@backtest/framework
Version:
Backtesting trading strategies in TypeScript / JavaScript
106 lines • 5.38 kB
JavaScript
;
var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
if (k2 === undefined) k2 = k;
var desc = Object.getOwnPropertyDescriptor(m, k);
if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
desc = { enumerable: true, get: function() { return m[k]; } };
}
Object.defineProperty(o, k2, desc);
}) : (function(o, m, k, k2) {
if (k2 === undefined) k2 = k;
o[k2] = m[k];
}));
var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
Object.defineProperty(o, "default", { enumerable: true, value: v });
}) : function(o, v) {
o["default"] = v;
});
var __importStar = (this && this.__importStar) || (function () {
var ownKeys = function(o) {
ownKeys = Object.getOwnPropertyNames || function (o) {
var ar = [];
for (var k in o) if (Object.prototype.hasOwnProperty.call(o, k)) ar[ar.length] = k;
return ar;
};
return ownKeys(o);
};
return function (mod) {
if (mod && mod.__esModule) return mod;
var result = {};
if (mod != null) for (var k = ownKeys(mod), i = 0; i < k.length; i++) if (k[i] !== "default") __createBinding(result, mod, k[i]);
__setModuleDefault(result, mod);
return result;
};
})();
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
return new (P || (P = Promise))(function (resolve, reject) {
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
Object.defineProperty(exports, "__esModule", { value: true });
exports.getCandleStartDate = void 0;
exports.downloadHistoricalData = downloadHistoricalData;
const historical_data_1 = require("../../helpers/historical-data");
const prisma_historical_data_1 = require("../../helpers/prisma-historical-data");
const api_1 = require("../../helpers/api");
Object.defineProperty(exports, "getCandleStartDate", { enumerable: true, get: function () { return api_1.getCandleStartDate; } });
const common_1 = require("../common");
const error_1 = require("../../helpers/error");
const logger = __importStar(require("../../helpers/logger"));
const parse_1 = require("../../helpers/parse");
function downloadHistoricalData(symbol, data) {
return __awaiter(this, void 0, void 0, function* () {
if (!symbol) {
throw new error_1.BacktestError('Symbol is required', error_1.ErrorCode.MissingInput);
}
if (!data.interval) {
throw new error_1.BacktestError('Interval is required', error_1.ErrorCode.MissingInput);
}
const historicalDataSets = yield (0, prisma_historical_data_1.getAllCandleMetaData)();
let symbolStartDate = yield (0, api_1.getCandleStartDate)(symbol);
if (symbolStartDate.error) {
symbolStartDate = yield (0, api_1.getCandleStartDate)(`${symbol}USDT`);
if (!symbolStartDate.error)
symbol = `${symbol}USDT`;
}
if (symbolStartDate.error) {
throw new error_1.BacktestError(`Symbol ${symbol} does not exist`, error_1.ErrorCode.NotFound);
}
const symbolStart = symbolStartDate.data;
if (!(0, common_1.isValidInterval)(data.interval)) {
throw new error_1.BacktestError(`Interval ${data.interval} does not exist`, error_1.ErrorCode.NotFound);
}
const isSymbolPresent = historicalDataSets.some((meta) => meta.name === `${symbol}-${data.interval}`);
if (isSymbolPresent) {
const message = `Symbol ${symbol} with interval ${data.interval} already exists.`;
if (data.downloadIsMandatory) {
throw new error_1.BacktestError(message, error_1.ErrorCode.Conflict);
}
else {
logger.info(message);
return false;
}
}
const now = new Date().getTime();
const startTime = new Date(data.startDate || symbolStart).getTime();
const endTime = new Date(data.endDate || now).getTime();
if (startTime < symbolStart || startTime > now) {
throw new error_1.BacktestError(`Start date must be between ${(0, parse_1.dateToString)(symbolStart)} and ${(0, parse_1.dateToString)(now)}`, error_1.ErrorCode.InvalidInput);
}
if (endTime > now || endTime <= startTime) {
throw new error_1.BacktestError(`End date must be between ${(0, parse_1.dateToString)(startTime)} and ${(0, parse_1.dateToString)(now)}`, error_1.ErrorCode.InvalidInput);
}
const objectGetHistoricalData = {
symbol: symbol,
interval: data.interval,
startTime: startTime,
endTime: endTime
};
return (0, historical_data_1.saveHistoricalData)(objectGetHistoricalData);
});
}
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