mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-25 16:25:16 +00:00
Merge pull request #756 from c9s/improve/persistence-api
refactor: clean up rsmaker, xbalance, dca, pivotshort strategies
This commit is contained in:
commit
7737083d7d
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@ -91,14 +91,18 @@ func (p *Persistence) Sync(obj interface{}) error {
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}
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// Sync syncs the object properties into the persistence layer
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func Sync(obj interface{}) error {
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func Sync(obj interface{}) {
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id := callID(obj)
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if len(id) == 0 {
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return nil
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log.Warnf("InstanceID() is not provided, can not sync persistence")
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return
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}
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ps := PersistenceServiceFacade.Get()
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return storePersistenceFields(obj, id, ps)
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err := storePersistenceFields(obj, id, ps)
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if err != nil {
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log.WithError(err).Errorf("persistence sync failed")
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}
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}
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func loadPersistenceFields(obj interface{}, id string, persistence service.PersistenceService) error {
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@ -12,6 +12,15 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type TestStructWithoutInstanceID struct {
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Symbol string
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}
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func (s *TestStructWithoutInstanceID) ID() string {
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return "test-struct-no-instance-id"
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}
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type TestStruct struct {
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*Environment
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*Graceful
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@ -48,8 +57,16 @@ func preparePersistentServices() []service.PersistenceService {
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}
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func Test_callID(t *testing.T) {
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t.Run("default", func(t *testing.T) {
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id := callID(&TestStruct{})
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assert.NotEmpty(t, id)
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assert.Equal(t, "test-struct", id)
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})
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t.Run("fallback", func(t *testing.T) {
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id := callID(&TestStructWithoutInstanceID{Symbol: "BTCUSDT"})
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assert.Equal(t, "test-struct-no-instance-id:BTCUSDT", id)
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})
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}
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func Test_loadPersistenceFields(t *testing.T) {
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@ -18,7 +18,17 @@ func callID(obj interface{}) string {
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ret := m.Call(nil)
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return ret[0].String()
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}
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return ""
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if symbol, ok := isSymbolBasedStrategy(sv); ok {
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m := sv.MethodByName("ID")
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ret := m.Call(nil)
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return ret[0].String() + ":" + symbol
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}
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// fallback to just ID
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m := sv.MethodByName("ID")
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ret := m.Call(nil)
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return ret[0].String() + ":"
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}
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func isSymbolBasedStrategy(rs reflect.Value) (string, bool) {
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@ -158,8 +158,6 @@ type Strategy struct {
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groupID uint32
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stopC chan struct{}
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// defaultBoll is the BOLLINGER indicator we used for predicting the price.
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defaultBoll *indicator.BOLL
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@ -215,34 +213,7 @@ func (s *Strategy) CurrentPosition() *types.Position {
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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}
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bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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_, err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
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return err
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return s.orderExecutor.ClosePosition(ctx, percentage)
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}
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// Deprecated: LoadState method is migrated to the persistence struct tag.
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@ -494,7 +465,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.OnSuspend(func() {
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s.Status = types.StrategyStatusStopped
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_ = s.orderExecutor.GracefulCancel(ctx)
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_ = s.Persistence.Sync(s)
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bbgo.Sync(s)
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})
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s.OnEmergencyStop(func() {
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@ -574,18 +545,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.Bind()
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s.stopC = make(chan struct{})
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// TODO: migrate persistance to singleton
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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if err := s.Persistence.Sync(s); err != nil {
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log.WithError(err).Errorf("can not sync state to persistence")
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}
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bbgo.Sync(s)
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})
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s.SmartStops.RunStopControllers(ctx, session, s.orderExecutor.TradeCollector())
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if s.Environment.IsBackTesting() {
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if bbgo.IsBackTesting {
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log.Warn("turning of useTickerPrice option in the back-testing environment...")
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s.UseTickerPrice = false
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}
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@ -652,7 +618,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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close(s.stopC)
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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@ -48,7 +48,6 @@ func (b BudgetPeriod) Duration() time.Duration {
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// Strategy is the Dollar-Cost-Average strategy
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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@ -71,11 +70,8 @@ type Strategy struct {
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BudgetQuota fixedpoint.Value `persistence:"budget_quota"`
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BudgetPeriodStartTime time.Time `persistence:"budget_period_start_time"`
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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bbgo.StrategyController
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}
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@ -88,74 +84,19 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.InvestmentInterval})
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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}
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// s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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return err
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return s.orderExecutor.ClosePosition(ctx, percentage)
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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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// check if position can be close or not
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func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
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return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
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func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
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if s.BudgetQuota.IsZero() {
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s.BudgetQuota = s.Budget
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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@ -165,50 +106,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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instanceID := s.InstanceID()
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if s.BudgetQuota.IsZero() {
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s.BudgetQuota = s.Budget
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}
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s.session = session
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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numOfInvestmentPerPeriod := fixedpoint.NewFromFloat(float64(s.BudgetPeriod.Duration()) / float64(s.InvestmentInterval.Duration()))
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s.budgetPerInvestment = s.Budget.Div(numOfInvestmentPerPeriod)
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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bbgo.Notify(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.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.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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bbgo.Notify(&p)
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s.ProfitStats.AddProfit(p)
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bbgo.Notify(&s.ProfitStats)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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s.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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s.BudgetQuota = s.BudgetQuota.Sub(trade.QuoteQuantity)
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", s.Position)
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bbgo.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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session.UserDataStream.OnStart(func() {})
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session.MarketDataStream.OnKLine(func(kline types.KLine) {})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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@ -234,13 +143,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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price := kline.Close
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quantity := s.budgetPerInvestment.Div(price)
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s.submitOrders(ctx, orderExecutor, types.SubmitOrder{
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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})
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if err != nil {
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log.WithError(err).Errorf("submit order failed")
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}
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})
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return nil
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|
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@ -51,8 +51,6 @@ type Strategy struct {
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KLineEndTime types.Time
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*bbgo.Environment
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*bbgo.Notifiability
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*bbgo.Persistence
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*bbgo.Graceful
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bbgo.StrategyController
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@ -78,7 +78,6 @@ type Exit struct {
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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@ -163,35 +162,16 @@ func (s *Strategy) placeMarketSell(ctx context.Context, quantity fixedpoint.Valu
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})
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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) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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submitOrder := s.Position.NewMarketCloseOrder(percentage) // types.SubmitOrder{
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if submitOrder == nil {
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return nil
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
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}
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bbgo.Notify("Closing %s position by %f", s.Symbol, percentage.Float64())
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log.Infof("Closing %s position by %f", s.Symbol, percentage.Float64())
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_, err := s.orderExecutor.SubmitOrders(ctx, *submitOrder)
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if err != nil {
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bbgo.Notify("close %s position error", s.Symbol)
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log.WithError(err).Errorf("close %s position error", s.Symbol)
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}
|
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return err
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}
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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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return s.orderExecutor.ClosePosition(ctx, percentage)
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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|
@ -205,7 +185,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
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s.ProfitStats = types.NewProfitStats(s.Market)
|
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}
|
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|
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// trade stats
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if s.TradeStats == nil {
|
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s.TradeStats = &types.TradeStats{}
|
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}
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@ -231,6 +210,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
|
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
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bbgo.Sync(s)
|
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})
|
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s.orderExecutor.Bind()
|
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|
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store, _ := session.MarketDataStore(s.Symbol)
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|
|
|
@ -4,32 +4,23 @@ import (
|
|||
"context"
|
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"fmt"
|
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"math"
|
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"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
|
||||
"github.com/pkg/errors"
|
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"github.com/sirupsen/logrus"
|
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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/service"
|
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"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/muesli/clusters"
|
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"github.com/muesli/kmeans"
|
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)
|
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|
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// TODO:
|
||||
// 1) add option for placing orders only when in neutral band
|
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// 2) add option for only placing buy orders when price is below the SMA line
|
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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/types"
|
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)
|
||||
|
||||
const ID = "rsmaker"
|
||||
|
||||
const stateKey = "state-v1"
|
||||
|
||||
var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
|
||||
var notionModifier = fixedpoint.NewFromFloat(1.1)
|
||||
var two = fixedpoint.NewFromInt(2)
|
||||
|
||||
var log = logrus.WithField("strategy", ID)
|
||||
|
||||
|
@ -37,20 +28,9 @@ func init() {
|
|||
bbgo.RegisterStrategy(ID, &Strategy{})
|
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}
|
||||
|
||||
type State struct {
|
||||
Position *types.Position `json:"position,omitempty"`
|
||||
ProfitStats types.ProfitStats `json:"profitStats,omitempty"`
|
||||
}
|
||||
|
||||
type BollingerSetting struct {
|
||||
types.IntervalWindow
|
||||
BandWidth float64 `json:"bandWidth"`
|
||||
}
|
||||
|
||||
type Strategy struct {
|
||||
*bbgo.Graceful
|
||||
*bbgo.Notifiability
|
||||
*bbgo.Persistence
|
||||
|
||||
Environment *bbgo.Environment
|
||||
StandardIndicatorSet *bbgo.StandardIndicatorSet
|
||||
|
@ -114,11 +94,11 @@ type Strategy struct {
|
|||
// NeutralBollinger is the smaller range of the bollinger band
|
||||
// If price is in this band, it usually means the price is oscillating.
|
||||
// If price goes out of this band, we tend to not place sell orders or buy orders
|
||||
NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
|
||||
NeutralBollinger *types.BollingerSetting `json:"neutralBollinger"`
|
||||
|
||||
// DefaultBollinger is the wide range of the bollinger band
|
||||
// for controlling your exposure position
|
||||
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
|
||||
DefaultBollinger *types.BollingerSetting `json:"defaultBollinger"`
|
||||
|
||||
// DowntrendSkew is the order quantity skew for normal downtrend band.
|
||||
// The price is still in the default bollinger band.
|
||||
|
@ -140,21 +120,18 @@ type Strategy struct {
|
|||
ShadowProtection bool `json:"shadowProtection"`
|
||||
ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
|
||||
|
||||
Position *types.Position `persistence:"position"`
|
||||
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
|
||||
TradeStats *types.TradeStats `persistence:"trade_stats"`
|
||||
|
||||
bbgo.SmartStops
|
||||
|
||||
session *bbgo.ExchangeSession
|
||||
orderExecutor *bbgo.GeneralOrderExecutor
|
||||
book *types.StreamOrderBook
|
||||
|
||||
state *State
|
||||
|
||||
activeMakerOrders *bbgo.ActiveOrderBook
|
||||
orderStore *bbgo.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
|
||||
groupID uint32
|
||||
|
||||
stopC chan struct{}
|
||||
|
||||
// defaultBoll is the BOLLINGER indicator we used for predicting the price.
|
||||
defaultBoll *indicator.BOLL
|
||||
|
||||
|
@ -177,23 +154,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
Interval: s.Interval,
|
||||
})
|
||||
|
||||
//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
// Interval: types.Interval12h.String(),
|
||||
//})
|
||||
|
||||
//if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
|
||||
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
// Interval: string(s.DefaultBollinger.Interval),
|
||||
// })
|
||||
//}
|
||||
//
|
||||
//if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
|
||||
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
// Interval: string(s.NeutralBollinger.Interval),
|
||||
// })
|
||||
//}
|
||||
|
||||
// s.SmartStops.Subscribe(session)
|
||||
}
|
||||
|
||||
|
@ -206,50 +166,14 @@ 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()
|
||||
if base.IsZero() {
|
||||
return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
|
||||
}
|
||||
|
||||
// make it negative
|
||||
quantity := base.Mul(percentage).Abs()
|
||||
side := types.SideTypeBuy
|
||||
if base.Sign() > 0 {
|
||||
side = types.SideTypeSell
|
||||
}
|
||||
|
||||
if quantity.Compare(s.Market.MinQuantity) < 0 {
|
||||
return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
|
||||
}
|
||||
|
||||
submitOrder := types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: side,
|
||||
Type: types.OrderTypeMarket,
|
||||
Quantity: quantity,
|
||||
Market: s.Market,
|
||||
}
|
||||
|
||||
s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
|
||||
|
||||
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("can not place position close order")
|
||||
}
|
||||
|
||||
s.orderStore.Add(createdOrders...)
|
||||
s.activeMakerOrders.Add(createdOrders...)
|
||||
s.tradeCollector.Process()
|
||||
|
||||
return err
|
||||
return s.orderExecutor.ClosePosition(ctx, percentage)
|
||||
}
|
||||
|
||||
// StrategyController
|
||||
|
||||
func (s *Strategy) GetStatus() types.StrategyStatus {
|
||||
return s.status
|
||||
}
|
||||
|
@ -257,23 +181,11 @@ func (s *Strategy) GetStatus() types.StrategyStatus {
|
|||
func (s *Strategy) Suspend(ctx context.Context) error {
|
||||
s.status = types.StrategyStatusStopped
|
||||
|
||||
// Cancel all order
|
||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("graceful cancel order error")
|
||||
s.Notify("graceful cancel order error")
|
||||
} else {
|
||||
s.Notify("All orders cancelled.")
|
||||
}
|
||||
|
||||
s.tradeCollector.Process()
|
||||
|
||||
// Save state
|
||||
if err := s.SaveState(); err != nil {
|
||||
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
||||
} else {
|
||||
log.Infof("%s position is saved.", s.Symbol)
|
||||
}
|
||||
|
||||
bbgo.Sync(s)
|
||||
return nil
|
||||
}
|
||||
|
||||
|
@ -283,57 +195,6 @@ func (s *Strategy) Resume(ctx context.Context) error {
|
|||
return nil
|
||||
}
|
||||
|
||||
//func (s *Strategy) EmergencyStop(ctx context.Context) error {
|
||||
// // Close 100% position
|
||||
// percentage, _ := fixedpoint.NewFromString("100%")
|
||||
// err := s.ClosePosition(ctx, percentage)
|
||||
//
|
||||
// // Suspend strategy
|
||||
// _ = s.Suspend(ctx)
|
||||
//
|
||||
// return err
|
||||
//}
|
||||
|
||||
func (s *Strategy) SaveState() error {
|
||||
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
log.Infof("state is saved => %+v", s.state)
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) LoadState() error {
|
||||
var state State
|
||||
|
||||
// load position
|
||||
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
|
||||
if err != service.ErrPersistenceNotExists {
|
||||
return err
|
||||
}
|
||||
|
||||
s.state = &State{}
|
||||
} else {
|
||||
s.state = &state
|
||||
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
|
||||
s.state.ProfitStats.QuoteCurrency = s.Market.QuoteCurrency
|
||||
if s.state.ProfitStats.AccumulatedSince == 0 {
|
||||
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fixedpoint.Value, error) {
|
||||
if s.DynamicExposurePositionScale != nil {
|
||||
v, err := s.DynamicExposurePositionScale.Scale(bandPercentage)
|
||||
|
@ -346,16 +207,7 @@ func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fi
|
|||
return s.MaxExposurePosition, nil
|
||||
}
|
||||
|
||||
func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, klines []*types.KLine) {
|
||||
//bidSpread := s.Spread
|
||||
//if s.BidSpread.Sign() > 0 {
|
||||
// bidSpread = s.BidSpread
|
||||
//}
|
||||
//
|
||||
//askSpread := s.Spread
|
||||
//if s.AskSpread.Sign() > 0 {
|
||||
// askSpread = s.AskSpread
|
||||
//}
|
||||
func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, klines []*types.KLine) {
|
||||
// preprocessing
|
||||
max := 0.
|
||||
min := 100000.
|
||||
|
@ -433,16 +285,9 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
|
|||
// }
|
||||
// midPrice.Mul(fixedpoint.One.Add(askSpread))
|
||||
// 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",
|
||||
// midPrice,
|
||||
// s.Spread.Percentage(),
|
||||
// askPrice,
|
||||
// bidPrice,
|
||||
// s.state.Position,
|
||||
//)
|
||||
canSell := true
|
||||
canBuy := true
|
||||
|
||||
|
@ -522,106 +367,13 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
|
|||
}
|
||||
}
|
||||
|
||||
//if s.ShadowProtection && kline != nil {
|
||||
// switch kline.Direction() {
|
||||
// case types.DirectionDown:
|
||||
// shadowHeight := kline.GetLowerShadowHeight()
|
||||
// shadowRatio := kline.GetLowerShadowRatio()
|
||||
// if shadowHeight.IsZero() && shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
|
||||
// log.Infof("%s shadow protection enabled, lower shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
|
||||
// canBuy = false
|
||||
// }
|
||||
// case types.DirectionUp:
|
||||
// shadowHeight := kline.GetUpperShadowHeight()
|
||||
// shadowRatio := kline.GetUpperShadowRatio()
|
||||
// if shadowHeight.IsZero() || shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
|
||||
// log.Infof("%s shadow protection enabled, upper shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
|
||||
// canSell = false
|
||||
// }
|
||||
// }
|
||||
//}
|
||||
|
||||
// Apply quantity skew
|
||||
// CASE #1:
|
||||
// WHEN: price is in the neutral bollginer band (window 1) == neutral
|
||||
// THEN: we don't apply skew
|
||||
// CASE #2:
|
||||
// WHEN: price is in the upper band (window 2 > price > window 1) == upTrend
|
||||
// THEN: we apply upTrend skew
|
||||
// CASE #3:
|
||||
// WHEN: price is in the lower band (window 2 < price < window 1) == downTrend
|
||||
// THEN: we apply downTrend skew
|
||||
// CASE #4:
|
||||
// WHEN: price breaks the lower band (price < window 2) == strongDownTrend
|
||||
// THEN: we apply strongDownTrend skew
|
||||
// CASE #5:
|
||||
// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
|
||||
// THEN: we apply strongUpTrend skew
|
||||
//if s.TradeInBand {
|
||||
// if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
|
||||
// log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
|
||||
// return
|
||||
// }
|
||||
//}
|
||||
|
||||
//revmacd := s.detectPriceTrend(s.neutralBoll, midPrice.Float64())
|
||||
//switch revmacd {
|
||||
//case NeutralTrend:
|
||||
// // do nothing
|
||||
//
|
||||
//case UpTrend:
|
||||
// skew := s.UptrendSkew
|
||||
// buyOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, sellOrder.Quantity.Mul(skew))
|
||||
//
|
||||
//case DownTrend:
|
||||
// skew := s.DowntrendSkew
|
||||
// ratio := fixedpoint.One.Div(skew)
|
||||
// sellOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, buyOrder.Quantity.Mul(ratio))
|
||||
//
|
||||
//}
|
||||
|
||||
//if !hasQuoteBalance || buyOrder.Quantity.Mul(buyOrder.Price).Compare(quoteBalance.Available) > 0 {
|
||||
// canBuy = false
|
||||
//}
|
||||
//
|
||||
//if !hasBaseBalance || sellOrder.Quantity.Compare(baseBalance.Available) > 0 {
|
||||
// canSell = false
|
||||
//}
|
||||
|
||||
//if midPrice.Compare(s.state.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))) < 0 {
|
||||
// canSell = false
|
||||
//}
|
||||
|
||||
//if s.Long != nil && *s.Long && base.Sub(sellOrder.Quantity).Sign() < 0 {
|
||||
// canSell = false
|
||||
//}
|
||||
//
|
||||
//if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
|
||||
// canBuy = false
|
||||
//}
|
||||
|
||||
if canSell {
|
||||
submitSellOrders = append(submitSellOrders, sellOrder)
|
||||
//sellOrder = s.adjustOrderPrice(sellOrder, false)
|
||||
//submitSellOrders = append(submitSellOrders, sellOrder)
|
||||
//sellOrder = s.adjustOrderPrice(sellOrder, false)
|
||||
//submitSellOrders = append(submitSellOrders, sellOrder)
|
||||
}
|
||||
if canBuy {
|
||||
submitBuyOrders = append(submitBuyOrders, buyOrder)
|
||||
//buyOrder = s.adjustOrderPrice(buyOrder, true)
|
||||
//submitBuyOrders = append(submitBuyOrders, buyOrder)
|
||||
//buyOrder = s.adjustOrderPrice(buyOrder, true)
|
||||
//submitBuyOrders = append(submitBuyOrders, buyOrder)
|
||||
}
|
||||
|
||||
// condition for lower the average cost
|
||||
/*
|
||||
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
|
||||
submitOrders = append(submitOrders, buyOrder)
|
||||
}
|
||||
*/
|
||||
|
||||
for i := range submitBuyOrders {
|
||||
submitBuyOrders[i] = s.adjustOrderQuantity(submitBuyOrders[i])
|
||||
}
|
||||
|
@ -630,44 +382,12 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
|
|||
submitSellOrders[i] = s.adjustOrderQuantity(submitSellOrders[i])
|
||||
}
|
||||
|
||||
createdBuyOrders, err := orderExecutor.SubmitOrders(ctx, submitBuyOrders...)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("can not place ping pong orders")
|
||||
if _, err := s.orderExecutor.SubmitOrders(ctx, submitBuyOrders...); err != nil {
|
||||
log.WithError(err).Errorf("can not place orders")
|
||||
}
|
||||
s.orderStore.Add(createdBuyOrders...)
|
||||
s.activeMakerOrders.Add(createdBuyOrders...)
|
||||
|
||||
createdSellOrders, err := orderExecutor.SubmitOrders(ctx, submitSellOrders...)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("can not place ping pong orders")
|
||||
if _, err := s.orderExecutor.SubmitOrders(ctx, submitSellOrders...); err != nil {
|
||||
log.WithError(err).Errorf("can not place orders")
|
||||
}
|
||||
s.orderStore.Add(createdSellOrders...)
|
||||
s.activeMakerOrders.Add(createdSellOrders...)
|
||||
}
|
||||
|
||||
type PriceTrend string
|
||||
|
||||
const (
|
||||
NeutralTrend PriceTrend = "neutral"
|
||||
UpTrend PriceTrend = "upTrend"
|
||||
DownTrend PriceTrend = "downTrend"
|
||||
UnknownTrend PriceTrend = "unknown"
|
||||
)
|
||||
|
||||
func (s *Strategy) detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
|
||||
if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) {
|
||||
return NeutralTrend
|
||||
}
|
||||
|
||||
if price < inc.LastDownBand() {
|
||||
return DownTrend
|
||||
}
|
||||
|
||||
if price > inc.LastUpBand() {
|
||||
return UpTrend
|
||||
}
|
||||
|
||||
return UnknownTrend
|
||||
}
|
||||
|
||||
func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
|
||||
|
@ -682,121 +402,40 @@ func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.Subm
|
|||
return submitOrder
|
||||
}
|
||||
|
||||
func (s *Strategy) adjustOrderPrice(submitOrder types.SubmitOrder, side bool) types.SubmitOrder {
|
||||
func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
|
||||
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
|
||||
|
||||
if side {
|
||||
submitOrder.Price = submitOrder.Price.Mul(fixedpoint.NewFromFloat(0.995))
|
||||
} else {
|
||||
submitOrder.Price = submitOrder.Price.Mul(fixedpoint.NewFromFloat(1.005))
|
||||
}
|
||||
|
||||
return submitOrder
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
// StrategyController
|
||||
s.status = types.StrategyStatusRunning
|
||||
|
||||
//if s.DisableShort {
|
||||
// s.Long = &[]bool{true}[0]
|
||||
//}
|
||||
//
|
||||
//if s.MinProfitSpread.IsZero() {
|
||||
// s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
|
||||
//}
|
||||
//
|
||||
//if s.UptrendSkew.IsZero() {
|
||||
// s.UptrendSkew = fixedpoint.NewFromFloat(1.0 / 1.2)
|
||||
//}
|
||||
//
|
||||
//if s.DowntrendSkew.IsZero() {
|
||||
// s.DowntrendSkew = fixedpoint.NewFromFloat(1.2)
|
||||
//}
|
||||
//
|
||||
//if s.ShadowProtectionRatio.IsZero() {
|
||||
// s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
|
||||
//}
|
||||
if s.Position == nil {
|
||||
s.Position = types.NewPositionFromMarket(s.Market)
|
||||
}
|
||||
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
|
||||
if s.TradeStats == nil {
|
||||
s.TradeStats = &types.TradeStats{}
|
||||
}
|
||||
|
||||
// initial required information
|
||||
s.session = session
|
||||
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
||||
s.orderExecutor.BindEnvironment(s.Environment)
|
||||
s.orderExecutor.BindProfitStats(s.ProfitStats)
|
||||
s.orderExecutor.BindTradeStats(s.TradeStats)
|
||||
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
bbgo.Sync(s)
|
||||
})
|
||||
s.orderExecutor.Bind()
|
||||
|
||||
s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
|
||||
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
|
||||
|
||||
// calculate group id for orders
|
||||
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
|
||||
//s.groupID = max.GenerateGroupID(instanceID)
|
||||
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
|
||||
|
||||
// restore state
|
||||
if err := s.LoadState(); err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
s.state.Position.Strategy = ID
|
||||
s.state.Position.StrategyInstanceID = instanceID
|
||||
|
||||
//s.stopC = make(chan struct{})
|
||||
|
||||
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
||||
s.activeMakerOrders.BindStream(session.UserDataStream)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(session.UserDataStream)
|
||||
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
|
||||
|
||||
//s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
||||
// // StrategyController
|
||||
// if s.status != types.StrategyStatusRunning {
|
||||
// return
|
||||
// }
|
||||
//
|
||||
// s.Notifiability.Notify(trade)
|
||||
// s.state.ProfitStats.AddTrade(trade)
|
||||
//
|
||||
// if profit.Compare(fixedpoint.Zero) == 0 {
|
||||
// s.Environment.RecordPosition(s.state.Position, trade, nil)
|
||||
// } else {
|
||||
// log.Infof("%s generated profit: %v", s.Symbol, profit)
|
||||
// p := s.state.Position.NewProfit(trade, profit, netProfit)
|
||||
// p.Strategy = ID
|
||||
// p.StrategyInstanceID = instanceID
|
||||
// s.Notify(&p)
|
||||
//
|
||||
// s.state.ProfitStats.AddProfit(p)
|
||||
// s.Notify(&s.state.ProfitStats)
|
||||
//
|
||||
// s.Environment.RecordPosition(s.state.Position, trade, &p)
|
||||
// }
|
||||
//})
|
||||
//
|
||||
//s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
||||
// log.Infof("position changed: %s", s.state.Position)
|
||||
// s.Notify(s.state.Position)
|
||||
//})
|
||||
|
||||
s.tradeCollector.BindStream(session.UserDataStream)
|
||||
|
||||
// s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
|
||||
|
||||
//session.UserDataStream.OnStart(func() {
|
||||
//if s.UseTickerPrice {
|
||||
// ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
||||
// if err != nil {
|
||||
// return
|
||||
// }
|
||||
//
|
||||
// midPrice := ticker.Buy.Add(ticker.Sell).Div(two)
|
||||
// s.placeOrders(ctx, orderExecutor, midPrice, nil)
|
||||
//} else {
|
||||
// if price, ok := session.LastPrice(s.Symbol); ok {
|
||||
// s.placeOrders(ctx, orderExecutor, price, nil)
|
||||
// }
|
||||
//}
|
||||
//})
|
||||
|
||||
var klines []*types.KLine
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
// StrategyController
|
||||
if s.status != types.StrategyStatusRunning {
|
||||
|
@ -810,59 +449,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
if kline.Interval == s.Interval {
|
||||
klines = append(klines, &kline)
|
||||
}
|
||||
|
||||
if len(klines) > 50 {
|
||||
//if s.UseTickerPrice {
|
||||
// ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
||||
// if err != nil {
|
||||
// return
|
||||
// }
|
||||
//
|
||||
// midPrice := ticker.Buy.Add(ticker.Sell).Div(two)
|
||||
// log.Infof("using ticker price: bid %v / ask %v, mid price %v", ticker.Buy, ticker.Sell, midPrice)
|
||||
// s.placeOrders(ctx, orderExecutor, midPrice, klines[len(klines)-100:])
|
||||
// s.tradeCollector.Process()
|
||||
//}
|
||||
//else {
|
||||
if kline.Interval == s.Interval {
|
||||
|
||||
//if s.state.Position.AverageCost.Div(kline.Close).Float64() < 0.999 {
|
||||
// s.ClosePosition(ctx, fixedpoint.One)
|
||||
// s.tradeCollector.Process()
|
||||
//}
|
||||
|
||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("graceful cancel order error")
|
||||
}
|
||||
|
||||
// check if there is a canceled order had partially filled.
|
||||
s.tradeCollector.Process()
|
||||
|
||||
s.placeOrders(ctx, orderExecutor, kline.Close, klines[len(klines)-50:])
|
||||
s.tradeCollector.Process()
|
||||
s.placeOrders(ctx, kline.Close, klines[len(klines)-50:])
|
||||
}
|
||||
//}
|
||||
}
|
||||
|
||||
})
|
||||
|
||||
// s.book = types.NewStreamBook(s.Symbol)
|
||||
// s.book.BindStreamForBackground(session.MarketDataStream)
|
||||
|
||||
//s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
// //defer wg.Done()
|
||||
// //close(s.stopC)
|
||||
//
|
||||
// if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||
// log.WithError(err).Errorf("graceful cancel order error")
|
||||
// }
|
||||
//
|
||||
// s.tradeCollector.Process()
|
||||
//
|
||||
// if err := s.SaveState(); err != nil {
|
||||
// log.WithError(err).Errorf("can not save state: %+v", s.state)
|
||||
// }
|
||||
//})
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
|
|
|
@ -3,9 +3,10 @@ package supertrend
|
|||
import (
|
||||
"context"
|
||||
"fmt"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
"sync"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
||||
"github.com/pkg/errors"
|
||||
"github.com/sirupsen/logrus"
|
||||
|
||||
|
@ -256,9 +257,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
// Sync position to redis on trade
|
||||
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
if err := s.Persistence.Sync(s); err != nil {
|
||||
log.WithError(err).Errorf("can not sync state to persistence")
|
||||
}
|
||||
bbgo.Sync(s)
|
||||
})
|
||||
|
||||
s.stopC = make(chan struct{})
|
||||
|
|
|
@ -15,8 +15,6 @@ import (
|
|||
|
||||
const ID = "support"
|
||||
|
||||
const stateKey = "state-v1"
|
||||
|
||||
var log = logrus.WithField("strategy", ID)
|
||||
|
||||
var zeroiw = types.IntervalWindow{}
|
||||
|
@ -352,7 +350,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.OnSuspend(func() {
|
||||
// Cancel all order
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
_ = s.Persistence.Sync(s)
|
||||
bbgo.Sync(s)
|
||||
})
|
||||
|
||||
s.OnEmergencyStop(func() {
|
||||
|
|
|
@ -13,7 +13,6 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/service"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
)
|
||||
|
@ -137,7 +136,6 @@ func (a *Address) UnmarshalJSON(body []byte) error {
|
|||
|
||||
type Strategy struct {
|
||||
*bbgo.Graceful
|
||||
*bbgo.Persistence
|
||||
|
||||
Interval types.Duration `json:"interval"`
|
||||
|
||||
|
@ -158,7 +156,7 @@ type Strategy struct {
|
|||
|
||||
Verbose bool `json:"verbose"`
|
||||
|
||||
state *State
|
||||
State *State `persistence:"state"`
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
|
@ -235,23 +233,23 @@ func (s *Strategy) checkBalance(ctx context.Context, sessions map[string]*bbgo.E
|
|||
requiredAmount = requiredAmount.Add(toAddress.ForeignFee)
|
||||
}
|
||||
|
||||
if s.state != nil {
|
||||
if s.State != nil {
|
||||
if s.MaxDailyNumberOfTransfer > 0 {
|
||||
if s.state.DailyNumberOfTransfers >= s.MaxDailyNumberOfTransfer {
|
||||
if s.State.DailyNumberOfTransfers >= s.MaxDailyNumberOfTransfer {
|
||||
bbgo.Notify("⚠️ Exceeded %s max daily number of transfers %d (current %d), skipping transfer...",
|
||||
s.Asset,
|
||||
s.MaxDailyNumberOfTransfer,
|
||||
s.state.DailyNumberOfTransfers)
|
||||
s.State.DailyNumberOfTransfers)
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
if s.MaxDailyAmountOfTransfer.Sign() > 0 {
|
||||
if s.state.DailyAmountOfTransfers.Compare(s.MaxDailyAmountOfTransfer) >= 0 {
|
||||
if s.State.DailyAmountOfTransfers.Compare(s.MaxDailyAmountOfTransfer) >= 0 {
|
||||
bbgo.Notify("⚠️ Exceeded %s max daily amount of transfers %v (current %v), skipping transfer...",
|
||||
s.Asset,
|
||||
s.MaxDailyAmountOfTransfer,
|
||||
s.state.DailyAmountOfTransfers)
|
||||
s.State.DailyAmountOfTransfers)
|
||||
return
|
||||
}
|
||||
}
|
||||
|
@ -275,14 +273,14 @@ func (s *Strategy) checkBalance(ctx context.Context, sessions map[string]*bbgo.E
|
|||
|
||||
bbgo.Notify("%s withdrawal request sent", s.Asset)
|
||||
|
||||
if s.state != nil {
|
||||
if s.state.IsOver24Hours() {
|
||||
s.state.Reset()
|
||||
if s.State != nil {
|
||||
if s.State.IsOver24Hours() {
|
||||
s.State.Reset()
|
||||
}
|
||||
|
||||
s.state.DailyNumberOfTransfers += 1
|
||||
s.state.DailyAmountOfTransfers = s.state.DailyAmountOfTransfers.Add(requiredAmount)
|
||||
s.SaveState()
|
||||
s.State.DailyNumberOfTransfers += 1
|
||||
s.State.DailyAmountOfTransfers = s.State.DailyAmountOfTransfers.Add(requiredAmount)
|
||||
bbgo.Sync(s)
|
||||
}
|
||||
}
|
||||
|
||||
|
@ -327,15 +325,6 @@ func (s *Strategy) findLowBalanceLevelSession(sessions map[string]*bbgo.Exchange
|
|||
return nil, balance, nil
|
||||
}
|
||||
|
||||
func (s *Strategy) SaveState() {
|
||||
if err := s.Persistence.Save(s.state, ID, s.Asset, stateKey); err != nil {
|
||||
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
||||
} else {
|
||||
log.Infof("%s %s state is saved: %+v", ID, s.Asset, s.state)
|
||||
bbgo.Notify("%s %s state is saved", ID, s.Asset, s.state)
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) newDefaultState() *State {
|
||||
return &State{
|
||||
Asset: s.Asset,
|
||||
|
@ -344,42 +333,17 @@ func (s *Strategy) newDefaultState() *State {
|
|||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) LoadState() error {
|
||||
var state State
|
||||
if err := s.Persistence.Load(&state, ID, s.Asset, stateKey); err != nil {
|
||||
if err != service.ErrPersistenceNotExists {
|
||||
return err
|
||||
}
|
||||
|
||||
s.state = s.newDefaultState()
|
||||
s.state.Reset()
|
||||
} else {
|
||||
// we loaded it successfully
|
||||
s.state = &state
|
||||
|
||||
// update Asset name for legacy caches
|
||||
s.state.Asset = s.Asset
|
||||
|
||||
log.Infof("%s %s state is restored: %+v", ID, s.Asset, s.state)
|
||||
bbgo.Notify("%s %s state is restored", ID, s.Asset, s.state)
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
|
||||
if s.Interval == 0 {
|
||||
return errors.New("interval can not be zero")
|
||||
}
|
||||
|
||||
if err := s.LoadState(); err != nil {
|
||||
return err
|
||||
if s.State == nil {
|
||||
s.State = s.newDefaultState()
|
||||
}
|
||||
|
||||
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
||||
s.SaveState()
|
||||
})
|
||||
|
||||
if s.CheckOnStart {
|
||||
|
|
8
pkg/types/bollinger.go
Normal file
8
pkg/types/bollinger.go
Normal file
|
@ -0,0 +1,8 @@
|
|||
package types
|
||||
|
||||
// BollingerSetting contains the bollinger indicator setting propers
|
||||
// Interval, Window and BandWidth
|
||||
type BollingerSetting struct {
|
||||
IntervalWindow
|
||||
BandWidth float64 `json:"bandWidth"`
|
||||
}
|
Loading…
Reference in New Issue
Block a user