managing-apps/src/Managing.Application/Backtesting/Backtester.cs

using Managing.Application.Abstractions;
using Managing.Application.Abstractions.Repositories;
using Managing.Application.Abstractions.Services;
using Managing.Core;
using Managing.Core.FixedSizedQueue;
using Managing.Domain.Accounts;
using Managing.Domain.Backtests;
using Managing.Domain.Candles;
using Managing.Domain.MoneyManagements;
using Managing.Domain.Scenarios;
using Managing.Domain.Shared.Helpers;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Workflows;
using Microsoft.Extensions.Logging;
using static Managing.Common.Enums;

namespace Managing.Application.Backtesting
{
    public class Backtester : IBacktester
    {
        private readonly IBacktestRepository _backtestRepository;
        private readonly ILogger<Backtester> _logger;
        private readonly IExchangeService _exchangeService;
        private readonly IBotFactory _botFactory;
        private readonly IScenarioService _scenarioService;

        public Backtester(
            IExchangeService exchangeService,
            IBotFactory botFactory,
            IBacktestRepository backtestRepository,
            ILogger<Backtester> logger, IScenarioService scenarioService)
        {
            _exchangeService = exchangeService;
            _botFactory = botFactory;
            _backtestRepository = backtestRepository;
            _logger = logger;
            _scenarioService = scenarioService;
        }

        public Backtest RunSimpleBotBacktest(Workflow workflow, bool save = false)
        {
            var simplebot = _botFactory.CreateSimpleBot("scenario", workflow);
            Backtest result = null;
            if (save)
            {
                _backtestRepository.InsertBacktest(result);
            }

            return result;
        }

        public Backtest RunScalpingBotBacktest(Account account,
            MoneyManagement moneyManagement,
            Ticker ticker,
            Scenario scenario,
            Timeframe timeframe,
            double days,
            decimal balance,
            bool isForWatchingOnly = false,
            bool save = false,
            List<Candle> initialCandles = null)
        {
            var scalpingBot = _botFactory.CreateBacktestScalpingBot(account.Name, moneyManagement, ticker, "scenario",
                timeframe, isForWatchingOnly);
            scalpingBot.LoadScenario(scenario.Name);
            var candles = initialCandles ?? GetCandles(account, ticker, timeframe, days);
            var result = GetBacktestingResult(ticker, scenario, timeframe, scalpingBot, candles, balance, account,
                moneyManagement);
            if (save)
            {
                _backtestRepository.InsertBacktest(result);
            }

            return result;
        }

        private List<Candle> GetCandles(Account account, Ticker ticker, Timeframe timeframe, double days)
        {
            var candles = _exchangeService.GetCandlesInflux(account.Exchange, ticker,
                DateTime.Now.AddDays(Convert.ToDouble(days)), timeframe).Result;

            if (candles == null || candles.Count == 0)
                throw new Exception($"No candles for {ticker} on {account.Exchange}");

            return candles;
        }

        public Backtest RunFlippingBotBacktest(Account account, MoneyManagement moneyManagement, Ticker ticker,
            Scenario scenario, Timeframe timeframe,
            double days, decimal balance, bool isForWatchingOnly = false, bool save = false,
            List<Candle> initialCandles = null)
        {
            var flippingBot = _botFactory.CreateBacktestFlippingBot(account.Name, moneyManagement, ticker, "scenario",
                timeframe, false);
            flippingBot.LoadScenario(scenario.Name);
            var candles = initialCandles ?? GetCandles(account, ticker, timeframe, days);
            var result = GetBacktestingResult(ticker, scenario, timeframe, flippingBot, candles, balance, account,
                moneyManagement);
            if (save)
            {
                _backtestRepository.InsertBacktest(result);
            }

            return result;
        }

        public Backtest RunScalpingBotBacktest(Account account, MoneyManagement moneyManagement, Scenario scenario,
            Timeframe timeframe, List<Candle> candles, decimal balance)
        {
            var ticker = MiscExtensions.ParseEnum<Ticker>(candles.FirstOrDefault().Ticker);
            var bot = _botFactory.CreateBacktestScalpingBot(account.Name, moneyManagement, ticker, "scenario",
                timeframe, false);
            bot.LoadScenario(scenario.Name);
            var result = GetBacktestingResult(ticker, scenario, timeframe, bot, candles, balance, account,
                moneyManagement);
            return result;
        }

        public Backtest RunFlippingBotBacktest(Account account, MoneyManagement moneyManagement, Scenario scenario,
            Timeframe timeframe, List<Candle> candles, decimal balance)
        {
            var ticker = MiscExtensions.ParseEnum<Ticker>(candles.FirstOrDefault().Ticker);
            var bot = _botFactory.CreateBacktestFlippingBot(account.Name, moneyManagement, ticker, "scenario",
                timeframe, false);
            bot.LoadScenario(scenario.Name);
            var result = GetBacktestingResult(ticker, scenario, timeframe, bot, candles, balance, account,
                moneyManagement);
            return result;
        }

        private Backtest GetBacktestingResult(
            Ticker ticker,
            Scenario scenario,
            Timeframe timeframe,
            ITradingBot bot,
            List<Candle> candles,
            decimal balance,
            Account account,
            MoneyManagement moneyManagement)
        {
            if (candles == null || candles.Count == 0)
            {
                throw new Exception("No candle to backtest");
            }

            bot.WalletBalances.Add(candles.FirstOrDefault().Date, balance);
            foreach (var candle in candles)
            {
                bot.OptimizedCandles.Enqueue(candle);
                bot.Candles.Add(candle);
                bot.Run();
            }

            bot.Candles = new HashSet<Candle>(candles);
            // bot.UpdateStrategiesValues();

            var strategies = _scenarioService.GetStrategies();
            var strategiesValues = GetStrategiesValues(strategies, candles);

            var finalPnl = bot.GetProfitAndLoss();
            var winRate = bot.GetWinRate();
            var optimizedMoneyManagement = TradingBox.GetBestMoneyManagement(candles, bot.Positions, moneyManagement);
            var stats = TradingHelpers.GetStatistics(bot.WalletBalances);
            var growthPercentage = TradingHelpers.GetGrowthFromInitalBalance(balance, finalPnl);
            var hodlPercentage = TradingHelpers.GetHodlPercentage(candles[0], candles.Last());
            var result = new Backtest(ticker, scenario.Name, bot.Positions, bot.Signals.ToList(), timeframe, candles,
                bot.BotType, account.Name)
            {
                FinalPnl = finalPnl,
                WinRate = winRate,
                GrowthPercentage = growthPercentage,
                HodlPercentage = hodlPercentage,
                Fees = bot.GetTotalFees(),
                WalletBalances = bot.WalletBalances.ToList(),
                Statistics = stats,
                OptimizedMoneyManagement = optimizedMoneyManagement,
                MoneyManagement = moneyManagement,
                StrategiesValues = strategiesValues
            };

            return result;
        }

        private Dictionary<StrategyType, StrategiesResultBase> GetStrategiesValues(IEnumerable<Strategy> strategies,
            List<Candle> candles)
        {
            var strategiesValues = new Dictionary<StrategyType, StrategiesResultBase>();
            var fixedCandles = new FixedSizeQueue<Candle>(10000);
            foreach (var candle in candles)
            {
                fixedCandles.Enqueue(candle);
            }

            foreach (var strategy in strategies)
            {
                try
                {
                    var s = ScenarioHelpers.BuildStrategy(strategy, 10000);
                    s.Candles = fixedCandles;
                    strategiesValues[strategy.Type] = s.GetStrategyValues();
                }
                catch (Exception e)
                {
                    Console.WriteLine(e);
                }
            }

            return strategiesValues;
        }

        public IEnumerable<Backtest> GetBacktests()
        {
            return _backtestRepository.GetBacktests();
        }

        public bool DeleteBacktest(string id)
        {
            try
            {
                _backtestRepository.DeleteBacktestById(id);
                return true;
            }
            catch (Exception ex)
            {
                _logger.LogError(ex.Message);
                return false;
            }
        }

        public bool DeleteBacktests()
        {
            try
            {
                _backtestRepository.DeleteAllBacktests();
                //_backtestRepository.DropCollection();
                return true;
            }
            catch (Exception ex)
            {
                _logger.LogError(ex.Message);
                return false;
            }
        }
    }
}