Merge pull request #750 from c9s/refactor/persistence-singleton

refactor: persistence singleton and improve backtest cancel performance

Author: c9s

pkg/bbgo/activeorderbook.go

@@ -69,9 +69,14 @@ func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout ti
 
 // GracefulCancel cancels the active orders gracefully
 func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
-	waitTime := CancelOrderWaitTime
+	// optimize order cancel for back-testing
+	if IsBackTesting {
+		orders := b.Orders()
+		return ex.CancelOrders(context.Background(), orders...)
+	}
 
 	log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
+	waitTime := CancelOrderWaitTime
 
 	startTime := time.Now()
 	// ensure every order is cancelled

pkg/bbgo/environment.go

@@ -37,6 +37,16 @@ func init() {
 	rand.Seed(time.Now().UnixNano())
 }
 
+// IsBackTesting is a global variable that indicates the current environment is back-test or not.
+var IsBackTesting = false
+
+var BackTestService *service.BacktestService
+
+func SetBackTesting(s *service.BacktestService) {
+	BackTestService = s
+	IsBackTesting = true
+}
+
 var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy)
 var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy)
 
@@ -69,19 +79,18 @@ const (
 
 // Environment presents the real exchange data layer
 type Environment struct {
-	PersistenceServiceFacade *service.PersistenceServiceFacade
-	DatabaseService          *service.DatabaseService
-	OrderService             *service.OrderService
-	TradeService             *service.TradeService
-	ProfitService            *service.ProfitService
-	PositionService          *service.PositionService
-	BacktestService          *service.BacktestService
-	RewardService            *service.RewardService
-	MarginService            *service.MarginService
-	SyncService              *service.SyncService
-	AccountService           *service.AccountService
-	WithdrawService          *service.WithdrawService
-	DepositService           *service.DepositService
+	DatabaseService *service.DatabaseService
+	OrderService    *service.OrderService
+	TradeService    *service.TradeService
+	ProfitService   *service.ProfitService
+	PositionService *service.PositionService
+	BacktestService *service.BacktestService
+	RewardService   *service.RewardService
+	MarginService   *service.MarginService
+	SyncService     *service.SyncService
+	AccountService  *service.AccountService
+	WithdrawService *service.WithdrawService
+	DepositService  *service.DepositService
 
 	// startTime is the time of start point (which is used in the backtest)
 	startTime time.Time
@@ -107,9 +116,6 @@ func NewEnvironment() *Environment {
 		startTime:     now,
 
 		syncStatus: SyncNotStarted,
-		PersistenceServiceFacade: &service.PersistenceServiceFacade{
-			Memory: service.NewMemoryService(),
-		},
 	}
 }
 
@@ -276,7 +282,8 @@ func (environ *Environment) ConfigurePersistence(conf *PersistenceConfig) error
 			return err
 		}
 
-		environ.PersistenceServiceFacade.Redis = service.NewRedisPersistenceService(conf.Redis)
+		redisPersistence := service.NewRedisPersistenceService(conf.Redis)
+		PersistenceServiceFacade.Redis = redisPersistence
 	}
 
 	if conf.Json != nil {
@@ -287,7 +294,8 @@ func (environ *Environment) ConfigurePersistence(conf *PersistenceConfig) error
 			}
 		}
 
-		environ.PersistenceServiceFacade.Json = &service.JsonPersistenceService{Directory: conf.Json.Directory}
+		jsonPersistence := &service.JsonPersistenceService{Directory: conf.Json.Directory}
+		PersistenceServiceFacade.Json = jsonPersistence
 	}
 
 	return nil
@@ -772,7 +780,7 @@ func (environ *Environment) ConfigureNotificationSystem(userConfig *Config) erro
 		}
 	}
 
-	var persistence = environ.PersistenceServiceFacade.Get()
+	var persistence = PersistenceServiceFacade.Get()
 
 	err := environ.setupInteraction(persistence)
 	if err != nil {

pkg/bbgo/persistence.go

@@ -17,6 +17,12 @@ type PersistenceSelector struct {
 	Type string `json:"type" yaml:"type"`
 }
 
+var DefaultPersistenceServiceFacade = &service.PersistenceServiceFacade{
+	Memory: service.NewMemoryService(),
+}
+
+var PersistenceServiceFacade = DefaultPersistenceServiceFacade
+
 // Persistence is used for strategy to inject the persistence.
 type Persistence struct {
 	PersistenceSelector *PersistenceSelector `json:"persistence,omitempty" yaml:"persistence,omitempty"`

pkg/bbgo/trader.go

@@ -327,11 +327,11 @@ func (trader *Trader) LoadState() error {
 		return nil
 	}
 
-	if trader.environment.PersistenceServiceFacade == nil {
+	if PersistenceServiceFacade == nil {
 		return nil
 	}
 
-	ps := trader.environment.PersistenceServiceFacade.Get()
+	ps := PersistenceServiceFacade.Get()
 
 	log.Infof("loading strategies states...")
 
@@ -364,11 +364,11 @@ func (trader *Trader) SaveState() error {
 		return nil
 	}
 
-	if trader.environment.PersistenceServiceFacade == nil {
+	if PersistenceServiceFacade == nil {
 		return nil
 	}
 
-	ps := trader.environment.PersistenceServiceFacade.Get()
+	ps := PersistenceServiceFacade.Get()
 
 	log.Infof("saving strategies states...")
 	return trader.IterateStrategies(func(strategy StrategyID) error {
@@ -387,10 +387,9 @@ var defaultPersistenceSelector = &PersistenceSelector{
 }
 
 func (trader *Trader) injectCommonServices(s interface{}) error {
-	persistenceFacade := trader.environment.PersistenceServiceFacade
 	persistence := &Persistence{
 		PersistenceSelector: defaultPersistenceSelector,
-		Facade:              persistenceFacade,
+		Facade:              PersistenceServiceFacade,
 	}
 
 	// a special injection for persistence selector:
@@ -404,7 +403,7 @@ func (trader *Trader) injectCommonServices(s interface{}) error {
 				return fmt.Errorf("field Persistence is not a struct element, %s given", field)
 			}
 
-			if err := injectField(elem, "Facade", persistenceFacade, true); err != nil {
+			if err := injectField(elem, "Facade", PersistenceServiceFacade, true); err != nil {
 				return err
 			}
 
@@ -426,6 +425,6 @@ func (trader *Trader) injectCommonServices(s interface{}) error {
 		trader.environment.AccountService,
 		trader.environment,
 		persistence,
-		persistenceFacade, // if the strategy use persistence facade separately
+		PersistenceServiceFacade, // if the strategy use persistence facade separately
 	)
 }

pkg/cmd/backtest.go

@@ -160,6 +160,7 @@ var BacktestCmd = &cobra.Command{
 
 		backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
 		environ.BacktestService = backtestService
+		bbgo.SetBackTesting(backtestService)
 
 		if len(sessionName) > 0 {
 			userConfig.Backtest.Sessions = []string{sessionName}