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