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https://github.com/c9s/bbgo.git
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xmaker: migrate xmaker persistence
This commit is contained in:
c9s
parent
10a7928580
commit
6635fd749d
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@ -9,12 +9,17 @@ import (
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type State struct {
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CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
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// Deprecated:
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Position *types.Position `json:"position,omitempty"`
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// Deprecated:
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ProfitStats ProfitStats `json:"profitStats,omitempty"`
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}
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type ProfitStats struct {
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types.ProfitStats
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*types.ProfitStats
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lock sync.Mutex
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MakerExchange types.ExchangeName `json:"makerExchange"`
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@ -13,7 +13,6 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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@ -98,6 +97,11 @@ type Strategy struct {
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state *State
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
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book *types.StreamOrderBook
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activeMakerOrders *bbgo.LocalActiveOrderBook
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@ -119,6 +123,10 @@ func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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@ -270,7 +278,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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// 1. place bid orders when we already bought too much
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// 2. place ask orders when we already sold too much
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if s.MaxExposurePosition.Sign() > 0 {
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pos := s.state.Position.GetBase()
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pos := s.Position.GetBase()
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if pos.Compare(s.MaxExposurePosition.Neg()) > 0 {
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// stop sell if we over-sell
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@ -565,9 +573,9 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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// if it's selling, than we should add positive position
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if side == types.SideTypeSell {
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s.state.CoveredPosition = s.state.CoveredPosition.Add(quantity)
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s.CoveredPosition = s.CoveredPosition.Add(quantity)
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} else {
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s.state.CoveredPosition = s.state.CoveredPosition.Add(quantity.Neg())
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s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
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}
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s.orderStore.Add(returnOrders...)
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@ -593,39 +601,10 @@ func (s *Strategy) LoadState() error {
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err == nil {
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s.state = &state
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}
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// if position is nil, we need to allocate a new position for calculation
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if s.state.Position == nil {
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s.state.Position = types.NewPositionFromMarket(s.makerMarket)
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}
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s.state.Position.Market = s.makerMarket
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s.state.ProfitStats.Symbol = s.makerMarket.Symbol
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s.state.ProfitStats.BaseCurrency = s.makerMarket.BaseCurrency
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s.state.ProfitStats.QuoteCurrency = s.makerMarket.QuoteCurrency
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s.state.ProfitStats.MakerExchange = s.makerSession.ExchangeName
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if s.state.ProfitStats.AccumulatedSince == 0 {
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s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
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}
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return nil
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}
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func (s *Strategy) SaveState() error {
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if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
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return err
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} else {
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log.Infof("%s state is saved => %+v", ID, s.state)
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}
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return nil
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}
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@ -708,25 +687,54 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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}, 1.0)
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// restore state
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instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
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instanceID := s.InstanceID()
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s.groupID = util.FNV32(instanceID)
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log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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if err := s.LoadState(); err != nil {
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return err
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} else {
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s.Notify("xmaker: %s position is restored", s.Symbol, s.state.Position)
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s.Notify("xmaker: %s position is restored", s.Symbol, s.Position)
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}
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if s.Position == nil {
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if s.state != nil && s.state.Position != nil {
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s.Position = s.state.Position
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} else {
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s.Position = types.NewPositionFromMarket(s.makerMarket)
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}
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// force update for legacy code
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s.Position.Market = s.makerMarket
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}
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if s.ProfitStats == nil {
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if s.state != nil {
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p2 := s.state.ProfitStats
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s.ProfitStats = &p2
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} else {
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s.ProfitStats = &ProfitStats{
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ProfitStats: types.NewProfitStats(s.makerMarket),
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MakerExchange: s.makerSession.ExchangeName,
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}
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}
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}
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if s.CoveredPosition.IsZero() {
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if s.state != nil && !s.CoveredPosition.IsZero() {
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s.CoveredPosition = s.state.CoveredPosition
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}
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}
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if s.makerSession.MakerFeeRate.Sign() > 0 || s.makerSession.TakerFeeRate.Sign() > 0 {
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s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), types.ExchangeFee{
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s.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), types.ExchangeFee{
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MakerFeeRate: s.makerSession.MakerFeeRate,
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TakerFeeRate: s.makerSession.TakerFeeRate,
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})
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}
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if s.sourceSession.MakerFeeRate.Sign() > 0 || s.sourceSession.TakerFeeRate.Sign() > 0 {
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s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
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s.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
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MakerFeeRate: s.sourceSession.MakerFeeRate,
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TakerFeeRate: s.sourceSession.TakerFeeRate,
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})
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@ -742,7 +750,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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s.orderStore.BindStream(s.sourceSession.UserDataStream)
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s.orderStore.BindStream(s.makerSession.UserDataStream)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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if s.NotifyTrade {
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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@ -753,27 +761,23 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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c := trade.PositionChange()
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if trade.Exchange == s.sourceSession.ExchangeName {
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s.state.CoveredPosition = s.state.CoveredPosition.Add(c)
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s.CoveredPosition = s.CoveredPosition.Add(c)
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}
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s.state.ProfitStats.AddTrade(trade)
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s.ProfitStats.AddTrade(trade)
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if profit.Compare(fixedpoint.Zero) == 0 {
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s.Environment.RecordPosition(s.state.Position, trade, nil)
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s.Environment.RecordPosition(s.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.state.Position.NewProfit(trade, profit, netProfit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.Notify(&p)
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s.state.ProfitStats.AddProfit(p)
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s.ProfitStats.AddProfit(p)
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s.Environment.RecordPosition(s.state.Position, trade, &p)
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}
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if err := s.SaveState(); err != nil {
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log.WithError(err).Error("save state error")
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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@ -824,7 +828,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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s.updateQuote(ctx, orderExecutionRouter)
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case <-reportTicker.C:
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s.Notifiability.Notify(&s.state.ProfitStats)
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s.Notifiability.Notify(&s.ProfitStats)
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case <-tradeScanTicker.C:
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log.Infof("scanning trades from %s ago...", tradeScanInterval)
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@ -846,15 +850,15 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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// uncover position = -5 - -3 (covered position) = -2
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s.tradeCollector.Process()
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position := s.state.Position.GetBase()
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position := s.Position.GetBase()
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uncoverPosition := position.Sub(s.state.CoveredPosition)
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uncoverPosition := position.Sub(s.CoveredPosition)
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absPos := uncoverPosition.Abs()
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if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
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log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
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s.Symbol,
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position,
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s.state.CoveredPosition,
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s.CoveredPosition,
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uncoverPosition,
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)
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@ -879,11 +883,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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log.WithError(err).Errorf("graceful cancel error")
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}
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if err := s.SaveState(); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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} else {
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s.Notify("%s: %s position is saved", ID, s.Symbol, s.state.Position)
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}
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s.Notify("%s: %s position", ID, s.Symbol, s.Position)
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})
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return nil
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