From 3b6cff8dc7070befcac1c894ac11cd30dd180dcb Mon Sep 17 00:00:00 2001
From: c9s <yoanlin93@gmail.com>
Date: Mon, 10 Jul 2023 15:24:07 +0800
Subject: [PATCH] strategy: move risk control to common.Strategy

---
 config/rsicross.yaml              |  2 +-
 pkg/strategy/common/strategy.go   | 26 ++++++++++++++++++++++++++
 pkg/strategy/rsicross/strategy.go | 24 ------------------------
 3 files changed, 27 insertions(+), 25 deletions(-)

diff --git a/config/rsicross.yaml b/config/rsicross.yaml
index 3f4761bf6..7ad1de435 100644
--- a/config/rsicross.yaml
+++ b/config/rsicross.yaml
@@ -16,7 +16,7 @@ exchangeStrategies:
   rsicross:
     symbol: BTCUSDT
     interval: 5m
-    fastWindow: 7
+    fastWindow: 3
     slowWindow: 12
 
     quantity: 0.1
diff --git a/pkg/strategy/common/strategy.go b/pkg/strategy/common/strategy.go
index 41fec7136..6a076540c 100644
--- a/pkg/strategy/common/strategy.go
+++ b/pkg/strategy/common/strategy.go
@@ -3,7 +3,11 @@ package common
 import (
 	"context"
 
+	log "github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/risk/riskcontrol"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -18,6 +22,14 @@ type Strategy struct {
 	Environ       *bbgo.Environment
 	Session       *bbgo.ExchangeSession
 	OrderExecutor *bbgo.GeneralOrderExecutor
+
+	PositionHardLimit         fixedpoint.Value     `json:"positionHardLimit"`
+	MaxPositionQuantity       fixedpoint.Value     `json:"maxPositionQuantity"`
+	CircuitBreakLossThreshold fixedpoint.Value     `json:"circuitBreakLossThreshold"`
+	CircuitBreakEMA           types.IntervalWindow `json:"circuitBreakEMA"`
+
+	positionRiskControl     *riskcontrol.PositionRiskControl
+	circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
 }
 
 func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, market types.Market, strategyID, instanceID string) {
@@ -55,4 +67,18 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
 	s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
 		// bbgo.Sync(ctx, s)
 	})
+
+	if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
+		log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
+		s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.OrderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
+	}
+
+	if !s.CircuitBreakLossThreshold.IsZero() {
+		log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
+		s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
+			s.Position,
+			session.Indicators(market.Symbol).EWMA(s.CircuitBreakEMA),
+			s.CircuitBreakLossThreshold,
+			s.ProfitStats)
+	}
 }
diff --git a/pkg/strategy/rsicross/strategy.go b/pkg/strategy/rsicross/strategy.go
index dde9f1e6b..5710e418e 100644
--- a/pkg/strategy/rsicross/strategy.go
+++ b/pkg/strategy/rsicross/strategy.go
@@ -10,7 +10,6 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
-	"github.com/c9s/bbgo/pkg/risk/riskcontrol"
 	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -33,15 +32,6 @@ type Strategy struct {
 	FastWindow int            `json:"fastWindow"`
 
 	bbgo.OpenPositionOptions
-
-	// risk related parameters
-	PositionHardLimit         fixedpoint.Value     `json:"positionHardLimit"`
-	MaxPositionQuantity       fixedpoint.Value     `json:"maxPositionQuantity"`
-	CircuitBreakLossThreshold fixedpoint.Value     `json:"circuitBreakLossThreshold"`
-	CircuitBreakEMA           types.IntervalWindow `json:"circuitBreakEMA"`
-
-	positionRiskControl     *riskcontrol.PositionRiskControl
-	circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
 }
 
 func (s *Strategy) ID() string {
@@ -60,20 +50,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.Strategy = &common.Strategy{}
 	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
 
-	if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
-		log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
-		s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.OrderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
-	}
-
-	if !s.CircuitBreakLossThreshold.IsZero() {
-		log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
-		s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
-			s.Position,
-			session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
-			s.CircuitBreakLossThreshold,
-			s.ProfitStats)
-	}
-
 	fastRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
 	slowRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
 	rsiCross := indicator.Cross(fastRsi, slowRsi)