mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
fix private stream interface for backtesting
This commit is contained in:
parent
42a32924a7
commit
33963f52e0
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@ -24,7 +24,7 @@ func LoadAccount(ctx context.Context, exchange *binance.Exchange) (*Account, err
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}, err
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}
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func (a *Account) BindPrivateStream(stream *binance.PrivateStream) {
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func (a *Account) BindPrivateStream(stream types.PrivateStream) {
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stream.OnBalanceSnapshot(func(snapshot map[string]types.Balance) {
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a.mu.Lock()
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defer a.mu.Unlock()
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@ -34,20 +34,6 @@ func (a *Account) BindPrivateStream(stream *binance.PrivateStream) {
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}
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})
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stream.OnOutboundAccountInfoEvent(func(e *binance.OutboundAccountInfoEvent) {
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})
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stream.OnBalanceUpdateEvent(func(e *binance.BalanceUpdateEvent) {
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a.mu.Lock()
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defer a.mu.Unlock()
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delta := util.MustParseFloat(e.Delta)
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if balance, ok := a.Balances[e.Asset]; ok {
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balance.Available += delta
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a.Balances[e.Asset] = balance
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}
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})
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}
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func (a *Account) Print() {
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@ -18,11 +18,15 @@ var log = logrus.WithFields(logrus.Fields{
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"exchange": "binance",
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})
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func init() {
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_ = types.Exchange(&Exchange{})
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}
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type Exchange struct {
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Client *binance.Client
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}
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func NewExchange(key, secret string) *Exchange {
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func New(key, secret string) *Exchange {
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var client = binance.NewClient(key, secret)
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return &Exchange{
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Client: client,
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@ -38,9 +42,27 @@ func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float6
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return util.MustParseFloat(resp.Price), nil
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}
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func (e *Exchange) NewPrivateStream() (*PrivateStream, error) {
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func (e *Exchange) NewPrivateStream() (types.PrivateStream, error) {
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return NewPrivateStream(e.Client)
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}
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func NewPrivateStream(client *binance.Client) (*PrivateStream, error) {
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// binance BalanceUpdate = withdrawal or deposit changes
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/*
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stream.OnBalanceUpdateEvent(func(e *binance.BalanceUpdateEvent) {
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a.mu.Lock()
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defer a.mu.Unlock()
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delta := util.MustParseFloat(e.Delta)
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if balance, ok := a.Balances[e.Asset]; ok {
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balance.Available += delta
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a.Balances[e.Asset] = balance
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}
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})
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*/
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return &PrivateStream{
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Client: e.Client,
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Client: client,
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}, nil
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}
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@ -200,8 +222,8 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (map[string]types.B
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return account.Balances, nil
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}
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// TradingFeeCurrency
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func (e *Exchange) TradingFeeCurrency() string {
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// PlatformFeeCurrency
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func (e *Exchange) PlatformFeeCurrency() string {
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return "BNB"
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}
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@ -82,18 +82,17 @@ func (s *PrivateStream) connect(ctx context.Context) error {
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})
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}
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func (s *PrivateStream) Connect(ctx context.Context, eventC chan interface{}) error {
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func (s *PrivateStream) Connect(ctx context.Context) error {
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err := s.connect(ctx)
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if err != nil {
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return err
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}
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go s.read(ctx, eventC)
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go s.read(ctx)
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return nil
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}
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func (s *PrivateStream) read(ctx context.Context, eventC chan interface{}) {
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defer close(eventC)
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func (s *PrivateStream) read(ctx context.Context) {
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pingTicker := time.NewTicker(1 * time.Minute)
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defer pingTicker.Stop()
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@ -207,8 +206,6 @@ func (s *PrivateStream) read(ctx context.Context, eventC chan interface{}) {
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s.EmitTrade(trade)
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}
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}
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eventC <- e
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}
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}
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}
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@ -11,7 +11,20 @@ import (
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"github.com/c9s/bbgo/pkg/util"
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)
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type KLineRegressionTrader struct {
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type BackTestStream struct {
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types.StandardPrivateStream
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}
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func (s *BackTestStream) Connect(ctx context.Context) error {
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return nil
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}
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func (s *BackTestStream) Close() error {
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return nil
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}
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type BackTestTrader struct {
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// Context is trading Context
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Context *Context
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SourceKLines []types.KLine
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@ -21,11 +34,11 @@ type KLineRegressionTrader struct {
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pendingOrders []*types.SubmitOrder
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}
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func (trader *KLineRegressionTrader) SubmitOrder(cxt context.Context, order *types.SubmitOrder) {
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func (trader *BackTestTrader) SubmitOrder(cxt context.Context, order *types.SubmitOrder) {
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trader.pendingOrders = append(trader.pendingOrders, order)
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}
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func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
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func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
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logrus.Infof("[regression] number of kline data: %d", len(trader.SourceKLines))
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maxExposure := 0.4
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@ -43,8 +56,8 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
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return nil, err
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}
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standardStream := types.StandardPrivateStream{}
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if err := strategy.OnNewStream(&standardStream); err != nil {
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stream := &BackTestStream{}
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if err := strategy.OnNewStream(stream); err != nil {
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return nil, err
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}
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@ -54,7 +67,7 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
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fmt.Print(".")
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standardStream.EmitKLineClosed(kline)
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stream.EmitKLineClosed(kline)
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for _, order := range trader.pendingOrders {
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switch order.Side {
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@ -28,7 +28,7 @@ func NewMarketDataStore() *MarketDataStore {
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}
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}
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func (store *MarketDataStore) BindPrivateStream(stream *types.StandardPrivateStream) {
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func (store *MarketDataStore) BindPrivateStream(stream types.PrivateStream) {
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stream.OnKLineClosed(store.handleKLineClosed)
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}
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@ -21,7 +21,7 @@ import (
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type Strategy interface {
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Load(tradingContext *Context, trader types.Trader) error
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OnNewStream(stream *types.StandardPrivateStream) error
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OnNewStream(stream types.PrivateStream) error
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}
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type Trader struct {
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@ -41,9 +41,15 @@ type Trader struct {
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ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
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Account *Account
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Exchanges map[string]*binance.Exchange
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ExchangeAccounts map[string]*Account
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ExchangeStreams map[string]types.PrivateStream
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}
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func NewTrader(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader {
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func New(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader {
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tradeService := &service.TradeService{DB: db}
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return &Trader{
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Symbol: symbol,
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@ -56,8 +62,28 @@ func NewTrader(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader {
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}
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}
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func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error {
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func (trader *Trader) AddExchange(name string, exchange *binance.Exchange) {
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trader.Exchanges[name] = exchange
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}
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func (trader *Trader) Connect(ctx context.Context) error {
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for n, ex := range trader.Exchanges {
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stream, err := ex.NewPrivateStream()
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if err != nil {
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return err
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}
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trader.ExchangeStreams[n] = stream
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if err := stream.Connect(ctx) ; err != nil {
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return err
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}
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}
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return nil
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}
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func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error {
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log.Info("syncing trades from exchange...")
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if err := trader.TradeSync.Sync(ctx, trader.Symbol, startTime); err != nil {
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return err
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@ -65,7 +91,7 @@ func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error
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var err error
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var trades []types.Trade
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tradingFeeCurrency := trader.Exchange.TradingFeeCurrency()
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tradingFeeCurrency := trader.Exchange.PlatformFeeCurrency()
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if strings.HasPrefix(trader.Symbol, tradingFeeCurrency) {
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trades, err = trader.TradeService.QueryForTradingFeeCurrency(trader.Symbol, tradingFeeCurrency)
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} else {
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@ -228,11 +254,11 @@ func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan
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// bind kline store to the stream
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klineStore := NewMarketDataStore()
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klineStore.BindPrivateStream(&stream.StandardPrivateStream)
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klineStore.BindPrivateStream(stream)
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trader.Account.BindPrivateStream(stream)
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if err := strategy.OnNewStream(&stream.StandardPrivateStream); err != nil {
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if err := strategy.OnNewStream(stream); err != nil {
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return nil, err
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}
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@ -270,8 +296,7 @@ func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan
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trader.Context.SetCurrentPrice(kline.Close)
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})
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var eventC = make(chan interface{}, 20)
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if err := stream.Connect(ctx, eventC); err != nil {
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if err := stream.Connect(ctx); err != nil {
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return nil, err
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}
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@ -281,16 +306,11 @@ func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan
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defer close(done)
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defer stream.Close()
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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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// drain the event channel
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case <-eventC:
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}
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}
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}()
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@ -6,6 +6,12 @@ import (
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)
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type Exchange interface {
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PlatformFeeCurrency() string
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NewPrivateStream() (PrivateStream, error)
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QueryAccountBalances(ctx context.Context) (map[string]Balance, error)
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QueryKLines(ctx context.Context, symbol string, interval string, options KLineQueryOptions) ([]KLine, error)
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QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
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@ -1,10 +1,19 @@
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package types
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import (
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"context"
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"fmt"
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"strings"
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)
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type PrivateStream interface {
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StandardPrivateStreamEventHub
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Subscribe(channel string, symbol string, options SubscribeOptions)
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Connect(ctx context.Context) error
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Close() error
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}
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//go:generate callbackgen -type StandardPrivateStream -interface
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type StandardPrivateStream struct {
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Subscriptions []Subscription
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@ -43,7 +52,16 @@ type Subscription struct {
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}
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func (s *Subscription) String() string {
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// binance uses lower case symbol name
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// binance uses lower case symbol name,
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// for kline, it's "<symbol>@kline_<interval>"
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// for depth, it's "<symbol>@depth OR <symbol>@depth@100ms"
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switch s.Channel {
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case "kline":
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return fmt.Sprintf("%s@%s_%s", strings.ToLower(s.Symbol), s.Channel, s.Options.String())
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case "depth", "book":
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return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
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default:
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return fmt.Sprintf("%s@%s", strings.ToLower(s.Symbol), s.Channel)
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}
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}
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