69 lines
1.9 KiB
Go
69 lines
1.9 KiB
Go
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package rebalance
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import (
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"context"
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type PositionMap map[string]*types.Position
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type ProfitStatsMap map[string]*types.ProfitStats
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type MultiMarketStrategy struct {
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Environ *bbgo.Environment
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Session *bbgo.ExchangeSession
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PositionMap PositionMap `persistence:"position_map"`
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ProfitStatsMap ProfitStatsMap `persistence:"profit_stats_map"`
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OrderExecutorMap GeneralOrderExecutorMap
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parent, ctx context.Context
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cancel context.CancelFunc
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}
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func (s *MultiMarketStrategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, markets map[string]types.Market, strategyID string, instanceID string) {
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s.parent = ctx
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s.ctx, s.cancel = context.WithCancel(ctx)
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s.Environ = environ
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s.Session = session
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// initialize position map
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if s.PositionMap == nil {
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log.Infof("creating position map")
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s.PositionMap = make(PositionMap)
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}
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for symbol, market := range markets {
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if _, ok := s.PositionMap[symbol]; ok {
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continue
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}
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log.Infof("creating position for symbol %s", symbol)
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position := types.NewPositionFromMarket(market)
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position.Strategy = ID
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position.StrategyInstanceID = instanceID
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s.PositionMap[symbol] = position
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}
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// initialize profit stats map
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if s.ProfitStatsMap == nil {
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log.Infof("creating profit stats map")
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s.ProfitStatsMap = make(ProfitStatsMap)
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}
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for symbol, market := range markets {
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if _, ok := s.ProfitStatsMap[symbol]; ok {
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continue
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}
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log.Infof("creating profit stats for symbol %s", symbol)
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s.ProfitStatsMap[symbol] = types.NewProfitStats(market)
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}
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// initialize order executor map
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s.OrderExecutorMap = NewGeneralOrderExecutorMap(session, strategyID, instanceID, s.PositionMap)
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s.OrderExecutorMap.BindEnvironment(environ)
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s.OrderExecutorMap.BindProfitStats(s.ProfitStatsMap)
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s.OrderExecutorMap.Bind()
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}
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