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https://github.com/c9s/bbgo.git
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add fee budget support to random strategy
This commit is contained in:
parent
0f03bc785b
commit
9cbf8a0ecf
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@ -1,6 +1,7 @@
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package common
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package common
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import (
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import (
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"sync"
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"time"
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"time"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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@ -11,6 +12,8 @@ import (
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type FeeBudget struct {
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type FeeBudget struct {
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DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
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DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
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State *State `persistence:"state"`
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State *State `persistence:"state"`
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mu sync.Mutex
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}
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}
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func (f *FeeBudget) Initialize() {
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func (f *FeeBudget) Initialize() {
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@ -34,6 +37,11 @@ func (f *FeeBudget) IsBudgetAllowed() bool {
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return true
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return true
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}
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}
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if f.State.IsOver24Hours() {
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f.State.Reset()
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return true
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}
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for asset, budget := range f.DailyFeeBudgets {
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for asset, budget := range f.DailyFeeBudgets {
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if fee, ok := f.State.AccumulatedFees[asset]; ok {
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if fee, ok := f.State.AccumulatedFees[asset]; ok {
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if fee.Compare(budget) >= 0 {
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if fee.Compare(budget) >= 0 {
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@ -55,18 +63,18 @@ func (f *FeeBudget) HandleTradeUpdate(trade types.Trade) {
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// safe check
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// safe check
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if f.State.AccumulatedFees == nil {
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if f.State.AccumulatedFees == nil {
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f.mu.Lock()
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f.State.AccumulatedFees = make(map[string]fixedpoint.Value)
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f.State.AccumulatedFees = make(map[string]fixedpoint.Value)
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f.mu.Unlock()
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}
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}
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f.State.AccumulatedFees[trade.FeeCurrency] = f.State.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee)
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f.State.AccumulatedFees[trade.FeeCurrency] = f.State.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee)
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f.State.AccumulatedVolume = f.State.AccumulatedVolume.Add(trade.Quantity)
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log.Infof("[FeeBudget] accumulated fee: %s %s", f.State.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency)
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log.Infof("[FeeBudget] accumulated fee: %s %s", f.State.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency)
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}
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}
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type State struct {
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type State struct {
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AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
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AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
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AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
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AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
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AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
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}
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}
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func (s *State) IsOver24Hours() bool {
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func (s *State) IsOver24Hours() bool {
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@ -81,5 +89,4 @@ func (s *State) Reset() {
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s.AccumulatedFeeStartedAt = dateTime
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s.AccumulatedFeeStartedAt = dateTime
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s.AccumulatedFees = make(map[string]fixedpoint.Value)
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s.AccumulatedFees = make(map[string]fixedpoint.Value)
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s.AccumulatedVolume = fixedpoint.Zero
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}
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}
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@ -2,6 +2,7 @@ package common
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import (
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import (
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"testing"
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"testing"
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"time"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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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"
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@ -46,7 +47,10 @@ func TestFeeBudget(t *testing.T) {
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for _, trade := range c.trades {
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for _, trade := range c.trades {
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feeBudget.HandleTradeUpdate(trade)
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feeBudget.HandleTradeUpdate(trade)
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}
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}
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assert.Equal(t, c.expected, feeBudget.IsBudgetAllowed())
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assert.Equal(t, c.expected, feeBudget.IsBudgetAllowed())
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// test reset
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feeBudget.State.AccumulatedFeeStartedAt = feeBudget.State.AccumulatedFeeStartedAt.Add(-24 * time.Hour)
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assert.True(t, feeBudget.IsBudgetAllowed())
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}
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}
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}
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}
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@ -24,6 +24,7 @@ func init() {
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type Strategy struct {
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type Strategy struct {
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*common.Strategy
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*common.Strategy
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*common.FeeBudget
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Environment *bbgo.Environment
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Environment *bbgo.Environment
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Market types.Market
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Market types.Market
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@ -45,6 +46,10 @@ func (s *Strategy) Initialize() error {
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if s.Strategy == nil {
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if s.Strategy == nil {
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s.Strategy = &common.Strategy{}
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s.Strategy = &common.Strategy{}
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}
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}
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if s.FeeBudget == nil {
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s.FeeBudget = &common.FeeBudget{}
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}
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return nil
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return nil
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}
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}
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@ -71,11 +76,25 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, s.ID(), s.InstanceID())
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, s.ID(), s.InstanceID())
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s.FeeBudget.Initialize()
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session.UserDataStream.OnStart(func() {
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session.UserDataStream.OnStart(func() {
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if s.OnStart {
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if !s.OnStart {
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s.placeOrder()
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return
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}
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}
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if !s.FeeBudget.IsBudgetAllowed() {
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return
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}
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s.placeOrder(ctx)
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})
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session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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if trade.Symbol != s.Symbol {
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return
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}
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s.FeeBudget.HandleTradeUpdate(trade)
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})
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})
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// the shutdown handler, you can cancel all orders
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// the shutdown handler, you can cancel all orders
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@ -86,15 +105,19 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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})
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})
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s.cron = cron.New()
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s.cron = cron.New()
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s.cron.AddFunc(s.Schedule, s.placeOrder)
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s.cron.AddFunc(s.Schedule, func() {
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if !s.FeeBudget.IsBudgetAllowed() {
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return
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}
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s.placeOrder(ctx)
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})
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s.cron.Start()
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s.cron.Start()
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return nil
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return nil
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}
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}
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func (s *Strategy) placeOrder() {
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func (s *Strategy) placeOrder(ctx context.Context) {
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ctx := context.Background()
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baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
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baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
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if !ok {
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log.Errorf("base balance not found")
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log.Errorf("base balance not found")
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