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c9s 2020-07-20 11:49:20 +08:00
parent 30e8cad7c8
commit 099d58f23a
2 changed files with 20 additions and 13 deletions
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8
bbgo/context.go
View File

@ -8,7 +8,7 @@ import (
type TradingContext struct {
sync.Mutex
Symbol string
Symbol string
// Market is the market configuration of a symbol
Market types.Market
@ -16,13 +16,11 @@ type TradingContext struct {
AverageBidPrice float64
CurrentPrice float64
Balances map[string]types.Balance
Balances map[string]types.Balance
Quota map[string]types.Balance
ProfitAndLossCalculator *ProfitAndLossCalculator
}
func (c *TradingContext) SetCurrentPrice(price float64) {
c.CurrentPrice = price
}

25
bbgo/trader.go
View File

@ -23,17 +23,24 @@ type KLineRegressionTrader struct {
SourceKLines []types.KLine
ProfitAndLossCalculator *ProfitAndLossCalculator
orderC chan *types.Order
doneOrders []*types.Order
pendingOrders []*types.Order
}
func (trader *KLineRegressionTrader) SubmitOrder(cxt context.Context, order *types.Order) {
trader.orderC <- order
trader.pendingOrders = append(trader.pendingOrders, order)
}
func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
log.Infof("[regression] number of kline data: %d", len(trader.SourceKLines))
trader.orderC = make(chan *types.Order, 12)
maxExposure := 0.4
trader.Context.Quota = make(map[string]types.Balance)
for currency, balance := range trader.Context.Balances {
quota := balance
quota.Available *= maxExposure
trader.Context.Quota[ currency ] = quota
}
done := make(chan struct{})
defer close(done)
@ -55,9 +62,7 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
standardStream.EmitKLineClosed(&kline)
select {
case order := <-trader.orderC:
for _, order := range trader.pendingOrders {
switch order.Side {
case types.SideTypeBuy:
fmt.Print("B")
@ -83,7 +88,7 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency]
if quote.Available < volume * price {
if quote.Available < volume*price {
log.Fatalf("quote balance not enough: %+v", quote)
}
quote.Available -= volume * price
@ -126,8 +131,12 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
tradeID++
trader.ProfitAndLossCalculator.AddTrade(trade)
default:
trader.doneOrders = append(trader.doneOrders, order)
}
// clear pending orders
trader.pendingOrders = nil
}
fmt.Print("\n")