverage.MaximumOrdersWithLeverageRatio.String(),
+				MaximumLeverageRate:            defaultConfig.PortfolioSettings.Leverage.MaximumOrderLeverageRate.String(),
+				MaximumCollateralLeverageRate:  defaultConfig.PortfolioSettings.Leverage.MaximumCollateralLeverageRate.String(),
+			},
+			BuySide: &btrpc.PurchaseSide{
+				MinimumSize:  defaultConfig.PortfolioSettings.BuySide.MinimumSize.String(),
+				MaximumSize:  defaultConfig.PortfolioSettings.BuySide.MaximumSize.String(),
+				MaximumTotal: defaultConfig.PortfolioSettings.BuySide.MaximumTotal.String(),
+			},
+			SellSide: &btrpc.PurchaseSide{
+				MinimumSize:  defaultConfig.PortfolioSettings.SellSide.MinimumSize.String(),
+				MaximumSize:  defaultConfig.PortfolioSettings.SellSide.MaximumSize.String(),
+				MaximumTotal: defaultConfig.PortfolioSettings.SellSide.MaximumTotal.String(),
+			},
+		},
+		StatisticSettings: &btrpc.StatisticSettings{
+			RiskFreeRate: defaultConfig.StatisticSettings.RiskFreeRate.String(),
+		},
+	}
+
+	client := btrpc.NewBacktesterServiceClient(conn)
+	result, err := client.ExecuteStrategyFromConfig(
+		c.Context,
+		&btrpc.ExecuteStrategyFromConfigRequest{
+			Config: cfg,
+		},
+	)
+
+	if err != nil {
+		return err
+	}
+
+	jsonOutput(result)
+	return nil
+}

backtester/btcli/helpers.go

@@ -0,0 +1,17 @@
+package main
+
+import (
+	"context"
+	"fmt"
+
+	"google.golang.org/grpc"
+)
+
+func closeConn(conn *grpc.ClientConn, cancel context.CancelFunc) {
+	if err := conn.Close(); err != nil {
+		fmt.Println(err)
+	}
+	if cancel != nil {
+		cancel()
+	}
+}