feat(chart): include OCO target and stop in plots / compress JS (#50)

examples/backtesting/main.go

@@ -55,12 +55,15 @@ func main() {
 		exchange.WithDataFeed(csvFeed),
 	)
 
-	chart := plot.NewChart(plot.WithIndicators(
+	chart, err := plot.NewChart(plot.WithIndicators(
 		indicator.EMA(8, "red"),
 		indicator.EMA(21, "#000"),
 		indicator.RSI(14, "purple"),
 		indicator.Stoch(8, 3, "red", "blue"),
 	))
+	if err != nil {
+		log.Fatal(err)
+	}
 
 	bot, err := ninjabot.NewBot(
 		ctx,

examples/strategies/ocosell.go

@@ -55,7 +55,7 @@ func (e *OCOSell) OnCandle(df *model.Dataframe, broker service.Broker) {
 			}).Error(err)
 		}
 
-		_, err = broker.CreateOrderOCO(model.SideTypeSell, df.Pair, size, closePrice*1.05, closePrice*0.95, closePrice*0.95)
+		_, err = broker.CreateOrderOCO(model.SideTypeSell, df.Pair, size, closePrice*1.1, closePrice*0.95, closePrice*0.95)
 		if err != nil {
 			log.WithFields(map[string]interface{}{
 				"pair":  df.Pair,

exchange/exchange.go

@@ -7,10 +7,10 @@ import (
 	"strings"
 	"sync"
 
-	"github.com/rodrigo-brito/ninjabot/service"
-
 	"github.com/rodrigo-brito/ninjabot/model"
+	"github.com/rodrigo-brito/ninjabot/service"
 
+	"github.com/StudioSol/set"
 	log "github.com/sirupsen/logrus"
 )
 
@@ -27,7 +27,7 @@ type DataFeed struct {
 
 type DataFeedSubscription struct {
 	exchange                service.Exchange
-	Feeds                   []string
+	Feeds                   *set.LinkedHashSetString
 	DataFeeds               map[string]*DataFeed
 	SubscriptionsByDataFeed map[string][]Subscription
 	SubscriptionsFinish     []func()
@@ -43,6 +43,7 @@ type DataFeedConsumer func(model.Candle)
 func NewDataFeed(exchange service.Exchange) *DataFeedSubscription {
 	return &DataFeedSubscription{
 		exchange:                exchange,
+		Feeds:                   set.NewLinkedHashSetString(),
 		DataFeeds:               make(map[string]*DataFeed),
 		SubscriptionsByDataFeed: make(map[string][]Subscription),
 	}
@@ -59,7 +60,7 @@ func (d *DataFeedSubscription) pairTimeframeFromKey(key string) (pair, timeframe
 
 func (d *DataFeedSubscription) Subscribe(pair, timeframe string, consumer DataFeedConsumer, onCandleClose bool) {
 	key := d.feedKey(pair, timeframe)
-	d.Feeds = append(d.Feeds, key)
+	d.Feeds.Add(key)
 	d.SubscriptionsByDataFeed[key] = append(d.SubscriptionsByDataFeed[key], Subscription{
 		onCandleClose: onCandleClose,
 		consumer:      consumer,
@@ -74,6 +75,10 @@ func (d *DataFeedSubscription) Preload(pair, timeframe string, candles []model.C
 	log.Infof("[SETUP] preloading %d candles for %s-%s", len(candles), pair, timeframe)
 	key := d.feedKey(pair, timeframe)
 	for _, candle := range candles {
+		if !candle.Complete {
+			continue
+		}
+
 		for _, subscription := range d.SubscriptionsByDataFeed[key] {
 			subscription.consumer(candle)
 		}
@@ -82,7 +87,7 @@ func (d *DataFeedSubscription) Preload(pair, timeframe string, candles []model.C
 
 func (d *DataFeedSubscription) Connect() {
 	log.Infof("Connecting to the exchange.")
-	for _, feed := range d.Feeds {
+	for feed := range d.Feeds.Iter() {
 		pair, timeframe := d.pairTimeframeFromKey(feed)
 		ccandle, cerr := d.exchange.CandlesSubscription(context.Background(), pair, timeframe)
 		d.DataFeeds[feed] = &DataFeed{

exchange/paperwallet.go

@@ -149,7 +149,7 @@ func (p *PaperWallet) OnCandle(candle model.Candle) {
 	}
 
 	for i, order := range p.orders {
-		if order.Status != model.OrderStatusTypeNew {
+		if order.Pair != candle.Pair || order.Status != model.OrderStatusTypeNew {
 			continue
 		}
 
@@ -168,6 +168,7 @@ func (p *PaperWallet) OnCandle(candle model.Candle) {
 			walletValue := p.avgPrice[candle.Pair] * actualQty
 
 			p.volume[candle.Pair] += orderVolume
+			p.orders[i].UpdatedAt = candle.Time
 			p.orders[i].Status = model.OrderStatusTypeFilled
 			p.avgPrice[candle.Pair] = (walletValue + orderVolume) / (actualQty + order.Quantity)
 			p.assets[asset].Free = p.assets[asset].Free + order.Quantity
@@ -196,6 +197,7 @@ func (p *PaperWallet) OnCandle(candle model.Candle) {
 					if groupOrder.GroupID != nil && *groupOrder.GroupID == *order.GroupID &&
 						groupOrder.ExchangeID != order.ExchangeID {
 						p.orders[j].Status = model.OrderStatusTypeCanceled
+						p.orders[j].UpdatedAt = candle.Time
 						break
 					}
 				}
@@ -270,6 +272,7 @@ func (p *PaperWallet) CreateOrderOCO(side model.SideType, pair string,
 		Price:      price,
 		Quantity:   size,
 		GroupID:    &groupID,
+		RefPrice:   p.lastCandle[pair].Close,
 	}
 
 	stopOrder := model.Order{
@@ -284,6 +287,7 @@ func (p *PaperWallet) CreateOrderOCO(side model.SideType, pair string,
 		Stop:       &stop,
 		Quantity:   size,
 		GroupID:    &groupID,
+		RefPrice:   p.lastCandle[pair].Close,
 	}
 	p.orders = append(p.orders, limitMaker, stopOrder)
 

go.mod

@@ -3,11 +3,13 @@ module github.com/rodrigo-brito/ninjabot
 go 1.16
 
 require (
+	github.com/StudioSol/set v0.0.0-20211001132805-52fe71d0afcf
 	github.com/adshao/go-binance/v2 v2.3.2
 	github.com/cpuguy83/go-md2man/v2 v2.0.0 // indirect
+	github.com/evanw/esbuild v0.13.7
 	github.com/gorilla/websocket v1.4.2 // indirect
 	github.com/jpillora/backoff v1.0.0
-	github.com/kr/pretty v0.2.1 // indirect
+	github.com/kr/pretty v0.3.0 // indirect
 	github.com/markcheno/go-talib v0.0.0-20190307022042-cd53a9264d70
 	github.com/olekukonko/tablewriter v0.0.5
 	github.com/pkg/errors v0.9.1 // indirect
@@ -19,8 +21,6 @@ require (
 	github.com/tidwall/gjson v1.9.2 // indirect
 	github.com/urfave/cli/v2 v2.3.0
 	github.com/xhit/go-str2duration/v2 v2.0.0
-	golang.org/x/sys v0.0.0-20210320140829-1e4c9ba3b0c4 // indirect
-	gopkg.in/check.v1 v1.0.0-20180628173108-788fd7840127 // indirect
 	gopkg.in/tucnak/telebot.v2 v2.4.0
 	gopkg.in/yaml.v3 v3.0.0-20200605160147-a5ece683394c // indirect
 )

go.sum

@@ -1,4 +1,6 @@
 github.com/BurntSushi/toml v0.3.1/go.mod h1:xHWCNGjB5oqiDr8zfno3MHue2Ht5sIBksp03qcyfWMU=
+github.com/StudioSol/set v0.0.0-20211001132805-52fe71d0afcf h1:J0UFkeov8c7HXBx/9LT0k5NZgUMXQWnl9o3B15Qja5w=
+github.com/StudioSol/set v0.0.0-20211001132805-52fe71d0afcf/go.mod h1:gHtdo3acqCLmt09I95lUZsaYbD5EkgaXXb/+IRbU3jg=
 github.com/adshao/go-binance/v2 v2.3.2 h1:qIXuCUDma9yrnQ1qP0PQZrHwA9d/4b8UaFxw+5TQKFU=
 github.com/adshao/go-binance/v2 v2.3.2/go.mod h1:TfcBwfGtmRibSljDDR0XCaPkfBt1kc2N9lnNMYC3dCQ=
 github.com/bitly/go-simplejson v0.5.0 h1:6IH+V8/tVMab511d5bn4M7EwGXZf9Hj6i2xSwkNEM+Y=
@@ -8,9 +10,12 @@ github.com/bmizerany/assert v0.0.0-20160611221934-b7ed37b82869/go.mod h1:Ekp36dR
 github.com/cpuguy83/go-md2man/v2 v2.0.0-20190314233015-f79a8a8ca69d/go.mod h1:maD7wRr/U5Z6m/iR4s+kqSMx2CaBsrgA7czyZG/E6dU=
 github.com/cpuguy83/go-md2man/v2 v2.0.0 h1:EoUDS0afbrsXAZ9YQ9jdu/mZ2sXgT1/2yyNng4PGlyM=
 github.com/cpuguy83/go-md2man/v2 v2.0.0/go.mod h1:maD7wRr/U5Z6m/iR4s+kqSMx2CaBsrgA7czyZG/E6dU=
+github.com/creack/pty v1.1.9/go.mod h1:oKZEueFk5CKHvIhNR5MUki03XCEU+Q6VDXinZuGJ33E=
 github.com/davecgh/go-spew v1.1.0/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
 github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c=
 github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
+github.com/evanw/esbuild v0.13.7 h1:ijdfXsbVKc70+JclIgYLSuyEgGj8nIpjGSO1KbULosk=
+github.com/evanw/esbuild v0.13.7/go.mod h1:GG+zjdi59yh3ehDn4ZWfPcATxjPDUH53iU4ZJbp7dkY=
 github.com/gin-contrib/sse v0.1.0 h1:Y/yl/+YNO8GZSjAhjMsSuLt29uWRFHdHYUb5lYOV9qE=
 github.com/gin-contrib/sse v0.1.0/go.mod h1:RHrZQHXnP2xjPF+u1gW/2HnVO7nvIa9PG3Gm+fLHvGI=
 github.com/gin-gonic/gin v1.6.3 h1:ahKqKTFpO5KTPHxWZjEdPScmYaGtLo8Y4DMHoEsnp14=
@@ -45,12 +50,14 @@ github.com/json-iterator/go v1.1.9/go.mod h1:KdQUCv79m/52Kvf8AW2vK1V8akMuk1QjK/u
 github.com/klauspost/compress v1.10.3/go.mod h1:aoV0uJVorq1K+umq18yTdKaF57EivdYsUV+/s2qKfXs=
 github.com/klauspost/compress v1.13.1 h1:wXr2uRxZTJXHLly6qhJabee5JqIhTRoLBhDOA74hDEQ=
 github.com/klauspost/compress v1.13.1/go.mod h1:8dP1Hq4DHOhN9w426knH3Rhby4rFm6D8eO+e+Dq5Gzg=
+github.com/kr/pretty v0.1.0/go.mod h1:dAy3ld7l9f0ibDNOQOHHMYYIIbhfbHSm3C4ZsoJORNo=
 github.com/kr/pretty v0.2.0/go.mod h1:ipq/a2n7PKx3OHsz4KJII5eveXtPO4qwEXGdVfWzfnI=
-github.com/kr/pretty v0.2.1 h1:Fmg33tUaq4/8ym9TJN1x7sLJnHVwhP33CNkpYV/7rwI=
-github.com/kr/pretty v0.2.1/go.mod h1:ipq/a2n7PKx3OHsz4KJII5eveXtPO4qwEXGdVfWzfnI=
+github.com/kr/pretty v0.3.0 h1:WgNl7dwNpEZ6jJ9k1snq4pZsg7DOEN8hP9Xw0Tsjwk0=
+github.com/kr/pretty v0.3.0/go.mod h1:640gp4NfQd8pI5XOwp5fnNeVWj67G7CFk/SaSQn7NBk=
 github.com/kr/pty v1.1.1/go.mod h1:pFQYn66WHrOpPYNljwOMqo10TkYh1fy3cYio2l3bCsQ=
-github.com/kr/text v0.1.0 h1:45sCR5RtlFHMR4UwH9sdQ5TC8v0qDQCHnXt+kaKSTVE=
 github.com/kr/text v0.1.0/go.mod h1:4Jbv+DJW3UT/LiOwJeYQe1efqtUx/iVham/4vfdArNI=
+github.com/kr/text v0.2.0 h1:5Nx0Ya0ZqY2ygV366QzturHI13Jq95ApcVaJBhpS+AY=
+github.com/kr/text v0.2.0/go.mod h1:eLer722TekiGuMkidMxC/pM04lWEeraHUUmBw8l2grE=
 github.com/leodido/go-urn v1.2.0 h1:hpXL4XnriNwQ/ABnpepYM/1vCLWNDfUNts8dX3xTG6Y=
 github.com/leodido/go-urn v1.2.0/go.mod h1:+8+nEpDfqqsY+g338gtMEUOtuK+4dEMhiQEgxpxOKII=
 github.com/markcheno/go-talib v0.0.0-20190307022042-cd53a9264d70 h1:+iG37/Aw61Oc+ZJ4DSxQF2+K0e4ZiMidI7ytWuW4/cI=
@@ -70,6 +77,8 @@ github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4=
 github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
 github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
 github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
+github.com/rogpeppe/go-internal v1.6.1 h1:/FiVV8dS/e+YqF2JvO3yXRFbBLTIuSDkuC7aBOAvL+k=
+github.com/rogpeppe/go-internal v1.6.1/go.mod h1:xXDCJY+GAPziupqXw64V24skbSoqbTEfhy4qGm1nDQc=
 github.com/russross/blackfriday/v2 v2.0.1 h1:lPqVAte+HuHNfhJ/0LC98ESWRz8afy9tM/0RK8m9o+Q=
 github.com/russross/blackfriday/v2 v2.0.1/go.mod h1:+Rmxgy9KzJVeS9/2gXHxylqXiyQDYRxCVz55jmeOWTM=
 github.com/shurcooL/sanitized_anchor_name v1.0.0 h1:PdmoCO6wvbs+7yrJyMORt4/BmY5IYyJwS/kOiWx8mHo=
@@ -83,6 +92,7 @@ github.com/stretchr/testify v1.2.2/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXf
 github.com/stretchr/testify v1.3.0/go.mod h1:M5WIy9Dh21IEIfnGCwXGc5bZfKNJtfHm1UVUgZn+9EI=
 github.com/stretchr/testify v1.4.0/go.mod h1:j7eGeouHqKxXV5pUuKE4zz7dFj8WfuZ+81PSLYec5m4=
 github.com/stretchr/testify v1.5.1/go.mod h1:5W2xD1RspED5o8YsWQXVCued0rvSQ+mT+I5cxcmMvtA=
+github.com/stretchr/testify v1.6.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5CcY=
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 github.com/tidwall/btree v0.6.0/go.mod h1:TzIRzen6yHbibdSfK6t8QimqbUnoxUSrZfeW7Uob0q4=
@@ -117,8 +127,8 @@ github.com/xhit/go-str2duration/v2 v2.0.0 h1:uFtk6FWB375bP7ewQl+/1wBcn840GPhnySO
 github.com/xhit/go-str2duration/v2 v2.0.0/go.mod h1:ohY8p+0f07DiV6Em5LKB0s2YpLtXVyJfNt1+BlmyAsU=
 golang.org/x/sys v0.0.0-20191026070338-33540a1f6037/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
 golang.org/x/sys v0.0.0-20200116001909-b77594299b42/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
-golang.org/x/sys v0.0.0-20210320140829-1e4c9ba3b0c4 h1:EZ2mChiOa8udjfp6rRmswTbtZN/QzUQp4ptM4rnjHvc=
-golang.org/x/sys v0.0.0-20210320140829-1e4c9ba3b0c4/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
+golang.org/x/sys v0.0.0-20210908233432-aa78b53d3365 h1:6wSTsvPddg9gc/mVEEyk9oOAoxn+bT4Z9q1zx+4RwA4=
+golang.org/x/sys v0.0.0-20210908233432-aa78b53d3365/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/text v0.3.2/go.mod h1:bEr9sfX3Q8Zfm5fL9x+3itogRgK3+ptLWKqgva+5dAk=
 golang.org/x/time v0.0.0-20191024005414-555d28b269f0/go.mod h1:tRJNPiyCQ0inRvYxbN9jk5I+vvW/OXSQhTDSoE431IQ=
 golang.org/x/tools v0.0.0-20180917221912-90fa682c2a6e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ=
@@ -127,6 +137,7 @@ golang.org/x/xerrors v0.0.0-20191204190536-9bdfabe68543/go.mod h1:I/5z698sn9Ka8T
 gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
 gopkg.in/check.v1 v1.0.0-20180628173108-788fd7840127 h1:qIbj1fsPNlZgppZ+VLlY7N33q108Sa+fhmuc+sWQYwY=
 gopkg.in/check.v1 v1.0.0-20180628173108-788fd7840127/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
+gopkg.in/errgo.v2 v2.1.0/go.mod h1:hNsd1EY+bozCKY1Ytp96fpM3vjJbqLJn88ws8XvfDNI=
 gopkg.in/tucnak/telebot.v2 v2.4.0 h1:nOeqOWnOAD3dzbKW+NRumd8zjj5vrWwSa0WRTxvgfag=
 gopkg.in/tucnak/telebot.v2 v2.4.0/go.mod h1:BgaIIx50PSRS9pG59JH+geT82cfvoJU/IaI5TJdN3v8=
 gopkg.in/yaml.v2 v2.2.2/go.mod h1:hI93XBmqTisBFMUTm0b8Fm+jr3Dg1NNxqwp+5A1VGuI=

model/order.go

@@ -48,8 +48,9 @@ type Order struct {
 	GroupID *int64   `db:"group_id" json:"group_id"`
 
 	// Internal use (Plot)
-	Profit float64 `json:"-"`
-	Candle Candle  `json:"-"`
+	RefPrice float64 `json:"-"`
+	Profit   float64 `json:"-"`
+	Candle   Candle  `json:"-"`
 }
 
 func (o Order) String() string {

model/priorityqueue.go

@@ -28,13 +28,15 @@ func NewPriorityQueue(data []Item) *PriorityQueue {
 func (q *PriorityQueue) Push(item Item) {
 	q.Lock()
 	defer q.Unlock()
+
 	q.data = append(q.data, item)
 	q.length++
 	q.up(q.length - 1)
 }
 func (q *PriorityQueue) Pop() Item {
 	q.Lock()
 	defer q.Unlock()
+
 	if q.length == 0 {
 		return nil
 	}
@@ -47,15 +49,21 @@ func (q *PriorityQueue) Pop() Item {
 	q.data = q.data[:len(q.data)-1]
 	return top
 }
+
 func (q *PriorityQueue) Peek() Item {
+	q.Lock()
+	defer q.Unlock()
+
 	if q.length == 0 {
 		return nil
 	}
 	return q.data[0]
 }
+
 func (q *PriorityQueue) Len() int {
 	q.Lock()
 	defer q.Unlock()
+
 	return q.length
 }
 func (q *PriorityQueue) down(pos int) {

ninjabot.go

@@ -243,6 +243,7 @@ func (n *NinjaBot) processCandles() {
 
 func (n *NinjaBot) Run(ctx context.Context) error {
 	for _, pair := range n.settings.Pairs {
+		pair := pair
 		// setup and subscribe strategy to data feed (candles)
 		strategyController := strategy.NewStrategyController(pair, n.strategy, n.orderController)
 		strategyController.Start()
@@ -252,13 +253,14 @@ func (n *NinjaBot) Run(ctx context.Context) error {
 		// TODO: include onCandleClose=false to improve precision in OCO orders (backtesting)
 		n.dataFeed.Subscribe(pair, n.strategy.Timeframe(), n.onCandle, true)
 
-		// preload candles to warmup strategy
-		candles, err := n.exchange.CandlesByLimit(ctx, pair, n.strategy.Timeframe(), n.strategy.WarmupPeriod()+1)
-		if err != nil {
-			return err
+		if !n.backtest {
+			// preload candles to warmup strategy
+			candles, err := n.exchange.CandlesByLimit(ctx, pair, n.strategy.Timeframe(), n.strategy.WarmupPeriod()+1)
+			if err != nil {
+				return err
+			}
+			n.dataFeed.Preload(pair, n.strategy.Timeframe(), candles)
 		}
-
-		n.dataFeed.Preload(pair, n.strategy.Timeframe(), candles)
 	}
 
 	n.orderFeed.Start()