mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-24 15:55:14 +00:00
all: move trade collector to pkg/core
This commit is contained in:
c9s
parent
ff727ae495
commit
1ad10a9360
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@ -5,12 +5,13 @@
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package mocks
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import (
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context "context"
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reflect "reflect"
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"context"
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"reflect"
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bbgo "github.com/c9s/bbgo/pkg/bbgo"
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types "github.com/c9s/bbgo/pkg/types"
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gomock "github.com/golang/mock/gomock"
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"github.com/golang/mock/gomock"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/types"
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)
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// MockOrderExecutorExtended is a mock of OrderExecutorExtended interface.
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@ -90,10 +91,10 @@ func (mr *MockOrderExecutorExtendedMockRecorder) SubmitOrders(arg0 interface{},
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}
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// TradeCollector mocks base method.
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func (m *MockOrderExecutorExtended) TradeCollector() *bbgo.TradeCollector {
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func (m *MockOrderExecutorExtended) TradeCollector() *core.TradeCollector {
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m.ctrl.T.Helper()
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ret := m.ctrl.Call(m, "TradeCollector")
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ret0, _ := ret[0].(*bbgo.TradeCollector)
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ret0, _ := ret[0].(*core.TradeCollector)
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return ret0
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}
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@ -10,6 +10,7 @@ import (
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log "github.com/sirupsen/logrus"
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"go.uber.org/multierr"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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@ -32,7 +33,7 @@ type OrderExecutor interface {
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type OrderExecutorExtended interface {
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SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
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CancelOrders(ctx context.Context, orders ...types.Order) error
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TradeCollector() *TradeCollector
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TradeCollector() *core.TradeCollector
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Position() *types.Position
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}
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@ -35,7 +35,7 @@ type GeneralOrderExecutor struct {
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position *types.Position
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activeMakerOrders *ActiveOrderBook
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orderStore *core.OrderStore
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tradeCollector *TradeCollector
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tradeCollector *core.TradeCollector
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logger log.FieldLogger
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@ -60,7 +60,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
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position: position,
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activeMakerOrders: NewActiveOrderBook(symbol),
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orderStore: orderStore,
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tradeCollector: NewTradeCollector(symbol, position, orderStore),
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tradeCollector: core.NewTradeCollector(symbol, position, orderStore),
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}
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if session != nil && session.Margin {
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@ -517,7 +517,7 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
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return nil
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}
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func (e *GeneralOrderExecutor) TradeCollector() *TradeCollector {
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func (e *GeneralOrderExecutor) TradeCollector() *core.TradeCollector {
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return e.tradeCollector
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}
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@ -1,238 +1 @@
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package bbgo
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import (
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"context"
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"sync"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type TradeCollector
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type TradeCollector struct {
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Symbol string
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orderSig sigchan.Chan
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tradeStore *core.TradeStore
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tradeC chan types.Trade
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position *types.Position
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orderStore *core.OrderStore
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doneTrades map[types.TradeKey]struct{}
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mu sync.Mutex
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recoverCallbacks []func(trade types.Trade)
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tradeCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
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positionUpdateCallbacks []func(position *types.Position)
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profitCallbacks []func(trade types.Trade, profit *types.Profit)
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}
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func NewTradeCollector(symbol string, position *types.Position, orderStore *core.OrderStore) *TradeCollector {
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return &TradeCollector{
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Symbol: symbol,
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orderSig: sigchan.New(1),
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tradeC: make(chan types.Trade, 100),
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tradeStore: core.NewTradeStore(),
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doneTrades: make(map[types.TradeKey]struct{}),
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position: position,
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orderStore: orderStore,
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}
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}
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// OrderStore returns the order store used by the trade collector
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func (c *TradeCollector) OrderStore() *core.OrderStore {
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return c.orderStore
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}
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// Position returns the position used by the trade collector
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func (c *TradeCollector) Position() *types.Position {
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return c.position
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}
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func (c *TradeCollector) TradeStore() *core.TradeStore {
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return c.tradeStore
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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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c.tradeC <- trade
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}
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// BindStreamForBackground bind the stream callback for background processing
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func (c *TradeCollector) BindStreamForBackground(stream types.Stream) {
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stream.OnTradeUpdate(c.QueueTrade)
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}
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func (c *TradeCollector) BindStream(stream types.Stream) {
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stream.OnTradeUpdate(func(trade types.Trade) {
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c.ProcessTrade(trade)
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})
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}
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// Emit triggers the trade processing (position update)
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// If you sent order, and the order store is updated, you can call this method
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// so that trades will be processed in the next round of the goroutine loop
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func (c *TradeCollector) Emit() {
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c.orderSig.Emit()
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}
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func (c *TradeCollector) Recover(ctx context.Context, ex types.ExchangeTradeHistoryService, symbol string, from time.Time) error {
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trades, err := ex.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &from,
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})
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if err != nil {
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return err
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}
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for _, td := range trades {
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log.Debugf("processing trade: %s", td.String())
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if c.ProcessTrade(td) {
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log.Infof("recovered trade: %s", td.String())
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c.EmitRecover(td)
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}
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}
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return nil
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}
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func (c *TradeCollector) setDone(key types.TradeKey) {
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c.mu.Lock()
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c.doneTrades[key] = struct{}{}
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c.mu.Unlock()
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}
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// Process filters the received trades and see if there are orders matching the trades
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// if we have the order in the order store, then the trade will be considered for the position.
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// profit will also be calculated.
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func (c *TradeCollector) Process() bool {
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positionChanged := false
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c.tradeStore.Filter(func(trade types.Trade) bool {
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key := trade.Key()
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c.mu.Lock()
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defer c.mu.Unlock()
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// if it's already done, remove the trade from the trade store
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if _, done := c.doneTrades[key]; done {
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return true
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}
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if c.orderStore.Exists(trade.OrderID) {
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if c.position != nil {
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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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c.EmitTrade(trade, profit, netProfit)
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c.EmitProfit(trade, &p)
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} else {
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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c.EmitProfit(trade, nil)
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}
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positionChanged = true
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} else {
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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}
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c.doneTrades[key] = struct{}{}
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return true
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}
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return false
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})
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if positionChanged && c.position != nil {
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c.EmitPositionUpdate(c.position)
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}
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return positionChanged
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}
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// processTrade takes a trade and see if there is a matched order
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// if the order is found, then we add the trade to the position
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// return true when the given trade is added
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// return false when the given trade is not added
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func (c *TradeCollector) processTrade(trade types.Trade) bool {
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c.mu.Lock()
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defer c.mu.Unlock()
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key := trade.Key()
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// if it's already done, remove the trade from the trade store
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if _, done := c.doneTrades[key]; done {
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return false
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}
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if c.orderStore.Exists(trade.OrderID) {
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if c.position != nil {
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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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c.EmitTrade(trade, profit, netProfit)
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c.EmitProfit(trade, &p)
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} else {
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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c.EmitProfit(trade, nil)
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}
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c.EmitPositionUpdate(c.position)
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} else {
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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}
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c.doneTrades[key] = struct{}{}
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return true
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}
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return false
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}
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// return true when the given trade is added
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// return false when the given trade is not added
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func (c *TradeCollector) ProcessTrade(trade types.Trade) bool {
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key := trade.Key()
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// if it's already done, remove the trade from the trade store
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c.mu.Lock()
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if _, done := c.doneTrades[key]; done {
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return false
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}
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c.mu.Unlock()
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if c.processTrade(trade) {
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return true
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}
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c.tradeStore.Add(trade)
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return false
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}
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// Run is a goroutine executed in the background
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// Do not use this function if you need back-testing
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func (c *TradeCollector) Run(ctx context.Context) {
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var ticker = time.NewTicker(3 * time.Second)
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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c.Process()
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case <-c.orderSig:
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c.Process()
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case trade := <-c.tradeC:
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c.ProcessTrade(trade)
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}
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}
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}
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@ -1,66 +1 @@
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package bbgo
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func TestTradeCollector_ShouldNotCountDuplicatedTrade(t *testing.T) {
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symbol := "BTCUSDT"
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position := types.NewPosition(symbol, "BTC", "USDT")
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orderStore := core.NewOrderStore(symbol)
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collector := NewTradeCollector(symbol, position, orderStore)
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assert.NotNil(t, collector)
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matched := collector.ProcessTrade(types.Trade{
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ID: 1,
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OrderID: 399,
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Exchange: types.ExchangeBinance,
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Price: fixedpoint.NewFromInt(40000),
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Quantity: fixedpoint.One,
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QuoteQuantity: fixedpoint.NewFromInt(40000),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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})
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assert.False(t, matched, "should be added to the trade store")
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assert.Equal(t, 1, len(collector.tradeStore.Trades()), "should have one trade in the trade store")
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orderStore.Add(types.Order{
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SubmitOrder: types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: fixedpoint.One,
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Price: fixedpoint.NewFromInt(40000),
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},
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Exchange: types.ExchangeBinance,
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OrderID: 399,
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Status: types.OrderStatusFilled,
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ExecutedQuantity: fixedpoint.One,
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IsWorking: false,
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})
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matched = collector.Process()
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assert.True(t, matched)
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assert.Equal(t, 0, len(collector.tradeStore.Trades()), "the found trade should be removed from the trade store")
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matched = collector.ProcessTrade(types.Trade{
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ID: 1,
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OrderID: 399,
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Exchange: types.ExchangeBinance,
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Price: fixedpoint.NewFromInt(40000),
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Quantity: fixedpoint.One,
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QuoteQuantity: fixedpoint.NewFromInt(40000),
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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IsBuyer: true,
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})
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assert.False(t, matched, "the same trade should not match")
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assert.Equal(t, 0, len(collector.tradeStore.Trades()), "the same trade should not be added to the trade store")
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}
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@ -308,7 +308,7 @@ var BacktestCmd = &cobra.Command{
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var reportDir = outputDirectory
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var sessionTradeStats = make(map[string]map[string]*types.TradeStats)
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var tradeCollectorList []*bbgo.TradeCollector
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var tradeCollectorList []*core.TradeCollector
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for _, exSource := range exchangeSources {
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sessionName := exSource.Session.Name
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tradeStatsMap := make(map[string]*types.TradeStats)
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@ -317,7 +317,7 @@ var BacktestCmd = &cobra.Command{
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position := types.NewPositionFromMarket(market)
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orderStore := core.NewOrderStore(usedSymbol)
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orderStore.AddOrderUpdate = true
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tradeCollector := bbgo.NewTradeCollector(usedSymbol, position, orderStore)
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tradeCollector := core.NewTradeCollector(usedSymbol, position, orderStore)
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tradeStats := types.NewTradeStats(usedSymbol)
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tradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
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237
pkg/core/tradecollector.go
Normal file
237
pkg/core/tradecollector.go
Normal file
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@ -0,0 +1,237 @@
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package core
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import (
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"context"
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"sync"
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"time"
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"github.com/sirupsen/logrus"
|
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type TradeCollector
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type TradeCollector struct {
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Symbol string
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orderSig sigchan.Chan
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tradeStore *TradeStore
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tradeC chan types.Trade
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position *types.Position
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orderStore *OrderStore
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doneTrades map[types.TradeKey]struct{}
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mu sync.Mutex
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recoverCallbacks []func(trade types.Trade)
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tradeCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
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positionUpdateCallbacks []func(position *types.Position)
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profitCallbacks []func(trade types.Trade, profit *types.Profit)
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}
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func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
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return &TradeCollector{
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Symbol: symbol,
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orderSig: sigchan.New(1),
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tradeC: make(chan types.Trade, 100),
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tradeStore: NewTradeStore(),
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doneTrades: make(map[types.TradeKey]struct{}),
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position: position,
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orderStore: orderStore,
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}
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}
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// OrderStore returns the order store used by the trade collector
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func (c *TradeCollector) OrderStore() *OrderStore {
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return c.orderStore
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}
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// Position returns the position used by the trade collector
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func (c *TradeCollector) Position() *types.Position {
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return c.position
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}
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func (c *TradeCollector) TradeStore() *TradeStore {
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return c.tradeStore
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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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c.tradeC <- trade
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}
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// BindStreamForBackground bind the stream callback for background processing
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func (c *TradeCollector) BindStreamForBackground(stream types.Stream) {
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stream.OnTradeUpdate(c.QueueTrade)
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}
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|
||||
func (c *TradeCollector) BindStream(stream types.Stream) {
|
||||
stream.OnTradeUpdate(func(trade types.Trade) {
|
||||
c.ProcessTrade(trade)
|
||||
})
|
||||
}
|
||||
|
||||
// Emit triggers the trade processing (position update)
|
||||
// If you sent order, and the order store is updated, you can call this method
|
||||
// so that trades will be processed in the next round of the goroutine loop
|
||||
func (c *TradeCollector) Emit() {
|
||||
c.orderSig.Emit()
|
||||
}
|
||||
|
||||
func (c *TradeCollector) Recover(ctx context.Context, ex types.ExchangeTradeHistoryService, symbol string, from time.Time) error {
|
||||
trades, err := ex.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
|
||||
StartTime: &from,
|
||||
})
|
||||
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
for _, td := range trades {
|
||||
logrus.Debugf("processing trade: %s", td.String())
|
||||
if c.ProcessTrade(td) {
|
||||
logrus.Infof("recovered trade: %s", td.String())
|
||||
c.EmitRecover(td)
|
||||
}
|
||||
}
|
||||
return nil
|
||||
}
|
||||
|
||||
func (c *TradeCollector) setDone(key types.TradeKey) {
|
||||
c.mu.Lock()
|
||||
c.doneTrades[key] = struct{}{}
|
||||
c.mu.Unlock()
|
||||
}
|
||||
|
||||
// Process filters the received trades and see if there are orders matching the trades
|
||||
// if we have the order in the order store, then the trade will be considered for the position.
|
||||
// profit will also be calculated.
|
||||
func (c *TradeCollector) Process() bool {
|
||||
positionChanged := false
|
||||
|
||||
c.tradeStore.Filter(func(trade types.Trade) bool {
|
||||
key := trade.Key()
|
||||
|
||||
c.mu.Lock()
|
||||
defer c.mu.Unlock()
|
||||
|
||||
// if it's already done, remove the trade from the trade store
|
||||
if _, done := c.doneTrades[key]; done {
|
||||
return true
|
||||
}
|
||||
|
||||
if c.orderStore.Exists(trade.OrderID) {
|
||||
if c.position != nil {
|
||||
profit, netProfit, madeProfit := c.position.AddTrade(trade)
|
||||
if madeProfit {
|
||||
p := c.position.NewProfit(trade, profit, netProfit)
|
||||
c.EmitTrade(trade, profit, netProfit)
|
||||
c.EmitProfit(trade, &p)
|
||||
} else {
|
||||
c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
|
||||
c.EmitProfit(trade, nil)
|
||||
}
|
||||
positionChanged = true
|
||||
} else {
|
||||
c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
|
||||
}
|
||||
|
||||
c.doneTrades[key] = struct{}{}
|
||||
return true
|
||||
}
|
||||
return false
|
||||
})
|
||||
|
||||
if positionChanged && c.position != nil {
|
||||
c.EmitPositionUpdate(c.position)
|
||||
}
|
||||
|
||||
return positionChanged
|
||||
}
|
||||
|
||||
// processTrade takes a trade and see if there is a matched order
|
||||
// if the order is found, then we add the trade to the position
|
||||
// return true when the given trade is added
|
||||
// return false when the given trade is not added
|
||||
func (c *TradeCollector) processTrade(trade types.Trade) bool {
|
||||
c.mu.Lock()
|
||||
defer c.mu.Unlock()
|
||||
|
||||
key := trade.Key()
|
||||
|
||||
// if it's already done, remove the trade from the trade store
|
||||
if _, done := c.doneTrades[key]; done {
|
||||
return false
|
||||
}
|
||||
|
||||
if c.orderStore.Exists(trade.OrderID) {
|
||||
if c.position != nil {
|
||||
profit, netProfit, madeProfit := c.position.AddTrade(trade)
|
||||
if madeProfit {
|
||||
p := c.position.NewProfit(trade, profit, netProfit)
|
||||
c.EmitTrade(trade, profit, netProfit)
|
||||
c.EmitProfit(trade, &p)
|
||||
} else {
|
||||
c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
|
||||
c.EmitProfit(trade, nil)
|
||||
}
|
||||
c.EmitPositionUpdate(c.position)
|
||||
} else {
|
||||
c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
|
||||
}
|
||||
|
||||
c.doneTrades[key] = struct{}{}
|
||||
return true
|
||||
}
|
||||
return false
|
||||
}
|
||||
|
||||
// return true when the given trade is added
|
||||
// return false when the given trade is not added
|
||||
func (c *TradeCollector) ProcessTrade(trade types.Trade) bool {
|
||||
key := trade.Key()
|
||||
// if it's already done, remove the trade from the trade store
|
||||
c.mu.Lock()
|
||||
if _, done := c.doneTrades[key]; done {
|
||||
return false
|
||||
}
|
||||
c.mu.Unlock()
|
||||
|
||||
if c.processTrade(trade) {
|
||||
return true
|
||||
}
|
||||
|
||||
c.tradeStore.Add(trade)
|
||||
return false
|
||||
}
|
||||
|
||||
// Run is a goroutine executed in the background
|
||||
// Do not use this function if you need back-testing
|
||||
func (c *TradeCollector) Run(ctx context.Context) {
|
||||
var ticker = time.NewTicker(3 * time.Second)
|
||||
for {
|
||||
select {
|
||||
case <-ctx.Done():
|
||||
return
|
||||
|
||||
case <-ticker.C:
|
||||
c.Process()
|
||||
|
||||
case <-c.orderSig:
|
||||
c.Process()
|
||||
|
||||
case trade := <-c.tradeC:
|
||||
c.ProcessTrade(trade)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
@ -1,6 +1,6 @@
|
|||
// Code generated by "callbackgen -type TradeCollector"; DO NOT EDIT.
|
||||
|
||||
package bbgo
|
||||
package core
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
65
pkg/core/tradecollector_test.go
Normal file
65
pkg/core/tradecollector_test.go
Normal file
|
|
@ -0,0 +1,65 @@
|
|||
package core
|
||||
|
||||
import (
|
||||
"testing"
|
||||
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
func TestTradeCollector_ShouldNotCountDuplicatedTrade(t *testing.T) {
|
||||
symbol := "BTCUSDT"
|
||||
position := types.NewPosition(symbol, "BTC", "USDT")
|
||||
orderStore := NewOrderStore(symbol)
|
||||
collector := NewTradeCollector(symbol, position, orderStore)
|
||||
assert.NotNil(t, collector)
|
||||
|
||||
matched := collector.ProcessTrade(types.Trade{
|
||||
ID: 1,
|
||||
OrderID: 399,
|
||||
Exchange: types.ExchangeBinance,
|
||||
Price: fixedpoint.NewFromInt(40000),
|
||||
Quantity: fixedpoint.One,
|
||||
QuoteQuantity: fixedpoint.NewFromInt(40000),
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
IsBuyer: true,
|
||||
})
|
||||
assert.False(t, matched, "should be added to the trade store")
|
||||
assert.Equal(t, 1, len(collector.tradeStore.Trades()), "should have one trade in the trade store")
|
||||
|
||||
orderStore.Add(types.Order{
|
||||
SubmitOrder: types.SubmitOrder{
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Quantity: fixedpoint.One,
|
||||
Price: fixedpoint.NewFromInt(40000),
|
||||
},
|
||||
Exchange: types.ExchangeBinance,
|
||||
OrderID: 399,
|
||||
Status: types.OrderStatusFilled,
|
||||
ExecutedQuantity: fixedpoint.One,
|
||||
IsWorking: false,
|
||||
})
|
||||
|
||||
matched = collector.Process()
|
||||
assert.True(t, matched)
|
||||
assert.Equal(t, 0, len(collector.tradeStore.Trades()), "the found trade should be removed from the trade store")
|
||||
|
||||
matched = collector.ProcessTrade(types.Trade{
|
||||
ID: 1,
|
||||
OrderID: 399,
|
||||
Exchange: types.ExchangeBinance,
|
||||
Price: fixedpoint.NewFromInt(40000),
|
||||
Quantity: fixedpoint.One,
|
||||
QuoteQuantity: fixedpoint.NewFromInt(40000),
|
||||
Symbol: "BTCUSDT",
|
||||
Side: types.SideTypeBuy,
|
||||
IsBuyer: true,
|
||||
})
|
||||
assert.False(t, matched, "the same trade should not match")
|
||||
assert.Equal(t, 0, len(collector.tradeStore.Trades()), "the same trade should not be added to the trade store")
|
||||
}
|
||||
|
|
@ -8,6 +8,7 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/bbgo/mocks"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
|
@ -93,7 +94,7 @@ func TestReleasePositionCallbacks(t *testing.T) {
|
|||
},
|
||||
}
|
||||
|
||||
tradeCollector := &bbgo.TradeCollector{}
|
||||
tradeCollector := &core.TradeCollector{}
|
||||
mockCtrl := gomock.NewController(t)
|
||||
defer mockCtrl.Finish()
|
||||
orderExecutor := mocks.NewMockOrderExecutorExtended(mockCtrl)
|
||||
|
|
|
|||
|
|
@ -49,7 +49,7 @@ type Strategy struct {
|
|||
// closePositionOrders *bbgo.LocalActiveOrderBook
|
||||
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
tradeCollector *core.TradeCollector
|
||||
|
||||
session *bbgo.ExchangeSession
|
||||
|
||||
|
|
@ -174,7 +174,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.Position.Strategy = ID
|
||||
s.Position.StrategyInstanceID = instanceID
|
||||
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
||||
// StrategyController
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
|
|
|
|||
|
|
@ -95,7 +95,7 @@ type Strategy struct {
|
|||
// activeOrders is the locally maintained active order book of the maker orders.
|
||||
activeOrders *bbgo.ActiveOrderBook
|
||||
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
tradeCollector *core.TradeCollector
|
||||
|
||||
// groupID is the group ID used for the strategy instance for canceling orders
|
||||
groupID uint32
|
||||
|
|
@ -571,7 +571,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.activeOrders.OnFilled(s.handleFilledOrder)
|
||||
s.activeOrders.BindStream(session.UserDataStream)
|
||||
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.State.Position, s.orderStore)
|
||||
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.State.Position, s.orderStore)
|
||||
|
||||
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
||||
bbgo.Notify(trade)
|
||||
|
|
|
|||
|
|
@ -67,7 +67,7 @@ type Strategy struct {
|
|||
activeAdjustmentOrders *bbgo.ActiveOrderBook
|
||||
activeWallOrders *bbgo.ActiveOrderBook
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
tradeCollector *core.TradeCollector
|
||||
|
||||
groupID uint32
|
||||
|
||||
|
|
@ -277,7 +277,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.orderStore = core.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(session.UserDataStream)
|
||||
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
|
||||
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
||||
bbgo.Notify(trade)
|
||||
|
|
|
|||
|
|
@ -105,7 +105,7 @@ type Strategy struct {
|
|||
hedgeErrorRateReservation *rate.Reservation
|
||||
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
tradeCollector *core.TradeCollector
|
||||
|
||||
askPriceHeartBeat, bidPriceHeartBeat types.PriceHeartBeat
|
||||
|
||||
|
|
@ -737,7 +737,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
|
|||
s.orderStore.BindStream(s.sourceSession.UserDataStream)
|
||||
s.orderStore.BindStream(s.makerSession.UserDataStream)
|
||||
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
|
||||
if s.NotifyTrade {
|
||||
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user