Backtest opti (#10)

* Opti backtest

* clean

scripts/build_and_run.sh

@@ -10,4 +10,4 @@ docker build -t managing.api -f Managing.Api/Dockerfile . --no-cache
 docker build -t managing.api.workers -f Managing.Api.Workers/Dockerfile . --no-cache 
 
 # Start up the project using docker-compose
-docker-compose -f Managing.Docker/docker-compose.yml -f Managing.Docker/docker-compose.sandbox.yml up -d
+docker compose -f Managing.Docker/docker-compose.yml -f Managing.Docker/docker-compose.local.yml up -d

src/Managing.Api/Controllers/BotController.cs

@@ -198,7 +198,7 @@ public class BotController : ControllerBase
             {
                 Status = item.GetStatus(),
                 Name = item.GetName(),
-                Candles = item.Candles.ToList(),
+                Candles = item.OptimizedCandles.ToList(),
                 Positions = item.Positions,
                 Signals = item.Signals.ToList(),
                 WinRate = item.GetWinRate(),

src/Managing.Application.Tests/StrategyTests.cs

@@ -29,7 +29,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                rsiStrategy.Candles.Add(candle);
+                rsiStrategy.Candles.Enqueue(candle);
                 var signals = rsiStrategy.Run();
             }
 
@@ -63,7 +63,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                rsiStrategy.Candles.Add(candle);
+                rsiStrategy.Candles.Enqueue(candle);
                 var signals = rsiStrategy.Run();
             }
 
@@ -90,7 +90,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                rsiStrategy.Candles.Add(candle);
+                rsiStrategy.Candles.Enqueue(candle);
                 var signals = rsiStrategy.Run();
             }
 
@@ -117,7 +117,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                superTrendStrategy.Candles.Add(candle);
+                superTrendStrategy.Candles.Enqueue(candle);
                 var signals = superTrendStrategy.Run();
             }
 
@@ -144,7 +144,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                chandelierExitStrategy.Candles.Add(candle);
+                chandelierExitStrategy.Candles.Enqueue(candle);
                 var signals = chandelierExitStrategy.Run();
             }
 
@@ -171,7 +171,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                emaTrendSrategy.Candles.Add(candle);
+                emaTrendSrategy.Candles.Enqueue(candle);
                 var signals = emaTrendSrategy.Run();
             }
 
@@ -203,7 +203,7 @@ namespace Managing.Application.Tests
             // Act
             foreach (var candle in candles)
             {
-                stochRsiStrategy.Candles.Add(candle);
+                stochRsiStrategy.Candles.Enqueue(candle);
                 var signals = stochRsiStrategy.Run();
             }
 

src/Managing.Application/Abstractions/ITradingBot.cs

@@ -1,4 +1,5 @@
-using Managing.Domain.Bots;
+using Managing.Core.FixedSizedQueue;
+using Managing.Domain.Bots;
 using Managing.Domain.Candles;
 using Managing.Domain.MoneyManagements;
 using Managing.Domain.Strategies;
@@ -11,6 +12,7 @@ namespace Managing.Application.Abstractions
     {
         HashSet<Signal> Signals { get; set; }
         List<Position> Positions { get; set; }
+        FixedSizeQueue<Candle> OptimizedCandles { get; set; }
         HashSet<Candle> Candles { get; set; }
         Timeframe Timeframe { get; set; }
         HashSet<IStrategy> Strategies { get; set; }
@@ -30,4 +32,4 @@ namespace Managing.Application.Abstractions
         decimal GetTotalFees();
         void LoadStrategies(IEnumerable<IStrategy> strategies);
     }
-}
+}

src/Managing.Application/Backtesting/Backtester.cs

@@ -142,10 +142,12 @@ namespace Managing.Application.Backtesting
             bot.WalletBalances.Add(candles.FirstOrDefault().Date, balance);
             foreach (var candle in candles)
             {
-                bot.Candles.Add(candle);
+                bot.OptimizedCandles.Enqueue(candle);
                 bot.Run();
             }
 
+            bot.Candles = new HashSet<Candle>(candles);
+
             var finalPnl = bot.GetProfitAndLoss();
             var winRate = bot.GetWinRate();
             var optimizedMoneyManagement = TradingBox.GetBestMoneyManagement(candles, bot.Positions, moneyManagement);

src/Managing.Application/Bots/TradingBot.cs

@@ -2,6 +2,7 @@
 using Managing.Application.Abstractions.Services;
 using Managing.Application.Trading;
 using Managing.Application.Trading.Commands;
+using Managing.Core.FixedSizedQueue;
 using Managing.Domain.Accounts;
 using Managing.Domain.Bots;
 using Managing.Domain.Candles;
@@ -27,6 +28,7 @@ public class TradingBot : Bot, ITradingBot
 
     public Account Account { get; set; }
     public HashSet<IStrategy> Strategies { get; set; }
+    public FixedSizeQueue<Candle> OptimizedCandles { get; set; }
     public HashSet<Candle> Candles { get; set; }
     public HashSet<Signal> Signals { get; set; }
     public List<Position> Positions { get; set; }
@@ -80,6 +82,7 @@ public class TradingBot : Bot, ITradingBot
 
         Strategies = new HashSet<IStrategy>();
         Signals = new HashSet<Signal>();
+        OptimizedCandles = new FixedSizeQueue<Candle>(600);
         Candles = new HashSet<Candle>();
         Positions = new List<Position>();
         WalletBalances = new Dictionary<DateTime, decimal>();
@@ -160,13 +163,13 @@ public class TradingBot : Bot, ITradingBot
         Logger.LogInformation(
             $"Time : {DateTime.Now} - Server time {DateTime.Now.ToUniversalTime()} - Bot : {Name} - Type {BotType} - Ticker : {Ticker}");
 
-        var previousCandleCount = Candles.Count;
+        var previousCandleCount = OptimizedCandles.Count;
 
         if (!IsForBacktest)
             await UpdateCandles();
 
-        if (Candles.Count > previousCandleCount || IsForBacktest)
+        if (OptimizedCandles.Count > previousCandleCount || IsForBacktest)
-            await UpdateSignals(Candles);
+            await UpdateSignals(OptimizedCandles);
         else
             Logger.LogInformation($"No need to update signals for {Ticker}");
 
@@ -177,35 +180,38 @@ public class TradingBot : Bot, ITradingBot
             SaveBackup();
 
         await UpdateWalletBalances();
-        Logger.LogInformation($"Candles : {Candles.Count}");
+        if (OptimizedCandles.Count % 100 == 0) // Log every 10th execution
-        Logger.LogInformation($"Signals : {Signals.Count}");
+        {
-        Logger.LogInformation($"ExecutionCount : {ExecutionCount}");
+            Logger.LogInformation($"Candle date : {OptimizedCandles.Last().Date:u}");
-        Logger.LogInformation($"Positions : {Positions.Count}");
+            Logger.LogInformation($"Signals : {Signals.Count}");
-        Logger.LogInformation("__________________________________________________");
+            Logger.LogInformation($"ExecutionCount : {ExecutionCount}");
+            Logger.LogInformation($"Positions : {Positions.Count}");
+            Logger.LogInformation("__________________________________________________");
+        }
     }
 
     private async Task PreloadCandles()
     {
-        if (Candles.Any())
+        if (OptimizedCandles.Any())
             return;
 
         var candles = await ExchangeService.GetCandlesInflux(Account.Exchange, Ticker, PreloadSince, Timeframe);
 
         foreach (var candle in candles.Where(c => c.Date < DateTime.Now.ToUniversalTime()))
         {
-            if (!Candles.Any(c => c.Date == candle.Date))
+            if (!OptimizedCandles.Any(c => c.Date == candle.Date))
             {
-                Candles.Add(candle);
+                OptimizedCandles.Enqueue(candle);
-                await UpdateSignals(Candles);
+                await UpdateSignals(OptimizedCandles);
             }
         }
 
-        PreloadedCandlesCount = Candles.Count();
+        PreloadedCandlesCount = OptimizedCandles.Count();
     }
 
-    private async Task UpdateSignals(HashSet<Candle> candles)
+    private async Task UpdateSignals(FixedSizeQueue<Candle> candles)
     {
-        var signal = TradingBox.GetSignal(candles, Strategies, Signals);
+        var signal = TradingBox.GetSignal(candles.ToHashSet(), Strategies, Signals);
 
         if (signal == null) return;
 
@@ -236,15 +242,15 @@ public class TradingBot : Bot, ITradingBot
 
     protected async Task UpdateCandles()
     {
-        if (Candles.Count == 0 || ExecutionCount == 0)
+        if (OptimizedCandles.Count == 0 || ExecutionCount == 0)
             return;
 
-        var lastCandle = Candles.Last();
+        var lastCandle = OptimizedCandles.Last();
         var newCandle = await ExchangeService.GetCandlesInflux(Account.Exchange, Ticker, lastCandle.Date, Timeframe);
 
         foreach (var candle in newCandle.Where(c => c.Date < DateTime.Now.ToUniversalTime()))
         {
-            Candles.Add(candle);
+            OptimizedCandles.Enqueue(candle);
         }
     }
 
@@ -269,17 +275,25 @@ public class TradingBot : Bot, ITradingBot
 
     private async Task UpdateWalletBalances()
     {
+        var lastCandle = OptimizedCandles.LastOrDefault();
+        if (lastCandle == null) return;
+
+        var date = lastCandle.Date;
+
         if (WalletBalances.Count == 0)
         {
-            WalletBalances.Add(Candles.LastOrDefault().Date, await ExchangeService.GetBalance(Account, IsForBacktest));
+            WalletBalances[date] = await ExchangeService.GetBalance(Account, IsForBacktest);
+            return;
         }
-        else if (!WalletBalances.Any(w => w.Key == Candles.LastOrDefault().Date))
+
+        if (!WalletBalances.ContainsKey(date))
         {
-            var walletBalance = WalletBalances.FirstOrDefault().Value + GetProfitAndLoss();
+            var previousBalance = WalletBalances.First().Value;
-            WalletBalances.Add(Candles.LastOrDefault().Date, walletBalance);
+            WalletBalances[date] = previousBalance + GetProfitAndLoss();
         }
     }
 
+
     private async Task UpdatePosition(Signal signal, Position positionForSignal)
     {
         try
@@ -293,7 +307,6 @@ public class TradingBot : Bot, ITradingBot
             if (position.Status == (PositionStatus.Finished | PositionStatus.Flipped))
             {
                 await HandleClosedPosition(positionForSignal);
-                return;
             }
             else if (position.Status == PositionStatus.Filled)
             {
@@ -301,7 +314,7 @@ public class TradingBot : Bot, ITradingBot
                 // check if position is still open
                 // Check status, if still open update the status of the position
                 var lastCandle = IsForBacktest
-                    ? Candles.Last()
+                    ? OptimizedCandles.Last()
                     : ExchangeService.GetCandle(Account, Ticker, DateTime.UtcNow);
 
                 if (positionForSignal.OriginDirection == TradeDirection.Long)
@@ -401,7 +414,7 @@ public class TradingBot : Bot, ITradingBot
                                                            && p.SignalIdentifier != signal.Identifier);
 
         var lastPrice = IsForBacktest
-            ? Candles.Last().Close
+            ? OptimizedCandles.Last().Close
             : ExchangeService.GetPrice(Account, Ticker, DateTime.UtcNow);
 
         // If position open
@@ -511,7 +524,7 @@ public class TradingBot : Bot, ITradingBot
         if (lastPosition == null)
             return true;
 
-        var tenCandleAgo = Candles.TakeLast(10).First();
+        var tenCandleAgo = OptimizedCandles.TakeLast(10).First();
         var positionSignal = Signals.FirstOrDefault(s => s.Identifier == lastPosition.SignalIdentifier);
 
         return positionSignal.Date < tenCandleAgo.Date;
@@ -543,8 +556,8 @@ public class TradingBot : Bot, ITradingBot
             try
             {
                 var closedPosition =
-                    await (new ClosePositionCommandHandler(ExchangeService, AccountService, TradingService))
+                    (new ClosePositionCommandHandler(ExchangeService, AccountService, TradingService)
-                        .Handle(command);
+                        .Handle(command)).Result;
 
                 if (closedPosition.Status == (PositionStatus.Finished | PositionStatus.Flipped))
                 {

src/Managing.Core/FixedSizedQueue/FixedSizeQueue.cs

@@ -0,0 +1,13 @@
+namespace Managing.Core.FixedSizedQueue;
+
+public class FixedSizeQueue<T> : Queue<T>
+{
+    private readonly int _maxSize;
+    public FixedSizeQueue(int maxSize) => _maxSize = maxSize;
+
+    public new void Enqueue(T item)
+    {
+        while (Count >= _maxSize) Dequeue();
+        base.Enqueue(item);
+    }
+}

src/Managing.Domain/Shared/Helpers/TradingBox.cs

@@ -13,9 +13,10 @@ public static class TradingBox
         HashSet<Signal> previousSignal)
     {
         var signalOnCandles = new HashSet<Signal>();
+        var limitedCandles = newCandles.ToList().TakeLast(600).ToList();
         foreach (var strategy in strategies)
         {
-            strategy.UpdateCandles(newCandles);
+            strategy.UpdateCandles(limitedCandles.ToHashSet());
             var signals = strategy.Run();
 
             if (signals == null || signals.Count == 0) continue;

src/Managing.Domain/Strategies/Strategy.cs

@@ -1,7 +1,7 @@
-using Managing.Domain.Candles;
+using Managing.Core.FixedSizedQueue;
-using Managing.Core;
+using Managing.Domain.Candles;
-using static Managing.Common.Enums;
 using Managing.Domain.Scenarios;
+using static Managing.Common.Enums;
 
 namespace Managing.Domain.Strategies
 {
@@ -11,14 +11,14 @@ namespace Managing.Domain.Strategies
         {
             Name = name;
             Timeframe = timeframe;
-            Candles = new List<Candle>();
+            Candles = new FixedSizeQueue<Candle>(600);
             Type = type;
             SignalType = ScenarioHelpers.GetSignalType(type);
         }
 
         public string Name { get; set; }
         public Timeframe Timeframe { get; set; }
-        public List<Candle> Candles { get; set; }
+        public FixedSizeQueue<Candle> Candles { get; set; }
         public StrategyType Type { get; set; }
         public SignalType SignalType { get; set; }
         public int MinimumHistory { get; set; }
@@ -49,7 +49,7 @@ namespace Managing.Domain.Strategies
                 {
                     if (Candles.All(c => c.Date != item.Date))
                     {
-                        Candles.AddItem(item);
+                        Candles.Enqueue(item);
                     }
                 }
             }