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scmaker: initialize order executor before we setup risk control

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c9s 2023-07-03 17:39:42 +08:00
parent ae3f371551
commit 0426c18757
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 10 additions and 10 deletions
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4
pkg/risk/riskcontrol/position.go
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@ -37,8 +37,8 @@ func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector
}
// ModifiedQuantity returns quantity controlled by position risks
// For buy orders, mod quantity = min(hardlimit - position, quanity), limiting by positive position
// For sell orders, mod quantity = min(hardlimit - (-position), quanity), limiting by negative position
// For buy orders, mod quantity = min(hardLimit - position, quantity), limiting by positive position
// For sell orders, mod quantity = min(hardLimit - (-position), quantity), limiting by negative position
func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value) {
return fixedpoint.Min(p.hardLimit.Sub(position), p.quantity),
fixedpoint.Min(p.hardLimit.Add(position), p.quantity)

16
pkg/strategy/scmaker/strategy.go
View File

@ -136,6 +136,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.ProfitStats = types.NewProfitStats(s.Market)
}
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.Bind()
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())
@ -181,14 +189,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.liquidityScale = scale
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.Bind()
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
s.initializeMidPriceEMA(session)
s.initializePriceRangeBollinger(session)
s.initializeIntensityIndicator(session)