bbgo_origin/pkg/bbgo/trader.go

package bbgo

import (
	"context"
	"strings"
	"time"

	"github.com/jmoiron/sqlx"
	"github.com/pkg/errors"
	log "github.com/sirupsen/logrus"

	"github.com/c9s/bbgo/pkg/service"
	"github.com/c9s/bbgo/pkg/types"

	_ "github.com/go-sql-driver/mysql"
)

// SingleExchangeStrategy represents the single Exchange strategy
type SingleExchangeStrategy interface {
	Run(ctx context.Context, orderExecutor types.OrderExecutor, session *ExchangeSession) error
}

type CrossExchangeStrategy interface {
	Run(ctx context.Context, orderExecutionRouter types.OrderExecutionRouter, sessions map[string]*ExchangeSession) error
}

// ExchangeSession presents the exchange connection session
// It also maintains and collects the data returned from the stream.
type ExchangeSession struct {
	// Exchange session name
	Name string

	// The exchange account states
	Account *Account

	// Stream is the connection stream of the exchange
	Stream types.Stream

	Subscriptions []types.Subscription

	Exchange types.Exchange

	// Markets defines market configuration of a symbol
	Markets map[string]types.Market

	LastPrices map[string]float64

	// Trades collects the executed trades from the exchange
	// map: symbol -> []trade
	Trades map[string][]types.Trade

	MarketDataStore *MarketDataStore
}

func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession {
	session.Subscriptions = append(session.Subscriptions, types.Subscription{
		Channel: channel,
		Symbol:  symbol,
		Options: options,
	})

	return session
}

// Environment presents the real exchange data layer
type Environment struct {
	TradeService *service.TradeService
	TradeSync    *service.TradeSync

	sessions map[string]*ExchangeSession
}

func NewEnvironment(db *sqlx.DB) *Environment {
	tradeService := &service.TradeService{DB: db}
	return &Environment{
		TradeService: tradeService,
		TradeSync: &service.TradeSync{
			Service: tradeService,
		},
		sessions: make(map[string]*ExchangeSession),
	}
}

func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession) {
	session = &ExchangeSession{
		Name:       name,
		Exchange:   exchange,
		Markets:    make(map[string]types.Market),
		Trades:     make(map[string][]types.Trade),
		LastPrices: make(map[string]float64),
	}

	environ.sessions[name] = session
	return session
}

func (environ *Environment) Init(ctx context.Context) (err error) {
	startTime := time.Now().AddDate(0, 0, -7) // sync from 7 days ago

	for _, session := range environ.sessions {
		loadedSymbols := make(map[string]struct{})
		for _, sub := range session.Subscriptions {
			loadedSymbols[sub.Symbol] = struct{}{}
		}

		for symbol := range loadedSymbols {
			if err := environ.TradeSync.Sync(ctx, session.Exchange, symbol, startTime); err != nil {
				return err
			}

			var trades []types.Trade

			tradingFeeCurrency := session.Exchange.PlatformFeeCurrency()
			if strings.HasPrefix(symbol, tradingFeeCurrency) {
				trades, err = environ.TradeService.QueryForTradingFeeCurrency(symbol, tradingFeeCurrency)
			} else {
				trades, err = environ.TradeService.Query(symbol)
			}

			if err != nil {
				return err
			}

			log.Infof("symbol %s: %d trades loaded", symbol, len(trades))
			session.Trades[symbol] = trades

			currentPrice, err := session.Exchange.QueryAveragePrice(ctx, symbol)
			if err != nil {
				return err
			}

			session.LastPrices[symbol] = currentPrice
		}

		balances, err := session.Exchange.QueryAccountBalances(ctx)
		if err != nil {
			return err
		}

		session.Account = &Account{Balances: balances}

		session.Stream = session.Exchange.NewStream()

		session.Account.BindStream(session.Stream)

		marketDataStore := NewMarketDataStore()
		marketDataStore.BindStream(session.Stream)

		// update last prices
		session.Stream.OnKLineClosed(func(kline types.KLine) {
			session.LastPrices[kline.Symbol] = kline.Close
		})

		session.Stream.OnTrade(func(trade *types.Trade) {
			// append trades
			session.Trades[trade.Symbol] = append(session.Trades[trade.Symbol], *trade)

			if err := environ.TradeService.Insert(*trade); err != nil {
				log.WithError(err).Errorf("trade insert error: %+v", *trade)
			}
		})
	}

	return nil
}

func (environ *Environment) Connect(ctx context.Context) error {
	for _, session := range environ.sessions {
		if err := session.Stream.Connect(ctx); err != nil {
			return err
		}
	}

	return nil
}


type Notifiability struct {
	notifiers   []Notifier
}

func (m *Notifiability) AddNotifier(notifier Notifier) {
	m.notifiers = append(m.notifiers, notifier)
}

func (m *Notifiability) Notify(msg string, args ...interface{}) {
	for _, n := range m.notifiers {
		n.Notify(msg, args...)
	}
}


type Trader struct {
	Notifiability
	environment *Environment

	crossExchangeStrategies []CrossExchangeStrategy
	exchangeStrategies      map[string][]SingleExchangeStrategy

	// reportTimer             *time.Timer
	// ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
}

func NewTrader(environ *Environment) *Trader {
	return &Trader{
		environment:        environ,
		exchangeStrategies: make(map[string][]SingleExchangeStrategy),
	}
}

// AttachStrategy attaches the single exchange strategy on an exchange session.
// Single exchange strategy is the default behavior.
func (trader *Trader) AttachStrategy(session string, strategy SingleExchangeStrategy) {
	if _, ok := trader.environment.sessions[session]; !ok {
		log.Panicf("session %s is not defined", session)
	}

	trader.exchangeStrategies[session] = append(trader.exchangeStrategies[session], strategy)
}

// AttachCrossExchangeStrategy attaches the cross exchange strategy
func (trader *Trader) AttachCrossExchangeStrategy(strategy CrossExchangeStrategy) error {
	trader.crossExchangeStrategies = append(trader.crossExchangeStrategies, strategy)
	return nil
}

func (trader *Trader) Run(ctx context.Context) error {
	if err := trader.environment.Init(ctx); err != nil {
		return err
	}

	// load and run session strategies
	for session, strategies := range trader.exchangeStrategies {
		// we can move this to the exchange session,
		// that way we can mount the notification on the exchange with DSL
		orderExecutor := &ExchangeOrderExecutor{
			Notifiability: trader.Notifiability,
			Exchange:      nil,
		}

		for _, strategy := range strategies {
			err := strategy.Run(ctx, orderExecutor, trader.environment.sessions[session])
			if err != nil {
				return err
			}
		}
	}

	router := &ExchangeOrderExecutionRouter{
		// copy the parent notifiers
		Notifiability: trader.Notifiability,
		sessions: trader.environment.sessions,
	}

	for _, strategy := range trader.crossExchangeStrategies {
		if err := strategy.Run(ctx, router, trader.environment.sessions); err != nil {
			return err
		}
	}

	return trader.environment.Connect(ctx)
}

/*
func (trader *OrderExecutor) RunStrategyWithHotReload(ctx context.Context, strategy SingleExchangeStrategy, configFile string) (chan struct{}, error) {
	var done = make(chan struct{})
	var configWatcherDone = make(chan struct{})

	log.Infof("watching config file: %v", configFile)

	watcher, err := fsnotify.NewWatcher()
	if err != nil {
		return nil, err
	}

	defer watcher.Close()

	if err := watcher.Add(configFile); err != nil {
		return nil, err
	}

	go func() {
		strategyContext, strategyCancel := context.WithCancel(ctx)
		defer strategyCancel()
		defer close(done)

		traderDone, err := trader.RunStrategy(strategyContext, strategy)
		if err != nil {
			return
		}

		var configReloadTimer *time.Timer = nil
		defer close(configWatcherDone)

		for {
			select {

			case <-ctx.Done():
				return

			case <-traderDone:
				log.Infof("reloading config file %s", configFile)
				if err := config.LoadConfigFile(configFile, strategy); err != nil {
					log.WithError(err).Error("error load config file")
				}

				trader.Notify("config reloaded, restarting trader")

				traderDone, err = trader.RunStrategy(strategyContext, strategy)
				if err != nil {
					log.WithError(err).Error("[trader] error:", err)
					return
				}

			case event := <-watcher.Events:
				log.Infof("[fsnotify] event: %+v", event)

				if event.Op&fsnotify.Write == fsnotify.Write {
					log.Info("[fsnotify] modified file:", event.Name)
				}

				if configReloadTimer != nil {
					configReloadTimer.Stop()
				}

				configReloadTimer = time.AfterFunc(3*time.Second, func() {
					strategyCancel()
				})

			case err := <-watcher.Errors:
				log.WithError(err).Error("[fsnotify] error:", err)
				return

			}
		}
	}()

	return done, nil
}
*/

/*
func (trader *OrderExecutor) RunStrategy(ctx context.Context, strategy SingleExchangeStrategy) (chan struct{}, error) {
	trader.reportTimer = time.AfterFunc(1*time.Second, func() {
		trader.reportPnL()
	})

	stream.OnTrade(func(trade *types.Trade) {
		trader.NotifyTrade(trade)
		trader.ProfitAndLossCalculator.AddTrade(*trade)
		_, err := trader.Context.StockManager.AddTrades([]types.Trade{*trade})
		if err != nil {
			log.WithError(err).Error("stock manager load trades error")
		}

		if trader.reportTimer != nil {
			trader.reportTimer.Stop()
		}

		trader.reportTimer = time.AfterFunc(1*time.Minute, func() {
			trader.reportPnL()
		})
	})
}
*/

/*
func (trader *Trader) reportPnL() {
	report := trader.ProfitAndLossCalculator.Calculate()
	report.Print()
	trader.NotifyPnL(report)
}
 */

/*
func (trader *Trader) NotifyPnL(report *accounting.ProfitAndLossReport) {
	for _, n := range trader.notifiers {
		n.NotifyPnL(report)
	}
}
*/

func (trader *Trader) NotifyTrade(trade *types.Trade) {
	for _, n := range trader.notifiers {
		n.NotifyTrade(trade)
	}
}

func (trader *Trader) SubmitOrder(ctx context.Context, order types.SubmitOrder) {
	trader.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)

	orderProcessor := &OrderProcessor{
		MinQuoteBalance: 0,
		MaxAssetBalance: 0,
		MinAssetBalance: 0,
		MinProfitSpread: 0,
		MaxOrderAmount:  0,
		// FIXME:
		// Exchange:        trader.Exchange,
		Trader: trader,
	}

	err := orderProcessor.Submit(ctx, order)

	if err != nil {
		log.WithError(err).Errorf("order create error: side %s quantity: %s", order.Side, order.QuantityString)
		return
	}
}


type ExchangeOrderExecutionRouter struct {
	Notifiability

	sessions map[string]*ExchangeSession
}

func (e *ExchangeOrderExecutionRouter) SubmitOrderTo(ctx context.Context, session string, order types.SubmitOrder) error {
	es, ok := e.sessions[session]
	if !ok {
		return errors.Errorf("exchange session %s not found", session)
	}

	e.Notify(":memo: Submitting order to %s %s %s %s with quantity: %s", session, order.Symbol, order.Type, order.Side, order.QuantityString, order)

	order.PriceString = order.Market.FormatVolume(order.Price)
	order.QuantityString = order.Market.FormatVolume(order.Quantity)
	return es.Exchange.SubmitOrder(ctx, order)
}


// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
type ExchangeOrderExecutor struct {
	Notifiability

	Exchange types.Exchange
}

func (e *ExchangeOrderExecutor) SubmitOrder(ctx context.Context, order types.SubmitOrder) error {
	e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)

	order.PriceString = order.Market.FormatVolume(order.Price)
	order.QuantityString = order.Market.FormatVolume(order.Quantity)
	return e.Exchange.SubmitOrder(ctx, order)
}