lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-20 08:11:08 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

Merge pull request #1315 from c9s/narumi/fixedmaker/common

Browse Source 
REFACTOR: use common strategy in fixedmaker
This commit is contained in:
c9s 2023-09-21 14:35:53 +08:00 committed by GitHub
commit 49e9c8bbcf
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 16 additions and 40 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

56
pkg/strategy/fixedmaker/strategy.go
View File

@ -9,7 +9,8 @@ import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/types"
)
@ -23,6 +24,8 @@ func init() {
// Fixed spread market making strategy
type Strategy struct {
*common.Strategy
Environment *bbgo.Environment
StandardIndicatorSet *bbgo.StandardIndicatorSet
Market types.Market
@ -42,22 +45,18 @@ type Strategy struct {
ATRMultiplier fixedpoint.Value `json:"atrMultiplier"`
ATRWindow int `json:"atrWindow"`
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
activeOrderBook *bbgo.ActiveOrderBook
atr *indicator.ATR
atr *indicatorv2.ATRStream
}
func (s *Strategy) Defaults() error {
if s.OrderType == "" {
log.Infof("order type is not set, using limit maker order type")
s.OrderType = types.OrderTypeLimitMaker
}
if s.ATRWindow == 0 {
log.Infof("atr window is not set, using default value 14")
s.ATRWindow = 14
}
return nil
@ -102,36 +101,13 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.session = session
s.Strategy = &common.Strategy{}
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
s.activeOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
s.activeOrderBook.BindStream(session.UserDataStream)
instanceID := s.InstanceID()
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
// Always update the position fields
s.Position.Strategy = ID
s.Position.StrategyInstanceID = instanceID
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.Market)
}
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.Bind()
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
s.atr = s.StandardIndicatorSet.ATR(types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow})
s.atr = session.Indicators(s.Symbol).ATR(s.Interval, s.ATRWindow)
session.UserDataStream.OnStart(func() {
// you can place orders here when bbgo is started, this will be called only once.
@ -155,14 +131,14 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
// the shutdown handler, you can cancel all orders
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
_ = s.orderExecutor.GracefulCancel(ctx)
_ = s.OrderExecutor.GracefulCancel(ctx)
})
return nil
}
func (s *Strategy) cancelOrders(ctx context.Context) {
if err := s.session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
if err := s.Session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
log.WithError(err).Errorf("failed to cancel orders")
}
}
@ -180,7 +156,7 @@ func (s *Strategy) replenish(ctx context.Context) {
return
}
createdOrders, err := s.orderExecutor.SubmitOrders(ctx, submitOrders...)
createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Error("failed to submit orders")
return
@ -193,19 +169,19 @@ func (s *Strategy) replenish(ctx context.Context) {
func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrder, error) {
orders := []types.SubmitOrder{}
baseBalance, ok := s.session.GetAccount().Balance(s.Market.BaseCurrency)
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
return nil, fmt.Errorf("base currency %s balance not found", s.Market.BaseCurrency)
}
log.Infof("base balance: %+v", baseBalance)
quoteBalance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
return nil, fmt.Errorf("quote currency %s balance not found", s.Market.QuoteCurrency)
}
log.Infof("quote balance: %+v", quoteBalance)
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
return nil, err
}