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pull out ishalted method
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49e9c8bbcf
commit
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@ -19,7 +19,6 @@ type CircuitBreakRiskControl struct {
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lossThreshold fixedpoint.Value
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haltedDuration time.Duration
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isHalted bool
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haltedAt time.Time
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}
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@ -59,10 +58,10 @@ func (c *CircuitBreakRiskControl) IsHalted(t time.Time) bool {
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c.profitStats.TodayPnL.Float64(),
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unrealized.Float64())
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c.isHalted = unrealized.Add(c.profitStats.TodayPnL).Compare(c.lossThreshold) <= 0
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if c.isHalted {
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isHalted := unrealized.Add(c.profitStats.TodayPnL).Compare(c.lossThreshold) <= 0
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if isHalted {
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c.haltedAt = t
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}
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return c.isHalted
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return isHalted
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}
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@ -88,3 +88,7 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
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24*time.Hour)
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}
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}
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func (s *Strategy) IsHalted(t time.Time) bool {
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return s.circuitBreakRiskControl.IsHalted(t)
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}
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@ -4,6 +4,7 @@ import (
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"context"
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"fmt"
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"sync"
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"time"
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"github.com/sirupsen/logrus"
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@ -111,13 +112,12 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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session.UserDataStream.OnStart(func() {
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// you can place orders here when bbgo is started, this will be called only once.
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s.replenish(ctx)
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})
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s.activeOrderBook.OnFilled(func(order types.Order) {
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if s.activeOrderBook.NumOfOrders() == 0 {
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log.Infof("no active orders, replenish")
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s.replenish(ctx)
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s.replenish(ctx, order.UpdateTime.Time())
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}
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})
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@ -125,7 +125,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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log.Infof("%+v", kline)
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s.cancelOrders(ctx)
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s.replenish(ctx)
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s.replenish(ctx, kline.EndTime.Time())
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})
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// the shutdown handler, you can cancel all orders
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@ -143,7 +143,12 @@ func (s *Strategy) cancelOrders(ctx context.Context) {
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}
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}
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func (s *Strategy) replenish(ctx context.Context) {
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func (s *Strategy) replenish(ctx context.Context, t time.Time) {
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if s.IsHalted(t) {
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log.Infof("circuit break halted, not replenishing")
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return
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}
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submitOrders, err := s.generateSubmitOrders(ctx)
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if err != nil {
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log.WithError(err).Error("failed to generate submit orders")
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