add etf strategy

pkg/strategy/etf/strategy.go

@@ -0,0 +1,106 @@
+package etf
+
+import (
+	"context"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/pkg/errors"
+	log "github.com/sirupsen/logrus"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const ID = "etf"
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	Market types.Market
+
+	Notifiability *bbgo.Notifiability
+
+
+	TotalAmount fixedpoint.Value `json:"totalAmount,omitempty"`
+
+	// Interval is the period that you want to submit order
+	Duration types.Duration `json:"duration"`
+
+	Index map[string]fixedpoint.Value `json:"index"`
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+}
+
+func (s *Strategy) Validate() error {
+	if s.TotalAmount == 0 {
+		return errors.New("amount can not be empty")
+	}
+
+	return nil
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	go func() {
+		ticker := time.NewTicker(s.Duration.Duration())
+		defer ticker.Stop()
+
+		s.Notifiability.Notify("ETF orders will be executed every %s", s.Duration.Duration().String())
+
+		for {
+			select {
+			case <-ctx.Done():
+				return
+
+			case <-ticker.C:
+				totalAmount := s.TotalAmount
+				for symbol, ratio := range s.Index {
+					amount := totalAmount.Mul(ratio)
+
+					ticker, err := session.Exchange.QueryTicker(ctx, symbol)
+					if err != nil {
+						log.WithError(err).Error("query ticker error")
+					}
+
+					askPrice := fixedpoint.NewFromFloat(ticker.Sell)
+					quantity := askPrice.Div(amount)
+
+					// execute orders
+					quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
+					if !ok {
+						return
+					}
+					if quoteBalance.Available < amount {
+						s.Notifiability.Notify("Quote balance %s is not enough: %f < %f", s.Market.QuoteCurrency, quoteBalance.Available.Float64(), amount.Float64())
+						return
+					}
+
+					s.Notifiability.Notify("Submitting etf order %s quantity %f at price %f (index ratio %f %%)",
+						symbol,
+						quantity.Float64(),
+						askPrice.Float64(),
+						ratio.Float64()*100.0)
+					_, err = orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+						Symbol:   symbol,
+						Side:     types.SideTypeBuy,
+						Type:     types.OrderTypeMarket,
+						Quantity: quantity.Float64(),
+					})
+
+					if err != nil {
+						log.WithError(err).Error("submit order error")
+					}
+
+				}
+			}
+		}
+	}()
+
+	return nil
+}