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rebalance: manage active order book without specifying symbol
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a4814951d4
commit
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@ -35,7 +35,7 @@ type Strategy struct {
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currencies []string
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activeOrderBooks map[string]*bbgo.ActiveOrderBook
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activeOrderBook *bbgo.ActiveOrderBook
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}
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func (s *Strategy) Initialize() error {
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@ -80,12 +80,8 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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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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s.activeOrderBooks = make(map[string]*bbgo.ActiveOrderBook)
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for _, symbol := range s.symbols() {
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activeOrderBook := bbgo.NewActiveOrderBook(symbol)
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activeOrderBook.BindStream(session.UserDataStream)
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s.activeOrderBooks[symbol] = activeOrderBook
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}
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s.activeOrderBook = bbgo.NewActiveOrderBook("")
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s.activeOrderBook.BindStream(session.UserDataStream)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.currencies[0]+s.BaseCurrency {
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@ -97,12 +93,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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for symbol, book := range s.activeOrderBooks {
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err := orderExecutor.CancelOrders(ctx, book.Orders()...)
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if err != nil {
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log.WithError(err).Errorf("failed to cancel %s orders", symbol)
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return
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}
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err := orderExecutor.CancelOrders(ctx, s.activeOrderBook.Orders()...)
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if err != nil {
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log.WithError(err).Error("failed to cancel orders")
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return
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}
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prices, err := s.prices(ctx, session)
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@ -127,9 +121,7 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
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return
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}
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for _, createdOrder := range createdOrders {
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s.activeOrderBooks[createdOrder.Symbol].Add(createdOrder)
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}
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s.activeOrderBook.Add(createdOrders...)
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}
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func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) (prices types.Float64Slice, err error) {
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