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xdepthmaker: move global position profit handling

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c9s 2023-11-28 16:46:58 +08:00
parent 99723fc1f4
commit 10a71d83f1
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 31 additions and 44 deletions
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75
pkg/strategy/xdepthmaker/strategy.go
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@ -46,8 +46,10 @@ type CrossExchangeMarketMakingStrategy struct {
makerSession, hedgeSession *bbgo.ExchangeSession
makerMarket, hedgeMarket types.Market
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
@ -133,6 +135,28 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
s.orderStore.BindStream(hedgeSession.UserDataStream)
s.orderStore.BindStream(makerSession.UserDataStream)
s.tradeCollector = core.NewTradeCollector(symbol, s.Position, s.orderStore)
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange()
if trade.Exchange == s.hedgeSession.ExchangeName {
s.CoveredPosition.AtomicAdd(c)
}
s.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environ.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
bbgo.Notify(&p)
s.ProfitStats.AddProfit(p)
s.Environ.RecordPosition(s.Position, trade, &p)
}
})
return nil
}
@ -188,10 +212,6 @@ type Strategy struct {
// --------------------------------
// private fields
// --------------------------------
state *State
// persistence fields
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
// pricingBook is the order book (depth) from the hedging session
pricingBook *types.StreamOrderBook
@ -281,8 +301,6 @@ func (s *Strategy) Initialize() error {
func (s *Strategy) CrossRun(
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
) error {
instanceID := s.InstanceID()
makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
if err != nil {
return err
@ -293,12 +311,6 @@ func (s *Strategy) CrossRun(
return err
}
if s.CoveredPosition.IsZero() {
if s.state != nil && !s.CoveredPosition.IsZero() {
s.CoveredPosition = s.state.CoveredPosition
}
}
s.pricingBook = types.NewStreamBook(s.Symbol)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
@ -306,29 +318,6 @@ func (s *Strategy) CrossRun(
s.tradeCollector.OnTrade(notifyTrade)
}
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange()
if trade.Exchange == s.hedgeSession.ExchangeName {
s.CoveredPosition = s.CoveredPosition.Add(c)
}
s.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
bbgo.Notify(&p)
s.ProfitStats.AddProfit(p)
s.Environment.RecordPosition(s.Position, trade, &p)
}
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
bbgo.Notify(position)
})
@ -354,12 +343,6 @@ func (s *Strategy) CrossRun(
reportTicker := time.NewTicker(time.Hour)
defer reportTicker.Stop()
defer func() {
if err := s.MakerOrderExecutor.GracefulCancel(context.Background()); err != nil {
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
}
}()
for {
select {
@ -420,7 +403,11 @@ func (s *Strategy) CrossRun(
defer cancelShutdown()
if err := s.MakerOrderExecutor.GracefulCancel(shutdownCtx); err != nil {
log.WithError(err).Errorf("graceful cancel error")
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
}
if err := s.HedgeOrderExecutor.GracefulCancel(shutdownCtx); err != nil {
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
}
bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)