Feature/backtest tweaks (#2667)

* on no batches return empty set * make sure we never pass Infinity as rate * update bfx markets * [GB] add polo outbid calculations * update sqlite dep to 4.0.4 * on import catch kraken no trades * only start measuring performance and portfolio after warmup is completed * rewire relays to first relay warmup
askmike · Dec 2, 2018 · 0ec34c6 · 0ec34c6
1 parent f633e7b
commit 0ec34c6
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Showing 10 changed files with 1,146 additions and 619 deletions.
diff --git a/core/tools/dateRangeScanner.js b/core/tools/dateRangeScanner.js
@@ -92,13 +92,13 @@ var scan = function(done) {
             iterator.to -= BATCH_SIZE * 60;
           },
           () => {
-
-            if(!_.size(batches))
-              util.die('Not enough data to work with (please manually set a valid `backtest.daterange`)..', true);
+            if(batches.length === 0) {
+              return done(null, [], reader);
+            }
 
             // batches is now a list like
             // [ {from: unix, to: unix } ]
-            
+
             var ranges = [ batches.shift() ];
 
             _.each(batches, batch => {
@@ -112,6 +112,7 @@ var scan = function(done) {
             // we have been counting chronologically reversed
             // (backwards, from now into the past), flip definitions
             ranges = ranges.reverse();
+
             _.map(ranges, r => {
               return {
                 from: r.to,

diff --git a/exchange/orders/sticky.js b/exchange/orders/sticky.js
@@ -52,15 +52,19 @@ class StickyOrder extends BaseOrder {
     this.initialLimit = params.initialLimit;
 
     if(side === 'buy') {
-      if(params.limit)
+      if(params.limit) {
         this.limit = this.roundPrice(params.limit);
-      else
+      } else {
+        this.noLimit = true;
         this.limit = Infinity;
+      }
     } else {
-      if(params.limit)
+      if(params.limit) {
         this.limit = this.roundPrice(params.limit);
-      else
+      } else {
+        this.noLimit = true;
         this.limit = -Infinity;
+      }
     }
 
     this.status = states.SUBMITTED;
@@ -76,6 +80,7 @@ class StickyOrder extends BaseOrder {
     } else {
       this.api.getTicker((err, ticker) => {
         if(this.handleError(err)) {
+          console.log(new Date, 'error get ticker');
           return;
         }
 
@@ -98,7 +103,7 @@ class StickyOrder extends BaseOrder {
 
     if(this.side === 'buy') {
 
-      if(ticker.bid >= this.limit) {
+      if(!this.noLimit && ticker.bid >= this.limit) {
         return r(this.limit);
       }
 
@@ -116,7 +121,7 @@ class StickyOrder extends BaseOrder {
 
     } else if(this.side === 'sell') {
 
-      if(ticker.ask <= this.limit) {
+      if(!this.noLimit && ticker.ask <= this.limit) {
         return r(this.limit);
       }
 
@@ -283,6 +288,7 @@ class StickyOrder extends BaseOrder {
 
         this.api.getTicker((err, ticker) => {
           if(this.handleError(err)) {
+            console.log(new Date, 'getTicker error');
             return;
           }
 
@@ -499,6 +505,7 @@ class StickyOrder extends BaseOrder {
 
     this.api.cancelOrder(this.id, (err, filled, data) => {
       if(this.handleError(err)) {
+        console.log(new Date, 'error cancel');
         return;
       }