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xmaker: call signalConfig.TradeVolumeWindowSignal.Bind

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This commit is contained in:
c9s 2024-09-04 16:07:28 +08:00
parent ba73eeaad1
commit 656112de45
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 16 additions and 3 deletions
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15
pkg/strategy/xmaker/signal_trade.go
View File

@ -2,6 +2,7 @@ package xmaker
import (
"context"
"sync"
"time"
"github.com/prometheus/client_golang/prometheus"
@ -27,10 +28,14 @@ type TradeVolumeWindowSignal struct {
trades []types.Trade
symbol string
mu sync.Mutex
}
func (s *TradeVolumeWindowSignal) handleTrade(trade types.Trade) {
s.mu.Lock()
s.trades = append(s.trades, trade)
s.mu.Unlock()
}
func (s *TradeVolumeWindowSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
@ -52,6 +57,9 @@ func (s *TradeVolumeWindowSignal) filterTrades(now time.Time) []types.Trade {
startTime := now.Add(-time.Duration(s.Window))
startIdx := 0
s.mu.Lock()
defer s.mu.Unlock()
for idx, td := range s.trades {
// skip trades before the start time
if td.Time.Before(startTime) {
@ -62,8 +70,9 @@ func (s *TradeVolumeWindowSignal) filterTrades(now time.Time) []types.Trade {
break
}
s.trades = s.trades[startIdx:]
return s.trades
trades := s.trades[startIdx:]
s.trades = trades
return trades
}
func (s *TradeVolumeWindowSignal) calculateTradeVolume(trades []types.Trade) (buyVolume, sellVolume float64) {
@ -95,7 +104,7 @@ func (s *TradeVolumeWindowSignal) CalculateSignal(ctx context.Context) (float64,
sig = -(sellRatio - threshold) / 2.0
}
log.Infof("[TradeVolumeWindowSignal] sig: %f buy/sell = %f/%f", sig, buyVolume, sellVolume)
log.Infof("[TradeVolumeWindowSignal] %f buy/sell = %f/%f", sig, buyVolume, sellVolume)
tradeVolumeWindowSignalMetrics.WithLabelValues(s.symbol).Set(sig)
return sig, nil

4
pkg/strategy/xmaker/strategy.go
View File

@ -1373,6 +1373,10 @@ func (s *Strategy) CrossRun(
if err := signalConfig.BollingerBandTrendSignal.Bind(ctx, s.sourceSession, s.Symbol); err != nil {
return err
}
} else if signalConfig.TradeVolumeWindowSignal != nil {
if err := signalConfig.TradeVolumeWindowSignal.Bind(ctx, s.sourceSession, s.Symbol); err != nil {
return err
}
}
}