mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 19:13:52 +00:00
Merge pull request #1749 from r03921081/task/change_circuitbreaker
Use new circuitbreaker in common strategy
This commit is contained in:
commit
113695eabf
|
@ -8,6 +8,7 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
|
||||
"github.com/c9s/bbgo/pkg/risk/riskcontrol"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
@ -19,7 +20,7 @@ type RiskController struct {
|
|||
CircuitBreakEMA types.IntervalWindow `json:"circuitBreakEMA"`
|
||||
|
||||
positionRiskControl *riskcontrol.PositionRiskControl
|
||||
circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
|
||||
circuitBreakRiskControl *circuitbreaker.BasicCircuitBreaker
|
||||
}
|
||||
|
||||
// Strategy provides the core functionality that is required by a long/short strategy.
|
||||
|
@ -78,12 +79,12 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
|
|||
|
||||
if !s.CircuitBreakLossThreshold.IsZero() {
|
||||
log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
|
||||
s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
|
||||
s.Position,
|
||||
session.Indicators(market.Symbol).EWMA(s.CircuitBreakEMA),
|
||||
s.CircuitBreakLossThreshold,
|
||||
s.ProfitStats,
|
||||
24*time.Hour)
|
||||
s.circuitBreakRiskControl = circuitbreaker.NewBasicCircuitBreaker(strategyID, instanceID)
|
||||
s.OrderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
|
||||
if profit != nil && s.circuitBreakRiskControl != nil {
|
||||
s.circuitBreakRiskControl.RecordProfit(profit.Profit, trade.Time.Time())
|
||||
}
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
|
@ -91,5 +92,6 @@ func (s *Strategy) IsHalted(t time.Time) bool {
|
|||
if s.circuitBreakRiskControl == nil {
|
||||
return false
|
||||
}
|
||||
return s.circuitBreakRiskControl.IsHalted(t)
|
||||
_, isHalted := s.circuitBreakRiskControl.IsHalted(t)
|
||||
return isHalted
|
||||
}
|
||||
|
|
Loading…
Reference in New Issue
Block a user