[Backtesting] update orders management and price channel

octobot_trading/data/order.py

@@ -18,6 +18,8 @@
 from asyncio import Lock
 
 import math
+
+from octobot_backtesting.api.backtesting import get_backtesting_current_time
 from octobot_commons.dict_util import get_value_or_default
 
 from octobot_commons.logging.logging_util import get_logger
@@ -91,7 +93,12 @@ def update(self, symbol, order_id="", status=OrderStatus.OPEN,
             self.timestamp = timestamp
         if not self.timestamp:
             if not timestamp:
-                self.creation_time = time.time()
+                if self.exchange_manager.is_backtesting:
+                    # in backtesting, set creation time at current backtesting progress time
+                    # using exchange simulator's backtesting
+                    self.creation_time = get_backtesting_current_time(self.exchange_manager.exchange.backtesting)
+                else:
+                    self.creation_time = time.time()
             else:
                 # if we have a timestamp, it's a real trader => need to format timestamp if necessary
                 self.creation_time = self.exchange_manager.exchange.get_uniform_timestamp(timestamp)
@@ -251,10 +258,10 @@ async def default_exchange_update_order_status(self):
             await self.cancel_from_exchange()
 
     def generate_executed_time(self, simulated_time=False):
-        if not simulated_time or not self.last_prices:  # TODO
+        if not simulated_time:  # TODO
             return time.time()
         else:
-            return self.last_prices[-1][ECOC.TIMESTAMP.value]
+            return get_backtesting_current_time(self.exchange_manager.exchange.backtesting)
 
     def is_self_managed(self):
         # stop losses and take profits are self managed by the bot

octobot_trading/exchanges/exchange_simulator.pxd

@@ -33,3 +33,4 @@ cdef class ExchangeSimulator(AbstractExchange):
     cpdef get_uniform_timestamp(self, float timestamp)
     cpdef dict get_fees(self, str symbol=*)
     cpdef dict get_trade_fee(self, str symbol, object order_type, float quantity, float price, str taker_or_maker=*)
+    cpdef tuple get_split_pair_from_exchange(self, str pair)

octobot_trading/exchanges/exchange_simulator.py

@@ -25,6 +25,7 @@
 from octobot_trading.enums import ExchangeConstantsMarketStatusColumns, ExchangeConstantsMarketPropertyColumns, \
     TraderOrderType, FeePropertyColumns
 from octobot_trading.exchanges.abstract_exchange import AbstractExchange
+from octobot_trading.producers import MarkPriceUpdater
 from octobot_trading.producers.simulator import UNAUTHENTICATED_UPDATER_SIMULATOR_PRODUCERS
 
 
@@ -68,7 +69,10 @@ async def modify_channels(self):
     async def create_backtesting_exchange_producers(self):
         for importer in self.exchange_importers:
             for updater in UNAUTHENTICATED_UPDATER_SIMULATOR_PRODUCERS:
-                await updater(get_trading_chan(updater.CHANNEL_NAME, self.exchange_manager.id), importer).run()
+                if updater == MarkPriceUpdater:
+                    await updater(get_trading_chan(updater.CHANNEL_NAME, self.exchange_manager.id)).run()
+                else:
+                    await updater(get_trading_chan(updater.CHANNEL_NAME, self.exchange_manager.id), importer).run()
 
     async def stop(self):
         pass  # TODO
@@ -158,3 +162,6 @@ def get_trade_fee(self, symbol, order_type, quantity, price,
 
     def is_authenticated(self) -> bool:
         return False
+
+    def get_split_pair_from_exchange(self, pair) -> (str, str):
+        return split_symbol(pair)

octobot_trading/producers/simulator/__init__.py

@@ -13,6 +13,7 @@
 #
 #  You should have received a copy of the GNU Lesser General Public
 #  License along with this library.
+from octobot_trading.producers import MarkPriceUpdater
 from octobot_trading.producers.balance_updater import BalanceProfitabilityUpdater
 from octobot_trading.producers.simulator.positions_updater_simulator import PositionsUpdaterSimulator
 from octobot_trading.producers.simulator.orders_updater_simulator import CloseOrdersUpdaterSimulator, \
@@ -25,7 +26,7 @@
 
 UNAUTHENTICATED_UPDATER_SIMULATOR_PRODUCERS = [OHLCVUpdaterSimulator, OrderBookUpdaterSimulator,
                                                RecentTradeUpdaterSimulator, TickerUpdaterSimulator,
-                                               KlineUpdaterSimulator]
+                                               KlineUpdaterSimulator, MarkPriceUpdater]
 
 # TODO PositionsUpdaterSimulator
 AUTHENTICATED_UPDATER_SIMULATOR_PRODUCERS = [CloseOrdersUpdaterSimulator, OpenOrdersUpdaterSimulator,

octobot_trading/producers/simulator/orders_updater_simulator.py

@@ -45,7 +45,9 @@ async def start(self):
 
     async def handle_recent_trade(self, exchange: str, exchange_id: str, symbol: str, recent_trades: list):
         try:
-            failed_order_updates = await self.__update_orders_status(symbol=symbol, last_prices=recent_trades)
+            failed_order_updates = await self.__update_orders_status(symbol=symbol,
+                                                                     last_prices=recent_trades,
+                                                                     simulated_time=True)
 
             if failed_order_updates:
                 self.logger.info(f"Forcing real trader refresh.")

octobot_trading/producers/simulator/recent_trade_updater_simulator.py

@@ -17,12 +17,18 @@
 
 from octobot_backtesting.data import DataBaseNotExists
 from octobot_channels.channels.channel import get_chan
+from octobot_trading.channels.exchange_channel import get_chan as get_exchange_chan
 
 from octobot_commons.channels_name import OctoBotBacktestingChannelsName
+from octobot_commons.enums import PriceIndexes
+from octobot_trading.constants import OHLCV_CHANNEL
+from octobot_trading.enums import ExchangeConstantsOrderColumns
 from octobot_trading.producers.recent_trade_updater import RecentTradeUpdater
 
 
 class RecentTradeUpdaterSimulator(RecentTradeUpdater):
+    SIMULATED_RECENT_TRADE_LIMIT = 2
+
     def __init__(self, channel, importer):
         super().__init__(channel)
         self.exchange_data_importer = importer
@@ -46,12 +52,31 @@ async def handle_timestamp(self, timestamp, **kwargs):
                     self.last_timestamp_pushed = recent_trades_data[0]
                     await self.push(pair, recent_trades_data[-1])
         except DataBaseNotExists as e:
-            self.logger.warning(f"Not enough data : {e}")
+            self.logger.warning(f"Not enough data : {e} will use ohlcv data to simulate recent trades.")
             await self.pause()
             await self.stop()
+            await get_exchange_chan(OHLCV_CHANNEL, self.channel.exchange_manager.id) \
+                .new_consumer(self.recent_trades_from_ohlcv_callback)
         except IndexError as e:
             self.logger.warning(f"Failed to access recent_trades_data : {e}")
 
+    async def recent_trades_from_ohlcv_callback(self, exchange: str, exchange_id: str, symbol: str, time_frame, candle):
+        if candle:
+            last_candle_open_price = candle[PriceIndexes.IND_PRICE_OPEN.value]
+            last_candle_timestamp = candle[PriceIndexes.IND_PRICE_TIME.value]
+            recent_trades = [self._generate_recent_trade(last_candle_timestamp, last_candle_open_price)] \
+                * self.SIMULATED_RECENT_TRADE_LIMIT
+            if last_candle_timestamp > self.last_timestamp_pushed:
+                self.last_timestamp_pushed = last_candle_timestamp
+                await self.push(symbol, recent_trades, partial=True)
+
+    @staticmethod
+    def _generate_recent_trade(timestamp, price):
+        return {
+            ExchangeConstantsOrderColumns.TIMESTAMP.value: timestamp,
+            ExchangeConstantsOrderColumns.PRICE.value: price
+        }
+
     async def pause(self):
         if self.time_consumer is not None:
             await get_chan(OctoBotBacktestingChannelsName.TIME_CHANNEL.value).remove_consumer(self.time_consumer)

octobot_trading/producers/simulator/ticker_updater_simulator.py

@@ -13,8 +13,6 @@
 #
 #  You should have received a copy of the GNU Lesser General Public
 #  License along with this library.
-import json
-
 from octobot_backtesting.data import DataBaseNotExists
 from octobot_channels.channels.channel import get_chan