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improve/profitTracker: do not bind in order executor

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This commit is contained in:
Andy Cheng 2023-07-10 15:20:00 +08:00
parent bfeb43fc1c
commit 80170e0397
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GPG Key ID: 936427CF651A9D28
3 changed files with 45 additions and 44 deletions
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22
pkg/bbgo/order_executor_general.go
View File

@ -3,7 +3,6 @@ package bbgo
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/report"
"strings"
"time"
@ -163,27 +162,6 @@ func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
})
}
func (e *GeneralOrderExecutor) BindProfitTracker(profitTracker *report.ProfitTracker) {
e.session.Subscribe(types.KLineChannel, profitTracker.Market.Symbol, types.SubscribeOptions{Interval: profitTracker.Interval})
e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
if profit == nil {
return
}
profitTracker.AddProfit(*profit)
})
e.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
profitTracker.AddTrade(trade)
})
// Rotate profitStats slice
e.session.MarketDataStream.OnKLineClosed(types.KLineWith(profitTracker.Market.Symbol, profitTracker.Interval, func(kline types.KLine) {
profitTracker.Rotate()
}))
}
func (e *GeneralOrderExecutor) Bind() {
e.activeMakerOrders.BindStream(e.session.UserDataStream)
e.orderStore.BindStream(e.session.UserDataStream)

23
pkg/report/profit_tracker.go
View File

@ -1,6 +1,8 @@
package report
import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
@ -42,6 +44,27 @@ func (p *ProfitTracker) Init(market types.Market, ts *types.TradeStats) {
p.InitOld(market, &ps, ts)
}
func (p *ProfitTracker) Bind(session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
session.Subscribe(types.KLineChannel, p.Market.Symbol, types.SubscribeOptions{Interval: p.Interval})
tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
if profit == nil {
return
}
p.AddProfit(*profit)
})
tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
p.AddTrade(trade)
})
// Rotate profitStats slice
session.MarketDataStream.OnKLineClosed(types.KLineWith(p.Market.Symbol, p.Interval, func(kline types.KLine) {
p.Rotate()
}))
}
// Rotate the tracker to make a new ProfitStats to record the profits
func (p *ProfitTracker) Rotate() {
// Update report

44
pkg/strategy/supertrend/strategy.go
View File

@ -327,25 +327,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.TradeStats = types.NewTradeStats(s.Symbol)
}
if s.ProfitTracker != nil {
if s.ProfitTracker.CurrentProfitStats == nil {
s.ProfitTracker.InitOld(s.Market, &s.ProfitStats, s.TradeStats)
}
// Add strategy parameters to report
if s.ProfitTracker.AccumulatedProfitReport != nil {
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("window", fmt.Sprintf("%d", s.Window))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre))
}
}
// Interval profit report
if bbgo.IsBackTesting {
startTime := s.Environment.StartTime()
@ -367,11 +348,30 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.BindTradeStats(s.TradeStats)
if s.ProfitTracker != nil {
s.orderExecutor.BindProfitTracker(s.ProfitTracker)
}
s.orderExecutor.Bind()
// Setup profit tracker
if s.ProfitTracker != nil {
if s.ProfitTracker.CurrentProfitStats == nil {
s.ProfitTracker.InitOld(s.Market, &s.ProfitStats, s.TradeStats)
}
// Add strategy parameters to report
if s.ProfitTracker.AccumulatedProfitReport != nil {
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("window", fmt.Sprintf("%d", s.Window))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema))
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre))
}
s.ProfitTracker.Bind(s.session, s.orderExecutor.TradeCollector())
}
// AccountValueCalculator
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)