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improve/profitTracker: do not bind in order executor
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parent
bfeb43fc1c
commit
80170e0397
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@ -3,7 +3,6 @@ package bbgo
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import (
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/report"
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"strings"
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"time"
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@ -163,27 +162,6 @@ func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
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})
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}
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func (e *GeneralOrderExecutor) BindProfitTracker(profitTracker *report.ProfitTracker) {
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e.session.Subscribe(types.KLineChannel, profitTracker.Market.Symbol, types.SubscribeOptions{Interval: profitTracker.Interval})
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e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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profitTracker.AddProfit(*profit)
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})
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e.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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profitTracker.AddTrade(trade)
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})
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// Rotate profitStats slice
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e.session.MarketDataStream.OnKLineClosed(types.KLineWith(profitTracker.Market.Symbol, profitTracker.Interval, func(kline types.KLine) {
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profitTracker.Rotate()
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}))
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}
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func (e *GeneralOrderExecutor) Bind() {
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e.activeMakerOrders.BindStream(e.session.UserDataStream)
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e.orderStore.BindStream(e.session.UserDataStream)
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@ -1,6 +1,8 @@
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package report
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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/types"
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)
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@ -42,6 +44,27 @@ func (p *ProfitTracker) Init(market types.Market, ts *types.TradeStats) {
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p.InitOld(market, &ps, ts)
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}
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func (p *ProfitTracker) Bind(session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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session.Subscribe(types.KLineChannel, p.Market.Symbol, types.SubscribeOptions{Interval: p.Interval})
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tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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p.AddProfit(*profit)
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})
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tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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p.AddTrade(trade)
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})
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// Rotate profitStats slice
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session.MarketDataStream.OnKLineClosed(types.KLineWith(p.Market.Symbol, p.Interval, func(kline types.KLine) {
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p.Rotate()
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}))
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}
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// Rotate the tracker to make a new ProfitStats to record the profits
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func (p *ProfitTracker) Rotate() {
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// Update report
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@ -327,25 +327,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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if s.ProfitTracker != nil {
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if s.ProfitTracker.CurrentProfitStats == nil {
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s.ProfitTracker.InitOld(s.Market, &s.ProfitStats, s.TradeStats)
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}
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// Add strategy parameters to report
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if s.ProfitTracker.AccumulatedProfitReport != nil {
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("window", fmt.Sprintf("%d", s.Window))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre))
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}
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}
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// Interval profit report
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if bbgo.IsBackTesting {
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startTime := s.Environment.StartTime()
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@ -367,11 +348,30 @@ 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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if s.ProfitTracker != nil {
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s.orderExecutor.BindProfitTracker(s.ProfitTracker)
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}
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s.orderExecutor.Bind()
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// Setup profit tracker
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if s.ProfitTracker != nil {
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if s.ProfitTracker.CurrentProfitStats == nil {
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s.ProfitTracker.InitOld(s.Market, &s.ProfitStats, s.TradeStats)
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}
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// Add strategy parameters to report
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if s.ProfitTracker.AccumulatedProfitReport != nil {
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("window", fmt.Sprintf("%d", s.Window))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre))
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}
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s.ProfitTracker.Bind(s.session, s.orderExecutor.TradeCollector())
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}
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// AccountValueCalculator
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s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
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