Merge pull request #1710 from c9s/c9s/xmaker/stb-improvements

IMPROVE: [xmaker] improve stability
This commit is contained in:
c9s 2024-08-26 13:32:19 +08:00 committed by GitHub
commit 80949bf0e1
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20 changed files with 204 additions and 87 deletions

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@ -1,25 +0,0 @@
---
language: go
go:
- 1.14
- 1.15
services:
- redis-server
- mysql
before_install:
- mysql -e 'CREATE DATABASE bbgo;'
- mysql -e 'CREATE DATABASE bbgo_dev;'
install:
- go get github.com/c9s/rockhopper/cmd/rockhopper
before_script:
- go mod download
- make migrations
script:
- bash scripts/test-sqlite3-migrations.sh
- bash scripts/test-mysql-migrations.sh
- go test -v ./pkg/...

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@ -60,6 +60,7 @@ crossExchangeStrategies:
# 18002.00
pips: 10
circuitBreaker:
enabled: true
maximumConsecutiveTotalLoss: 36.0
maximumConsecutiveLossTimes: 10
maximumLossPerRound: 15.0

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@ -48,7 +48,7 @@ var rootCmd = &cobra.Command{
stream.SetPublicOnly()
stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
streamBook := types.NewStreamBook(symbol)
streamBook := types.NewStreamBook(symbol, exchange.Name())
streamBook.BindStream(stream)
go func() {

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@ -464,7 +464,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
for _, sub := range session.Subscriptions {
switch sub.Channel {
case types.BookChannel:
book := types.NewStreamBook(sub.Symbol)
book := types.NewStreamBook(sub.Symbol, session.ExchangeName)
book.BindStream(session.MarketDataStream)
session.orderBooks[sub.Symbol] = book

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@ -54,7 +54,7 @@ var orderbookCmd = &cobra.Command{
return fmt.Errorf("session %s not found", sessionName)
}
orderBook := types.NewMutexOrderBook(symbol)
orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
s := session.Exchange.NewStream()
s.SetPublicOnly()

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@ -1,4 +1,4 @@
package priceresolver
package pricesolver
import (
"sync"
@ -9,8 +9,8 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// SimplePriceResolver implements a map-structure-based price index
type SimplePriceResolver struct {
// SimplePriceSolver implements a map-structure-based price index
type SimplePriceSolver struct {
// symbolPrices stores the latest trade price by mapping symbol to price
symbolPrices map[string]fixedpoint.Value
markets types.MarketMap
@ -28,8 +28,8 @@ type SimplePriceResolver struct {
mu sync.Mutex
}
func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceResolver {
return &SimplePriceResolver{
func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceSolver {
return &SimplePriceSolver{
markets: markets,
symbolPrices: make(map[string]fixedpoint.Value),
pricesByBase: make(map[string]map[string]fixedpoint.Value),
@ -37,7 +37,7 @@ func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceResolver {
}
}
func (m *SimplePriceResolver) Update(symbol string, price fixedpoint.Value) {
func (m *SimplePriceSolver) Update(symbol string, price fixedpoint.Value) {
m.mu.Lock()
defer m.mu.Unlock()
@ -65,11 +65,11 @@ func (m *SimplePriceResolver) Update(symbol string, price fixedpoint.Value) {
baseMap[market.BaseCurrency] = price
}
func (m *SimplePriceResolver) UpdateFromTrade(trade types.Trade) {
func (m *SimplePriceSolver) UpdateFromTrade(trade types.Trade) {
m.Update(trade.Symbol, trade.Price)
}
func (m *SimplePriceResolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
// log.Infof("inferencePrice %s = %f", asset, assetPrice.Float64())
quotePrices, ok := m.pricesByBase[asset]
if ok {
@ -112,7 +112,7 @@ func (m *SimplePriceResolver) inferencePrice(asset string, assetPrice fixedpoint
return fixedpoint.Zero, false
}
func (m *SimplePriceResolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
m.mu.Lock()
defer m.mu.Unlock()
return m.inferencePrice(asset, fixedpoint.One, preferredFiats...)

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@ -1,4 +1,4 @@
package priceresolver
package pricesolver
import (
"testing"

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@ -2,6 +2,7 @@ package audacitymaker
import (
"context"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -38,7 +39,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
position := orderExecutor.Position()
symbol := position.Symbol
// ger best bid/ask, not used yet
s.StreamBook = types.NewStreamBook(symbol)
s.StreamBook = types.NewStreamBook(symbol, session.ExchangeName)
s.StreamBook.BindStream(session.MarketDataStream)
// use queue to do time-series rolling
@ -59,7 +60,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
//log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
// log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
ctx := context.Background()
@ -80,10 +81,10 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
sellTradesNumber.Update(1)
}
//canceled := s.orderExecutor.GracefulCancel(ctx)
//if canceled != nil {
// canceled := s.orderExecutor.GracefulCancel(ctx)
// if canceled != nil {
// _ = s.orderExecutor.GracefulCancel(ctx)
//}
// }
sizeFraction := buyTradeSize.Sum() / sellTradeSize.Sum()
numberFraction := buyTradesNumber.Sum() / sellTradesNumber.Sum()
@ -112,15 +113,15 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
if outlier(orderFlowSizeMinMax.Tail(100), threshold) > 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) > 0 {
_ = s.orderExecutor.GracefulCancel(ctx)
log.Infof("long!!")
//_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
// _ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price, symbol)
//_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
// _ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
} else if outlier(orderFlowSizeMinMax.Tail(100), threshold) < 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) < 0 {
_ = s.orderExecutor.GracefulCancel(ctx)
log.Infof("short!!")
//_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
// _ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price, symbol)
//_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
// _ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
}
}
@ -138,7 +139,9 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}
}
func (s *PerTrade) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) error {
func (s *PerTrade) placeOrder(
ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string,
) error {
market, _ := s.session.Market(symbol)
_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: symbol,

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@ -98,7 +98,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
s.book = types.NewStreamBook(s.Symbol)
s.book = types.NewStreamBook(s.Symbol, session.Exchange.Name())
s.book.BindStream(session.MarketDataStream)
s.liquidityOrderBook = bbgo.NewActiveOrderBook(s.Symbol)

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@ -513,7 +513,9 @@ func notifyUsdPnL(profit fixedpoint.Value) {
bbgo.Notify(title)
}
func (s *Strategy) iocOrderExecution(ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64) (types.OrderSlice, error) {
func (s *Strategy) iocOrderExecution(
ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64,
) (types.OrderSlice, error) {
service, ok := session.Exchange.(types.ExchangeOrderQueryService)
if !ok {
return nil, errors.New("exchange does not support ExchangeOrderQueryService")
@ -700,7 +702,9 @@ func (s *Strategy) waitWebSocketOrderDone(ctx context.Context, orderID uint64, t
}
}
func (s *Strategy) waitOrdersAndCollectTrades(ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice) (map[uint64][]types.Trade, types.OrderSlice, error) {
func (s *Strategy) waitOrdersAndCollectTrades(
ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice,
) (map[uint64][]types.Trade, types.OrderSlice, error) {
var err error
var orderTrades = make(map[uint64][]types.Trade)
var updatedOrders types.OrderSlice
@ -763,7 +767,9 @@ func (s *Strategy) analyzeOrders(orders types.OrderSlice) {
}
}
func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan) (map[string]*ArbMarket, error) {
func (s *Strategy) buildArbMarkets(
session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan,
) (map[string]*ArbMarket, error) {
markets := make(map[string]*ArbMarket)
// build market object
for _, symbol := range symbols {
@ -790,7 +796,7 @@ func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []stri
Speed: types.SpeedHigh,
})
book := types.NewStreamBook(symbol)
book := types.NewStreamBook(symbol, session.ExchangeName)
priceUpdater := func(_ types.SliceOrderBook) {
bestBid, bestAsk, _ := book.BestBidAndAsk()
if bestAsk.Equals(m.bestAsk) && bestBid.Equals(m.bestBid) {

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@ -14,7 +14,7 @@ import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/core"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/priceresolver"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/types"
)
@ -57,7 +57,7 @@ type Strategy struct {
faultBalanceRecords map[string][]TimeBalance
priceResolver *priceresolver.SimplePriceResolver
priceResolver *pricesolver.SimplePriceSolver
sessions map[string]*bbgo.ExchangeSession
orderBooks map[string]*bbgo.ActiveOrderBook
@ -372,7 +372,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
// session.Market(symbol)
}
s.priceResolver = priceresolver.NewSimplePriceResolver(markets)
s.priceResolver = pricesolver.NewSimplePriceResolver(markets)
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()

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@ -393,7 +393,7 @@ func (s *Strategy) CrossRun(
return err
}
s.pricingBook = types.NewStreamBook(s.HedgeSymbol)
s.pricingBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
s.stopC = make(chan struct{})

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@ -44,7 +44,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
},
}
pricingBook := types.NewStreamBook("BTCUSDT")
pricingBook := types.NewStreamBook("BTCUSDT", types.ExchangeBinance)
pricingBook.Load(types.SliceOrderBook{
Symbol: "BTCUSDT",
Bids: types.PriceVolumeSlice{

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@ -153,11 +153,11 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
})
if s.SourceExchange != "" {
s.sourceBook = types.NewStreamBook(s.Symbol)
s.sourceBook = types.NewStreamBook(s.Symbol, sourceSession.ExchangeName)
s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
}
s.tradingBook = types.NewStreamBook(s.Symbol)
s.tradingBook = types.NewStreamBook(s.Symbol, tradingSession.ExchangeName)
s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {

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@ -0,0 +1,43 @@
package xmaker
import "github.com/prometheus/client_golang/prometheus"
var openOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_open_order_bid_exposure_in_usd",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var openOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_open_order_ask_exposure_in_usd",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var makerBestBidPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_maker_best_bid_price",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_maker_best_ask_price",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var numOfLayersMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_num_of_layers",
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
func init() {
prometheus.MustRegister(
openOrderBidExposureInUsdMetrics,
openOrderAskExposureInUsdMetrics,
makerBestBidPriceMetrics,
makerBestAskPriceMetrics,
numOfLayersMetrics,
)
}

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@ -7,13 +7,15 @@ import (
"time"
"github.com/pkg/errors"
"github.com/prometheus/client_golang/prometheus"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/core"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
@ -95,10 +97,11 @@ type Strategy struct {
makerMarket, sourceMarket types.Market
// boll is the BOLLINGER indicator we used for predicting the price.
boll *indicator.BOLL
boll *indicatorv2.BOLLStream
state *State
priceSolver *pricesolver.SimplePriceSolver
CircuitBreaker *circuitbreaker.BasicCircuitBreaker `json:"circuitBreaker"`
// persistence fields
@ -214,6 +217,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
// use mid-price for the last price
s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
s.priceSolver.Update(s.Symbol, s.lastPrice)
bookLastUpdateTime := s.book.LastUpdateTime()
if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
@ -380,6 +385,16 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
}
}
labels := prometheus.Labels{
"strategy_type": ID,
"strategy_id": s.InstanceID(),
"exchange": s.MakerExchange,
"symbol": s.Symbol,
}
bidExposureInUsd := fixedpoint.Zero
askExposureInUsd := fixedpoint.Zero
bidPrice := bestBidPrice
askPrice := bestAskPrice
for i := 0; i < s.NumLayers; i++ {
@ -413,6 +428,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
Mul(s.makerMarket.TickSize)))
}
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
@ -427,6 +444,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
makerQuota.Commit()
hedgeQuota.Commit()
bidExposureInUsd = bidExposureInUsd.Add(bidQuantity.Mul(bidPrice))
} else {
makerQuota.Rollback()
hedgeQuota.Rollback()
@ -466,7 +484,10 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
}
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
@ -480,6 +501,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
})
makerQuota.Commit()
hedgeQuota.Commit()
askExposureInUsd = askExposureInUsd.Add(askQuantity.Mul(askPrice))
} else {
makerQuota.Rollback()
hedgeQuota.Rollback()
@ -496,14 +519,28 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
return
}
makerOrders, err := orderExecutionRouter.SubmitOrdersTo(ctx, s.MakerExchange, submitOrders...)
formattedOrders, err := s.makerSession.FormatOrders(submitOrders)
if err != nil {
log.WithError(err).Errorf("order error: %s", err.Error())
return
}
s.activeMakerOrders.Add(makerOrders...)
s.orderStore.Add(makerOrders...)
orderCreateCallback := func(createdOrder types.Order) {
s.orderStore.Add(createdOrder)
s.activeMakerOrders.Add(createdOrder)
}
defer s.tradeCollector.Process()
createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, orderCreateCallback, formattedOrders...)
if err != nil {
log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
}
openOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureInUsd.Float64())
openOrderAskExposureInUsdMetrics.With(labels).Set(askExposureInUsd.Float64())
_ = errIdx
_ = createdOrders
}
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
@ -744,6 +781,10 @@ func (s *Strategy) CrossRun(
s.sourceSession = sourceSession
// initialize the price resolver
sourceMarkets := s.sourceSession.Markets()
s.priceSolver = pricesolver.NewSimplePriceResolver(sourceMarkets)
makerSession, ok := sessions[s.MakerExchange]
if !ok {
return fmt.Errorf("maker exchange session %s is not defined", s.MakerExchange)
@ -761,24 +802,16 @@ func (s *Strategy) CrossRun(
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
}
standardIndicatorSet := s.sourceSession.StandardIndicatorSet(s.Symbol)
indicators := s.sourceSession.Indicators(s.Symbol)
if !ok {
return fmt.Errorf("%s standard indicator set not found", s.Symbol)
}
s.boll = standardIndicatorSet.BOLL(types.IntervalWindow{
s.boll = indicators.BOLL(types.IntervalWindow{
Interval: s.BollBandInterval,
Window: 21,
}, 1.0)
if store, ok := s.sourceSession.MarketDataStore(s.Symbol); ok {
if klines, ok2 := store.KLinesOfInterval(s.BollBandInterval); ok2 {
for i := 0; i < len(*klines); i++ {
s.boll.CalculateAndUpdate((*klines)[0 : i+1])
}
}
}
// restore state
instanceID := s.InstanceID()
s.groupID = util.FNV32(instanceID)
@ -819,7 +852,7 @@ func (s *Strategy) CrossRun(
})
}
s.book = types.NewStreamBook(s.Symbol)
s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
s.book.BindStream(s.sourceSession.MarketDataStream)
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
@ -948,10 +981,7 @@ func (s *Strategy) CrossRun(
// wait for the quoter to stop
time.Sleep(s.UpdateInterval.Duration())
shutdownCtx, cancelShutdown := context.WithTimeout(context.TODO(), time.Minute)
defer cancelShutdown()
if err := s.activeMakerOrders.GracefulCancel(shutdownCtx, s.makerSession.Exchange); err != nil {
if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel error")
}

View File

@ -396,7 +396,7 @@ func (e *StreamExecutor) Run(parentCtx context.Context) error {
e.marketDataStream.SetPublicOnly()
e.marketDataStream.Subscribe(types.BookChannel, e.Symbol, types.SubscribeOptions{})
e.orderBook = types.NewStreamBook(e.Symbol)
e.orderBook = types.NewStreamBook(e.Symbol, e.Session.ExchangeName)
e.orderBook.BindStream(e.marketDataStream)
e.userDataStream = e.Session.Exchange.NewStream()

View File

@ -88,7 +88,7 @@ func NewFixedQuantityExecutor(
Depth: types.DepthLevelMedium,
})
orderBook := types.NewStreamBook(symbol)
orderBook := types.NewStreamBook(symbol, exchange.Name())
orderBook.BindStream(marketDataStream)
userDataStream := exchange.NewStream()

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@ -143,6 +143,7 @@ func TestNewStreamExecutor(t *testing.T) {
},
}
mockEx.EXPECT().Name().Return(exchangeName)
mockEx.EXPECT().NewStream().Return(mockMarketDataStream)
mockEx.EXPECT().NewStream().Return(mockUserDataStream)
mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil)

View File

@ -6,6 +6,8 @@ import (
"sync"
"time"
"github.com/prometheus/client_golang/prometheus"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
@ -26,12 +28,13 @@ type OrderBook interface {
type MutexOrderBook struct {
sync.Mutex
Symbol string
Symbol string
Exchange ExchangeName
orderBook OrderBook
}
func NewMutexOrderBook(symbol string) *MutexOrderBook {
func NewMutexOrderBook(symbol string, exchangeName ExchangeName) *MutexOrderBook {
var book OrderBook = NewSliceOrderBook(symbol)
if v, _ := strconv.ParseBool(os.Getenv("ENABLE_RBT_ORDERBOOK")); v {
@ -40,6 +43,7 @@ func NewMutexOrderBook(symbol string) *MutexOrderBook {
return &MutexOrderBook{
Symbol: symbol,
Exchange: exchangeName,
orderBook: book,
}
}
@ -134,6 +138,46 @@ type BookSignal struct {
Time time.Time
}
var streamOrderBookBestBidPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_bid_price",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookBestAskPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_ask_price",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookBestBidVolumeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_bid_volume",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookBestAskVolumeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_ask_volume",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookUpdateTimeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_update_time_milliseconds",
Help: "",
}, []string{"symbol", "exchange"})
func init() {
prometheus.MustRegister(
streamOrderBookBestBidPriceMetrics,
streamOrderBookBestAskPriceMetrics,
streamOrderBookBestBidVolumeMetrics,
streamOrderBookBestAskVolumeMetrics,
streamOrderBookUpdateTimeMetrics,
)
}
// StreamOrderBook receives streaming data from websocket connection and
// update the order book with mutex lock, so you can safely access it.
//
@ -147,13 +191,25 @@ type StreamOrderBook struct {
snapshotCallbacks []func(snapshot SliceOrderBook)
}
func NewStreamBook(symbol string) *StreamOrderBook {
func NewStreamBook(symbol string, exchangeName ExchangeName) *StreamOrderBook {
return &StreamOrderBook{
MutexOrderBook: NewMutexOrderBook(symbol),
MutexOrderBook: NewMutexOrderBook(symbol, exchangeName),
C: make(chan *BookSignal, 1),
}
}
func (sb *StreamOrderBook) updateMetrics(t time.Time) {
bestBid, bestAsk, ok := sb.BestBidAndAsk()
if ok {
exchangeName := string(sb.Exchange)
streamOrderBookBestAskPriceMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestAsk.Price.Float64())
streamOrderBookBestBidPriceMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestBid.Price.Float64())
streamOrderBookBestAskVolumeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestAsk.Volume.Float64())
streamOrderBookBestBidVolumeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestBid.Volume.Float64())
streamOrderBookUpdateTimeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(float64(t.UnixMilli()))
}
}
func (sb *StreamOrderBook) BindStream(stream Stream) {
stream.OnBookSnapshot(func(book SliceOrderBook) {
if sb.MutexOrderBook.Symbol != book.Symbol {
@ -163,6 +219,7 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
sb.Load(book)
sb.EmitSnapshot(book)
sb.emitChange(BookSignalSnapshot, book.Time)
sb.updateMetrics(book.Time)
})
stream.OnBookUpdate(func(book SliceOrderBook) {
@ -173,6 +230,7 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
sb.Update(book)
sb.EmitUpdate(book)
sb.emitChange(BookSignalUpdate, book.Time)
sb.updateMetrics(book.Time)
})
}