mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
all: solve cyclic import
This commit is contained in:
parent
2e95246687
commit
8dca24e9ee
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@ -21,7 +21,7 @@ import (
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"github.com/spf13/viper"
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"gopkg.in/tucnak/telebot.v2"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/exchange"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/interact"
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"github.com/c9s/bbgo/pkg/notifier/slacknotifier"
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@ -223,12 +223,12 @@ func (environ *Environment) ConfigureExchangeSessions(userConfig *Config) error
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func (environ *Environment) AddExchangesByViperKeys() error {
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for _, n := range types.SupportedExchanges {
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if viper.IsSet(string(n) + "-api-key") {
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exchange, err := exchange2.NewWithEnvVarPrefix(n, "")
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ex, err := exchange.NewWithEnvVarPrefix(n, "")
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if err != nil {
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return err
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}
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environ.AddExchange(n.String(), exchange)
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environ.AddExchange(n.String(), ex)
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}
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}
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1
pkg/bbgo/log.go
Normal file
1
pkg/bbgo/log.go
Normal file
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@ -0,0 +1 @@
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package bbgo
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@ -9,7 +9,6 @@ import (
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -180,7 +179,7 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
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if options.Long {
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if quantity.IsZero() {
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quoteQuantity, err := risk.CalculateQuoteQuantity(ctx, e.session, e.position.QuoteCurrency, options.Leverage)
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quoteQuantity, err := CalculateQuoteQuantity(ctx, e.session, e.position.QuoteCurrency, options.Leverage)
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if err != nil {
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return err
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}
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@ -200,7 +199,7 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
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} else if options.Short {
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if quantity.IsZero() {
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var err error
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quantity, err = risk.CalculateBaseQuantity(e.session, e.position.Market, price, quantity, options.Leverage)
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quantity, err = CalculateBaseQuantity(e.session, e.position.Market, price, quantity, options.Leverage)
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if err != nil {
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return err
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}
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@ -1,34 +1,30 @@
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package risk
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package bbgo
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import (
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"context"
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"fmt"
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"time"
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"github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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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/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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var log = logrus.WithField("risk", "AccountValueCalculator")
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var one = fixedpoint.One
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var defaultLeverage = fixedpoint.NewFromInt(3)
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var maxLeverage = fixedpoint.NewFromInt(10)
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type AccountValueCalculator struct {
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session *bbgo.ExchangeSession
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session *ExchangeSession
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quoteCurrency string
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prices map[string]fixedpoint.Value
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tickers map[string]types.Ticker
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updateTime time.Time
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}
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func NewAccountValueCalculator(session *bbgo.ExchangeSession, quoteCurrency string) *AccountValueCalculator {
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func NewAccountValueCalculator(session *ExchangeSession, quoteCurrency string) *AccountValueCalculator {
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return &AccountValueCalculator{
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session: session,
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quoteCurrency: quoteCurrency,
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@ -190,7 +186,7 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
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return marginLevel, nil
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}
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func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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@ -205,7 +201,7 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if quantity.IsZero() {
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logrus.Warnf("sell quantity is not set, using all available base balance: %v", balance)
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log.Warnf("sell quantity is not set, using all available base balance: %v", balance)
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if !balance.Available.IsZero() {
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return balance.Available, nil
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}
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@ -222,7 +218,7 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
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}
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// using leverage -- starts from here
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logrus.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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@ -232,22 +228,22 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
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// avoid using all account value since there will be some trade loss for interests and the fee
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accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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logrus.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
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log.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
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if session.IsolatedMargin {
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originLeverage := leverage
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leverage = fixedpoint.Min(leverage, maxLeverage)
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logrus.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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log.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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originLeverage.Float64(),
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leverage.Float64())
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}
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// spot margin use the equity value, so we use the total quote balance here
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maxPosition := CalculateMaxPosition(price, accountValue, leverage)
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maxPosition := risk.CalculateMaxPosition(price, accountValue, leverage)
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debt := baseBalance.Debt()
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maxQuantity := maxPosition.Sub(debt)
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logrus.Infof("margin leverage: calculated maxQuantity=%f maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
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log.Infof("margin leverage: calculated maxQuantity=%f maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
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maxQuantity.Float64(),
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maxPosition.Float64(),
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debt.Float64(),
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@ -261,8 +257,8 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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}
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@ -273,7 +269,7 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
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}
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func CalculateQuoteQuantity(ctx context.Context, session *bbgo.ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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@ -294,7 +290,8 @@ func CalculateQuoteQuantity(ctx context.Context, session *bbgo.ExchangeSession,
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log.WithError(err).Errorf("can not update available quote")
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return fixedpoint.Zero, err
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}
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logrus.Infof("calculating available leveraged quote quantity: account available quote = %+v", availableQuote)
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log.Infof("calculating available leveraged quote quantity: account available quote = %+v", availableQuote)
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return availableQuote.Mul(leverage), nil
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}
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@ -1,4 +1,4 @@
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package risk
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package bbgo
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import (
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"context"
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@ -8,7 +8,6 @@ import (
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"github.com/golang/mock/gomock"
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"github.com/stretchr/testify/assert"
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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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"github.com/c9s/bbgo/pkg/types/mocks"
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@ -40,7 +39,7 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
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"BTCUSDT": newTestTicker(),
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}, nil)
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session := bbgo.NewExchangeSession("test", mockEx)
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session := NewExchangeSession("test", mockEx)
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session.Account.UpdateBalances(types.BalanceMap{
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"BTC": {
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Currency: "BTC",
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@ -81,7 +80,7 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
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"BTCUSDT": newTestTicker(),
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}, nil)
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session := bbgo.NewExchangeSession("test", mockEx)
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session := NewExchangeSession("test", mockEx)
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session.Account.UpdateBalances(types.BalanceMap{
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"BTC": {
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Currency: "BTC",
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@ -123,7 +122,7 @@ func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
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"BTCUSDT": newTestTicker(),
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}, nil)
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session := bbgo.NewExchangeSession("test", mockEx)
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session := NewExchangeSession("test", mockEx)
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session.Account.UpdateBalances(types.BalanceMap{
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"BTC": {
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Currency: "BTC",
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@ -6,7 +6,6 @@ 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/indicator"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -197,7 +196,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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quantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -241,7 +240,7 @@ func (s *BreakLow) pilotQuantityCalculation() {
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s.Quantity.Float64(),
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s.Leverage.Float64())
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastLow, s.Quantity, s.Leverage)
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quantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, s.lastLow, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -6,7 +6,6 @@ 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/indicator"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -209,7 +208,7 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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quantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -260,7 +259,7 @@ func (s *FailedBreakHigh) pilotQuantityCalculation() {
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s.Quantity.Float64(),
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s.Leverage.Float64())
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastHigh, s.Quantity, s.Leverage)
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quantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, s.lastHigh, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -7,7 +7,6 @@ import (
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -128,7 +127,7 @@ func (s *ResistanceShort) updateResistanceOrders(closePrice fixedpoint.Value) {
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}
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func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistancePrice fixedpoint.Value) {
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totalQuantity, err := risk.CalculateBaseQuantity(s.session, s.Market, resistancePrice, s.Quantity, s.Leverage)
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totalQuantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, resistancePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -6,13 +6,12 @@ import (
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"os"
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"sync"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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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/indicator"
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@ -173,7 +172,7 @@ type Strategy struct {
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Leverage fixedpoint.Value `json:"leverage"`
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// Quantity sets the fixed order qty, takes precedence over Leverage
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Quantity fixedpoint.Value `json:"quantity"`
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AccountValueCalculator *risk.AccountValueCalculator
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AccountValueCalculator *bbgo.AccountValueCalculator
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// TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this
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TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"`
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@ -389,7 +388,7 @@ func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoin
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return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One))
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} else { // Using leverage or spot buy
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quoteQty, err := risk.CalculateQuoteQuantity(ctx, s.session, s.Market.QuoteCurrency, s.Leverage)
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quoteQty, err := bbgo.CalculateQuoteQuantity(ctx, s.session, s.Market.QuoteCurrency, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("can not update %s quote balance from exchange", s.Symbol)
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return fixedpoint.Zero
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@ -449,7 +448,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderExecutor.Bind()
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// AccountValueCalculator
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s.AccountValueCalculator = risk.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
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s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
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// Accumulated profit report
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if bbgo.IsBackTesting {
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