support: use trade collector

pkg/strategy/support/strategy.go

@@ -4,7 +4,6 @@ import (
 	"context"
 	"fmt"
 	"sync"
-	"time"
 
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/service"
@@ -38,7 +37,7 @@ type Target struct {
 type Strategy struct {
 	*bbgo.Notifiability `json:"-"`
 	*bbgo.Persistence
-	*bbgo.Graceful
+	*bbgo.Graceful `json:"-"`
 
 	Symbol              string         `json:"symbol"`
 	Market              types.Market   `json:"-"`
@@ -72,9 +71,9 @@ type Strategy struct {
 
 	ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
 
+	tradeCollector *bbgo.TradeCollector
+
 	orderStore *bbgo.OrderStore
-	tradeStore *bbgo.TradeStore
-	tradeC     chan types.Trade
 	state      *State
 
 	triggerEMA  *indicator.EWMA
@@ -101,23 +100,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
 }
 
-func (s *Strategy) handleTradeUpdate(trade types.Trade) {
-	s.tradeC <- trade
-}
-
-func (s *Strategy) tradeCollector(ctx context.Context) {
-	for {
-		select {
-		case <-ctx.Done():
-			return
-
-		case trade := <-s.tradeC:
-			s.tradeStore.Add(trade)
-
-		}
-	}
-}
-
 func (s *Strategy) SaveState() error {
 	if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
 		return err
@@ -142,6 +124,10 @@ func (s *Strategy) LoadState() error {
 		log.Infof("state is restored: %+v", s.state)
 	}
 
+	if s.state.Position == nil {
+		s.state.Position = bbgo.NewPositionFromMarket(s.Market)
+	}
+
 	return nil
 }
 
@@ -250,9 +236,6 @@ func (s *Strategy) detectResistance(kline types.KLine) (confidence fixedpoint.Va
 }
 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
-	// buffer 100 trades in the channel
-	s.tradeC = make(chan types.Trade, 100)
-	s.tradeStore = bbgo.NewTradeStore(s.Symbol)
 
 	// set default values
 	if s.Interval == "" {
@@ -314,18 +297,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.Notify("%s state is restored => %+v", s.Symbol, s.state)
 	}
 
-	// init state
-	if s.state.Position == nil {
-		s.state.Position = &bbgo.Position{
-			Symbol:        s.Symbol,
-			BaseCurrency:  market.BaseCurrency,
-			QuoteCurrency: market.QuoteCurrency,
-		}
-	}
+	s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
+	s.tradeCollector.BindStream(session.UserDataStream)
+	go s.tradeCollector.Run(ctx)
 
-	go s.tradeCollector(ctx)
-
-	session.UserDataStream.OnTradeUpdate(s.handleTradeUpdate)
 	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
 		// skip k-lines from other symbols
 		if kline.Symbol != s.Symbol {
@@ -387,14 +362,17 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 		// check taker buy ratio, we need strong buy taker
 		if s.TakerBuyRatio > 0 {
+			takerBuyRatio := kline.TakerBuyBaseAssetVolume / kline.Volume
 			takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
-			if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold {
-				s.Notify("%s: taker buy base volume %f is less than threshold %f (volume %f volume ratio %f), skipping this support",
+			if takerBuyRatio < s.TakerBuyRatio.Float64() {
+				s.Notify("%s: taker buy base volume %f (volume ratio %f) is less than %f (volume ratio %f)",
 					s.Symbol,
 					kline.TakerBuyBaseAssetVolume,
+					takerBuyRatio,
 					takerBuyBaseVolumeThreshold,
 					kline.Volume,
 					s.TakerBuyRatio.Float64(),
+					kline,
 				)
 				return
 			}
@@ -443,17 +421,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			return
 		}
 
-		time.Sleep(500 * time.Millisecond)
-
-		trades := s.tradeStore.GetAndClear()
-		for _, trade := range trades {
-			if s.orderStore.Exists(trade.OrderID) {
-				s.Notify(trade)
-				s.state.Position.AddTrade(trade)
-			}
-		}
-		s.Notify(s.state.Position)
-
 		// submit target orders
 		var targetOrders []types.SubmitOrder
 		for _, target := range s.Targets {