Merge pull request #1690 from c9s/c9s/xdepthmaker/convert-hedge-order-trades

FEATURE: improve trade/order converter

pkg/core/converter.go

@@ -0,0 +1,85 @@
+package core
+
+import (
+	"errors"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type Converter interface {
+	OrderConverter
+	TradeConverter
+	Initialize() error
+}
+
+// OrderConverter converts the order to another order
+type OrderConverter interface {
+	ConvertOrder(order types.Order) (types.Order, error)
+}
+
+// TradeConverter converts the trade to another trade
+type TradeConverter interface {
+	ConvertTrade(trade types.Trade) (types.Trade, error)
+}
+
+type OrderConvertFunc func(order types.Order) (types.Order, error)
+type TradeConvertFunc func(trade types.Trade) (types.Trade, error)
+
+type DynamicConverter struct {
+	orderConverter OrderConvertFunc
+	tradeConverter TradeConvertFunc
+}
+
+func NewDynamicConverter(orderConverter OrderConvertFunc, tradeConverter TradeConvertFunc) *DynamicConverter {
+	return &DynamicConverter{orderConverter: orderConverter, tradeConverter: tradeConverter}
+}
+
+func (c *DynamicConverter) Initialize() error {
+	return nil
+}
+
+func (c *DynamicConverter) ConvertOrder(order types.Order) (types.Order, error) {
+	return c.orderConverter(order)
+}
+
+func (c *DynamicConverter) ConvertTrade(trade types.Trade) (types.Trade, error) {
+	return c.tradeConverter(trade)
+}
+
+// SymbolConverter converts the symbol to another symbol
+type SymbolConverter struct {
+	FromSymbol string `json:"from"`
+	ToSymbol   string `json:"to"`
+}
+
+func NewSymbolConverter(fromSymbol, toSymbol string) *SymbolConverter {
+	return &SymbolConverter{FromSymbol: fromSymbol, ToSymbol: toSymbol}
+}
+
+func (c *SymbolConverter) Initialize() error {
+	if c.ToSymbol == "" {
+		return errors.New("toSymbol can not be empty")
+	}
+
+	if c.FromSymbol == "" {
+		return errors.New("fromSymbol can not be empty")
+	}
+
+	return nil
+}
+
+func (c *SymbolConverter) ConvertOrder(order types.Order) (types.Order, error) {
+	if order.Symbol == c.FromSymbol {
+		order.Symbol = c.ToSymbol
+	}
+
+	return order, nil
+}
+
+func (c *SymbolConverter) ConvertTrade(trade types.Trade) (types.Trade, error) {
+	if trade.Symbol == c.FromSymbol {
+		trade.Symbol = c.ToSymbol
+	}
+
+	return trade, nil
+}

pkg/core/converter_test.go

@@ -0,0 +1,31 @@
+package core
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestSymbolConverter(t *testing.T) {
+	converter := NewSymbolConverter("MAXEXCHANGEUSDT", "MAXUSDT")
+	trade, err := converter.ConvertTrade(types.Trade{
+		Symbol: "MAXEXCHANGEUSDT",
+	})
+
+	if assert.NoError(t, err) {
+		assert.Equal(t, "MAXUSDT", trade.Symbol)
+	}
+
+	order, err := converter.ConvertOrder(types.Order{
+		SubmitOrder: types.SubmitOrder{
+			Symbol: "MAXEXCHANGEUSDT",
+		},
+	})
+
+	if assert.NoError(t, err) {
+		assert.Equal(t, "MAXUSDT", order.Symbol)
+	}
+
+}

pkg/core/tradecollector.go

@@ -12,8 +12,87 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-type TradeConverter interface {
-	Convert(trade types.Trade) (types.Trade, error)
+type ConverterSetting struct {
+	SymbolConverter *SymbolConverter `json:"symbolConverter" yaml:"symbolConverter"`
+}
+
+func (s *ConverterSetting) getConverter() Converter {
+	if s.SymbolConverter != nil {
+		return s.SymbolConverter
+	}
+
+	return nil
+}
+
+func (s *ConverterSetting) InitializeConverter() (Converter, error) {
+	converter := s.getConverter()
+	if converter == nil {
+		return nil, nil
+	}
+
+	logrus.Infof("initializing converter %T ...", converter)
+	err := converter.Initialize()
+	return nil, err
+}
+
+type ConverterManager struct {
+	ConverterSettings []ConverterSetting `json:"converters,omitempty" yaml:"converters,omitempty"`
+
+	converters []Converter
+}
+
+func (c *ConverterManager) Initialize() error {
+	for _, setting := range c.ConverterSettings {
+
+		converter, err := setting.InitializeConverter()
+		if err != nil {
+			return err
+		}
+
+		c.AddConverter(converter)
+	}
+
+	return nil
+}
+
+func (c *ConverterManager) AddConverter(converter Converter) {
+	c.converters = append(c.converters, converter)
+}
+
+func (c *ConverterManager) ConvertOrder(order types.Order) types.Order {
+	if len(c.converters) == 0 {
+		return order
+	}
+
+	for _, converter := range c.converters {
+		convOrder, err := converter.ConvertOrder(order)
+		if err != nil {
+			logrus.WithError(err).Errorf("converter %+v error, order: %s", converter, order.String())
+			continue
+		}
+
+		order = convOrder
+	}
+
+	return order
+}
+
+func (c *ConverterManager) ConvertTrade(trade types.Trade) types.Trade {
+	if len(c.converters) == 0 {
+		return trade
+	}
+
+	for _, converter := range c.converters {
+		convTrade, err := converter.ConvertTrade(trade)
+		if err != nil {
+			logrus.WithError(err).Errorf("converter %+v error, trade: %s", converter, trade.String())
+			continue
+		}
+
+		trade = convTrade
+	}
+
+	return trade
 }
 
 //go:generate callbackgen -type TradeCollector
@@ -29,14 +108,14 @@ type TradeCollector struct {
 
 	mu sync.Mutex
 
-	tradeConverters []TradeConverter
-
 	recoverCallbacks []func(trade types.Trade)
 
 	tradeCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
 
 	positionUpdateCallbacks []func(position *types.Position)
 	profitCallbacks         []func(trade types.Trade, profit *types.Profit)
+
+	ConverterManager
 }
 
 func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
@@ -55,28 +134,6 @@ func NewTradeCollector(symbol string, position *types.Position, orderStore *Orde
 	}
 }
 
-func (c *TradeCollector) AddTradeConverter(converter TradeConverter) {
-	c.tradeConverters = append(c.tradeConverters, converter)
-}
-
-func (c *TradeCollector) convertTrade(trade types.Trade) types.Trade {
-	if len(c.tradeConverters) == 0 {
-		return trade
-	}
-
-	for _, converter := range c.tradeConverters {
-		convTrade, err := converter.Convert(trade)
-		if err != nil {
-			logrus.WithError(err).Errorf("trade %+v converter error, trade: %s", converter, trade.String())
-			continue
-		}
-
-		trade = convTrade
-	}
-
-	return trade
-}
-
 // OrderStore returns the order store used by the trade collector
 func (c *TradeCollector) OrderStore() *OrderStore {
 	return c.orderStore
@@ -108,7 +165,7 @@ func (c *TradeCollector) BindStreamForBackground(stream types.Stream) {
 
 func (c *TradeCollector) BindStream(stream types.Stream) {
 	stream.OnTradeUpdate(func(trade types.Trade) {
-		c.processTrade(trade)
+		c.ProcessTrade(trade)
 	})
 }
 
@@ -144,7 +201,7 @@ func (c *TradeCollector) Recover(
 }
 
 func (c *TradeCollector) RecoverTrade(td types.Trade) bool {
-	td = c.convertTrade(td)
+	td = c.ConvertTrade(td)
 
 	logrus.Debugf("checking trade: %s", td.String())
 	if c.processTrade(td) {
@@ -260,7 +317,7 @@ func (c *TradeCollector) processTrade(trade types.Trade) bool {
 // return true when the given trade is added
 // return false when the given trade is not added
 func (c *TradeCollector) ProcessTrade(trade types.Trade) bool {
-	return c.processTrade(c.convertTrade(trade))
+	return c.processTrade(c.ConvertTrade(trade))
 }
 
 // Run is a goroutine executed in the background
@@ -279,7 +336,7 @@ func (c *TradeCollector) Run(ctx context.Context) {
 			c.Process()
 
 		case trade := <-c.tradeC:
-			c.processTrade(c.convertTrade(trade))
+			c.processTrade(c.ConvertTrade(trade))
 
 		}
 	}

pkg/strategy/common/profit_fixer.go

@@ -10,6 +10,7 @@ import (
 	"golang.org/x/sync/errgroup"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/exchange/batch"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -22,6 +23,8 @@ type ProfitFixerConfig struct {
 // ProfitFixer implements a trade-history-based profit fixer
 type ProfitFixer struct {
 	sessions map[string]types.ExchangeTradeHistoryService
+
+	core.ConverterManager
 }
 
 func NewProfitFixer() *ProfitFixer {
@@ -106,6 +109,8 @@ func (f *ProfitFixer) Fix(
 
 func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.ProfitStats, position *types.Position) error {
 	for _, trade := range allTrades {
+		trade = f.ConverterManager.ConvertTrade(trade)
+
 		profit, netProfit, madeProfit := position.AddTrade(trade)
 		if madeProfit {
 			p := position.NewProfit(trade, profit, netProfit)

pkg/strategy/xdepthmaker/strategy.go

@@ -12,6 +12,7 @@ import (
 	"golang.org/x/time/rate"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/strategy/common"
@@ -48,7 +49,10 @@ type CrossExchangeMarketMakingStrategy struct {
 	Position        *types.Position    `json:"position,omitempty" persistence:"position"`
 	ProfitStats     *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
 	CoveredPosition fixedpoint.Value   `json:"coveredPosition,omitempty" persistence:"covered_position"`
-	mu              sync.Mutex
+
+	core.ConverterManager
+
+	mu sync.Mutex
 
 	MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
 }
@@ -78,6 +82,10 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
 		return fmt.Errorf("maker session market %s is not defined", symbol)
 	}
 
+	if err := s.ConverterManager.Initialize(); err != nil {
+		return err
+	}
+
 	if s.ProfitStats == nil {
 		s.ProfitStats = types.NewProfitStats(s.makerMarket)
 	}
@@ -106,6 +114,10 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
 		s.makerMarket.Symbol,
 		strategyID, instanceID,
 		s.Position)
+
+	// update converter manager
+	s.MakerOrderExecutor.TradeCollector().ConverterManager = s.ConverterManager
+
 	s.MakerOrderExecutor.BindEnvironment(environ)
 	s.MakerOrderExecutor.BindProfitStats(s.ProfitStats)
 	s.MakerOrderExecutor.Bind()
@@ -121,6 +133,9 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
 	s.HedgeOrderExecutor.BindEnvironment(environ)
 	s.HedgeOrderExecutor.BindProfitStats(s.ProfitStats)
 	s.HedgeOrderExecutor.Bind()
+
+	s.HedgeOrderExecutor.TradeCollector().ConverterManager = s.ConverterManager
+
 	s.HedgeOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
 		// bbgo.Sync(ctx, s)
 	})
@@ -149,6 +164,7 @@ type Strategy struct {
 
 	Environment *bbgo.Environment
 
+	// Symbol is the maker exchange symbol
 	Symbol string `json:"symbol"`
 
 	// HedgeSymbol is the symbol for the hedge exchange
@@ -251,6 +267,7 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
 	})
 
 	hedgeSession.Subscribe(types.KLineChannel, s.HedgeSymbol, types.SubscribeOptions{Interval: "1m"})
+
 	makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
 }
 
@@ -344,6 +361,8 @@ func (s *Strategy) CrossRun(
 		s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket)
 
 		fixer := common.NewProfitFixer()
+		fixer.ConverterManager = s.ConverterManager
+
 		if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
 			log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
 			fixer.AddExchange(makerSession.Name, ss)

pkg/types/position.go

@@ -19,16 +19,19 @@ const (
 	PositionClosed = PositionType("Closed")
 )
 
+// ExchangeFee stores the exchange fee rate
 type ExchangeFee struct {
 	MakerFeeRate fixedpoint.Value
 	TakerFeeRate fixedpoint.Value
 }
 
+// PositionRisk stores the position risk data
 type PositionRisk struct {
-	Leverage         fixedpoint.Value `json:"leverage"`
-	LiquidationPrice fixedpoint.Value `json:"liquidationPrice"`
+	Leverage         fixedpoint.Value `json:"leverage,omitempty"`
+	LiquidationPrice fixedpoint.Value `json:"liquidationPrice,omitempty"`
 }
 
+// Position stores the position data
 type Position struct {
 	Symbol        string `json:"symbol" db:"symbol"`
 	BaseCurrency  string `json:"baseCurrency" db:"base"`
@@ -281,8 +284,14 @@ type FuturesPosition struct {
 	ExchangeFeeRates map[ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
 
 	// Futures data fields
-	Isolated     bool  `json:"isolated"`
-	UpdateTime   int64 `json:"updateTime"`
+	// -------------------
+	// Isolated margin mode
+	Isolated bool `json:"isolated"`
+
+	// UpdateTime is the time when the position is updated
+	UpdateTime int64 `json:"updateTime"`
+
+	// PositionRisk stores the position risk data
 	PositionRisk *PositionRisk
 }