Return last tick on error. Return last tick on finished_dataset.

marianogappa · Aug 2, 2021 · 7284b8b · 7284b8b
1 parent 3f3709a
commit 7284b8b
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Showing 3 changed files with 17 additions and 14 deletions.
diff --git a/signalchecker/signalchecker.go b/signalchecker/signalchecker.go
@@ -120,12 +120,8 @@ func newChecker(input common.SignalCheckInput) *checkSignalState {
 // N.B. appyEvent returns "isEnded" boolean, to decide whether to continue.
 func (s *checkSignalState) applyEvent(eventType string, tick common.Tick) bool {
 	event := common.SignalCheckOutputEvent{EventType: eventType}
-	switch eventType {
-	case common.FINISHED_DATASET:
-	default:
-		event.At = common.ISO8601(time.Unix(int64(tick.Timestamp), 0).UTC().Format(time.RFC3339))
-		event.Price = tick.Price
-	}
+	event.At = common.ISO8601(time.Unix(int64(tick.Timestamp), 0).UTC().Format(time.RFC3339))
+	event.Price = tick.Price
 	s.events = append(s.events, event)
 	s.profitCalculator.ApplyEvent(event)
 	s.isEnded = eventType == common.FINISHED_DATASET || eventType == common.STOPPED_LOSS || s.profitCalculator.IsFinished()

diff --git a/signalchecker/signalchecker_test.go b/signalchecker/signalchecker_test.go
@@ -44,7 +44,7 @@ func TestSignalChecker(t *testing.T) {
 				{Timestamp: startTs + 2, LowestPrice: f(0.3), HighestPrice: f(0.3), Volume: f(1.0)},
 			},
 			expected: common.SignalCheckOutput{
-				Events:               []common.SignalCheckOutputEvent{{EventType: common.FINISHED_DATASET}},
+				Events:               []common.SignalCheckOutputEvent{{EventType: common.FINISHED_DATASET, At: tick3, Price: f(0.3)}},
 				Entered:              false,
 				FirstCandleOpenPrice: f(0.2),
 				FirstCandleAt:        startISO8601,
@@ -79,7 +79,7 @@ func TestSignalChecker(t *testing.T) {
 			expected: common.SignalCheckOutput{
 				Events: []common.SignalCheckOutputEvent{
 					{EventType: common.ENTERED, At: tick2, Price: f(1.0)},
-					{EventType: common.FINISHED_DATASET},
+					{EventType: common.FINISHED_DATASET, At: tick3, Price: f(0.3)},
 				},
 				Entered:              true,
 				FirstCandleOpenPrice: f(0.2),
@@ -152,7 +152,7 @@ func TestSignalChecker(t *testing.T) {
 				Events: []common.SignalCheckOutputEvent{
 					{EventType: common.ENTERED, At: tick2, Price: f(1.0)},
 					{EventType: common.TAKEN_PROFIT_ + "1", At: tick3, Price: f(5.0)},
-					{EventType: common.FINISHED_DATASET},
+					{EventType: common.FINISHED_DATASET, At: tick3, Price: f(5.0)},
 				},
 				Entered:              true,
 				FirstCandleOpenPrice: f(0.2),
@@ -204,7 +204,7 @@ func TestSignalChecker(t *testing.T) {
 	}
 	for _, ts := range tss {
 		t.Run(ts.name, func(t *testing.T) {
-			actual, err := doCheckSignal(ts.input, buildTickIterator(testCandlestickIterator(ts.candlesticks)))
+			actual, err := doCheckSignal(ts.input, common.NewCandlestickIterator(testCandlestickIterator(ts.candlesticks)))
 			if actual.IsError && err == nil {
 				t.Error("Output says there is an error but function did not return an error!")
 				t.FailNow()
@@ -244,11 +244,13 @@ func f(fl float64) common.JsonFloat64 {
 
 func testCandlestickIterator(cs []common.Candlestick) func() (common.Candlestick, error) {
 	i := 0
+	last := common.Candlestick{}
 	return func() (common.Candlestick, error) {
 		if i >= len(cs) {
-			return common.Candlestick{}, common.ErrOutOfCandlesticks
+			return last, common.ErrOutOfCandlesticks
 		}
 		i++
+		last = cs[i-1]
 		return cs[i-1], nil
 	}
 }
diff --git a/signalchecker/tick_iterator.go b/signalchecker/tick_iterator.go
@@ -9,23 +9,28 @@ func buildTickIterator(f func() (common.Candlestick, error)) func() (common.Tick
 }
 
 type tickIterator struct {
-	f     func() (common.Candlestick, error)
-	ticks []common.Tick
+	f        func() (common.Candlestick, error)
+	ticks    []common.Tick
+	lastTick common.Tick
 }
 
 func newTickIterator(f func() (common.Candlestick, error)) *tickIterator {
 	return &tickIterator{f: f}
 }
 
+// N.B. When next() hits an error, it returns the previous (last) tick.
+// This is because when ErrOutOfCandlesticks happens, we want the previous
+// candlestick to calculate things for the finished_dataset event.
 func (it *tickIterator) next() (common.Tick, error) {
 	if len(it.ticks) > 0 {
 		c := it.ticks[0]
 		it.ticks = it.ticks[1:]
+		it.lastTick = c
 		return c, nil
 	}
 	candlestick, err := it.f()
 	if err != nil {
-		return common.Tick{}, err
+		return it.lastTick, err
 	}
 	it.ticks = append(it.ticks, candlestick.ToTicks()...)
 	return it.next()