mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-21 22:43:52 +00:00
rsmaker: clean up and remove unused code
Signed-off-by: c9s <yoanlin93@gmail.com>
This commit is contained in:
parent
2cd44b194a
commit
3e5d252c10
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@ -204,7 +204,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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// trade stats
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if s.TradeStats == nil {
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s.TradeStats = &types.TradeStats{}
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}
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@ -4,19 +4,18 @@ import (
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"context"
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"fmt"
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/muesli/clusters"
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"github.com/muesli/kmeans"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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// TODO:
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@ -140,21 +139,20 @@ type Strategy struct {
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ShadowProtection bool `json:"shadowProtection"`
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ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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bbgo.SmartStops
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session *bbgo.ExchangeSession
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book *types.StreamOrderBook
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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book *types.StreamOrderBook
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state *State
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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groupID uint32
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stopC chan struct{}
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// defaultBoll is the BOLLINGER indicator we used for predicting the price.
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defaultBoll *indicator.BOLL
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@ -178,23 +176,23 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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Interval: s.Interval,
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})
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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// Interval: types.Interval12h.String(),
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//})
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// })
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//if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
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// if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
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// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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// Interval: string(s.DefaultBollinger.Interval),
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// })
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//}
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// }
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//
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//if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
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// if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
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// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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// Interval: string(s.NeutralBollinger.Interval),
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// })
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//}
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// }
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//s.SmartStops.Subscribe(session)
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// s.SmartStops.Subscribe(session)
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}
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func (s *Strategy) Validate() error {
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@ -206,13 +204,13 @@ func (s *Strategy) Validate() error {
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.state.Position
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return s.Position
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.state.Position.GetBase()
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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@ -236,15 +234,10 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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_, err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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return err
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}
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@ -257,23 +250,11 @@ func (s *Strategy) GetStatus() types.StrategyStatus {
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func (s *Strategy) Suspend(ctx context.Context) error {
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s.status = types.StrategyStatusStopped
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// Cancel all order
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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s.Notify("graceful cancel order error")
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} else {
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s.Notify("All orders cancelled.")
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}
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s.tradeCollector.Process()
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// Save state
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if err := s.SaveState(); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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} else {
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log.Infof("%s position is saved.", s.Symbol)
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}
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bbgo.Sync(s)
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return nil
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}
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@ -283,7 +264,7 @@ func (s *Strategy) Resume(ctx context.Context) error {
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return nil
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}
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//func (s *Strategy) EmergencyStop(ctx context.Context) error {
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// func (s *Strategy) EmergencyStop(ctx context.Context) error {
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// // Close 100% position
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// percentage, _ := fixedpoint.NewFromString("100%")
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// err := s.ClosePosition(ctx, percentage)
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@ -292,7 +273,7 @@ func (s *Strategy) Resume(ctx context.Context) error {
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// _ = s.Suspend(ctx)
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//
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// return err
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//}
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// }
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func (s *Strategy) SaveState() error {
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if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
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@ -303,37 +284,6 @@ func (s *Strategy) SaveState() error {
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return nil
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}
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func (s *Strategy) LoadState() error {
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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}
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// if position is nil, we need to allocate a new position for calculation
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if s.state.Position == nil {
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s.state.Position = types.NewPositionFromMarket(s.Market)
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}
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// init profit states
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s.state.ProfitStats.Symbol = s.Market.Symbol
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s.state.ProfitStats.BaseCurrency = s.Market.BaseCurrency
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s.state.ProfitStats.QuoteCurrency = s.Market.QuoteCurrency
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if s.state.ProfitStats.AccumulatedSince == 0 {
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s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
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}
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return nil
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}
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func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fixedpoint.Value, error) {
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if s.DynamicExposurePositionScale != nil {
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v, err := s.DynamicExposurePositionScale.Scale(bandPercentage)
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@ -346,16 +296,7 @@ func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fi
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return s.MaxExposurePosition, nil
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}
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func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, klines []*types.KLine) {
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//bidSpread := s.Spread
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//if s.BidSpread.Sign() > 0 {
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// bidSpread = s.BidSpread
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//}
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//
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//askSpread := s.Spread
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//if s.AskSpread.Sign() > 0 {
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// askSpread = s.AskSpread
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//}
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func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, klines []*types.KLine) {
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// preprocessing
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max := 0.
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min := 100000.
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@ -373,21 +314,21 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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}
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mv = mv / 50
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//logrus.Info(max, min)
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// logrus.Info(max, min)
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// set up a random two-dimensional data set (float64 values between 0.0 and 1.0)
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var d clusters.Observations
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for x := 0; x < 50; x++ {
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//if klines[x].High.Float64() < max || klines[x].Low.Float64() > min {
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// if klines[x].High.Float64() < max || klines[x].Low.Float64() > min {
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if klines[x].Volume.Float64() > mv*0.3 {
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d = append(d, clusters.Coordinates{
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klines[x].High.Float64(),
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klines[x].Low.Float64(),
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//klines[x].Open.Float64(),
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//klines[x].Close.Float64(),
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//klines[x].Volume.Float64(),
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// klines[x].Open.Float64(),
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// klines[x].Close.Float64(),
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// klines[x].Volume.Float64(),
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})
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}
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//}
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// }
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}
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log.Info(len(d))
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@ -396,16 +337,16 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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km := kmeans.New()
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clusters, err := km.Partition(d, 3)
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//for _, c := range clusters {
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//fmt.Printf("Centered at x: %.2f y: %.2f\n", c.Center[0], c.Center[1])
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//fmt.Printf("Matching data points: %+v\n\n", c.Observations)
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//}
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// for _, c := range clusters {
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// fmt.Printf("Centered at x: %.2f y: %.2f\n", c.Center[0], c.Center[1])
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// fmt.Printf("Matching data points: %+v\n\n", c.Observations)
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// }
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// clustered virtual kline_1's mid price
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//vk1mp := fixedpoint.NewFromFloat((clusters[0].Center[0] + clusters[0].Center[1]) / 2.)
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// vk1mp := fixedpoint.NewFromFloat((clusters[0].Center[0] + clusters[0].Center[1]) / 2.)
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// clustered virtual kline_2's mid price
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//vk2mp := fixedpoint.NewFromFloat((clusters[1].Center[0] + clusters[1].Center[1]) / 2.)
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// vk2mp := fixedpoint.NewFromFloat((clusters[1].Center[0] + clusters[1].Center[1]) / 2.)
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// clustered virtual kline_3's mid price
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//vk3mp := fixedpoint.NewFromFloat((clusters[2].Center[0] + clusters[2].Center[1]) / 2.)
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// vk3mp := fixedpoint.NewFromFloat((clusters[2].Center[0] + clusters[2].Center[1]) / 2.)
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// clustered virtual kline_1's high price
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vk1hp := fixedpoint.NewFromFloat(clusters[0].Center[0])
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@ -421,50 +362,43 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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// clustered virtual kline_3's low price
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vk3lp := fixedpoint.NewFromFloat(clusters[2].Center[1])
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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()))
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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()))
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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()))
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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()))
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//if vk1mp.Compare(vk2mp) > 0 {
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// if vk1mp.Compare(vk2mp) > 0 {
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// askPrice = vk1mp //.Mul(fixedpoint.NewFromFloat(1.001))
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// bidPrice = vk2mp //.Mul(fixedpoint.NewFromFloat(0.999))
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//} else if vk1mp.Compare(vk2mp) < 0 {
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// } else if vk1mp.Compare(vk2mp) < 0 {
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// askPrice = vk2mp //.Mul(fixedpoint.NewFromFloat(1.001))
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// bidPrice = vk1mp //.Mul(fixedpoint.NewFromFloat(0.999))
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//}
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//midPrice.Mul(fixedpoint.One.Add(askSpread))
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//midPrice.Mul(fixedpoint.One.Sub(bidSpread))
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base := s.state.Position.GetBase()
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//balances := s.session.GetAccount().Balances()
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// }
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// midPrice.Mul(fixedpoint.One.Add(askSpread))
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// midPrice.Mul(fixedpoint.One.Sub(bidSpread))
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base := s.Position.GetBase()
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// balances := s.session.GetAccount().Balances()
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//log.Infof("mid price:%v spread: %s ask:%v bid: %v position: %s",
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// midPrice,
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// s.Spread.Percentage(),
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// askPrice,
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// bidPrice,
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// s.state.Position,
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//)
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canSell := true
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canBuy := true
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//predMidPrice := (askPrice + bidPrice) / 2.
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// predMidPrice := (askPrice + bidPrice) / 2.
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//if midPrice.Float64() > predMidPrice.Float64() {
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// if midPrice.Float64() > predMidPrice.Float64() {
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// bidPrice = predMidPrice.Mul(fixedpoint.NewFromFloat(0.999))
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//}
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// }
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//
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//if midPrice.Float64() < predMidPrice.Float64() {
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// if midPrice.Float64() < predMidPrice.Float64() {
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// askPrice = predMidPrice.Mul(fixedpoint.NewFromFloat(1.001))
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//}
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// }
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//
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//if midPrice.Float64() > askPrice.Float64() {
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// if midPrice.Float64() > askPrice.Float64() {
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// canBuy = false
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// askPrice = midPrice.Mul(fixedpoint.NewFromFloat(1.001))
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//}
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// }
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//
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//if midPrice.Float64() < bidPrice.Float64() {
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// if midPrice.Float64() < bidPrice.Float64() {
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// canSell = false
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// bidPrice = midPrice.Mul(fixedpoint.NewFromFloat(0.999))
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//}
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// }
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sellQuantity := s.QuantityOrAmount.CalculateQuantity(askPrice)
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buyQuantity := s.QuantityOrAmount.CalculateQuantity(bidPrice)
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@ -491,8 +425,8 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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var submitBuyOrders []types.SubmitOrder
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var submitSellOrders []types.SubmitOrder
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//baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
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//quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
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// baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
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// quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
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downBand := s.defaultBoll.LastDownBand()
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upBand := s.defaultBoll.LastUpBand()
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@ -522,106 +456,13 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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}
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}
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//if s.ShadowProtection && kline != nil {
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// switch kline.Direction() {
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// case types.DirectionDown:
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// shadowHeight := kline.GetLowerShadowHeight()
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// shadowRatio := kline.GetLowerShadowRatio()
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// if shadowHeight.IsZero() && shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
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// log.Infof("%s shadow protection enabled, lower shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
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// canBuy = false
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// }
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// case types.DirectionUp:
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// shadowHeight := kline.GetUpperShadowHeight()
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// shadowRatio := kline.GetUpperShadowRatio()
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// if shadowHeight.IsZero() || shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
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// log.Infof("%s shadow protection enabled, upper shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
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// canSell = false
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// }
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// }
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//}
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// Apply quantity skew
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// CASE #1:
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// WHEN: price is in the neutral bollginer band (window 1) == neutral
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// THEN: we don't apply skew
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// CASE #2:
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// WHEN: price is in the upper band (window 2 > price > window 1) == upTrend
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// THEN: we apply upTrend skew
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// CASE #3:
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// WHEN: price is in the lower band (window 2 < price < window 1) == downTrend
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// THEN: we apply downTrend skew
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// CASE #4:
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// WHEN: price breaks the lower band (price < window 2) == strongDownTrend
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// THEN: we apply strongDownTrend skew
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// CASE #5:
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// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
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// THEN: we apply strongUpTrend skew
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//if s.TradeInBand {
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// if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
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// log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
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// return
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// }
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//}
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//revmacd := s.detectPriceTrend(s.neutralBoll, midPrice.Float64())
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//switch revmacd {
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//case NeutralTrend:
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// // do nothing
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//
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||||
//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
|
||||
}
|
||||
|
||||
|
|
Loading…
Reference in New Issue
Block a user