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drift: adopt the fastOrderExecutor

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c9s 2023-05-04 13:50:01 +08:00
parent 9b9d7455ec
commit 027fe9f5e1
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 15 additions and 14 deletions
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29
pkg/strategy/drift/strategy.go
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@ -121,7 +121,8 @@ type Strategy struct {
ExitMethods bbgo.ExitMethodSet `json:"exits"`
Session *bbgo.ExchangeSession
*bbgo.GeneralOrderExecutor
*bbgo.FastOrderExecutor
getLastPrice func() fixedpoint.Value
}
@ -283,7 +284,7 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
}
func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64, syscounter int) (int, error) {
nonTraded := s.GeneralOrderExecutor.ActiveMakerOrders().Orders()
nonTraded := s.FastOrderExecutor.ActiveMakerOrders().Orders()
if len(nonTraded) > 0 {
if len(nonTraded) > 1 {
log.Errorf("should only have one order to cancel, got %d", len(nonTraded))
@ -316,7 +317,7 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64, syscoun
}
}
if toCancel {
err := s.GeneralOrderExecutor.FastCancel(ctx)
err := s.FastOrderExecutor.Cancel(ctx)
s.pendingLock.Lock()
counters := s.orderPendingCounter
s.orderPendingCounter = make(map[uint64]int)
@ -424,7 +425,7 @@ func (s *Strategy) Rebalance(ctx context.Context) {
if math.Abs(beta) > s.RebalanceFilter && math.Abs(s.beta) > s.RebalanceFilter || math.Abs(s.beta) < s.RebalanceFilter && math.Abs(beta) < s.RebalanceFilter {
return
}
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
balances := s.FastOrderExecutor.Session().GetAccount().Balances()
baseBalance := balances[s.Market.BaseCurrency].Total()
quoteBalance := balances[s.Market.QuoteCurrency].Total()
total := baseBalance.Add(quoteBalance.Div(price))
@ -578,7 +579,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine, counter
}
if s.Debug {
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
balances := s.FastOrderExecutor.Session().GetAccount().Balances()
bbgo.Notify("source: %.4f, price: %.4f, drift[0]: %.4f, ddrift[0]: %.4f, lowf %.4f, highf: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f",
sourcef, pricef, drift[0], ddrift[0], atr, lowf, highf, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
// Notify will parse args to strings and process separately
@ -640,7 +641,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine, counter
opt.Price = source
opt.Tags = []string{"long"}
submitOrder, err := s.GeneralOrderExecutor.NewOrderFromOpenPosition(ctx, &opt)
submitOrder, err := s.FastOrderExecutor.NewOrderFromOpenPosition(ctx, &opt)
if err != nil {
errs := filterErrors(multierr.Errors(err))
if len(errs) > 0 {
@ -690,7 +691,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine, counter
}
opt.Price = source
opt.Tags = []string{"short"}
submitOrder, err := s.GeneralOrderExecutor.NewOrderFromOpenPosition(ctx, &opt)
submitOrder, err := s.FastOrderExecutor.NewOrderFromOpenPosition(ctx, &opt)
if err != nil {
errs := filterErrors(multierr.Errors(err))
if len(errs) > 0 {
@ -745,11 +746,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Status = types.StrategyStatusRunning
s.OnSuspend(func() {
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
_ = s.FastOrderExecutor.GracefulCancel(ctx)
})
s.OnEmergencyStop(func() {
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
_ = s.FastOrderExecutor.GracefulCancel(ctx)
_ = s.ClosePosition(ctx, fixedpoint.One)
})
@ -766,14 +767,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.GeneralOrderExecutor.DisableNotify()
orderStore := s.GeneralOrderExecutor.OrderStore()
s.FastOrderExecutor = bbgo.NewFastOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.FastOrderExecutor.DisableNotify()
orderStore := s.FastOrderExecutor.OrderStore()
orderStore.AddOrderUpdate = true
orderStore.RemoveCancelled = true
orderStore.RemoveFilled = true
activeOrders := s.GeneralOrderExecutor.ActiveMakerOrders()
tradeCollector := s.GeneralOrderExecutor.TradeCollector()
activeOrders := s.FastOrderExecutor.ActiveMakerOrders()
tradeCollector := s.FastOrderExecutor.TradeCollector()
tradeStore := tradeCollector.TradeStore()
syscounter := 0