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pivotshort: pull out GeneralOrderExecutor
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parent
807a3e125c
commit
0326c34013
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@ -51,6 +51,10 @@ func (c *TradeCollector) Position() *types.Position {
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return c.position
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}
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func (c *TradeCollector) SetPosition(position *types.Position) {
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c.position = position
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}
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// QueueTrade sends the trade object to the trade channel,
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// so that the goroutine can receive the trade and process in the background.
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func (c *TradeCollector) QueueTrade(trade types.Trade) {
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@ -109,7 +113,12 @@ func (c *TradeCollector) Process() bool {
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if c.orderStore.Exists(trade.OrderID) {
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c.doneTrades[key] = struct{}{}
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if profit, netProfit, madeProfit := c.position.AddTrade(trade); madeProfit {
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profit, netProfit, madeProfit := c.position.AddTrade(trade)
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if madeProfit {
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p := c.position.NewProfit(trade, profit, netProfit)
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_ = p
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c.EmitTrade(trade, profit, netProfit)
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c.EmitProfit(trade, profit, netProfit)
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} else {
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@ -142,7 +142,8 @@ type Strategy struct {
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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session *bbgo.ExchangeSession
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session *bbgo.ExchangeSession
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orderExecutor *GeneralOrderExecutor
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lastLow fixedpoint.Value
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pivot *indicator.Pivot
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@ -244,15 +245,76 @@ func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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// GeneralOrderExecutor implements the general order executor for strategy
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type GeneralOrderExecutor struct {
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session *bbgo.ExchangeSession
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symbol string
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strategy string
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strategyInstanceID string
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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}
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func NewGeneralOrderExecutor(session *bbgo.ExchangeSession, symbol, strategy, strategyInstanceID string) *GeneralOrderExecutor {
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orderStore := bbgo.NewOrderStore(symbol)
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return &GeneralOrderExecutor{
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session: session,
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symbol: symbol,
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strategy: strategy,
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strategyInstanceID: strategyInstanceID,
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activeMakerOrders: bbgo.NewActiveOrderBook(symbol),
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orderStore: orderStore,
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tradeCollector: bbgo.NewTradeCollector(symbol, nil, orderStore),
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}
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}
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func (e *GeneralOrderExecutor) Bind(position *types.Position, profitStats *types.ProfitStats, notify func(obj interface{}, args ...interface{})) {
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// Always update the position fields
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position.Strategy = e.strategy
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position.StrategyInstanceID = e.strategyInstanceID
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e.activeMakerOrders.BindStream(e.session.UserDataStream)
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e.orderStore.BindStream(e.session.UserDataStream)
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e.tradeCollector.SetPosition(position)
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// trade notify
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e.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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notify(trade)
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})
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// profit stats
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e.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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profitStats.AddTrade(trade)
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if profit.IsZero() {
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return
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}
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p := position.NewProfit(trade, profit, netProfit)
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p.Strategy = e.strategy
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p.StrategyInstanceID = e.strategyInstanceID
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profitStats.AddProfit(p)
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notify(&profitStats)
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})
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e.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", position)
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notify(position)
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})
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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var instanceID = s.InstanceID()
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// initial required information
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s.session = session
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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s.orderExecutor = NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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// TODO: migrate this
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s.activeMakerOrders = s.orderExecutor.activeMakerOrders
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s.orderStore = s.orderExecutor.orderStore
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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@ -262,34 +324,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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s.orderExecutor.Bind(s.Position, s.ProfitStats, s.Notifiability.Notify)
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if s.TradeStats == nil {
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s.TradeStats = &TradeStats{}
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}
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instanceID := s.InstanceID()
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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// trade notify
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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s.Notifiability.Notify(trade)
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})
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// profit stats
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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s.ProfitStats.AddTrade(trade)
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if !profit.IsZero() {
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.ProfitStats.AddProfit(p)
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s.Notify(&s.ProfitStats)
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}
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})
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s.tradeCollector = s.orderExecutor.tradeCollector
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// trade stats
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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@ -312,10 +353,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", s.Position)
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s.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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store, _ := session.MarketDataStore(s.Symbol)
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@ -112,11 +112,13 @@ func (p *Position) NewProfit(trade Trade, profit, netProfit fixedpoint.Value) Pr
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Fee: trade.Fee,
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FeeCurrency: trade.FeeCurrency,
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Exchange: trade.Exchange,
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IsMargin: trade.IsMargin,
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IsFutures: trade.IsFutures,
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IsIsolated: trade.IsIsolated,
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TradedAt: trade.Time.Time(),
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Exchange: trade.Exchange,
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IsMargin: trade.IsMargin,
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IsFutures: trade.IsFutures,
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IsIsolated: trade.IsIsolated,
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TradedAt: trade.Time.Time(),
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Strategy: p.Strategy,
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StrategyInstanceID: p.StrategyInstanceID,
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}
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}
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