Trying toget backtesting to work

package.json

@@ -24,6 +24,7 @@
     "knockout": "^3.2.0",
     "line-by-line": "^0.1.3",
     "lodash": "^2.4.1",
+    "minimist": "^1.1.1",
     "moment": "^2.8.3",
     "mongodb": "^1.4.22",
     "node-uuid": "^1.4.2",

src/service/backtest.ts

@@ -11,6 +11,7 @@ import _ = require('lodash');
 import fs = require("fs");
 import mongo = require("mongodb");
 import Persister = require("./persister");
+import Q = require("q");
 
 var shortId = require("shortid");
 var SortedArray = require("collections/sorted-array");
@@ -30,14 +31,14 @@ class Timed {
 }
 
 export class BacktestTimeProvider implements Utils.IBacktestingTimeProvider {
-    constructor(private _internalTime : Moment) { }
+    constructor(private _internalTime : Moment, private _endTime : Moment) { }
 
     utcNow = () => this._internalTime;
 
     private _immediates = new Array<() => void>();
     setImmediate = (action: () => void) => this._immediates.push(action);
 
-    private _timeouts = new SortedArray(null, null, (a : Timed, b : Timed) => a.time.diff(b.time));
+    private _timeouts : Timed[] = [];
     setTimeout = (action: () => void, time: Duration) => {
         this.setAction(action, time, TimedType.Timeout);
     };
@@ -47,15 +48,22 @@ export class BacktestTimeProvider implements Utils.IBacktestingTimeProvider {
     };
 
     private setAction  = (action: () => void, time: Duration, type : TimedType) => {
-        this._timeouts.push(new Timed(action, this._internalTime.clone().add(time), type, time));
+        var dueTime = this._internalTime.clone().add(time);
+
+        if (dueTime.diff(this.utcNow())) {
+            return;
+        }
+
+        this._timeouts.push(new Timed(action, dueTime, type, time));
+        this._timeouts.sort((a, b) => a.time.diff(b.time));
     };
 
     scrollTimeTo = (time : Moment) => {
         while (this._immediates.length > 0) {
             this._immediates.pop()();
         }
 
-        while (this._timeouts.length > 0 && this._timeouts.min().time.diff(time) > 0) {
+        while (this._timeouts.length > 0 && _.first(this._timeouts).time.diff(time) < 0) {
             var evt : Timed = this._timeouts.shift();
             this._internalTime = evt.time;
             evt.action();

src/service/main.ts

@@ -9,6 +9,7 @@ import express = require('express');
 import util = require('util');
 import moment = require("moment");
 import fs = require("fs");
+import minimist = require("minimist");
 
 import HitBtc = require("./gateways/hitbtc");
 import OkCoin = require("./gateways/okcoin");
@@ -36,27 +37,38 @@ import PositionManagement = require("./position-management");
 import Statistics = require("./statistics");
 import Backtest = require("./backtest");
 
+var cmdParams = minimist(process.argv.slice(2));
+
+var config = new Config.ConfigProvider(cmdParams);
+
 ["uncaughtException", "exit", "SIGINT", "SIGTERM"].forEach(reason => {
     process.on(reason, (e?) => {
         Utils.errorLog(util.format("Terminating!", reason, e, (typeof e !== "undefined" ? e.stack : undefined)));
+
+        if (config.inBacktestMode) process.exit(1);
     });
 });
 
 var mainLog = Utils.log("tribeca:main");
 var messagingLog = Utils.log("tribeca:messaging");
 
+mainLog(util.inspect(cmdParams));
+
 var pair = new Models.CurrencyPair(Models.Currency.BTC, Models.Currency.USD);
 var orderCache = new Broker.OrderStateCache();
-var config = new Config.ConfigProvider();
 
 if (config.inBacktestMode) {
-    var inputData : Array<Models.Market | Models.MarketTrade> = JSON.parse(fs.readFileSync("inputData.json", 'utf8'));
+    // EXCHANGE=null TRIBECA_MODE=dev node main.js backtest --mdFile=/Users/grosner/inputData.json --paramFile=/Users/grosner/parameters.json
+    var inputData : Array<Models.Market | Models.MarketTrade> = JSON.parse(fs.readFileSync(cmdParams['mdFile'], 'utf8'));
+    _.forEach(inputData, d => d.time = moment(d.time));
     inputData = _.sortBy(inputData, d => d.time);
-    var parameters : Backtest.BacktestParameters = JSON.parse(fs.readFileSync("backtestParameters.json", 'utf8'));
-    var timeProvider : Utils.ITimeProvider = new Backtest.BacktestTimeProvider(_.first(inputData).time);
+
+    var parameters : Backtest.BacktestParameters = JSON.parse(fs.readFileSync(cmdParams['paramFile'], 'utf8'));
+
+    var timeProvider : Utils.ITimeProvider = new Backtest.BacktestTimeProvider(_.first(inputData).time, _.last(inputData).time);
     var exchange = Models.Exchange.Null;
     var gw = new Backtest.BacktestGateway(inputData, parameters.startingBasePosition, parameters.startingQuotePosition, <Backtest.BacktestTimeProvider>timeProvider);
-    var gateway = new Backtest.BacktestExchange(gw);
+    var gateway : Interfaces.CombinedGateway = new Backtest.BacktestExchange(gw);
 
     var getPublisher = <T>(topic: string, persister: Persister.ILoadAll<T> = null): Messaging.IPublish<T> => { 
         return new Messaging.NullPublisher<T>();
@@ -67,7 +79,7 @@ if (config.inBacktestMode) {
     var getPersister = <T>(collectionName: string) : Persister.ILoadAllByExchangeAndPair<T> => new Backtest.BacktestPersister<T>();
     var getMarketTradePersister = () => getPersister<Models.MarketTrade>("mt");
 
-    var getRepository = <T>(defValue: T, collectionName: string) : Persister.ILoadLatest<T> => new Backtest.BacktestPersister<T>();
+    var getRepository = <T>(defValue: T, collectionName: string) : Persister.ILoadLatest<T> => new Backtest.BacktestPersister<T>([defValue]);
 
     var startingActive : Models.SerializedQuotesActive = new Models.SerializedQuotesActive(true, timeProvider.utcNow());
     var startingParameters : Models.QuotingParameters = parameters.quotingParameters;
@@ -126,7 +138,7 @@ else {
 
     var getReceiver = <T>(topic: string) : Messaging.IReceive<T> => new Messaging.Receiver<T>(topic, io, messagingLog);
 
-    var db = config.inBacktestMode ? null : Persister.loadDb();
+    var db = Persister.loadDb();
 
     var getPersister = <T>(collectionName: string) : Persister.ILoadAllByExchangeAndPair<T> => 
         new Persister.BasicPersister<T>(db, collectionName);

tsd.json

@@ -19,6 +19,9 @@
     },
     "compression/compression.d.ts": {
       "commit": "b3324f69165309a3ea2bd02fd10e97841bf07c83"
+    },
+    "minimist/minimist.d.ts": {
+      "commit": "2a5858c16563634453533009242b8e0b18521370"
     }
   }
 }