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

FEATURE: [dca2] add callbacks and shutdown function

config/dca2.yaml

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

pkg/strategy/common/callbacks.go

@@ -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)
+	}
+}

pkg/strategy/dca2/open_position.go

@@ -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
-}

pkg/strategy/dca2/open_position_test.go

@@ -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
 		}

pkg/strategy/dca2/profit_stats.go

@@ -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()
+}

pkg/strategy/dca2/recover.go

@@ -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
+	// recover profit stats
-	budget := recoverBudget(currentRound)
+	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 {
+	} else if numOpenPositionOrders < maxOrderCount {
-		// The number of open-position orders should be the same as maxOrderNum
+		// 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
 	}

pkg/strategy/dca2/state.go

@@ -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.logger.Info("[State] TakeProfitReady - start reseting position and calculate quote investment for next round")
-	s.Budget = s.Budget.Add(s.Position.Quote)
 
-	// reset position
+	// calculate profit stats
-	s.Position.Reset()
+	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())

pkg/strategy/dca2/strategy.go

@@ -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
+	Environment   *bbgo.Environment
-	Market      types.Market
+	Session       *bbgo.ExchangeSession
+	OrderExecutor *bbgo.GeneralOrderExecutor
+	Market        types.Market
 
 	Symbol string `json:"symbol"`
 
 	// setting
-	Budget           fixedpoint.Value `json:"budget"`
+	QuoteInvestment  fixedpoint.Value `json:"quoteInvestment"`
-	MaxOrderNum      int64            `json:"maxOrderNum"`
+	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 {
+	if s.MaxOrderCount < 1 {
-		return fmt.Errorf("maxOrderNum can not be < 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 s.RecoverWhenStart {
-				if err := s.recover(ctx); err != nil {
+					// recover
-					s.logger.WithError(err).Error("[DCA] something wrong when state recovering")
+					if err := s.recover(ctx); err != nil {
-					return
+						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] state: %d", s.state)
-				s.logger.Infof("[DCA] recovered position %s", s.Position.String())
+					s.logger.Infof("[DCA] position %s", s.Position.String())
-				s.logger.Infof("[DCA] recovered budget %s", s.Budget)
+					s.logger.Infof("[DCA] profit stats %s", s.ProfitStats.String())
-				s.logger.Infof("[DCA] recovered startTimeOfNextRound %s", s.startTimeOfNextRound)
+					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 {
+	if balance.Available.Compare(s.ProfitStats.QuoteInvestment) < 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)
+		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
+}

pkg/strategy/dca2/strategy_callbacks.go

@@ -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)
+	}
+}

pkg/types/persistence_ttl.go

@@ -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
+}