@backtest/framework
Version:
Backtesting trading strategies in TypeScript / JavaScript
249 lines • 9.55 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;
};
})();
Object.defineProperty(exports, "__esModule", { value: true });
exports.insertCandles = insertCandles;
exports.getAllCandleMetaData = getAllCandleMetaData;
exports.getCandleMetaData = getCandleMetaData;
exports.getCandles = getCandles;
exports.updateCandlesAndMetaCandle = updateCandlesAndMetaCandle;
exports.deleteCandles = deleteCandles;
const client_1 = require("@prisma/client");
const error_1 = require("./error");
const logger = __importStar(require("./logger"));
const prisma = new client_1.PrismaClient({
datasources: {
db: {
url: process.env.DATABASE_URL || 'file:./db/backtest.db'
}
}
});
async function insertCandles(metaCandle, candles) {
try {
await prisma.metaCandle.create({
data: {
...metaCandle,
startTime: BigInt(metaCandle.startTime),
endTime: BigInt(metaCandle.endTime),
creationTime: BigInt(metaCandle.creationTime),
lastUpdatedTime: BigInt(metaCandle.lastUpdatedTime),
candles: {
create: candles.map((candle) => {
const { symbol, interval, ...c } = candle;
return {
...c,
openTime: BigInt(candle.openTime),
closeTime: BigInt(candle.closeTime)
};
})
}
}
});
}
catch (error) {
logger.error(`Problem inserting ${metaCandle.name} into the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem inserting ${metaCandle.name} into the database with error ${error}`, error_1.ErrorCode.Insert);
}
logger.debug(`Successfully inserted ${metaCandle.name}`);
return true;
}
async function getAllCandleMetaData() {
try {
const metaCandles = await prisma.metaCandle.findMany();
const metaCandlesNumber = metaCandles.map((metaCandle) => {
const { id, ...rest } = metaCandle;
return {
...rest,
startTime: Number(rest.startTime),
endTime: Number(rest.endTime),
creationTime: Number(rest.creationTime),
lastUpdatedTime: Number(rest.lastUpdatedTime)
};
});
return metaCandlesNumber;
}
catch (error) {
logger.error(`Problem getting all the candle metaData from database`);
logger.error(error);
throw new error_1.BacktestError(`Problem getting all the candle metaData with error ${error}`, error_1.ErrorCode.Retrieve);
}
}
async function getCandleMetaData(name) {
try {
const metaCandles = await prisma.metaCandle.findMany({
where: {
name: name
}
});
if (!(metaCandles === null || metaCandles === void 0 ? void 0 : metaCandles.length)) {
return null;
}
const metaCandle = metaCandles[0];
const { id, ...rest } = metaCandle;
return {
...rest,
startTime: Number(rest.startTime),
endTime: Number(rest.endTime),
creationTime: Number(rest.creationTime),
lastUpdatedTime: Number(rest.lastUpdatedTime)
};
}
catch (error) {
logger.error(`Problem getting the ${name} metaData from the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem getting the ${name} metaData with error ${error}`, error_1.ErrorCode.Retrieve);
}
}
async function getCandles(name) {
try {
const metaCandles = await prisma.metaCandle.findMany({
where: {
name: name
},
include: {
candles: true
}
});
if (metaCandles.length === 0) {
return null;
}
let candles = [];
let metaCandlesNumber = [];
for (let metaCandle of metaCandles) {
const retrievedCandles = metaCandle.candles.map((candle) => {
const { id, metaCandleId, ...rest } = candle;
return {
symbol: metaCandle.symbol,
interval: metaCandle.interval,
...rest,
openTime: Number(rest.openTime),
closeTime: Number(rest.closeTime)
};
});
candles = candles.concat(retrievedCandles);
const { id, ...restMetaCandle } = metaCandle;
metaCandlesNumber.push({
...restMetaCandle,
startTime: Number(restMetaCandle.startTime),
endTime: Number(restMetaCandle.endTime),
creationTime: Number(restMetaCandle.creationTime),
lastUpdatedTime: Number(restMetaCandle.lastUpdatedTime)
});
}
candles.sort((a, b) => a.closeTime - b.closeTime);
return { metaCandles: metaCandlesNumber, candles };
}
catch (error) {
logger.error(`Problem getting the ${name} candles from the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem getting the ${name} candles with error ${error}`, error_1.ErrorCode.Retrieve);
}
}
async function updateCandlesAndMetaCandle(name, newCandles) {
try {
const existingMetaCandle = await prisma.metaCandle.findUnique({
where: {
name: name
}
});
if (!existingMetaCandle) {
throw new error_1.BacktestError(`No existing MetaCandle found for ${name}`, error_1.ErrorCode.NotFound);
}
const newStartTime = Math.min(Number(existingMetaCandle.startTime), Number(newCandles[0].closeTime));
const newEndTime = Math.max(Number(existingMetaCandle.endTime), Number(newCandles[newCandles.length - 1].closeTime));
const updateMetaCandle = prisma.metaCandle.update({
where: {
id: existingMetaCandle.id
},
data: {
startTime: BigInt(newStartTime),
endTime: BigInt(newEndTime),
lastUpdatedTime: BigInt(Date.now())
}
});
const createCandles = newCandles.map((candle) => {
const { symbol, interval, ...c } = candle;
return prisma.candle.create({
data: {
...c,
openTime: BigInt(candle.openTime),
closeTime: BigInt(candle.closeTime),
metaCandleId: existingMetaCandle.id
}
});
});
await prisma.$transaction([updateMetaCandle, ...createCandles]);
logger.debug(`${newCandles.length} candles updated successfully for ${name}`);
return true;
}
catch (error) {
logger.error(`Problem updating ${name} into the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem updating ${name} candles with error ${error}`, error_1.ErrorCode.Update);
}
}
async function deleteCandles(name) {
try {
const metaCandle = await prisma.metaCandle.findUnique({
where: {
name: name
},
select: {
id: true
}
});
if (!metaCandle) {
throw new error_1.BacktestError(`MetaCandle and Candles for ${name} dont exist`, error_1.ErrorCode.NotFound);
}
await prisma.candle.deleteMany({
where: {
metaCandleId: metaCandle.id
}
});
await prisma.metaCandle.delete({
where: {
id: metaCandle.id
}
});
logger.debug(`Successfully deleted ${name} candles`);
return true;
}
catch (error) {
logger.error(`Problem deleting ${name} candels from the database`);
logger.error(error);
throw new error_1.BacktestError(`Error deleting MetaCandle and Candles for ${name} with error ${error}`, error_1.ErrorCode.Delete);
}
}
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