backtesting with bitfinex terminal

this adds an example for backtesting with bitfinex terminal and
updates the readme.

.gitignore

@@ -8,4 +8,4 @@ npm-debug.log
 .DS_Store
 package-lock.json
 
-examples/dbs
+dbs

README.md

@@ -125,61 +125,40 @@ try {
 }
 ```
 
-#### Dazaar Market Data
+#### Bitfinex Terminal Data
 
-Dazaar Market data can be used to run a strategy:
+Bitfinex Terminal data can be used to run a strategy. There is also a full blog article on this.
 
+[`examples/`](/examples/bfx_terminal.js)
 ```js
-const hypercore = require('hypercore')
-const Hyperbee = require('hyperbee')
-const replicate = require('@hyperswarm/replicator')
-
-const HFBT = require('bfx-hf-backtest')
-const { SYMBOLS, TIME_FRAMES } = require('bfx-hf-util')
-const EMAStrategy = require('bfx-hf-strategy/examples/ema_cross')
-
-const hopts = {}
-
-const hbOpts = {
-  valueEncoding: 'json'
-}
-
 const strat = EMAStrategy(market)
+const from = get24HoursAgo(new Date())
+const to = new Date()
 
-// pu in your dazaar market data key here
-const key = Buffer.from('7c6057e7ac2f19fcacbee2853554b9a24da85797b1cef31b330465d0f24d7fb1', 'hex')
-const feed = hypercore(path.join(__dirname, 'dbs', 'testCOPY'), key, { sparse: true })
-
-const db = new Hyperbee(feed, hbOpts)
-
-db.feed.ready(async () => {
-  replicate(feed, { lookup: true, live: true })
-
-  const { exec, onEnd } = await HFBT.execStream(strat, market, {
-    from,
-    to
-  })
-
-  // dazaar market data 5min candles
-  const kp = 'c!5m!'
+const { exec, onEnd } = await HFBT.execStream(strat, market, {
+  from,
+  to
+  // isTrade: null, // you can pass a custom `isTrade` frunction here in options
+})
 
-  const from = 1358182044000
-  const to = 1358342119000
+let btState
 
-  const s = db.createReadStream({ gte: kp + from, lte: kp + to })
+// db is a bitfinex terminal hyperbee stream
+const stream = db.createReadStream({
+  gte: { candle: '5m', timestamp: from },
+  lte: { candle: '5m', timestamp: to }
+})
 
-  let btState
-  s.on('data', async (data) => {
-    const { key, value } = data
-    btState = await exec(key, value)
-  })
+for await (const data of stream) {
+  const { key, value } = data
+  btState = await exec(key, value)
+}
 
-  s.on('end', async () => {
-    btState = await onEnd(btState)
-  })
-})
+await onEnd(btState)
 ```
 
+For the full blog article, visit
+
 ### Contributing
 
 1. Fork it

examples/bfx_terminal.js

@@ -0,0 +1,66 @@
+'use strict'
+
+process.env.DEBUG = process.env.DEBUG || 'bfx:*'
+
+const dazaar = require('dazaar')
+const swarm = require('dazaar/swarm')
+const Hyperbee = require('hyperbee')
+const keyEncoding = require('bitfinex-terminal-key-encoding')
+
+const HFBT = require('bfx-hf-backtest')
+const { SYMBOLS, TIME_FRAMES } = require('bfx-hf-util')
+const EMAStrategy = require('bfx-hf-strategy/examples/ema_cross')
+
+const get24HoursAgo = (date) => {
+  const res = date.getTime() - (1 * 86400 * 1000)
+
+  return new Date(res)
+}
+
+const market = {
+  symbol: SYMBOLS.BTC_USD,
+  tf: TIME_FRAMES.ONE_HOUR
+}
+
+const strat = EMAStrategy(market)
+
+const dmarket = dazaar('dbs/terminal-backtest')
+
+const card = require('./bitfinex.terminal.btcusd.candles.json')
+const buyer = dmarket.buy(card, { sparse: true })
+
+buyer.on('feed', async function () {
+  console.log('got feed')
+
+  const db = new Hyperbee(buyer.feed, {
+    keyEncoding,
+    valueEncoding: 'json'
+  })
+
+  await runTest(db)
+})
+
+async function runTest (db) {
+  const from = get24HoursAgo(new Date())
+  const to = new Date()
+
+  const { exec, onEnd } = await HFBT.execStream(strat, market, {
+    from,
+    to
+  })
+
+  const stream = db.createReadStream({
+    gte: { candle: '5m', timestamp: from },
+    lte: { candle: '5m', timestamp: to }
+  })
+
+  let btState
+  for await (const data of stream) {
+    const { key, value } = data
+    btState = await exec(key, value)
+  }
+
+  await onEnd(btState)
+}
+
+swarm(buyer)

package.json

@@ -40,8 +40,8 @@
   ],
   "dependencies": {
     "bfx-api-node-models": "^1.0.12",
-    "bfx-hf-strategy": "^1.0.0",
-    "bfx-hf-util": "^1.0.1",
+    "bfx-hf-strategy": "^1.0.5",
+    "bfx-hf-util": "^1.0.11",
     "cli-table": "^0.3.1",
     "colors": "^1.3.1",
     "debug": "^4.1.1",
@@ -53,11 +53,13 @@
   "devDependencies": {
     "@hyperswarm/replicator": "^1.7.2",
     "async": "^3.2.0",
+    "bitfinex-terminal-key-encoding": "^1.0.0",
+    "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": "git+https://github.com/mafintosh/hyperbee.git",
+    "hyperbee": "0.0.16",
     "hypercore": "^9.5.0",
     "istanbul": "^0.4.5",
     "jsdoc-to-markdown": "^5.0.1",