lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

bollmaker: migrating state.position to strategy.position

Browse Source
This commit is contained in:
c9s 2022-05-05 09:54:50 +08:00
parent 918cb7842a
commit 58e8da914e
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 30 additions and 20 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

50
pkg/strategy/bollmaker/strategy.go
View File

@ -38,6 +38,7 @@ func init() {
}
type State struct {
// Deprecated: position is deprecated, please define the Position field in the strategy struct directly.
Position *types.Position `json:"position,omitempty"`
ProfitStats types.ProfitStats `json:"profitStats,omitempty"`
}
@ -147,6 +148,9 @@ type Strategy struct {
state *State
// TODO: we're moving position from state to outside
Position *types.Position `json:"position,omitempty" persistence:"position"`
activeMakerOrders *bbgo.LocalActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
@ -202,13 +206,13 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) CurrentPosition() *types.Position {
return s.state.Position
return s.Position
}
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
base := s.state.Position.GetBase()
base := s.Position.GetBase()
if base.IsZero() {
return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
return fmt.Errorf("no opened %s position", s.Position.Symbol)
}
// make it negative
@ -312,11 +316,6 @@ func (s *Strategy) LoadState() error {
log.Infof("state is restored: %+v", s.state)
}
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = types.NewPositionFromMarket(s.Market)
}
// init profit states
s.state.ProfitStats.Symbol = s.Market.Symbol
s.state.ProfitStats.BaseCurrency = s.Market.BaseCurrency
@ -353,7 +352,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
askPrice := midPrice.Mul(fixedpoint.One.Add(askSpread))
bidPrice := midPrice.Mul(fixedpoint.One.Sub(bidSpread))
base := s.state.Position.GetBase()
base := s.Position.GetBase()
balances := s.session.GetAccount().Balances()
log.Infof("mid price:%v spread: %s ask:%v bid: %v position: %s",
@ -361,7 +360,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
s.Spread.Percentage(),
askPrice,
bidPrice,
s.state.Position,
s.Position,
)
sellQuantity := s.QuantityOrAmount.CalculateQuantity(askPrice)
@ -488,7 +487,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
canSell = false
}
if midPrice.Compare(s.state.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))) < 0 {
if midPrice.Compare(s.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))) < 0 {
canSell = false
}
@ -509,7 +508,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
// condition for lower the average cost
/*
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
if midPrice < s.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
submitOrders = append(submitOrders, buyOrder)
}
*/
@ -606,8 +605,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return err
}
s.state.Position.Strategy = ID
s.state.Position.StrategyInstanceID = instanceID
// If position is nil, we need to allocate a new position for calculation
if s.Position == nil {
// fallback to the legacy position struct in the state
if s.state.Position != nil {
s.Position = s.state.Position
} else {
s.Position = types.NewPositionFromMarket(s.Market)
}
}
// Always update the position fields
s.Position.Strategy = ID
s.Position.StrategyInstanceID = instanceID
s.stopC = make(chan struct{})
@ -617,7 +627,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
// StrategyController
@ -629,10 +639,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.state.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.state.Position, trade, nil)
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.state.Position.NewProfit(trade, profit, netProfit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
s.Notify(&p)
@ -640,13 +650,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.state.ProfitStats.AddProfit(p)
s.Notify(&s.state.ProfitStats)
s.Environment.RecordPosition(s.state.Position, trade, &p)
s.Environment.RecordPosition(s.Position, trade, &p)
}
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
log.Infof("position changed: %s", s.state.Position)
s.Notify(s.state.Position)
log.Infof("position changed: %s", s.Position)
s.Notify(s.Position)
})
s.tradeCollector.BindStream(session.UserDataStream)