backtest-api
Version:
OData server for backtesting.
123 lines • 5.3 kB
JavaScript
;
var __decorate = (this && this.__decorate) || function (decorators, target, key, desc) {
var c = arguments.length, r = c < 3 ? target : desc === null ? desc = Object.getOwnPropertyDescriptor(target, key) : desc, d;
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return c > 3 && r && Object.defineProperty(target, key, r), r;
};
var __param = (this && this.__param) || function (paramIndex, decorator) {
return function (target, key) { decorator(target, key, paramIndex); }
};
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); } }
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step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
var __importDefault = (this && this.__importDefault) || function (mod) {
return (mod && mod.__esModule) ? mod : { "default": mod };
};
Object.defineProperty(exports, "__esModule", { value: true });
const backtesting_1 = require("backtesting");
const event_stream_1 = __importDefault(require("event-stream"));
const mongodb_1 = require("mongodb");
const odata_v4_server_1 = require("odata-v4-server");
const connect_1 = __importDefault(require("../connect"));
const Trade_1 = require("./Trade");
const collectionName = "backtest";
class Backtest {
constructor(data) {
Object.assign(this, data);
}
execute(result) {
return __awaiter(this, void 0, void 0, function* () {
const { _id: key } = result;
// tslint:disable-next-line: variable-name
const _id = new mongodb_1.ObjectID(key);
const db = yield connect_1.default();
const backtest = new Backtest(yield db.collection(collectionName).findOne({ _id }));
const { asset, currency, exchange, period, begin, end, indicators, initialBalance, code } = backtest;
const rs = backtesting_1.streamTrades({
exchange,
currency,
asset,
period,
start: begin,
end,
indicators: JSON.parse(indicators),
code,
initialBalance
});
let finalBalance;
const tradesCollection = yield db.collection("trade");
yield tradesCollection.deleteMany({ parentId: _id });
rs.pipe(event_stream_1.default.map((chunk, next) => {
const doc = JSON.parse(chunk);
doc.parentId = _id;
finalBalance = doc.amount;
tradesCollection.insertOne(doc, next);
}));
yield new Promise(resolve => {
rs.on("end", resolve);
});
return db
.collection(collectionName)
.updateOne({ _id }, {
$set: {
finalBalance: Math.abs(finalBalance)
}
})
.then(r => r.modifiedCount);
});
}
}
__decorate([
odata_v4_server_1.Edm.Key,
odata_v4_server_1.Edm.Computed,
odata_v4_server_1.Edm.String
], Backtest.prototype, "_id", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "exchange", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "currency", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "asset", void 0);
__decorate([
odata_v4_server_1.Edm.Double
], Backtest.prototype, "period", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "begin", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "end", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "indicators", void 0);
__decorate([
odata_v4_server_1.Edm.String
], Backtest.prototype, "code", void 0);
__decorate([
odata_v4_server_1.Edm.Double
], Backtest.prototype, "initialBalance", void 0);
__decorate([
odata_v4_server_1.Edm.Double
], Backtest.prototype, "finalBalance", void 0);
__decorate([
odata_v4_server_1.Edm.Double
], Backtest.prototype, "profit", void 0);
__decorate([
odata_v4_server_1.Edm.Collection(odata_v4_server_1.Edm.EntityType(odata_v4_server_1.Edm.ForwardRef(() => Trade_1.Trade)))
], Backtest.prototype, "Trades", void 0);
__decorate([
odata_v4_server_1.Edm.Action,
__param(0, odata_v4_server_1.odata.result)
], Backtest.prototype, "execute", null);
exports.Backtest = Backtest;
//# sourceMappingURL=Backtest.js.map