toki
8c3c4ba5a2
- Add bin/kis-paper-daily-smoke and bin/kis-sops-env utilities - Update agent-roadmap for operator surface phase - Add worker backtest bar source and Kis live client - Update KIS live secret configuration and documentation - Refine worker datacheck and daily chart price providers
97 lines
3.1 KiB
Go
97 lines
3.1 KiB
Go
package backtest
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import (
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"context"
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"testing"
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"time"
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"git.toki-labs.com/toki/alt/packages/domain/market"
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)
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type sourceStore struct {
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instruments []market.Instrument
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bars map[market.InstrumentID][]market.Bar
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}
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func (s *sourceStore) UpsertInstrument(_ context.Context, inst market.Instrument) error {
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s.instruments = append(s.instruments, inst)
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return nil
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}
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func (s *sourceStore) GetInstrument(_ context.Context, id market.InstrumentID) (market.Instrument, error) {
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for _, inst := range s.instruments {
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if inst.ID == id {
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return inst, nil
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}
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}
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return market.Instrument{}, nil
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}
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func (s *sourceStore) ListInstruments(_ context.Context) ([]market.Instrument, error) {
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out := make([]market.Instrument, len(s.instruments))
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copy(out, s.instruments)
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return out, nil
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}
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func (s *sourceStore) UpsertBar(_ context.Context, bar market.Bar) error {
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if s.bars == nil {
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s.bars = make(map[market.InstrumentID][]market.Bar)
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}
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s.bars[bar.InstrumentID] = append(s.bars[bar.InstrumentID], bar)
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return nil
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}
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func (s *sourceStore) GetBars(_ context.Context, id market.InstrumentID, timeframe market.Timeframe, from, to time.Time) ([]market.Bar, error) {
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var out []market.Bar
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for _, bar := range s.bars[id] {
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if bar.Timeframe != timeframe {
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continue
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}
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if bar.Timestamp.Before(from) || bar.Timestamp.After(to) {
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continue
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}
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out = append(out, bar)
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}
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return out, nil
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}
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func TestStorageBarSourceReadsMarketBars(t *testing.T) {
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store := &sourceStore{}
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krx := market.Instrument{ID: "KRX:005930", Market: market.MarketKR, Venue: market.VenueKRX, Currency: market.CurrencyKRW}
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nasdaq := market.Instrument{ID: "NASDAQ:AAPL", Market: market.MarketUS, Venue: market.VenueNASDAQ, Currency: market.CurrencyUSD}
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if err := store.UpsertInstrument(context.Background(), krx); err != nil {
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t.Fatalf("upsert krx instrument: %v", err)
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}
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if err := store.UpsertInstrument(context.Background(), nasdaq); err != nil {
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t.Fatalf("upsert us instrument: %v", err)
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}
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day1 := time.Date(2024, 5, 27, 0, 0, 0, 0, time.UTC)
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day2 := time.Date(2024, 5, 28, 0, 0, 0, 0, time.UTC)
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if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: krx.ID, Timeframe: market.TimeframeDaily, Timestamp: day2}); err != nil {
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t.Fatalf("upsert day2: %v", err)
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}
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if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: krx.ID, Timeframe: market.TimeframeDaily, Timestamp: day1}); err != nil {
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t.Fatalf("upsert day1: %v", err)
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}
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if err := store.UpsertBar(context.Background(), market.Bar{InstrumentID: nasdaq.ID, Timeframe: market.TimeframeDaily, Timestamp: day1}); err != nil {
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t.Fatalf("upsert us day1: %v", err)
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}
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source := NewStorageBarSource(store, store)
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got, err := source.GetBars(context.Background(), market.MarketKR, market.TimeframeDaily, day1, day2)
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if err != nil {
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t.Fatalf("get bars: %v", err)
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}
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if len(got) != 2 {
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t.Fatalf("bars: got %d, want 2", len(got))
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}
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if got[0].Timestamp != day1 || got[1].Timestamp != day2 {
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t.Fatalf("bars are not sorted by timestamp: %+v", got)
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}
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for _, bar := range got {
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if bar.InstrumentID != krx.ID {
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t.Fatalf("unexpected instrument id: %q", bar.InstrumentID)
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}
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}
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}
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