bfx-hf-backtest
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bfx-hf-backtest - npm Package Compare versions
Comparing version 1.1.3 to 2.0.0
| 'use strict' | ||
| const { onCandle, onTrade } = require('bfx-hf-strategy') | ||
| const { onCandle } = require('bfx-hf-strategy') | ||
| const N_TRADES = 5 | ||
| const DUST = 0.0000001 | ||
| module.exports = async (btState = {}, candle = {}) => { | ||
| const { strategy } = btState | ||
| const { open, high, low, close, vol, mts } = candle | ||
| let nextStrategyState = await onCandle(strategy, candle) | ||
| const nextStrategyState = await onCandle(strategy, candle) | ||
| if (!(vol === 0 || (open === close && high === low && open === high))) { | ||
| const trades = [] | ||
| let dir = Math.random() > 0.5 ? 1 : -1 | ||
| let highReached = open === high | ||
| let lowReached = open === low | ||
| let currPrice = open | ||
| let priceStep = dir === 1 // go to high or low | ||
| ? high === open ? 0 : (high - open) / N_TRADES | ||
| : open === low ? 0 : (open - low) / N_TRADES | ||
| trades.push({ | ||
| amount: 0, | ||
| price: currPrice, | ||
| mts | ||
| }) | ||
| while (true) { | ||
| // Handle hitting high point (go to low, or close) | ||
| if (!highReached && Math.abs(currPrice - high) < DUST) { | ||
| dir *= -1 | ||
| highReached = true | ||
| priceStep = lowReached | ||
| ? high === close ? 0 : (high - close) / N_TRADES // go to close | ||
| : high === low ? 0 : (high - low) / N_TRADES // go to low | ||
| // Handle hitting low point (go to high, or close) | ||
| } else if (!lowReached && Math.abs(currPrice - low) < DUST) { | ||
| dir *= -1 | ||
| lowReached = true | ||
| priceStep = highReached | ||
| ? close === low ? 0 : (close - low) / N_TRADES // go to close | ||
| : high === low ? 0 : (high - low) / N_TRADES // go to high | ||
| } else if (highReached && lowReached && Math.abs(currPrice - close) < DUST) { | ||
| break | ||
| } | ||
| if (priceStep === 0) { | ||
| break | ||
| } | ||
| currPrice += priceStep * dir | ||
| trades.push({ | ||
| amount: 0, // set evenly at the end | ||
| price: +currPrice.toFixed(7), // starts with open | ||
| mts | ||
| }) | ||
| } | ||
| // Set trade amounts & pass to strategy | ||
| const singleTradeAmount = vol / trades.length | ||
| let trade | ||
| for (let i = 0; i < trades.length; i += 1) { | ||
| trade = trades[i] | ||
| trade.amount = singleTradeAmount | ||
| nextStrategyState = await onTrade(nextStrategyState, trade) | ||
| btState.lastPrice = trade.price | ||
| btState.nTrades += 1 | ||
| btState.strategy = nextStrategyState | ||
| } | ||
| } | ||
| return nextStrategyState | ||
| } |
| { | ||
| "name": "bfx-hf-backtest", | ||
| "version": "1.1.3", | ||
| "version": "2.0.0", | ||
| "description": "HF backtesting logic module", | ||
@@ -23,4 +23,3 @@ "main": "index.js", | ||
| "test": "npm run lint && npm run unit", | ||
| "unit": "DEBUG='bfx:hf:*' NODE_PATH=lib/ NODE_ENV=test istanbul cover _mocha -- -R spec -b --recursive", | ||
| "test-without-coverage": "NODE_ENV=test mocha -R spec -b --recursive", | ||
| "unit": "NODE_ENV=test mocha -R spec -b --recursive", | ||
| "exec_docs": "node_modules/jsdoc-to-markdown/bin/cli.js lib/*.js > docs/exec.md", | ||
@@ -55,14 +54,8 @@ "docs": "npm run exec_docs" | ||
| "devDependencies": { | ||
| "@hyperswarm/replicator": "^1.7.2", | ||
| "async": "^3.2.0", | ||
| "bitfinex-terminal-key-encoding": "^1.0.0", | ||
| "bitfinex-terminal-terms-of-use": "^1.0.0", | ||
| "bitfinex-terminal-terms-of-use": "^4.0.0", | ||
| "dazaar": "^1.2.0", | ||
| "eslint": "^4.19.1", | ||
| "eslint-config-standard": "^7.0.0", | ||
| "eslint-plugin-promise": "^3.5.0", | ||
| "eslint-plugin-standard": "^2.0.1", | ||
| "hyperbee": "0.0.18", | ||
| "hyperbee": "^1.3.0", | ||
| "hypercore": "^9.5.0", | ||
| "istanbul": "^0.4.5", | ||
| "jsdoc-to-markdown": "^5.0.1", | ||
@@ -69,0 +62,0 @@ "mocha": "^6.2.0", |
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Improved metrics
- Total package byte prevSize
- increased by142.41%
267031
- Dev dependency count
- decreased by-40%
9
- Number of package files
- increased by6.98%
46
- Lines of code
- increased by825.21%
9761
Worsened metrics
- Number of medium supply chain risk alerts
- increased byInfinity%
3