75 lines
2.0 KiB
Go
75 lines
2.0 KiB
Go
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package bbgo
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import (
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"context"
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"github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type SymbolBasedRiskController struct {
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BasicRiskController *BasicRiskController `json:"basic,omitempty" yaml:"basic,omitempty"`
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}
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type RiskControlOrderExecutor struct {
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*ExchangeOrderExecutor
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// Symbol => Executor config
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BySymbol map[string]*SymbolBasedRiskController `json:"bySymbol,omitempty" yaml:"bySymbol,omitempty"`
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}
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func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (retOrders types.OrderSlice, err error) {
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var symbolOrders = groupSubmitOrdersBySymbol(orders)
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for symbol, orders := range symbolOrders {
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if controller, ok := e.BySymbol[symbol]; ok && controller != nil {
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var riskErrs []error
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orders, riskErrs = controller.BasicRiskController.ProcessOrders(e.Session, orders...)
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for _, riskErr := range riskErrs {
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// use logger from ExchangeOrderExecutor
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logrus.Warnf("RISK ERROR: %s", riskErr.Error())
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}
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}
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formattedOrders, err := e.Session.FormatOrders(orders)
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if err != nil {
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return retOrders, err
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}
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retOrders2, err := e.ExchangeOrderExecutor.SubmitOrders(ctx, formattedOrders...)
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if err != nil {
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return retOrders, err
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}
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retOrders = append(retOrders, retOrders2...)
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}
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return
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}
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type SessionBasedRiskControl struct {
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OrderExecutor *RiskControlOrderExecutor `json:"orderExecutor,omitempty" yaml:"orderExecutor"`
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}
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func (control *SessionBasedRiskControl) SetBaseOrderExecutor(executor *ExchangeOrderExecutor) {
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if control.OrderExecutor == nil {
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return
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}
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control.OrderExecutor.ExchangeOrderExecutor = executor
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}
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func groupSubmitOrdersBySymbol(orders []types.SubmitOrder) map[string][]types.SubmitOrder {
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var symbolOrders = make(map[string][]types.SubmitOrder, len(orders))
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for _, order := range orders {
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symbolOrders[order.Symbol] = append(symbolOrders[order.Symbol], order)
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}
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return symbolOrders
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}
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type RiskControls struct {
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SessionBasedRiskControl map[string]*SessionBasedRiskControl `json:"sessionBased,omitempty" yaml:"sessionBased,omitempty"`
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}
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