mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
pivotshort: refactor and redesign order executor
Signed-off-by: c9s <yoanlin93@gmail.com>
This commit is contained in:
parent
0326c34013
commit
47e76a9eb5
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@ -44,7 +44,7 @@ func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, sessi
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return nil, fmt.Errorf("exchange session %s not found", session)
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return nil, fmt.Errorf("exchange session %s not found", session)
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}
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}
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formattedOrders, err := formatOrders(es, orders)
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formattedOrders, err := es.FormatOrders(orders)
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if err != nil {
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if err != nil {
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return nil, err
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return nil, err
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}
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}
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@ -93,7 +93,7 @@ func (e *ExchangeOrderExecutor) notifySubmitOrders(orders ...types.SubmitOrder)
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}
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}
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func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
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func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error) {
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formattedOrders, err := formatOrders(e.Session, orders)
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formattedOrders, err := e.Session.FormatOrders(orders)
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if err != nil {
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if err != nil {
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return nil, err
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return nil, err
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}
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}
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@ -314,18 +314,6 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
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return outOrders, nil
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return outOrders, nil
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}
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}
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func formatOrders(session *ExchangeSession, orders []types.SubmitOrder) (formattedOrders []types.SubmitOrder, err error) {
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for _, order := range orders {
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o, err := session.FormatOrder(order)
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if err != nil {
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return formattedOrders, err
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}
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formattedOrders = append(formattedOrders, o)
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}
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return formattedOrders, err
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}
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func max(a, b int64) int64 {
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func max(a, b int64) int64 {
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if a > b {
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if a > b {
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return a
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return a
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@ -32,7 +32,7 @@ func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...t
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}
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}
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}
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}
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formattedOrders, err := formatOrders(e.Session, orders)
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formattedOrders, err := e.Session.FormatOrders(orders)
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if err != nil {
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if err != nil {
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return retOrders, err
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return retOrders, err
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}
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}
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@ -973,3 +973,15 @@ func (session *ExchangeSession) SlackAttachment() slack.Attachment {
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Footer: util.Render("update time {{ . }}", time.Now().Format(time.RFC822)),
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Footer: util.Render("update time {{ . }}", time.Now().Format(time.RFC822)),
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}
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}
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}
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}
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func (session *ExchangeSession) FormatOrders(orders []types.SubmitOrder) (formattedOrders []types.SubmitOrder, err error) {
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for _, order := range orders {
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o, err := session.FormatOrder(order)
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if err != nil {
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return formattedOrders, err
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}
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formattedOrders = append(formattedOrders, o)
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}
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return formattedOrders, err
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}
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@ -22,10 +22,12 @@ type TradeCollector struct {
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orderStore *OrderStore
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orderStore *OrderStore
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doneTrades map[types.TradeKey]struct{}
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doneTrades map[types.TradeKey]struct{}
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recoverCallbacks []func(trade types.Trade)
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recoverCallbacks []func(trade types.Trade)
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tradeCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
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tradeCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
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positionUpdateCallbacks []func(position *types.Position)
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positionUpdateCallbacks []func(position *types.Position)
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profitCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
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profitCallbacks []func(trade types.Trade, profit *types.Profit)
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}
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}
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func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
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func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
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@ -114,15 +116,13 @@ func (c *TradeCollector) Process() bool {
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if c.orderStore.Exists(trade.OrderID) {
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if c.orderStore.Exists(trade.OrderID) {
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c.doneTrades[key] = struct{}{}
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c.doneTrades[key] = struct{}{}
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profit, netProfit, madeProfit := c.position.AddTrade(trade)
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profit, netProfit, madeProfit := c.position.AddTrade(trade)
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if madeProfit {
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if madeProfit {
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p := c.position.NewProfit(trade, profit, netProfit)
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p := c.position.NewProfit(trade, profit, netProfit)
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_ = p
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c.EmitTrade(trade, profit, netProfit)
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c.EmitTrade(trade, profit, netProfit)
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c.EmitProfit(trade, profit, netProfit)
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c.EmitProfit(trade, &p)
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} else {
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} else {
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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c.EmitProfit(trade, nil)
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}
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}
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positionChanged = true
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positionChanged = true
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return true
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return true
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@ -149,11 +149,14 @@ func (c *TradeCollector) processTrade(trade types.Trade) bool {
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return false
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return false
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}
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}
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if profit, netProfit, madeProfit := c.position.AddTrade(trade); madeProfit {
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profit, netProfit, madeProfit := c.position.AddTrade(trade)
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if madeProfit {
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p := c.position.NewProfit(trade, profit, netProfit)
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c.EmitTrade(trade, profit, netProfit)
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c.EmitTrade(trade, profit, netProfit)
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c.EmitProfit(trade, profit, netProfit)
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c.EmitProfit(trade, &p)
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} else {
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} else {
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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c.EmitTrade(trade, fixedpoint.Zero, fixedpoint.Zero)
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c.EmitProfit(trade, nil)
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}
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}
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c.EmitPositionUpdate(c.position)
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c.EmitPositionUpdate(c.position)
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c.doneTrades[key] = struct{}{}
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c.doneTrades[key] = struct{}{}
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@ -37,12 +37,12 @@ func (c *TradeCollector) EmitPositionUpdate(position *types.Position) {
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}
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}
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}
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}
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func (c *TradeCollector) OnProfit(cb func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value)) {
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func (c *TradeCollector) OnProfit(cb func(trade types.Trade, profit *types.Profit)) {
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c.profitCallbacks = append(c.profitCallbacks, cb)
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c.profitCallbacks = append(c.profitCallbacks, cb)
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}
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}
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func (c *TradeCollector) EmitProfit(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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func (c *TradeCollector) EmitProfit(trade types.Trade, profit *types.Profit) {
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for _, cb := range c.profitCallbacks {
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for _, cb := range c.profitCallbacks {
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cb(trade, profit, netProfit)
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cb(trade, profit)
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}
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}
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}
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}
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@ -138,10 +138,6 @@ type Strategy struct {
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Entry Entry `json:"entry"`
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Entry Entry `json:"entry"`
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Exit Exit `json:"exit"`
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Exit Exit `json:"exit"`
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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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session *bbgo.ExchangeSession
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session *bbgo.ExchangeSession
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orderExecutor *GeneralOrderExecutor
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orderExecutor *GeneralOrderExecutor
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@ -171,17 +167,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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}
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}
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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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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}
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func (s *Strategy) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoint.Value {
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func (s *Strategy) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoint.Value {
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if quantity.IsZero() {
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if quantity.IsZero() {
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if balance, ok := s.session.Account.Balance(s.Market.BaseCurrency); ok {
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if balance, ok := s.session.Account.Balance(s.Market.BaseCurrency); ok {
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@ -197,8 +182,8 @@ func (s *Strategy) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoin
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return quantity
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return quantity
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}
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}
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func (s *Strategy) placeLimitSell(ctx context.Context, orderExecutor bbgo.OrderExecutor, price, quantity fixedpoint.Value) {
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func (s *Strategy) placeLimitSell(ctx context.Context, price, quantity fixedpoint.Value) {
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s.submitOrders(ctx, orderExecutor, types.SubmitOrder{
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_ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Symbol: s.Symbol,
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Price: price,
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Price: price,
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Side: types.SideTypeSell,
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Side: types.SideTypeSell,
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@ -208,8 +193,8 @@ func (s *Strategy) placeLimitSell(ctx context.Context, orderExecutor bbgo.OrderE
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})
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})
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}
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}
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func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.OrderExecutor, quantity fixedpoint.Value) {
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func (s *Strategy) placeMarketSell(ctx context.Context, quantity fixedpoint.Value) {
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s.submitOrders(ctx, orderExecutor, types.SubmitOrder{
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_ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Type: types.OrderTypeMarket,
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@ -229,16 +214,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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}
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}
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s.Notify("Closing %s position by %f", s.Symbol, percentage.Float64())
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s.Notify("Closing %s position by %f", s.Symbol, percentage.Float64())
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return s.orderExecutor.SubmitOrders(ctx, *submitOrder)
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createdOrders, err := s.session.Exchange.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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}
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func (s *Strategy) InstanceID() string {
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func (s *Strategy) InstanceID() string {
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@ -302,6 +278,34 @@ func (e *GeneralOrderExecutor) Bind(position *types.Position, profitStats *types
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log.Infof("position changed: %s", position)
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log.Infof("position changed: %s", position)
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notify(position)
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notify(position)
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})
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})
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e.tradeCollector.BindStream(e.session.UserDataStream)
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}
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func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) error {
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formattedOrders, err := e.session.FormatOrders(submitOrders)
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if err != nil {
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return err
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}
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createdOrders, err := e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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e.orderStore.Add(createdOrders...)
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e.activeMakerOrders.Add(createdOrders...)
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e.tradeCollector.Process()
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return err
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}
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func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error {
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if err := e.activeMakerOrders.GracefulCancel(ctx, e.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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return err
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}
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return nil
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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@ -312,10 +316,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderExecutor = NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID)
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s.orderExecutor = NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID)
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// TODO: migrate this
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s.activeMakerOrders = s.orderExecutor.activeMakerOrders
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s.orderStore = s.orderExecutor.orderStore
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if s.Position == nil {
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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}
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@ -324,36 +324,24 @@ 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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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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}
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s.orderExecutor.Bind(s.Position, s.ProfitStats, s.Notifiability.Notify)
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// position recorder
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s.orderExecutor.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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s.Environment.RecordPosition(s.Position, trade, profit)
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// s.Notify(&p)
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})
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// trade stats
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if s.TradeStats == nil {
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if s.TradeStats == nil {
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s.TradeStats = &TradeStats{}
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s.TradeStats = &TradeStats{}
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}
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}
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s.tradeCollector = s.orderExecutor.tradeCollector
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s.orderExecutor.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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// trade stats
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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if profit.IsZero() {
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if profit.IsZero() {
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s.TradeStats.Add(profit)
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s.TradeStats.Add(profit)
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}
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}
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})
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})
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// position recorder
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s.orderExecutor.Bind(s.Position, s.ProfitStats, s.Notifiability.Notify)
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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if profit.IsZero() {
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s.Environment.RecordPosition(s.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.Notify(&p)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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store, _ := session.MarketDataStore(s.Symbol)
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store, _ := session.MarketDataStore(s.Symbol)
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@ -395,9 +383,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
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if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
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log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
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log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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log.WithError(err).Errorf("graceful cancel order error")
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}
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s.currentBounceShortPrice = resistancePrice
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s.currentBounceShortPrice = resistancePrice
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s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
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s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
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}
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}
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@ -498,17 +485,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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return
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}
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}
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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log.WithError(err).Errorf("graceful cancel order error")
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}
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quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
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quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
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if s.BreakLow.MarketOrder {
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if s.BreakLow.MarketOrder {
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s.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64())
|
s.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64())
|
||||||
s.placeMarketSell(ctx, orderExecutor, quantity)
|
s.placeMarketSell(ctx, quantity)
|
||||||
} else {
|
} else {
|
||||||
sellPrice := kline.Close.Mul(fixedpoint.One.Add(s.BreakLow.BounceRatio))
|
sellPrice := kline.Close.Mul(fixedpoint.One.Add(s.BreakLow.BounceRatio))
|
||||||
s.placeLimitSell(ctx, orderExecutor, sellPrice, quantity)
|
s.placeLimitSell(ctx, sellPrice, quantity)
|
||||||
}
|
}
|
||||||
})
|
})
|
||||||
|
|
||||||
|
@ -532,9 +517,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
||||||
if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
|
if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
|
||||||
log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
|
log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
|
||||||
|
|
||||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||||
log.WithError(err).Errorf("graceful cancel order error")
|
|
||||||
}
|
|
||||||
s.currentBounceShortPrice = resistancePrice
|
s.currentBounceShortPrice = resistancePrice
|
||||||
s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
|
s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
|
||||||
}
|
}
|
||||||
|
@ -567,9 +551,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
||||||
}
|
}
|
||||||
|
|
||||||
func (s *Strategy) closePosition(ctx context.Context) {
|
func (s *Strategy) closePosition(ctx context.Context) {
|
||||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||||
log.WithError(err).Errorf("graceful cancel order error")
|
|
||||||
}
|
|
||||||
|
|
||||||
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
|
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
|
||||||
log.WithError(err).Errorf("close position error")
|
log.WithError(err).Errorf("close position error")
|
||||||
|
@ -634,7 +616,7 @@ func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, quant
|
||||||
Price: price,
|
Price: price,
|
||||||
Quantity: quantity,
|
Quantity: quantity,
|
||||||
}
|
}
|
||||||
s.submitOrders(ctx, orderExecutor, submitOrder)
|
_ = s.orderExecutor.SubmitOrders(ctx, submitOrder)
|
||||||
}
|
}
|
||||||
|
|
||||||
func (s *Strategy) preloadPivot(pivot *indicator.Pivot, store *bbgo.MarketDataStore) *types.KLine {
|
func (s *Strategy) preloadPivot(pivot *indicator.Pivot, store *bbgo.MarketDataStore) *types.KLine {
|
||||||
|
|
Loading…
Reference in New Issue
Block a user