Dev backtest (#1134)

market/historical.go

@@ -0,0 +1,104 @@
+package market
+
+import (
+	"encoding/json"
+	"fmt"
+	"io"
+	"net/http"
+	"time"
+)
+
+const (
+	binanceFuturesKlinesURL = "https://fapi.binance.com/fapi/v1/klines"
+	binanceMaxKlineLimit    = 1500
+)
+
+// GetKlinesRange 拉取指定时间范围内的 K 线序列（闭区间），返回按时间升序排列的数据。
+func GetKlinesRange(symbol string, timeframe string, start, end time.Time) ([]Kline, error) {
+	symbol = Normalize(symbol)
+	normTF, err := NormalizeTimeframe(timeframe)
+	if err != nil {
+		return nil, err
+	}
+	if !end.After(start) {
+		return nil, fmt.Errorf("end time must be after start time")
+	}
+
+	startMs := start.UnixMilli()
+	endMs := end.UnixMilli()
+
+	var all []Kline
+	cursor := startMs
+
+	client := &http.Client{Timeout: 15 * time.Second}
+
+	for cursor < endMs {
+		req, err := http.NewRequest("GET", binanceFuturesKlinesURL, nil)
+		if err != nil {
+			return nil, err
+		}
+
+		q := req.URL.Query()
+		q.Set("symbol", symbol)
+		q.Set("interval", normTF)
+		q.Set("limit", fmt.Sprintf("%d", binanceMaxKlineLimit))
+		q.Set("startTime", fmt.Sprintf("%d", cursor))
+		q.Set("endTime", fmt.Sprintf("%d", endMs))
+		req.URL.RawQuery = q.Encode()
+
+		resp, err := client.Do(req)
+		if err != nil {
+			return nil, err
+		}
+
+		body, err := io.ReadAll(resp.Body)
+		resp.Body.Close()
+		if err != nil {
+			return nil, err
+		}
+		if resp.StatusCode != http.StatusOK {
+			return nil, fmt.Errorf("binance klines api returned status %d: %s", resp.StatusCode, string(body))
+		}
+
+		var raw [][]interface{}
+		if err := json.Unmarshal(body, &raw); err != nil {
+			return nil, err
+		}
+		if len(raw) == 0 {
+			break
+		}
+
+		batch := make([]Kline, len(raw))
+		for i, item := range raw {
+			openTime := int64(item[0].(float64))
+			open, _ := parseFloat(item[1])
+			high, _ := parseFloat(item[2])
+			low, _ := parseFloat(item[3])
+			close, _ := parseFloat(item[4])
+			volume, _ := parseFloat(item[5])
+			closeTime := int64(item[6].(float64))
+
+			batch[i] = Kline{
+				OpenTime:  openTime,
+				Open:      open,
+				High:      high,
+				Low:       low,
+				Close:     close,
+				Volume:    volume,
+				CloseTime: closeTime,
+			}
+		}
+
+		all = append(all, batch...)
+
+		last := batch[len(batch)-1]
+		cursor = last.CloseTime + 1
+
+		// 若返回数量少于请求上限，说明已到达末尾，可提前退出。
+		if len(batch) < binanceMaxKlineLimit {
+			break
+		}
+	}
+
+	return all, nil
+}