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rsmaker: clean up and remove unused code

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Signed-off-by: c9s <yoanlin93@gmail.com>
This commit is contained in:
c9s 2022-06-22 13:05:31 +08:00
parent 2cd44b194a
commit 3e5d252c10
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 92 additions and 405 deletions
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1
pkg/strategy/pivotshort/strategy.go
View File

@ -204,7 +204,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.ProfitStats = types.NewProfitStats(s.Market)
}
// trade stats
if s.TradeStats == nil {
s.TradeStats = &types.TradeStats{}
}

496
pkg/strategy/rsmaker/strategy.go
View File

@ -4,19 +4,18 @@ import (
"context"
"fmt"
"math"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
"github.com/muesli/clusters"
"github.com/muesli/kmeans"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
// TODO:
@ -140,21 +139,20 @@ type Strategy struct {
ShadowProtection bool `json:"shadowProtection"`
ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
Position *types.Position `persistence:"position"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
TradeStats *types.TradeStats `persistence:"trade_stats"`
bbgo.SmartStops
session *bbgo.ExchangeSession
book *types.StreamOrderBook
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
book *types.StreamOrderBook
state *State
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
groupID uint32
stopC chan struct{}
// defaultBoll is the BOLLINGER indicator we used for predicting the price.
defaultBoll *indicator.BOLL
@ -178,23 +176,23 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
Interval: s.Interval,
})
//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
// Interval: types.Interval12h.String(),
//})
// })
//if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
// if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
// Interval: string(s.DefaultBollinger.Interval),
// })
//}
// }
//
//if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
// if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
// Interval: string(s.NeutralBollinger.Interval),
// })
//}
// }
//s.SmartStops.Subscribe(session)
// s.SmartStops.Subscribe(session)
}
func (s *Strategy) Validate() error {
@ -206,13 +204,13 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) CurrentPosition() *types.Position {
return s.state.Position
return s.Position
}
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
base := s.state.Position.GetBase()
base := s.Position.GetBase()
if base.IsZero() {
return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
return fmt.Errorf("no opened %s position", s.Position.Symbol)
}
// make it negative
@ -236,15 +234,10 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
_, err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place position close order")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
s.tradeCollector.Process()
return err
}
@ -257,23 +250,11 @@ func (s *Strategy) GetStatus() types.StrategyStatus {
func (s *Strategy) Suspend(ctx context.Context) error {
s.status = types.StrategyStatusStopped
// Cancel all order
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
s.Notify("graceful cancel order error")
} else {
s.Notify("All orders cancelled.")
}
s.tradeCollector.Process()
// Save state
if err := s.SaveState(); err != nil {
log.WithError(err).Errorf("can not save state: %+v", s.state)
} else {
log.Infof("%s position is saved.", s.Symbol)
}
bbgo.Sync(s)
return nil
}
@ -283,7 +264,7 @@ func (s *Strategy) Resume(ctx context.Context) error {
return nil
}
//func (s *Strategy) EmergencyStop(ctx context.Context) error {
// func (s *Strategy) EmergencyStop(ctx context.Context) error {
// // Close 100% position
// percentage, _ := fixedpoint.NewFromString("100%")
// err := s.ClosePosition(ctx, percentage)
@ -292,7 +273,7 @@ func (s *Strategy) Resume(ctx context.Context) error {
// _ = s.Suspend(ctx)
//
// return err
//}
// }
func (s *Strategy) SaveState() error {
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
@ -303,37 +284,6 @@ func (s *Strategy) SaveState() error {
return nil
}
func (s *Strategy) LoadState() error {
var state State
// load position
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
if err != service.ErrPersistenceNotExists {
return err
}
s.state = &State{}
} else {
s.state = &state
log.Infof("state is restored: %+v", s.state)
}
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = types.NewPositionFromMarket(s.Market)
}
// init profit states
s.state.ProfitStats.Symbol = s.Market.Symbol
s.state.ProfitStats.BaseCurrency = s.Market.BaseCurrency
s.state.ProfitStats.QuoteCurrency = s.Market.QuoteCurrency
if s.state.ProfitStats.AccumulatedSince == 0 {
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
}
return nil
}
func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fixedpoint.Value, error) {
if s.DynamicExposurePositionScale != nil {
v, err := s.DynamicExposurePositionScale.Scale(bandPercentage)
@ -346,16 +296,7 @@ func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fi
return s.MaxExposurePosition, nil
}
func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, klines []*types.KLine) {
//bidSpread := s.Spread
//if s.BidSpread.Sign() > 0 {
// bidSpread = s.BidSpread
//}
//
//askSpread := s.Spread
//if s.AskSpread.Sign() > 0 {
// askSpread = s.AskSpread
//}
func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, klines []*types.KLine) {
// preprocessing
max := 0.
min := 100000.
@ -373,21 +314,21 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
mv = mv / 50
//logrus.Info(max, min)
// logrus.Info(max, min)
// set up a random two-dimensional data set (float64 values between 0.0 and 1.0)
var d clusters.Observations
for x := 0; x < 50; x++ {
//if klines[x].High.Float64() < max || klines[x].Low.Float64() > min {
// if klines[x].High.Float64() < max || klines[x].Low.Float64() > min {
if klines[x].Volume.Float64() > mv*0.3 {
d = append(d, clusters.Coordinates{
klines[x].High.Float64(),
klines[x].Low.Float64(),
//klines[x].Open.Float64(),
//klines[x].Close.Float64(),
//klines[x].Volume.Float64(),
// klines[x].Open.Float64(),
// klines[x].Close.Float64(),
// klines[x].Volume.Float64(),
})
}
//}
// }
}
log.Info(len(d))
@ -396,16 +337,16 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
km := kmeans.New()
clusters, err := km.Partition(d, 3)
//for _, c := range clusters {
//fmt.Printf("Centered at x: %.2f y: %.2f\n", c.Center[0], c.Center[1])
//fmt.Printf("Matching data points: %+v\n\n", c.Observations)
//}
// for _, c := range clusters {
// fmt.Printf("Centered at x: %.2f y: %.2f\n", c.Center[0], c.Center[1])
// fmt.Printf("Matching data points: %+v\n\n", c.Observations)
// }
// clustered virtual kline_1's mid price
//vk1mp := fixedpoint.NewFromFloat((clusters[0].Center[0] + clusters[0].Center[1]) / 2.)
// vk1mp := fixedpoint.NewFromFloat((clusters[0].Center[0] + clusters[0].Center[1]) / 2.)
// clustered virtual kline_2's mid price
//vk2mp := fixedpoint.NewFromFloat((clusters[1].Center[0] + clusters[1].Center[1]) / 2.)
// vk2mp := fixedpoint.NewFromFloat((clusters[1].Center[0] + clusters[1].Center[1]) / 2.)
// clustered virtual kline_3's mid price
//vk3mp := fixedpoint.NewFromFloat((clusters[2].Center[0] + clusters[2].Center[1]) / 2.)
// vk3mp := fixedpoint.NewFromFloat((clusters[2].Center[0] + clusters[2].Center[1]) / 2.)
// clustered virtual kline_1's high price
vk1hp := fixedpoint.NewFromFloat(clusters[0].Center[0])
@ -421,50 +362,43 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
// clustered virtual kline_3's low price
vk3lp := fixedpoint.NewFromFloat(clusters[2].Center[1])
askPrice := fixedpoint.NewFromFloat(math.Max(math.Max(vk1hp.Float64(), vk2hp.Float64()), vk3hp.Float64())) //fixedpoint.NewFromFloat(math.Max(math.Max(vk1mp.Float64(), vk2mp.Float64()), vk3mp.Float64()))
bidPrice := fixedpoint.NewFromFloat(math.Min(math.Min(vk1lp.Float64(), vk2lp.Float64()), vk3lp.Float64())) //fixedpoint.NewFromFloat(math.Min(math.Min(vk1mp.Float64(), vk2mp.Float64()), vk3mp.Float64()))
askPrice := fixedpoint.NewFromFloat(math.Max(math.Max(vk1hp.Float64(), vk2hp.Float64()), vk3hp.Float64())) // fixedpoint.NewFromFloat(math.Max(math.Max(vk1mp.Float64(), vk2mp.Float64()), vk3mp.Float64()))
bidPrice := fixedpoint.NewFromFloat(math.Min(math.Min(vk1lp.Float64(), vk2lp.Float64()), vk3lp.Float64())) // fixedpoint.NewFromFloat(math.Min(math.Min(vk1mp.Float64(), vk2mp.Float64()), vk3mp.Float64()))
//if vk1mp.Compare(vk2mp) > 0 {
// if vk1mp.Compare(vk2mp) > 0 {
// askPrice = vk1mp //.Mul(fixedpoint.NewFromFloat(1.001))
// bidPrice = vk2mp //.Mul(fixedpoint.NewFromFloat(0.999))
//} else if vk1mp.Compare(vk2mp) < 0 {
// } else if vk1mp.Compare(vk2mp) < 0 {
// askPrice = vk2mp //.Mul(fixedpoint.NewFromFloat(1.001))
// bidPrice = vk1mp //.Mul(fixedpoint.NewFromFloat(0.999))
//}
//midPrice.Mul(fixedpoint.One.Add(askSpread))
//midPrice.Mul(fixedpoint.One.Sub(bidSpread))
base := s.state.Position.GetBase()
//balances := s.session.GetAccount().Balances()
// }
// midPrice.Mul(fixedpoint.One.Add(askSpread))
// midPrice.Mul(fixedpoint.One.Sub(bidSpread))
base := s.Position.GetBase()
// balances := s.session.GetAccount().Balances()
//log.Infof("mid price:%v spread: %s ask:%v bid: %v position: %s",
// midPrice,
// s.Spread.Percentage(),
// askPrice,
// bidPrice,
// s.state.Position,
//)
canSell := true
canBuy := true
//predMidPrice := (askPrice + bidPrice) / 2.
// predMidPrice := (askPrice + bidPrice) / 2.
//if midPrice.Float64() > predMidPrice.Float64() {
// if midPrice.Float64() > predMidPrice.Float64() {
// bidPrice = predMidPrice.Mul(fixedpoint.NewFromFloat(0.999))
//}
// }
//
//if midPrice.Float64() < predMidPrice.Float64() {
// if midPrice.Float64() < predMidPrice.Float64() {
// askPrice = predMidPrice.Mul(fixedpoint.NewFromFloat(1.001))
//}
// }
//
//if midPrice.Float64() > askPrice.Float64() {
// if midPrice.Float64() > askPrice.Float64() {
// canBuy = false
// askPrice = midPrice.Mul(fixedpoint.NewFromFloat(1.001))
//}
// }
//
//if midPrice.Float64() < bidPrice.Float64() {
// if midPrice.Float64() < bidPrice.Float64() {
// canSell = false
// bidPrice = midPrice.Mul(fixedpoint.NewFromFloat(0.999))
//}
// }
sellQuantity := s.QuantityOrAmount.CalculateQuantity(askPrice)
buyQuantity := s.QuantityOrAmount.CalculateQuantity(bidPrice)
@ -491,8 +425,8 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
var submitBuyOrders []types.SubmitOrder
var submitSellOrders []types.SubmitOrder
//baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
//quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
// baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
// quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
downBand := s.defaultBoll.LastDownBand()
upBand := s.defaultBoll.LastUpBand()
@ -522,106 +456,13 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
}
//if s.ShadowProtection && kline != nil {
// switch kline.Direction() {
// case types.DirectionDown:
// shadowHeight := kline.GetLowerShadowHeight()
// shadowRatio := kline.GetLowerShadowRatio()
// if shadowHeight.IsZero() && shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
// log.Infof("%s shadow protection enabled, lower shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
// canBuy = false
// }
// case types.DirectionUp:
// shadowHeight := kline.GetUpperShadowHeight()
// shadowRatio := kline.GetUpperShadowRatio()
// if shadowHeight.IsZero() || shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
// log.Infof("%s shadow protection enabled, upper shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
// canSell = false
// }
// }
//}
// Apply quantity skew
// CASE #1:
// WHEN: price is in the neutral bollginer band (window 1) == neutral
// THEN: we don't apply skew
// CASE #2:
// WHEN: price is in the upper band (window 2 > price > window 1) == upTrend
// THEN: we apply upTrend skew
// CASE #3:
// WHEN: price is in the lower band (window 2 < price < window 1) == downTrend
// THEN: we apply downTrend skew
// CASE #4:
// WHEN: price breaks the lower band (price < window 2) == strongDownTrend
// THEN: we apply strongDownTrend skew
// CASE #5:
// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
// THEN: we apply strongUpTrend skew
//if s.TradeInBand {
// if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
// log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
// return
// }
//}
//revmacd := s.detectPriceTrend(s.neutralBoll, midPrice.Float64())
//switch revmacd {
//case NeutralTrend:
// // do nothing
//
//case UpTrend:
// skew := s.UptrendSkew
// buyOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, sellOrder.Quantity.Mul(skew))
//
//case DownTrend:
// skew := s.DowntrendSkew
// ratio := fixedpoint.One.Div(skew)
// sellOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, buyOrder.Quantity.Mul(ratio))
//
//}
//if !hasQuoteBalance || buyOrder.Quantity.Mul(buyOrder.Price).Compare(quoteBalance.Available) > 0 {
// canBuy = false
//}
//
//if !hasBaseBalance || sellOrder.Quantity.Compare(baseBalance.Available) > 0 {
// canSell = false
//}
//if midPrice.Compare(s.state.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))) < 0 {
// canSell = false
//}
//if s.Long != nil && *s.Long && base.Sub(sellOrder.Quantity).Sign() < 0 {
// canSell = false
//}
//
//if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
// canBuy = false
//}
if canSell {
submitSellOrders = append(submitSellOrders, sellOrder)
//sellOrder = s.adjustOrderPrice(sellOrder, false)
//submitSellOrders = append(submitSellOrders, sellOrder)
//sellOrder = s.adjustOrderPrice(sellOrder, false)
//submitSellOrders = append(submitSellOrders, sellOrder)
}
if canBuy {
submitBuyOrders = append(submitBuyOrders, buyOrder)
//buyOrder = s.adjustOrderPrice(buyOrder, true)
//submitBuyOrders = append(submitBuyOrders, buyOrder)
//buyOrder = s.adjustOrderPrice(buyOrder, true)
//submitBuyOrders = append(submitBuyOrders, buyOrder)
}
// condition for lower the average cost
/*
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
submitOrders = append(submitOrders, buyOrder)
}
*/
for i := range submitBuyOrders {
submitBuyOrders[i] = s.adjustOrderQuantity(submitBuyOrders[i])
}
@ -630,44 +471,12 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
submitSellOrders[i] = s.adjustOrderQuantity(submitSellOrders[i])
}
createdBuyOrders, err := orderExecutor.SubmitOrders(ctx, submitBuyOrders...)
if err != nil {
log.WithError(err).Errorf("can not place ping pong orders")
if _, err := s.orderExecutor.SubmitOrders(ctx, submitBuyOrders...); err != nil {
log.WithError(err).Errorf("can not place orders")
}
s.orderStore.Add(createdBuyOrders...)
s.activeMakerOrders.Add(createdBuyOrders...)
createdSellOrders, err := orderExecutor.SubmitOrders(ctx, submitSellOrders...)
if err != nil {
log.WithError(err).Errorf("can not place ping pong orders")
if _, err := s.orderExecutor.SubmitOrders(ctx, submitSellOrders...); err != nil {
log.WithError(err).Errorf("can not place orders")
}
s.orderStore.Add(createdSellOrders...)
s.activeMakerOrders.Add(createdSellOrders...)
}
type PriceTrend string
const (
NeutralTrend PriceTrend = "neutral"
UpTrend PriceTrend = "upTrend"
DownTrend PriceTrend = "downTrend"
UnknownTrend PriceTrend = "unknown"
)
func (s *Strategy) detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) {
return NeutralTrend
}
if price < inc.LastDownBand() {
return DownTrend
}
if price > inc.LastUpBand() {
return UpTrend
}
return UnknownTrend
}
func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
@ -682,187 +491,66 @@ func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.Subm
return submitOrder
}
func (s *Strategy) adjustOrderPrice(submitOrder types.SubmitOrder, side bool) types.SubmitOrder {
func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
if side {
submitOrder.Price = submitOrder.Price.Mul(fixedpoint.NewFromFloat(0.995))
} else {
submitOrder.Price = submitOrder.Price.Mul(fixedpoint.NewFromFloat(1.005))
}
return submitOrder
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// StrategyController
s.status = types.StrategyStatusRunning
//if s.DisableShort {
// s.Long = &[]bool{true}[0]
//}
//
//if s.MinProfitSpread.IsZero() {
// s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
//}
//
//if s.UptrendSkew.IsZero() {
// s.UptrendSkew = fixedpoint.NewFromFloat(1.0 / 1.2)
//}
//
//if s.DowntrendSkew.IsZero() {
// s.DowntrendSkew = fixedpoint.NewFromFloat(1.2)
//}
//
//if s.ShadowProtectionRatio.IsZero() {
// s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
//}
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.Market)
}
if s.TradeStats == nil {
s.TradeStats = &types.TradeStats{}
}
// initial required information
s.session = session
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.BindTradeStats(s.TradeStats)
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(s)
})
s.orderExecutor.Bind()
s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
// calculate group id for orders
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
//s.groupID = max.GenerateGroupID(instanceID)
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
// restore state
if err := s.LoadState(); err != nil {
return err
}
s.state.Position.Strategy = ID
s.state.Position.StrategyInstanceID = instanceID
//s.stopC = make(chan struct{})
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(session.UserDataStream)
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
//s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
// // StrategyController
// if s.status != types.StrategyStatusRunning {
// return
// }
//
// s.Notifiability.Notify(trade)
// s.state.ProfitStats.AddTrade(trade)
//
// if profit.Compare(fixedpoint.Zero) == 0 {
// s.Environment.RecordPosition(s.state.Position, trade, nil)
// } else {
// log.Infof("%s generated profit: %v", s.Symbol, profit)
// p := s.state.Position.NewProfit(trade, profit, netProfit)
// p.Strategy = ID
// p.StrategyInstanceID = instanceID
// s.Notify(&p)
//
// s.state.ProfitStats.AddProfit(p)
// s.Notify(&s.state.ProfitStats)
//
// s.Environment.RecordPosition(s.state.Position, trade, &p)
// }
//})
//
//s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
// log.Infof("position changed: %s", s.state.Position)
// s.Notify(s.state.Position)
//})
s.tradeCollector.BindStream(session.UserDataStream)
//s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
//session.UserDataStream.OnStart(func() {
//if s.UseTickerPrice {
// ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
// if err != nil {
// return
// }
//
// midPrice := ticker.Buy.Add(ticker.Sell).Div(two)
// s.placeOrders(ctx, orderExecutor, midPrice, nil)
//} else {
// if price, ok := session.LastPrice(s.Symbol); ok {
// s.placeOrders(ctx, orderExecutor, price, nil)
// }
//}
//})
// s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
var klines []*types.KLine
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// StrategyController
if s.status != types.StrategyStatusRunning {
return
}
//if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
// if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
// return
//}
// }
if kline.Interval == s.Interval {
klines = append(klines, &kline)
}
if len(klines) > 50 {
//if s.UseTickerPrice {
// ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
// if err != nil {
// return
// }
//
// midPrice := ticker.Buy.Add(ticker.Sell).Div(two)
// log.Infof("using ticker price: bid %v / ask %v, mid price %v", ticker.Buy, ticker.Sell, midPrice)
// s.placeOrders(ctx, orderExecutor, midPrice, klines[len(klines)-100:])
// s.tradeCollector.Process()
//}
//else {
if kline.Interval == s.Interval {
//if s.state.Position.AverageCost.Div(kline.Close).Float64() < 0.999 {
// s.ClosePosition(ctx, fixedpoint.One)
// s.tradeCollector.Process()
//}
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
// check if there is a canceled order had partially filled.
s.tradeCollector.Process()
s.placeOrders(ctx, orderExecutor, kline.Close, klines[len(klines)-50:])
s.tradeCollector.Process()
s.placeOrders(ctx, kline.Close, klines[len(klines)-50:])
}
//}
}
})
// s.book = types.NewStreamBook(s.Symbol)
// s.book.BindStreamForBackground(session.MarketDataStream)
//s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
// //defer wg.Done()
// //close(s.stopC)
//
// if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
// log.WithError(err).Errorf("graceful cancel order error")
// }
//
// s.tradeCollector.Process()
//
// if err := s.SaveState(); err != nil {
// log.WithError(err).Errorf("can not save state: %+v", s.state)
// }
//})
return nil
}