package factorzoo import ( "context" "fmt" "os" "sync" "github.com/sirupsen/logrus" "git.qtrade.icu/lychiyu/bbgo/pkg/bbgo" "git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint" "git.qtrade.icu/lychiyu/bbgo/pkg/types" ) const ID = "factorzoo" var one = fixedpoint.One var zero = fixedpoint.Zero var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type IntervalWindowSetting struct { types.IntervalWindow } type Strategy struct { Environment *bbgo.Environment Symbol string `json:"symbol"` Market types.Market types.IntervalWindow // persistence fields Position *types.Position `persistence:"position"` ProfitStats *types.ProfitStats `persistence:"profit_stats"` TradeStats *types.TradeStats `persistence:"trade_stats"` activeOrders *bbgo.ActiveOrderBook Linear *Linear `json:"linear"` ExitMethods bbgo.ExitMethodSet `json:"exits"` session *bbgo.ExchangeSession orderExecutor *bbgo.GeneralOrderExecutor // StrategyController bbgo.StrategyController } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Linear.Interval}) if !bbgo.IsBackTesting { session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{}) } s.ExitMethods.SetAndSubscribe(session, s) } func (s *Strategy) ID() string { return ID } func (s *Strategy) InstanceID() string { return fmt.Sprintf("%s:%s", ID, s.Symbol) } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { var instanceID = s.InstanceID() if s.Position == nil { s.Position = types.NewPositionFromMarket(s.Market) } if s.ProfitStats == nil { s.ProfitStats = types.NewProfitStats(s.Market) } if s.TradeStats == nil { s.TradeStats = types.NewTradeStats(s.Symbol) } // StrategyController s.Status = types.StrategyStatusRunning s.OnSuspend(func() { // Cancel active orders _ = s.orderExecutor.GracefulCancel(ctx) }) s.OnEmergencyStop(func() { // Cancel active orders _ = s.orderExecutor.GracefulCancel(ctx) // Close 100% position // _ = s.ClosePosition(ctx, fixedpoint.One) }) // initial required information s.session = session s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position) s.orderExecutor.BindEnvironment(s.Environment) s.orderExecutor.BindProfitStats(s.ProfitStats) s.orderExecutor.BindTradeStats(s.TradeStats) s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) { bbgo.Sync(ctx, s) }) s.orderExecutor.Bind() s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol) for _, method := range s.ExitMethods { method.Bind(session, s.orderExecutor) } if s.Linear != nil { s.Linear.Bind(session, s.orderExecutor) } bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() _, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String()) _ = s.orderExecutor.GracefulCancel(ctx) }) return nil }