this.buy() with tpPrice issue

[tiddle]

When applying tpPrice to a this.buy it seems to hang for infinity. It just never resolves. No errors or messages.

I tried it with the example SMA cross strategy by replacing this line

this.buy({ size: 1 }); with this.buy({ size: 1, tpPrice: 300 });

[chunkai1312]

@tiddle I apologize for the delayed response. I'm not entirely sure what the issue might be; it could be that the historical data isn't being triggered. If you could provide more detailed code, we might be able to assist you further.

[tiddle]

Sure, i replicated it with this one page bit of code

npm i ccxt @fugle/backtest date-fns technicalindicators

import { btcmarkets } from "ccxt";
import { Backtest, Strategy } from "@fugle/backtest";
import { formatISO } from "date-fns";
import { SMA, CrossUp, CrossDown } from "technicalindicators";

class SmaCross extends Strategy {
  params = { n1: 20, n2: 60 };

  init() {
    const lineA = SMA.calculate({
      period: this.params.n1,
      values: this.data["close"].values,
    });
    this.addIndicator("lineA", lineA);

    const lineB = SMA.calculate({
      period: this.params.n2,
      values: this.data["close"].values,
    });
    this.addIndicator("lineB", lineB);

    const crossUp = CrossUp.calculate({
      lineA: this.getIndicator("lineA"),
      lineB: this.getIndicator("lineB"),
    });
    this.addSignal("crossUp", crossUp);

    const crossDown = CrossDown.calculate({
      lineA: this.getIndicator("lineA"),
      lineB: this.getIndicator("lineB"),
    });
    this.addSignal("crossDown", crossDown);
  }

  next(ctx) {
    const { index, signals, prev } = ctx;
    if (index < this.params.n1 || index < this.params.n2) return;

    const price = prev.data["close"];
    if (signals.get("crossUp"))
      this.buy({ size: 1, tpPrice: price * 1.15, slPrice: price * 0.9 }); // If you remove tpPrice and slPrice code runs fine
    if (signals.get("crossDown")) this.sell({ size: 1 });
  }
}

let btcmarketsExchange = new btcmarkets();

const historyCandles = await btcmarketsExchange
  .fetchOHLCV("BTC/AUD", "1d", 1640995200000)
  .then(convertToObject);

console.log(historyCandles.length);

const backtest = new Backtest(historyCandles, SmaCross, {
  cash: 1000000,
  tradeOnClose: true,
});

backtest.run().then((result) => {
  result.print();
});

function convertToObject(data) {
  return data.map((curr) => {
    return {
      date: formatISO(curr[0]),
      open: curr[1],
      high: curr[2],
      low: curr[3],
      close: curr[4],
      volume: curr[5],
    };
  });
}

[mellster2012]

Same here, when specifying any of the two, slPrice or tpPrice, it hangs. This is a great library, but this issue renders tp and sl, which are major components of backtesting, useless. Will see if I can provide a PR after debugging.

[mellster2012]

Looks like this line needs to end with i++, otherwise it gets stuck reprocessing orders forever:

fugle-backtest-node/src/broker.ts

Line 127 in be42fbb

for (let i = 0; i < this.orders.length; i = 0) {

[mellster2012]

#4

[tiddle]

Not gonna lie, I think this project is dead.

[mellster2012]

Maybe we can maintain forks for it - needs some module upgrades/replacements as well. But (compared to other JS/TS libraries) it seems to have the right balance between ease of use and enough features, is still modern enough to be continued, and leans on the popular python backtesting library.

[mellster2012]

There seems to be another issue: When getting a signal for the current candle with tradeOnClose defaulting to true (false no different), it takes the closing price of the next day/candle, but it should basically be a buy just before the close of the current candle as the signal held all day. There should be an option of passing the price into the order, not just the size, also a fairly easy addition.

[chunkai1312]

@mellster2012 The related PR has been merged, and a patched version has been released to address this issue. If you have any new ideas, feel free to open another issue or submit a PR. Thank you!