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https://github.com/c9s/bbgo.git
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xmaker: fix trade handling
This commit is contained in:
c9s
parent
92b3a9b0fe
commit
1c54e59d55
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@ -8,14 +8,15 @@ import (
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"sync"
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"time"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/max"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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)
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var defaultMargin = fixedpoint.NewFromFloat(0.003)
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@ -141,11 +142,9 @@ type Strategy struct {
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// --------------------------------
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// private field
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makerSession *bbgo.ExchangeSession
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sourceSession *bbgo.ExchangeSession
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makerSession, sourceSession *bbgo.ExchangeSession
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sourceMarket types.Market
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makerMarket types.Market
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makerMarket, sourceMarket types.Market
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// boll is the BOLLINGER indicator we used for predicting the price.
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boll *indicator.BOLL
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@ -155,9 +154,8 @@ type Strategy struct {
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book *types.StreamOrderBook
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeStore *bbgo.TradeStore
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tradeC chan types.Trade
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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lastPrice float64
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groupID uint32
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@ -236,6 +234,9 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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return
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}
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// use mid-price for the last price
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s.lastPrice = (bestBid.Price + bestAsk.Price).Float64() / 2
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sourceBook := s.book.CopyDepth(20)
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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@ -576,78 +577,6 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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s.orderStore.Add(returnOrders...)
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}
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func (s *Strategy) handleTrade(trade types.Trade) {
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s.tradeC <- trade
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}
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func (s *Strategy) processTrade(trade types.Trade) {
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log.Infof("processing trade %+v", trade)
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if trade.Symbol != s.Symbol {
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return
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}
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if !s.orderStore.Exists(trade.OrderID) {
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return
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}
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if s.NotifyTrade {
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s.Notifiability.Notify(trade)
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}
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log.Infof("identified %s trade %d with an existing order: %d", trade.Symbol, trade.ID, trade.OrderID)
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q := fixedpoint.NewFromFloat(trade.Quantity)
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switch trade.Side {
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case types.SideTypeSell:
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q = -q
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case types.SideTypeBuy:
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case types.SideTypeSelf:
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// ignore self trades
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log.Warnf("ignore self trade")
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return
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default:
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log.Infof("ignore non sell/buy side trades, got: %v", trade.Side)
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return
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}
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s.state.HedgePosition.AtomicAdd(q)
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if trade.Exchange == s.sourceSession.ExchangeName {
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s.state.CoveredPosition.AtomicAdd(q)
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}
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s.state.ProfitStats.AddTrade(trade)
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if profit, netProfit, madeProfit := s.state.Position.AddTrade(trade); madeProfit {
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p := bbgo.Profit{
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Symbol: s.Symbol,
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Profit: profit,
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NetProfit: netProfit,
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TradeAmount: fixedpoint.NewFromFloat(trade.QuoteQuantity),
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ProfitMargin: profit.DivFloat64(trade.QuoteQuantity),
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NetProfitMargin: netProfit.DivFloat64(trade.QuoteQuantity),
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QuoteCurrency: s.state.Position.QuoteCurrency,
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BaseCurrency: s.state.Position.BaseCurrency,
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Time: trade.Time.Time(),
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}
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s.state.ProfitStats.AddProfit(p)
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s.Notify(&p)
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} else {
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log.Infof("position changed: %s", s.state.Position)
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s.Notify(s.state.Position)
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}
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s.lastPrice = trade.Price
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if err := s.SaveState(); err != nil {
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log.WithError(err).Error("save state error")
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}
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}
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func (s *Strategy) Validate() error {
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if s.Quantity == 0 || s.QuantityScale == nil {
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return errors.New("quantity or quantityScale can not be empty")
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@ -704,9 +633,6 @@ func (s *Strategy) SaveState() error {
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}
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func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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// buffer 100 trades in the channel
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s.tradeC = make(chan types.Trade, 100)
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if s.BollBandInterval == "" {
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s.BollBandInterval = types.Interval1m
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}
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@ -810,18 +736,37 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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s.book = types.NewStreamBook(s.Symbol)
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s.book.BindStream(s.sourceSession.MarketDataStream)
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s.sourceSession.UserDataStream.OnTradeUpdate(s.handleTrade)
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s.makerSession.UserDataStream.OnTradeUpdate(s.handleTrade)
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
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s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
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s.tradeStore = bbgo.NewTradeStore(s.Symbol)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(s.sourceSession.UserDataStream)
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s.orderStore.BindStream(s.makerSession.UserDataStream)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade) {
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c := trade.PositionChange()
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s.state.HedgePosition.AtomicAdd(c)
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if trade.Exchange == s.sourceSession.ExchangeName {
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s.state.CoveredPosition.AtomicAdd(c)
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}
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if s.NotifyTrade {
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s.Notifiability.Notify(trade)
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}
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s.state.ProfitStats.AddTrade(trade)
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if err := s.SaveState(); err != nil {
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log.WithError(err).Error("save state error")
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}
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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s.Notifiability.Notify(position)
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})
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s.tradeCollector.BindStreamForBackground(s.sourceSession.UserDataStream)
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s.tradeCollector.BindStreamForBackground(s.makerSession.UserDataStream)
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go s.tradeCollector.Run(ctx)
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s.stopC = make(chan struct{})
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go func() {
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@ -857,26 +802,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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case <-reportTicker.C:
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s.Notifiability.Notify(&s.state.ProfitStats)
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case trade := <-s.tradeC:
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log.Infof("recieved trade %+v", trade)
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if s.orderStore.Exists(trade.OrderID) {
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s.processTrade(trade)
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} else {
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// buffer this trade to the next tick of hedge
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s.tradeStore.Add(trade)
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}
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case <-posTicker.C:
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// process pending trades
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if s.tradeStore.Num() > 0 {
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for _, trade := range s.tradeStore.Trades() {
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if s.orderStore.Exists(trade.OrderID) {
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s.processTrade(trade)
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}
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}
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s.tradeStore.Clear()
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}
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// for positive position:
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// uncover position = 5 - 3 (covered position) = 2
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// for negative position:
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@ -9,6 +9,7 @@ import (
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"github.com/slack-go/slack"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/util"
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)
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@ -73,6 +74,21 @@ type Trade struct {
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PnL sql.NullFloat64 `json:"pnl" db:"pnl"`
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}
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func (trade Trade) PositionChange() fixedpoint.Value {
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q := fixedpoint.NewFromFloat(trade.Quantity)
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switch trade.Side {
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case SideTypeSell:
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return -q
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case SideTypeBuy:
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return q
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case SideTypeSelf:
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return 0
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}
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return 0
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}
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func (trade Trade) String() string {
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return fmt.Sprintf("TRADE %s %s %4s %f @ %f orderID %d %s amount %f",
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trade.Exchange.String(),
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