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WIP: improve: refactor kline tables #1513

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WIP: improve: refactor kline tables #1513

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df9036f
improve/refactor-kline-table: kline tables per exchange per symbol
andycheng123 Jan 25, 2024
935882c
improve/refactor-kline-table: dynamically create kline tables
andycheng123 Jan 25, 2024
3ebdca5
improve/refactor-kline-table: order by after union
andycheng123 Jan 25, 2024
aa0fc1b
improve/refactor-kline-table: order by for only 1 symbol
andycheng123 Jan 25, 2024
375a29e
improve/refactor-kline-table: fix sql for query multiple kiline table
andycheng123 Jan 25, 2024
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10 changes: 2 additions & 8 deletions go.sum
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -82,12 +82,6 @@ github.com/c-bata/goptuna v0.8.1 h1:25+n1MLv0yvCsD56xv4nqIus3oLHL9GuPAZDLIqmX1U=
github.com/c-bata/goptuna v0.8.1/go.mod h1:knmS8+Iyq5PPy1YUeIEq0pMFR4Y6x7z/CySc9HlZTCY=
github.com/c9s/requestgen v1.3.6 h1:ul7dZ2uwGYjNBjreooRfSY10WTXvQmQSjZsHebz6QfE=
github.com/c9s/requestgen v1.3.6/go.mod h1:QwkZudcv84kJ8g9+E0RDTj+13btFXbTvv2aI+zbuLbc=
github.com/c9s/rockhopper/v2 v2.0.0 h1:HZx8epjZpp+bt7wkl6eCTU47uy5q6BWki1wzBWUw17c=
github.com/c9s/rockhopper/v2 v2.0.0/go.mod h1:xJ+sHtboZP6Y7wBswLD+Qs4RXyi562skFiI24KcXDXM=
github.com/c9s/rockhopper/v2 v2.0.1 h1:GlqO5BJX1gA/jsP3OMpZwS4qLGm0CbpIjme+EkkvzxU=
github.com/c9s/rockhopper/v2 v2.0.1/go.mod h1:QltQJDqEGppqrAhgXCG98Efm38UVQ0RdnJNEhbnTqYI=
github.com/c9s/rockhopper/v2 v2.0.2 h1:ccOY4hHry2KbI8XPbFxy841tlCVYcYlhlfYwYGvTx94=
github.com/c9s/rockhopper/v2 v2.0.2/go.mod h1:QltQJDqEGppqrAhgXCG98Efm38UVQ0RdnJNEhbnTqYI=
github.com/c9s/rockhopper/v2 v2.0.3-0.20240124055428-2473c6221858 h1:VLvl82XQCtH12axHdroyrfprPYKtA3TueEWicx8yT4A=
github.com/c9s/rockhopper/v2 v2.0.3-0.20240124055428-2473c6221858/go.mod h1:QltQJDqEGppqrAhgXCG98Efm38UVQ0RdnJNEhbnTqYI=
github.com/cenkalti/backoff/v4 v4.2.0 h1:HN5dHm3WBOgndBH6E8V0q2jIYIR3s9yglV8k/+MN3u4=
Expand Down Expand Up @@ -504,12 +498,12 @@ github.com/nxadm/tail v1.4.8/go.mod h1:+ncqLTQzXmGhMZNUePPaPqPvBxHAIsmXswZKocGu+
github.com/oklog/ulid v1.3.1/go.mod h1:CirwcVhetQ6Lv90oh/F+FBtV6XMibvdAFo93nm5qn4U=
github.com/onsi/ginkgo v1.6.0/go.mod h1:lLunBs/Ym6LB5Z9jYTR76FiuTmxDTDusOGeTQH+WWjE=
github.com/onsi/ginkgo v1.12.1/go.mod h1:zj2OWP4+oCPe1qIXoGWkgMRwljMUYCdkwsT2108oapk=
github.com/onsi/ginkgo v1.15.0 h1:1V1NfVQR87RtWAgp1lv9JZJ5Jap+XFGKPi00andXGi4=
github.com/onsi/ginkgo v1.15.0/go.mod h1:hF8qUzuuC8DJGygJH3726JnCZX4MYbRB8yFfISqnKUg=
github.com/onsi/ginkgo v1.16.5 h1:8xi0RTUf59SOSfEtZMvwTvXYMzG4gV23XVHOZiXNtnE=
github.com/onsi/gomega v1.7.1/go.mod h1:XdKZgCCFLUoM/7CFJVPcG8C1xQ1AJ0vpAezJrB7JYyY=
github.com/onsi/gomega v1.10.1/go.mod h1:iN09h71vgCQne3DLsj+A5owkum+a2tYe+TOCB1ybHNo=
github.com/onsi/gomega v1.10.5 h1:7n6FEkpFmfCoo2t+YYqXH0evK+a9ICQz0xcAy9dYcaQ=
github.com/onsi/gomega v1.10.5/go.mod h1:gza4q3jKQJijlu05nKWRCW/GavJumGt8aNRxWg7mt48=
github.com/onsi/gomega v1.19.0 h1:4ieX6qQjPP/BfC3mpsAtIGGlxTWPeA3Inl/7DtXw1tw=
github.com/pascaldekloe/goe v0.0.0-20180627143212-57f6aae5913c/go.mod h1:lzWF7FIEvWOWxwDKqyGYQf6ZUaNfKdP144TG7ZOy1lc=
github.com/pelletier/go-toml v1.2.0/go.mod h1:5z9KED0ma1S8pY6P1sdut58dfprrGBbd/94hg7ilaic=
github.com/pelletier/go-toml/v2 v2.1.1 h1:LWAJwfNvjQZCFIDKWYQaM62NcYeYViCmWIwmOStowAI=
Expand Down
50 changes: 26 additions & 24 deletions pkg/service/backtest.go
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -144,7 +144,7 @@ func (s *BacktestService) QueryKLine(
) (*types.KLine, error) {
log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)

tableName := targetKlineTable(ex)
tableName := s.targetKlineTable(ex, symbol)
// make the SQL syntax IDE friendly, so that it can analyze it.
sql := fmt.Sprintf("SELECT * FROM `%s` WHERE `symbol` = :symbol AND `interval` = :interval ORDER BY end_time "+orderBy+" LIMIT "+strconv.Itoa(limit), tableName)

Expand Down Expand Up @@ -175,7 +175,7 @@ func (s *BacktestService) QueryKLine(
func (s *BacktestService) QueryKLinesForward(
exchange types.Exchange, symbol string, interval types.Interval, startTime time.Time, limit int,
) ([]types.KLine, error) {
tableName := targetKlineTable(exchange)
tableName := s.targetKlineTable(exchange, symbol)
sql := "SELECT * FROM `binance_klines` WHERE `end_time` >= :start_time AND `symbol` = :symbol AND `interval` = :interval and exchange = :exchange ORDER BY end_time ASC LIMIT :limit"
sql = strings.ReplaceAll(sql, "binance_klines", tableName)

Expand All @@ -196,7 +196,7 @@ func (s *BacktestService) QueryKLinesForward(
func (s *BacktestService) QueryKLinesBackward(
exchange types.Exchange, symbol string, interval types.Interval, endTime time.Time, limit int,
) ([]types.KLine, error) {
tableName := targetKlineTable(exchange)
tableName := s.targetKlineTable(exchange, symbol)

sql := "SELECT * FROM `binance_klines` WHERE `end_time` <= :end_time and exchange = :exchange AND `symbol` = :symbol AND `interval` = :interval ORDER BY end_time DESC LIMIT :limit"
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
Expand All @@ -223,24 +223,21 @@ func (s *BacktestService) QueryKLinesCh(
return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
}

tableName := targetKlineTable(exchange)
var query string
var queries []string
for _, symbol := range symbols {
queries = append(queries, fmt.Sprintf("SELECT * FROM `%s` WHERE `end_time` BETWEEN :since AND :until AND `symbol` = %s AND `interval` IN (:intervals)", s.targetKlineTable(exchange, symbol), symbol))
}

// need to sort by start_time desc in order to let matching engine process 1m first
// otherwise any other close event could peek on the final close price
if len(symbols) == 1 {
query = "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` = :symbols AND `interval` IN (:intervals) ORDER BY end_time ASC, start_time DESC"
var query string
if len(queries) == 1 {
query = queries[0] + " ORDER BY end_time ASC, start_time DESC"
} else {
query = "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) ORDER BY end_time ASC, start_time DESC"
query = "SELECT * FROM (" + strings.Join(queries, " UNION ALL ") + ") a ORDER BY end_time ASC, start_time DESC"
}

query = strings.ReplaceAll(query, "binance_klines", tableName)

sql, args, err := sqlx.Named(query, map[string]interface{}{
"since": since,
"until": until,
"symbol": symbols[0],
"symbols": symbols,
"intervals": types.IntervalSlice(intervals),
})

Expand Down Expand Up @@ -316,15 +313,20 @@ func (s *BacktestService) scanRows(rows *sqlx.Rows) (klines []types.KLine, err e
return klines, rows.Err()
}

func targetKlineTable(exchange types.Exchange) string {
func (s *BacktestService) targetKlineTable(exchange types.Exchange, symbol string) string {
_, isFutures, _, _ := exchange2.GetSessionAttributes(exchange)

tableName := strings.ToLower(exchange.Name().String())
tableName := strings.ToLower(exchange.Name().String()) + strings.ToLower(symbol)
if isFutures {
return tableName + "_futures_klines"
tableName = tableName + "_futures_klines"
} else {
return tableName + "_klines"
tableName = tableName + "_spot_klines"
}

// Create table on the fly
_, _ = s.DB.Exec(fmt.Sprintf("CREATE TABLE IF NOT EXISTS `%s` LIKE `klines`;", tableName))

return tableName
}

var errExchangeFieldIsUnset = errors.New("kline.Exchange field should not be empty")
Expand All @@ -334,7 +336,7 @@ func (s *BacktestService) Insert(kline types.KLine, ex types.Exchange) error {
return errExchangeFieldIsUnset
}

tableName := targetKlineTable(ex)
tableName := s.targetKlineTable(ex, kline.Symbol)

sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
"VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume)", tableName)
Expand All @@ -343,13 +345,13 @@ func (s *BacktestService) Insert(kline types.KLine, ex types.Exchange) error {
return err
}

// BatchInsert Note: all kline should be same exchange, or it will cause issue.
// BatchInsert Note: all kline should be same exchange and same symbol, or it will cause issue.
func (s *BacktestService) BatchInsert(kline []types.KLine, ex types.Exchange) error {
if len(kline) == 0 {
return nil
}

tableName := targetKlineTable(ex)
tableName := s.targetKlineTable(ex, kline[0].Symbol)

sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
" VALUES (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
Expand Down Expand Up @@ -534,7 +536,7 @@ func (s *BacktestService) SelectKLineTimePoints(
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
}

tableName := targetKlineTable(ex)
tableName := s.targetKlineTable(ex, symbol)

return sq.Select("start_time").
From(tableName).
Expand All @@ -560,7 +562,7 @@ func (s *BacktestService) SelectKLineTimeRange(
conditions = append(conditions, sq.Expr("`start_time` BETWEEN ? AND ?", since, until))
}

tableName := targetKlineTable(ex)
tableName := s.targetKlineTable(ex, symbol)

return sq.Select("MIN(start_time) AS t1, MAX(start_time) AS t2").
From(tableName).
Expand All @@ -571,7 +573,7 @@ func (s *BacktestService) SelectKLineTimeRange(
func (s *BacktestService) SelectLastKLines(
ex types.Exchange, symbol string, interval types.Interval, startTime, endTime time.Time, limit uint64,
) sq.SelectBuilder {
tableName := targetKlineTable(ex)
tableName := s.targetKlineTable(ex, symbol)
return sq.Select("*").
From(tableName).
Where(sq.And{
Expand Down
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