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Merge pull request #1474 from c9s/kbearXD/dca2/callbacks-and-close

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FEATURE: [dca2] add callbacks and shutdown function
This commit is contained in:
kbearXD 2024-01-10 15:10:08 +08:00 committed by GitHub
commit 4a0c9ca032
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10 changed files with 394 additions and 78 deletions
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14
config/dca2.yaml
View File

@ -22,10 +22,10 @@ exchangeStrategies:
- on: max
dca2:
symbol: ETHUSDT
short: false
budget: 200
maxOrderNum: 5
priceDeviation: 1%
takeProfitRatio: 0.2%
coolDownInterval: 3m
circuitBreakLossThreshold: -0.9
quoteInvestment: "200"
maxOrderCount: 5
priceDeviation: "0.01"
takeProfitRatio: "0.002"
coolDownInterval: 180
recoverWhenStart: true
keepOrdersWhenShutdown: true

38
pkg/strategy/common/callbacks.go Normal file
View File

@ -0,0 +1,38 @@
package common
//go:generate callbackgen -type StatusCallbacks
type StatusCallbacks struct {
readyCallbacks []func()
closedCallbacks []func()
errorCallbacks []func(error)
}
func (c *StatusCallbacks) OnReady(cb func()) {
c.readyCallbacks = append(c.readyCallbacks, cb)
}
func (c *StatusCallbacks) EmitReady() {
for _, cb := range c.readyCallbacks {
cb()
}
}
func (c *StatusCallbacks) OnClosed(cb func()) {
c.closedCallbacks = append(c.closedCallbacks, cb)
}
func (c *StatusCallbacks) EmitClosed() {
for _, cb := range c.closedCallbacks {
cb()
}
}
func (c *StatusCallbacks) OnError(cb func(err error)) {
c.errorCallbacks = append(c.errorCallbacks, cb)
}
func (c *StatusCallbacks) EmitError(err error) {
for _, cb := range c.errorCallbacks {
cb(err)
}
}

37
pkg/strategy/dca2/open_position.go
View File

@ -20,7 +20,7 @@ func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
return err
}
orders, err := generateOpenPositionOrders(s.Market, s.Budget, price, s.PriceDeviation, s.MaxOrderNum, s.OrderGroupID)
orders, err := generateOpenPositionOrders(s.Market, s.ProfitStats.QuoteInvestment, price, s.PriceDeviation, s.MaxOrderCount, s.OrderGroupID)
if err != nil {
return err
}
@ -44,12 +44,12 @@ func getBestPriceUntilSuccess(ctx context.Context, ex types.Exchange, symbol str
return ticker.Sell, nil
}
func generateOpenPositionOrders(market types.Market, budget, price, priceDeviation fixedpoint.Value, maxOrderNum int64, orderGroupID uint32) ([]types.SubmitOrder, error) {
func generateOpenPositionOrders(market types.Market, quoteInvestment, price, priceDeviation fixedpoint.Value, maxOrderCount int64, orderGroupID uint32) ([]types.SubmitOrder, error) {
factor := fixedpoint.One.Sub(priceDeviation)
// calculate all valid prices
var prices []fixedpoint.Value
for i := 0; i < int(maxOrderNum); i++ {
for i := 0; i < int(maxOrderCount); i++ {
if i > 0 {
price = price.Mul(factor)
}
@ -61,9 +61,9 @@ func generateOpenPositionOrders(market types.Market, budget, price, priceDeviati
prices = append(prices, price)
}
notional, orderNum := calculateNotionalAndNum(market, budget, prices)
notional, orderNum := calculateNotionalAndNumOrders(market, quoteInvestment, prices)
if orderNum == 0 {
return nil, fmt.Errorf("failed to calculate notional and num of open position orders, price: %s, budget: %s", price, budget)
return nil, fmt.Errorf("failed to calculate notional and num of open position orders, price: %s, quote investment: %s", price, quoteInvestment)
}
side := types.SideTypeBuy
@ -87,11 +87,11 @@ func generateOpenPositionOrders(market types.Market, budget, price, priceDeviati
return submitOrders, nil
}
// calculateNotionalAndNum calculates the notional and num of open position orders
// calculateNotionalAndNumOrders calculates the notional and num of open position orders
// DCA2 is notional-based, every order has the same notional
func calculateNotionalAndNum(market types.Market, budget fixedpoint.Value, prices []fixedpoint.Value) (fixedpoint.Value, int) {
func calculateNotionalAndNumOrders(market types.Market, quoteInvestment fixedpoint.Value, prices []fixedpoint.Value) (fixedpoint.Value, int) {
for num := len(prices); num > 0; num-- {
notional := budget.Div(fixedpoint.NewFromInt(int64(num)))
notional := quoteInvestment.Div(fixedpoint.NewFromInt(int64(num)))
if notional.Compare(market.MinNotional) < 0 {
continue
}
@ -107,24 +107,3 @@ func calculateNotionalAndNum(market types.Market, budget fixedpoint.Value, price
return fixedpoint.Zero, 0
}
func (s *Strategy) cancelOpenPositionOrders(ctx context.Context) error {
s.logger.Info("[DCA] cancel open position orders")
e, ok := s.Session.Exchange.(cancelOrdersByGroupIDApi)
if ok {
cancelledOrders, err := e.CancelOrdersByGroupID(ctx, int64(s.OrderGroupID))
if err != nil {
return err
}
for _, cancelledOrder := range cancelledOrders {
s.logger.Info("CANCEL ", cancelledOrder.String())
}
} else {
if err := s.OrderExecutor.ActiveMakerOrders().GracefulCancel(ctx, s.Session.Exchange); err != nil {
return err
}
}
return nil
}

4
pkg/strategy/dca2/open_position_test.go
View File

@ -47,10 +47,10 @@ func TestGenerateOpenPositionOrders(t *testing.T) {
strategy := newTestStrategy()
t.Run("case 1: all config is valid and we can place enough orders", func(t *testing.T) {
budget := Number("10500")
quoteInvestment := Number("10500")
askPrice := Number("30000")
margin := Number("0.05")
submitOrders, err := generateOpenPositionOrders(strategy.Market, budget, askPrice, margin, 4, strategy.OrderGroupID)
submitOrders, err := generateOpenPositionOrders(strategy.Market, quoteInvestment, askPrice, margin, 4, strategy.OrderGroupID)
if !assert.NoError(err) {
return
}

93
pkg/strategy/dca2/profit_stats.go Normal file
View File

@ -0,0 +1,93 @@
package dca2
import (
"fmt"
"strings"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type ProfitStats struct {
Symbol string `json:"symbol"`
Market types.Market `json:"market,omitempty"`
FromOrderID uint64 `json:"fromOrderID,omitempty"`
Round int64 `json:"round,omitempty"`
QuoteInvestment fixedpoint.Value `json:"quoteInvestment,omitempty"`
CurrentRoundProfit fixedpoint.Value `json:"currentRoundProfit,omitempty"`
CurrentRoundFee map[string]fixedpoint.Value `json:"currentRoundFee,omitempty"`
TotalProfit fixedpoint.Value `json:"totalProfit,omitempty"`
TotalFee map[string]fixedpoint.Value `json:"totalFee,omitempty"`
types.PersistenceTTL
}
func newProfitStats(market types.Market, quoteInvestment fixedpoint.Value) *ProfitStats {
return &ProfitStats{
Symbol: market.Symbol,
Market: market,
Round: 0,
QuoteInvestment: quoteInvestment,
CurrentRoundFee: make(map[string]fixedpoint.Value),
TotalFee: make(map[string]fixedpoint.Value),
}
}
func (s *ProfitStats) AddTrade(trade types.Trade) {
if s.CurrentRoundFee == nil {
s.CurrentRoundFee = make(map[string]fixedpoint.Value)
}
if fee, ok := s.CurrentRoundFee[trade.FeeCurrency]; ok {
s.CurrentRoundFee[trade.FeeCurrency] = fee.Add(trade.Fee)
} else {
s.CurrentRoundFee[trade.FeeCurrency] = trade.Fee
}
if s.TotalFee == nil {
s.TotalFee = make(map[string]fixedpoint.Value)
}
if fee, ok := s.TotalFee[trade.FeeCurrency]; ok {
s.TotalFee[trade.FeeCurrency] = fee.Add(trade.Fee)
} else {
s.TotalFee[trade.FeeCurrency] = trade.Fee
}
quoteQuantity := trade.QuoteQuantity
if trade.Side == types.SideTypeBuy {
quoteQuantity = quoteQuantity.Neg()
}
s.CurrentRoundProfit = s.CurrentRoundProfit.Add(quoteQuantity)
s.TotalProfit = s.TotalProfit.Add(quoteQuantity)
if s.Market.QuoteCurrency == trade.FeeCurrency {
s.CurrentRoundProfit.Sub(trade.Fee)
s.TotalProfit.Sub(trade.Fee)
}
}
func (s *ProfitStats) NewRound() {
s.Round++
s.CurrentRoundProfit = fixedpoint.Zero
s.CurrentRoundFee = make(map[string]fixedpoint.Value)
}
func (s *ProfitStats) String() string {
var sb strings.Builder
sb.WriteString("[------------------ Profit Stats ------------------]\n")
sb.WriteString(fmt.Sprintf("Round: %d\n", s.Round))
sb.WriteString(fmt.Sprintf("From Order ID: %d\n", s.FromOrderID))
sb.WriteString(fmt.Sprintf("Quote Investment: %s\n", s.QuoteInvestment))
sb.WriteString(fmt.Sprintf("Current Round Profit: %s\n", s.CurrentRoundProfit))
sb.WriteString(fmt.Sprintf("Total Profit: %s\n", s.TotalProfit))
for currency, fee := range s.CurrentRoundFee {
sb.WriteString(fmt.Sprintf("FEE (%s): %s\n", currency, fee))
}
sb.WriteString("[------------------ Profit Stats ------------------]\n")
return sb.String()
}

33
pkg/strategy/dca2/recover.go
View File

@ -34,7 +34,7 @@ func (s *Strategy) recover(ctx context.Context) error {
return err
}
closedOrders, err := queryService.QueryClosedOrdersDesc(ctx, s.Symbol, time.Time{}, time.Now(), 0)
closedOrders, err := queryService.QueryClosedOrdersDesc(ctx, s.Symbol, time.Date(2024, time.January, 1, 0, 0, 0, 0, time.Local), time.Now(), 0)
if err != nil {
return err
}
@ -46,7 +46,7 @@ func (s *Strategy) recover(ctx context.Context) error {
debugRoundOrders(s.logger, "current", currentRound)
// recover state
state, err := recoverState(ctx, s.Symbol, int(s.MaxOrderNum), openOrders, currentRound, s.OrderExecutor.ActiveMakerOrders(), s.OrderExecutor.OrderStore(), s.OrderGroupID)
state, err := recoverState(ctx, s.Symbol, int(s.MaxOrderCount), openOrders, currentRound, s.OrderExecutor.ActiveMakerOrders(), s.OrderExecutor.OrderStore(), s.OrderGroupID)
if err != nil {
return err
}
@ -56,23 +56,20 @@ func (s *Strategy) recover(ctx context.Context) error {
return err
}
// recover budget
budget := recoverBudget(currentRound)
// recover profit stats
recoverProfitStats(ctx, s)
// recover startTimeOfNextRound
startTimeOfNextRound := recoverStartTimeOfNextRound(ctx, currentRound, s.CoolDownInterval)
s.state = state
if !budget.IsZero() {
s.Budget = budget
}
s.startTimeOfNextRound = startTimeOfNextRound
return nil
}
// recover state
func recoverState(ctx context.Context, symbol string, maxOrderNum int, openOrders []types.Order, currentRound Round, activeOrderBook *bbgo.ActiveOrderBook, orderStore *core.OrderStore, groupID uint32) (State, error) {
func recoverState(ctx context.Context, symbol string, maxOrderCount int, openOrders []types.Order, currentRound Round, activeOrderBook *bbgo.ActiveOrderBook, orderStore *core.OrderStore, groupID uint32) (State, error) {
if len(currentRound.OpenPositionOrders) == 0 {
// new strategy
return WaitToOpenPosition, nil
@ -101,10 +98,10 @@ func recoverState(ctx context.Context, symbol string, maxOrderNum int, openOrder
}
numOpenPositionOrders := len(currentRound.OpenPositionOrders)
if numOpenPositionOrders > maxOrderNum {
if numOpenPositionOrders > maxOrderCount {
return None, fmt.Errorf("the number of open-position orders is > max order number")
} else if numOpenPositionOrders < maxOrderNum {
// The number of open-position orders should be the same as maxOrderNum
} else if numOpenPositionOrders < maxOrderCount {
// The number of open-position orders should be the same as maxOrderCount
// If not, it may be the following possible cause
// 1. This strategy at position opening, so it may not place all orders we want successfully
// 2. There are some errors when placing open-position orders. e.g. cannot lock fund.....
@ -154,7 +151,7 @@ func recoverState(ctx context.Context, symbol string, maxOrderNum int, openOrder
func recoverPosition(ctx context.Context, position *types.Position, queryService RecoverApiQueryService, currentRound Round) error {
if position == nil {
return nil
return fmt.Errorf("position is nil, please check it")
}
var positionOrders []types.Order
@ -192,7 +189,17 @@ func recoverPosition(ctx context.Context, position *types.Position, queryService
return nil
}
func recoverBudget(currentRound Round) fixedpoint.Value {
func recoverProfitStats(ctx context.Context, strategy *Strategy) error {
if strategy.ProfitStats == nil {
return fmt.Errorf("profit stats is nil, please check it")
}
strategy.CalculateProfitOfCurrentRound(ctx)
return nil
}
func recoverQuoteInvestment(currentRound Round) fixedpoint.Value {
if len(currentRound.OpenPositionOrders) == 0 {
return fixedpoint.Zero
}

25
pkg/strategy/dca2/state.go
View File

@ -3,6 +3,8 @@ package dca2
import (
"context"
"time"
"github.com/c9s/bbgo/pkg/bbgo"
)
type State int64
@ -121,12 +123,19 @@ func (s *Strategy) triggerNextState() {
}
}
func (s *Strategy) runWaitToOpenPositionState(_ context.Context, next State) {
func (s *Strategy) runWaitToOpenPositionState(ctx context.Context, next State) {
s.logger.Info("[State] WaitToOpenPosition - check startTimeOfNextRound")
if time.Now().Before(s.startTimeOfNextRound) {
return
}
// reset position and open new round for profit stats before position opening
s.Position.Reset()
s.ProfitStats.NewRound()
// store into redis
bbgo.Sync(ctx, s)
s.state = PositionOpening
s.logger.Info("[State] WaitToOpenPosition -> PositionOpening")
}
@ -156,7 +165,7 @@ func (s *Strategy) runOpenPositionOrderFilled(_ context.Context, next State) {
func (s *Strategy) runOpenPositionOrdersCancelling(ctx context.Context, next State) {
s.logger.Info("[State] OpenPositionOrdersCancelling - start cancelling open-position orders")
if err := s.cancelOpenPositionOrders(ctx); err != nil {
if err := s.OrderExecutor.GracefulCancel(ctx); err != nil {
s.logger.WithError(err).Error("failed to cancel maker orders")
return
}
@ -177,15 +186,17 @@ func (s *Strategy) runOpenPositionOrdersCancelled(ctx context.Context, next Stat
s.logger.Info("[State] OpenPositionOrdersCancelled -> TakeProfitReady")
}
func (s *Strategy) runTakeProfitReady(_ context.Context, next State) {
func (s *Strategy) runTakeProfitReady(ctx context.Context, next State) {
// wait 3 seconds to avoid position not update
time.Sleep(3 * time.Second)
s.logger.Info("[State] TakeProfitReady - start reseting position and calculate budget for next round")
s.Budget = s.Budget.Add(s.Position.Quote)
s.logger.Info("[State] TakeProfitReady - start reseting position and calculate quote investment for next round")
// reset position
s.Position.Reset()
// calculate profit stats
s.CalculateProfitOfCurrentRound(ctx)
bbgo.Sync(ctx, s)
s.EmitProfit(s.ProfitStats)
// set the start time of the next round
s.startTimeOfNextRound = time.Now().Add(s.CoolDownInterval.Duration())

183
pkg/strategy/dca2/strategy.go
View File

@ -4,6 +4,7 @@ import (
"context"
"fmt"
"math"
"strconv"
"sync"
"time"
@ -12,6 +13,7 @@ import (
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/prometheus/client_golang/prometheus"
"github.com/sirupsen/logrus"
)
@ -25,17 +27,21 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
//go:generate callbackgen -type Strateg
type Strategy struct {
*common.Strategy
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
Environment *bbgo.Environment
Market types.Market
Environment *bbgo.Environment
Session *bbgo.ExchangeSession
OrderExecutor *bbgo.GeneralOrderExecutor
Market types.Market
Symbol string `json:"symbol"`
// setting
Budget fixedpoint.Value `json:"budget"`
MaxOrderNum int64 `json:"maxOrderNum"`
QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
MaxOrderCount int64 `json:"maxOrderCount"`
PriceDeviation fixedpoint.Value `json:"priceDeviation"`
TakeProfitRatio fixedpoint.Value `json:"takeProfitRatio"`
CoolDownInterval types.Duration `json:"coolDownInterval"`
@ -43,16 +49,30 @@ type Strategy struct {
// OrderGroupID is the group ID used for the strategy instance for canceling orders
OrderGroupID uint32 `json:"orderGroupID"`
// RecoverWhenStart option is used for recovering dca states
RecoverWhenStart bool `json:"recoverWhenStart"`
// KeepOrdersWhenShutdown option is used for keeping the grid orders when shutting down bbgo
KeepOrdersWhenShutdown bool `json:"keepOrdersWhenShutdown"`
// log
logger *logrus.Entry
LogFields logrus.Fields `json:"logFields"`
// PrometheusLabels will be used as the base prometheus labels
PrometheusLabels prometheus.Labels `json:"prometheusLabels"`
// private field
mu sync.Mutex
takeProfitPrice fixedpoint.Value
startTimeOfNextRound time.Time
nextStateC chan State
state State
// callbacks
common.StatusCallbacks
positionCallbacks []func(*types.Position)
profitCallbacks []func(*ProfitStats)
}
func (s *Strategy) ID() string {
@ -60,8 +80,8 @@ func (s *Strategy) ID() string {
}
func (s *Strategy) Validate() error {
if s.MaxOrderNum < 1 {
return fmt.Errorf("maxOrderNum can not be < 1")
if s.MaxOrderCount < 1 {
return fmt.Errorf("maxOrderCount can not be < 1")
}
if s.TakeProfitRatio.Sign() <= 0 {
@ -88,7 +108,6 @@ func (s *Strategy) Defaults() error {
func (s *Strategy) Initialize() error {
s.logger = log.WithFields(s.LogFields)
s.Strategy = &common.Strategy{}
return nil
}
@ -101,8 +120,29 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
instanceID := s.InstanceID()
s.Session = session
if s.ProfitStats == nil {
s.ProfitStats = newProfitStats(s.Market, s.QuoteInvestment)
}
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
s.Position.Strategy = ID
s.Position.StrategyInstanceID = instanceID
if session.MakerFeeRate.Sign() > 0 || session.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(session.ExchangeName, types.ExchangeFee{
MakerFeeRate: session.MakerFeeRate,
TakerFeeRate: session.TakerFeeRate,
})
}
s.OrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.OrderExecutor.BindEnvironment(s.Environment)
s.OrderExecutor.Bind()
if s.OrderGroupID == 0 {
s.OrderGroupID = util.FNV32(instanceID) % math.MaxInt32
@ -151,22 +191,29 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
s.logger.Info("[DCA] user data stream authenticated")
time.AfterFunc(3*time.Second, func() {
if isInitialize := s.initializeNextStateC(); !isInitialize {
// recover
if err := s.recover(ctx); err != nil {
s.logger.WithError(err).Error("[DCA] something wrong when state recovering")
return
}
if s.RecoverWhenStart {
// recover
if err := s.recover(ctx); err != nil {
s.logger.WithError(err).Error("[DCA] something wrong when state recovering")
return
}
s.logger.Infof("[DCA] recovered state: %d", s.state)
s.logger.Infof("[DCA] recovered position %s", s.Position.String())
s.logger.Infof("[DCA] recovered budget %s", s.Budget)
s.logger.Infof("[DCA] recovered startTimeOfNextRound %s", s.startTimeOfNextRound)
s.logger.Infof("[DCA] state: %d", s.state)
s.logger.Infof("[DCA] position %s", s.Position.String())
s.logger.Infof("[DCA] profit stats %s", s.ProfitStats.String())
s.logger.Infof("[DCA] startTimeOfNextRound %s", s.startTimeOfNextRound)
} else {
s.state = WaitToOpenPosition
}
s.updateTakeProfitPrice()
// store persistence
bbgo.Sync(ctx, s)
// ready
s.EmitReady()
// start running state machine
s.runState(ctx)
}
@ -179,10 +226,23 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
}
balance := balances[s.Market.QuoteCurrency]
if balance.Available.Compare(s.Budget) < 0 {
return fmt.Errorf("the available balance of %s is %s which is less than budget setting %s, please check it", s.Market.QuoteCurrency, balance.Available, s.Budget)
if balance.Available.Compare(s.ProfitStats.QuoteInvestment) < 0 {
return fmt.Errorf("the available balance of %s is %s which is less than quote investment setting %s, please check it", s.Market.QuoteCurrency, balance.Available, s.ProfitStats.QuoteInvestment)
}
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
if s.KeepOrdersWhenShutdown {
s.logger.Infof("keepOrdersWhenShutdown is set, will keep the orders on the exchange")
return
}
if err := s.Close(ctx); err != nil {
s.logger.WithError(err).Errorf("dca2 graceful order cancel error")
}
})
return nil
}
@ -191,3 +251,86 @@ func (s *Strategy) updateTakeProfitPrice() {
s.takeProfitPrice = s.Market.TruncatePrice(s.Position.AverageCost.Mul(fixedpoint.One.Add(takeProfitRatio)))
s.logger.Infof("[DCA] cost: %s, ratio: %s, price: %s", s.Position.AverageCost, takeProfitRatio, s.takeProfitPrice)
}
func (s *Strategy) Close(ctx context.Context) error {
s.logger.Infof("[DCA] closing %s dca2", s.Symbol)
defer s.EmitClosed()
err := s.OrderExecutor.GracefulCancel(ctx)
if err != nil {
s.logger.WithError(err).Errorf("[DCA] there are errors when cancelling orders at close")
}
bbgo.Sync(ctx, s)
return err
}
func (s *Strategy) CleanUp(ctx context.Context) error {
_ = s.Initialize()
defer s.EmitClosed()
err := s.OrderExecutor.GracefulCancel(ctx)
if err != nil {
s.logger.WithError(err).Errorf("[DCA] there are errors when cancelling orders at clean up")
}
bbgo.Sync(ctx, s)
return err
}
func (s *Strategy) CalculateProfitOfCurrentRound(ctx context.Context) error {
historyService, ok := s.Session.Exchange.(types.ExchangeTradeHistoryService)
if !ok {
return fmt.Errorf("exchange %s doesn't support ExchangeTradeHistoryService", s.Session.Exchange.Name())
}
queryService, ok := s.Session.Exchange.(types.ExchangeOrderQueryService)
if !ok {
return fmt.Errorf("exchange %s doesn't support ExchangeOrderQueryService", s.Session.Exchange.Name())
}
// query the orders of this round
orders, err := historyService.QueryClosedOrders(ctx, s.Symbol, time.Time{}, time.Time{}, s.ProfitStats.FromOrderID)
if err != nil {
return err
}
// query the trades of this round
for _, order := range orders {
if order.OrderID > s.ProfitStats.FromOrderID {
s.ProfitStats.FromOrderID = order.OrderID
}
// skip not this strategy order
if order.GroupID != s.OrderGroupID {
continue
}
if order.ExecutedQuantity.Sign() == 0 {
// skip no trade orders
continue
}
s.logger.Infof("[DCA] calculate profit stats from order: %s", order.String())
trades, err := queryService.QueryOrderTrades(ctx, types.OrderQuery{
Symbol: order.Symbol,
OrderID: strconv.FormatUint(order.OrderID, 10),
})
if err != nil {
return err
}
for _, trade := range trades {
s.logger.Infof("[DCA] calculate profit stats from trade: %s", trade.String())
s.ProfitStats.AddTrade(trade)
}
}
s.ProfitStats.FromOrderID = s.ProfitStats.FromOrderID + 1
s.ProfitStats.QuoteInvestment = s.ProfitStats.QuoteInvestment.Add(s.ProfitStats.CurrentRoundProfit)
return nil
}

27
pkg/strategy/dca2/strategy_callbacks.go Normal file
View File

@ -0,0 +1,27 @@
// Code generated by "callbackgen -type Strategy"; DO NOT EDIT.
package dca2
import (
"github.com/c9s/bbgo/pkg/types"
)
func (s *Strategy) OnPosition(cb func(*types.Position)) {
s.positionCallbacks = append(s.positionCallbacks, cb)
}
func (s *Strategy) EmitPosition(position *types.Position) {
for _, cb := range s.positionCallbacks {
cb(position)
}
}
func (s *Strategy) OnProfit(cb func(*ProfitStats)) {
s.profitCallbacks = append(s.profitCallbacks, cb)
}
func (s *Strategy) EmitProfit(profitStats *ProfitStats) {
for _, cb := range s.profitCallbacks {
cb(profitStats)
}
}

18
pkg/types/persistence_ttl.go Normal file
View File

@ -0,0 +1,18 @@
package types
import "time"
type PersistenceTTL struct {
ttl time.Duration
}
func (p *PersistenceTTL) SetTTL(ttl time.Duration) {
if ttl.Nanoseconds() <= 0 {
return
}
p.ttl = ttl
}
func (p *PersistenceTTL) Expiration() time.Duration {
return p.ttl
}