* Performance: Improve Stream performance by downloading from start a…

…nd end hour instead of based by day.

* Example: Add Stream example - Drawdown finder given a transaction.

api/tickdata/stream/stream.go

@@ -2,7 +2,7 @@ package stream
 
 import (
 	"ed-fx/go-duka/api/tickdata"
-	iTickdata "ed-fx/go-duka/internal/tickdata"
+	"ed-fx/go-duka/internal/bi5"
 	"time"
 	"unknwon.dev/clog/v2"
 )
@@ -32,12 +32,14 @@ func (s Stream) EachTick(it Iterator) {
 
 	dEnd := downloadEnd(s.end)
 	var isContinue = true
-	for t := downloadStart(start); t.Before(dEnd) && isContinue; t = t.Add(24 * time.Hour) {
-		day, err := iTickdata.FetchDay(s.symbol, t, s.downloadFolderPath)
-		if err != nil && !it(t, nil, err) {
+	for t := downloadStart(start); t.Before(dEnd) && isContinue; t = t.Add(time.Hour) {
+		bi := bi5.New(t, s.symbol, s.downloadFolderPath)
+		err := bi.Download()
+		if err != nil && !it(t.In(loc), nil, err) {
 			return
 		}
-		day.EachTick(func(tick *tickdata.TickData, err error) bool {
+
+		bi.EachTick(func(tick *tickdata.TickData, err error) bool {
 			tickTime := tick.TimeInLocation(loc)
 			if (start.Equal(tickTime) || start.Before(tickTime)) &&
 				(end.Equal(tickTime) || end.After(tickTime)) {
@@ -50,13 +52,13 @@ func (s Stream) EachTick(it Iterator) {
 
 func downloadStart(start time.Time) time.Time {
 	dStart := start.UTC()
-	dStart = time.Date(dStart.Year(), dStart.Month(), dStart.Day(), 0, 0, 0, 0, time.UTC)
+	dStart = time.Date(dStart.Year(), dStart.Month(), dStart.Day(), dStart.Hour(), 0, 0, 0, time.UTC)
 	return dStart
 }
 
 func downloadEnd(end time.Time) time.Time {
 	dEnd := end.UTC()
-	dEnd = time.Date(dEnd.Year(), dEnd.Month(), dEnd.Day(), 23, 59, 59, 0, time.UTC)
+	dEnd = time.Date(dEnd.Year(), dEnd.Month(), dEnd.Day(), dEnd.Hour(), 59, 59, 0, time.UTC)
 	return dEnd
 }
 

examples/stream/dd_finder_test.go

@@ -0,0 +1,122 @@
+package stream
+
+import (
+	"ed-fx/go-duka/api/tickdata"
+	"ed-fx/go-duka/api/tickdata/stream"
+	"fmt"
+	"github.com/stretchr/testify/assert"
+	"io/ioutil"
+	"math"
+	"os"
+	"strconv"
+	"testing"
+	"time"
+)
+
+func Test_StreamExample_DDFinder(t *testing.T) {
+	est, _ := time.LoadLocation("EET")
+
+	symbol := "GBPJPY"
+	openTime := time.Date(2020, time.November, 3, 17, 0, 0, 0, est)
+	openPrice := 136.325
+	closeTime := time.Date(2020, time.November, 4, 00, 56, 56, 0, est)
+	closePrice := 136.725
+
+	openPriceDiff, maxDD, maxPositive, maxDDForMaxPositive, maxPositiveTime, closePriceDiff :=
+		buyDDFinder(t, symbol, openTime, closeTime, openPrice, closePrice)
+
+	println("Open price diff in [", strconv.Itoa(openPriceDiff), "] points")
+	println("Max DD [", strconv.Itoa(maxDD), "] points")
+	println("Max Positive [", strconv.Itoa(maxPositive), "] points")
+	println("Max Positive Time [", fmtTime(maxPositiveTime), "] Duration [", fmtDuration(maxPositiveTime.Sub(openTime)), "]")
+	println("Max DD for Max Positive [", strconv.Itoa(maxDDForMaxPositive), "] points")
+	println("Close price diff in [", strconv.Itoa(closePriceDiff), "] points")
+	profitInPoints := int(math.Round((closePrice - openPrice) * 1000))
+	println("Profit [", strconv.Itoa(profitInPoints), "] points Duration [", fmtDuration(closeTime.Sub(openTime)), "]")
+
+	// Asserts
+	assert.Equal(t, 0, openPriceDiff)
+	assert.Equal(t, -240, maxDD)
+	assert.Equal(t, 392, maxPositive)
+	assert.Equal(t, -240, maxDDForMaxPositive)
+	assert.Equal(t, 400, profitInPoints)
+
+}
+
+func buyDDFinder(t *testing.T, symbol string, openTime time.Time, closeTime time.Time, openPrice float64, closePrice float64) (
+	openPriceDiff int, maxDD int, maxPositive int, maxDDForMaxPositive int, maxPositiveTime time.Time, closePriceDiff int,
+) {
+	start := openTime.Add(-1 * time.Minute)
+	end := closeTime.Add(time.Minute)
+	stream := stream.New(symbol, start, end, createEmptyDir(t))
+
+	maxDD = math.MaxInt32
+	openPriceDiff = math.MaxInt32
+	closePriceDiff = math.MaxInt32
+	maxPositive = math.MinInt32
+	stream.EachTick(func(tickTime time.Time, tick *tickdata.TickData, err error) bool {
+		if openTime.Sub(tickTime) > 0 {
+			return true
+		}
+
+		if openPriceDiff == math.MaxInt32 {
+			printTick(" open", tickTime, tick)
+			openPriceDiff = int(math.Round((openPrice - tick.Ask) * 1000))
+		}
+
+		dd := math.Round((tick.Bid - openPrice) * 1000)
+		maxDD = int(math.Min(float64(maxDD), dd))
+
+		ddInInt := int(dd)
+		if maxPositive <= ddInInt {
+			maxPositive = ddInInt
+			maxPositiveTime = tickTime
+			maxDDForMaxPositive = maxDD
+		}
+
+		if closeTime.Sub(tickTime) <= 0 && closePriceDiff == math.MaxInt32 {
+			printTick("close", tickTime, tick)
+			closePriceDiff = int(math.Round((tick.Bid - closePrice) * 1000))
+			return false
+		}
+
+		return true
+	})
+	return openPriceDiff, maxDD, maxPositive, maxDDForMaxPositive, maxPositiveTime, closePriceDiff
+}
+
+func createEmptyDir(t *testing.T) string {
+	dir, err := ioutil.TempDir(".", "test")
+	if !assert.NoError(t, err) {
+		t.FailNow()
+	}
+	t.Cleanup(func() {
+		os.RemoveAll(dir)
+	})
+	return dir
+}
+
+func printTick(op string, tickTime time.Time, tick *tickdata.TickData) {
+	println(op,
+		"date [", fmtTime(tickTime), "] timestamp [", tick.Timestamp,
+		"] ask [", fmtPrice(tick.Ask), "] bid [", fmtPrice(tick.Bid), "]",
+	)
+}
+
+func fmtDuration(d time.Duration) string {
+	d = d.Round(time.Minute)
+	h := d / time.Hour
+	d -= h * time.Hour
+	m := d / time.Minute
+	d -= m * time.Minute
+	s := d / time.Second
+	return fmt.Sprintf("%02d:%02d:%02d", h, m, s)
+}
+
+func fmtTime(tickTime time.Time) string {
+	return tickTime.Format("2006-01-02 15:04:05")
+}
+
+func fmtPrice(p float64) string {
+	return fmt.Sprintf("%.3f", p)
+}

internal/bi5/bi5.go

@@ -44,10 +44,10 @@ func (b Bi5) Symbol() string {
 }
 
 // New create an bi5 saver
-func New(day time.Time, symbol, dest string) *Bi5 {
+func New(day time.Time, symbol, downloadFolderPath string) *Bi5 {
 	y, m, d := day.Date()
 
-	biFilePath := filepath.FromSlash(fmt.Sprintf("%s/download/%s/%04d/%02d/%02d/%02dh_ticks.%s", dest, symbol, y, m, d, day.Hour(), ext))
+	biFilePath := filepath.FromSlash(fmt.Sprintf("%s/download/%s/%04d/%02d/%02d/%02dh_ticks.%s", downloadFolderPath, symbol, y, m, d, day.Hour(), ext))
 	metadata := instrument.GetMetadata(symbol)
 
 	return &Bi5{