backtest: apply default symbols from the config when there is no subs…

…cription
c9s · Jan 20, 2025 · d424a50 · d424a50
1 parent 14a5818
commit d424a50
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Showing 4 changed files with 21 additions and 6 deletions.
diff --git a/pkg/backtest/exchange.go b/pkg/backtest/exchange.go
@@ -337,7 +337,10 @@ func (e *Exchange) BindUserData(userDataStream types.StandardStreamEmitter) {
 }
 
 func (e *Exchange) SubscribeMarketData(
-	startTime, endTime time.Time, requiredInterval types.Interval, extraIntervals ...types.Interval,
+	startTime, endTime time.Time,
+	defaultSymbols []string,
+	requiredInterval types.Interval,
+	extraIntervals ...types.Interval,
 ) (chan types.KLine, error) {
 	log.Infof("collecting backtest configurations...")
 
@@ -370,6 +373,10 @@ func (e *Exchange) SubscribeMarketData(
 		symbols = append(symbols, symbol)
 	}
 
+	if len(symbols) == 0 {
+		symbols = defaultSymbols
+	}
+
 	var intervals []types.Interval
 	for interval := range loadedIntervals {
 		intervals = append(intervals, interval)
@@ -389,7 +396,7 @@ func (e *Exchange) SubscribeMarketData(
 	}
 
 	if len(symbols) == 0 {
-		log.Warnf("empty symbols, will not query kline data from the database")
+		log.Warnf("empty symbols, will not query kline data from the database, default symbols = %v", defaultSymbols)
 
 		c := make(chan types.KLine)
 		close(c)

diff --git a/pkg/backtest/utils.go b/pkg/backtest/utils.go
@@ -35,11 +35,16 @@ func CollectSubscriptionIntervals(environ *bbgo.Environment) (allKLineIntervals
 	return allKLineIntervals, requiredInterval, backTestIntervals
 }
 
-func InitializeExchangeSources(sessions map[string]*bbgo.ExchangeSession, startTime, endTime time.Time, requiredInterval types.Interval, extraIntervals ...types.Interval) (exchangeSources []*ExchangeDataSource, err error) {
+func InitializeExchangeSources(
+	sessions map[string]*bbgo.ExchangeSession,
+	startTime, endTime time.Time,
+	defaultSymbols []string, requiredInterval types.Interval,
+	extraIntervals ...types.Interval,
+) (exchangeSources []*ExchangeDataSource, err error) {
 	for _, session := range sessions {
 		backtestEx := session.Exchange.(*Exchange)
 
-		c, err := backtestEx.SubscribeMarketData(startTime, endTime, requiredInterval, extraIntervals...)
+		c, err := backtestEx.SubscribeMarketData(startTime, endTime, defaultSymbols, requiredInterval, extraIntervals...)
 		if err != nil {
 			return exchangeSources, err
 		}

diff --git a/pkg/cmd/backtest.go b/pkg/cmd/backtest.go
@@ -311,7 +311,10 @@ var BacktestCmd = &cobra.Command{
 		}
 
 		allKLineIntervals, requiredInterval, backTestIntervals := backtest.CollectSubscriptionIntervals(environ)
-		exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(), startTime, endTime, requiredInterval, backTestIntervals...)
+		exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(),
+			startTime, endTime,
+			userConfig.Backtest.Symbols,
+			requiredInterval, backTestIntervals...)
 		if err != nil {
 			return err
 		}

diff --git a/pkg/strategy/grid2/backtest_test.go b/pkg/strategy/grid2/backtest_test.go
@@ -131,7 +131,7 @@ func RunBacktest(t *testing.T, strategy bbgo.SingleExchangeStrategy) {
 	t.Logf("requiredInterval: %s backTestIntervals: %v", requiredInterval, backTestIntervals)
 
 	_ = allKLineIntervals
-	exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(), startTime.Time(), endTime.Time(), requiredInterval, backTestIntervals...)
+	exchangeSources, err := backtest.InitializeExchangeSources(environ.Sessions(), startTime.Time(), endTime.Time(), nil, requiredInterval, backTestIntervals...)
 	if !assert.NoError(t, err) {
 		return
 	}