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grid: refactor trade handler with trade collector
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7787edffa0
commit
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@ -38,7 +38,7 @@ type State struct {
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// [source Order ID] -> arbitrage order
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ArbitrageOrders map[uint64]types.Order `json:"arbitrageOrders"`
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ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
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ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
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}
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type Strategy struct {
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@ -99,6 +99,8 @@ type Strategy struct {
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// activeOrders is the locally maintained active order book of the maker orders.
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activeOrders *bbgo.LocalActiveOrderBook
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tradeCollector *bbgo.TradeCollector
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// groupID is the group ID used for the strategy instance for canceling orders
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groupID uint32
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}
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@ -375,29 +377,9 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
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}
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func (s *Strategy) tradeUpdateHandler(trade types.Trade) {
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if trade.Symbol != s.Symbol {
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return
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}
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if s.orderStore.Exists(trade.OrderID) {
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log.Infof("received trade update of order %d: %+v", trade.OrderID, trade)
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if s.TradeService != nil {
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if err := s.TradeService.Mark(context.Background(), trade.ID, ID); err != nil {
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log.WithError(err).Error("trade mark error")
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}
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}
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if trade.Side == types.SideTypeSelf {
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return
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}
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profit, netProfit, madeProfit := s.state.Position.AddTrade(trade)
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if madeProfit {
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s.Notify("%s average cost profit: %f %s, net profit =~ %f %s",
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s.Symbol,
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profit.Float64(), s.Market.QuoteCurrency,
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netProfit.Float64(), s.Market.QuoteCurrency)
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if s.TradeService != nil {
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if err := s.TradeService.Mark(context.Background(), trade.ID, ID); err != nil {
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log.WithError(err).Error("trade mark error")
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}
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}
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}
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@ -430,7 +412,7 @@ func (s *Strategy) handleFilledOrder(filledOrder types.Order) {
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}
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if amount <= s.Market.MinNotional {
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quantity = bbgo.AdjustFloatQuantityByMinAmount(quantity, price, s.Market.MinNotional * 1.001)
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quantity = bbgo.AdjustFloatQuantityByMinAmount(quantity, price, s.Market.MinNotional*1.001)
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// update amount
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amount = quantity * price
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@ -589,7 +571,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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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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return err
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}
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s.Notify("grid %s position", s.Symbol, s.state.Position)
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@ -602,6 +584,17 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.activeOrders.OnFilled(s.handleFilledOrder)
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s.activeOrders.BindStream(session.UserDataStream)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade) {
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s.Notifiability.Notify(trade)
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s.state.ProfitStats.AddTrade(trade)
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s.tradeUpdateHandler(trade)
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})
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s.tradeCollector.OnPositionUpdate(func(position *bbgo.Position) {
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s.Notifiability.Notify(position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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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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@ -618,8 +611,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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})
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session.UserDataStream.OnTradeUpdate(s.tradeUpdateHandler)
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session.UserDataStream.OnStart(func() {
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// if we have orders in the state data, we can restore them
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if len(s.state.Orders) > 0 {
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