mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
xmaker: add signal providers
This commit is contained in:
parent
d9fb9ff3e0
commit
9ebab4f4f7
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@ -38,6 +38,12 @@ var askMarginMetrics = prometheus.NewGaugeVec(
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Help: "the current ask margin (dynamic)",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var finalSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_final_signal",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var configNumOfLayersMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_config_num_of_layers",
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@ -70,6 +76,7 @@ func init() {
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makerBestAskPriceMetrics,
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bidMarginMetrics,
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askMarginMetrics,
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finalSignalMetrics,
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configNumOfLayersMetrics,
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configMaxExposureMetrics,
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configBidMarginMetrics,
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87
pkg/strategy/xmaker/signal_boll.go
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87
pkg/strategy/xmaker/signal_boll.go
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@ -0,0 +1,87 @@
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package xmaker
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import (
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"context"
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"github.com/prometheus/client_golang/prometheus"
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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/v2"
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"github.com/c9s/bbgo/pkg/types"
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)
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var bollingerBandSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_bollinger_band_signal",
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Help: "",
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}, []string{"symbol"})
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func init() {
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prometheus.MustRegister(bollingerBandSignalMetrics)
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}
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type BollingerBandTrendSignal struct {
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types.IntervalWindow
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MinBandWidth float64 `json:"minBandWidth"`
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MaxBandWidth float64 `json:"maxBandWidth"`
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indicator *indicatorv2.BOLLStream
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symbol string
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lastK *types.KLine
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}
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func (s *BollingerBandTrendSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
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if s.MaxBandWidth == 0.0 {
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s.MaxBandWidth = 2.0
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}
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if s.MinBandWidth == 0.0 {
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s.MinBandWidth = 1.0
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}
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s.symbol = symbol
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s.indicator = session.Indicators(symbol).BOLL(s.IntervalWindow, s.MinBandWidth)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.symbol, s.IntervalWindow.Interval, func(kline types.KLine) {
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s.lastK = &kline
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}))
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bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
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return nil
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}
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func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64, error) {
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if s.lastK == nil {
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return 0, nil
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}
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closePrice := s.lastK.Close
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// when bid price is lower than the down band, then it's in the downtrend
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// when ask price is higher than the up band, then it's in the uptrend
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lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0))
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log.Infof("bollinger band: up/down = %f/%f, close price = %f",
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lastUpBand.Float64(),
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lastDownBand.Float64(),
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closePrice.Float64())
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// if the price is inside the band, do not vote
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if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
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return 0.0, nil
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}
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maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth
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signal := 0.0
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if closePrice.Compare(lastDownBand) < 0 {
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signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0
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} else if closePrice.Compare(lastUpBand) > 0 {
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signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0
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}
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log.Infof("bollinger signal: %f", signal)
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return signal, nil
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}
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70
pkg/strategy/xmaker/signal_book.go
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70
pkg/strategy/xmaker/signal_book.go
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@ -0,0 +1,70 @@
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package xmaker
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import (
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"context"
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"github.com/pkg/errors"
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"github.com/prometheus/client_golang/prometheus"
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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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)
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var orderBookSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_order_book_signal",
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Help: "",
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}, []string{"symbol"})
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func init() {
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prometheus.MustRegister(orderBookSignalMetrics)
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}
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type OrderBookBestPriceVolumeSignal struct {
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RatioThreshold fixedpoint.Value `json:"ratioThreshold"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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symbol string
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book *types.StreamOrderBook
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}
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func (s *OrderBookBestPriceVolumeSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
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if s.book == nil {
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return errors.New("s.book can not be nil")
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}
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s.symbol = symbol
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orderBookSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
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return nil
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}
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func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (float64, error) {
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bid, ask, ok := s.book.BestBidAndAsk()
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if !ok {
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return 0.0, nil
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}
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if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
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return 0.0, nil
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}
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log.Infof("OrderBookBestPriceVolumeSignal: bid/ask = %f/%f", bid.Volume.Float64(), ask.Volume.Float64())
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// TODO: may use scale to define this
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sumVol := bid.Volume.Add(ask.Volume)
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bidRatio := bid.Volume.Div(sumVol)
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askRatio := ask.Volume.Div(sumVol)
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denominator := fixedpoint.One.Sub(s.RatioThreshold)
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signal := 0.0
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if bidRatio.Compare(s.RatioThreshold) >= 0 {
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numerator := bidRatio.Sub(s.RatioThreshold)
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signal = numerator.Div(denominator).Float64()
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} else if askRatio.Compare(s.RatioThreshold) >= 0 {
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numerator := askRatio.Sub(s.RatioThreshold)
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signal = -numerator.Div(denominator).Float64()
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}
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orderBookSignalMetrics.WithLabelValues(s.symbol).Set(signal)
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return signal, nil
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}
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@ -31,6 +31,41 @@ const ID = "xmaker"
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var log = logrus.WithField("strategy", ID)
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type Quote struct {
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BestBidPrice, BestAskPrice fixedpoint.Value
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BidMargin, AskMargin fixedpoint.Value
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// BidLayerPips is the price pips between each layer
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BidLayerPips, AskLayerPips fixedpoint.Value
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}
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type SessionBinder interface {
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Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error
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}
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type SignalNumber float64
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const (
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SignalNumberMaxLong = 2.0
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SignalNumberMaxShort = -2.0
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)
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type SignalProvider interface {
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CalculateSignal(ctx context.Context) (float64, error)
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}
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type KLineShapeSignal struct {
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FullBodyThreshold float64 `json:"fullBodyThreshold"`
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}
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type SignalConfig struct {
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Weight float64 `json:"weight"`
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BollingerBandTrendSignal *BollingerBandTrendSignal `json:"bollingerBandTrend,omitempty"`
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OrderBookBestPriceSignal *OrderBookBestPriceVolumeSignal `json:"orderBookBestPrice,omitempty"`
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KLineShapeSignal *KLineShapeSignal `json:"klineShape,omitempty"`
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}
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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@ -50,6 +85,8 @@ type Strategy struct {
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HedgeInterval types.Duration `json:"hedgeInterval"`
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OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`
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SignalConfigList []SignalConfig `json:"signals"`
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Margin fixedpoint.Value `json:"margin"`
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BidMargin fixedpoint.Value `json:"bidMargin"`
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AskMargin fixedpoint.Value `json:"askMargin"`
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@ -138,6 +175,8 @@ type Strategy struct {
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circuitBreakerAlertLimiter *rate.Limiter
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logger logrus.FieldLogger
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metricsLabels prometheus.Labels
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}
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func (s *Strategy) ID() string {
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@ -192,18 +231,16 @@ func (s *Strategy) Initialize() error {
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"strategy": ID,
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"strategy_id": s.InstanceID(),
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})
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s.metricsLabels = prometheus.Labels{
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"strategy_type": ID,
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"strategy_id": s.InstanceID(),
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"exchange": s.MakerExchange,
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"symbol": s.Symbol,
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}
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return nil
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}
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type Quote struct {
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BestBidPrice, BestAskPrice fixedpoint.Value
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BidMargin, AskMargin fixedpoint.Value
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// BidLayerPips is the price pips between each layer
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BidLayerPips, AskLayerPips fixedpoint.Value
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}
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// getBollingerTrend returns -1 when the price is in the downtrend, 1 when the price is in the uptrend, 0 when the price is in the band
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func (s *Strategy) getBollingerTrend(quote *Quote) int {
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// when bid price is lower than the down band, then it's in the downtrend
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@ -211,12 +248,6 @@ func (s *Strategy) getBollingerTrend(quote *Quote) int {
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lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
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s.logger.Infof("bollinger band: up/down = %f/%f, bid/ask = %f/%f",
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lastUpBand.Float64(),
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lastDownBand.Float64(),
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quote.BestBidPrice.Float64(),
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quote.BestAskPrice.Float64())
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if quote.BestAskPrice.Compare(lastDownBand) < 0 {
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return -1
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} else if quote.BestBidPrice.Compare(lastUpBand) > 0 {
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@ -282,6 +313,43 @@ func (s *Strategy) applyBollingerMargin(
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return nil
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}
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func (s *Strategy) calculateSignal(ctx context.Context) (float64, error) {
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sum := 0.0
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voters := 0.0
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for _, signal := range s.SignalConfigList {
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if signal.OrderBookBestPriceSignal != nil {
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sig, err := signal.OrderBookBestPriceSignal.CalculateSignal(ctx)
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if err != nil {
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return 0, err
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}
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if signal.Weight > 0.0 {
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sum += sig * signal.Weight
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voters += signal.Weight
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} else {
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sum += sig
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voters++
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}
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} else if signal.BollingerBandTrendSignal != nil {
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sig, err := signal.BollingerBandTrendSignal.CalculateSignal(ctx)
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if err != nil {
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return 0, err
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}
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if signal.Weight > 0.0 {
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sum += sig * signal.Weight
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voters += signal.Weight
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} else {
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sum += sig
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voters++
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}
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}
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}
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return sum / voters, nil
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}
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func (s *Strategy) updateQuote(ctx context.Context) {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
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s.logger.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
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@ -293,6 +361,15 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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return
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}
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signal, err := s.calculateSignal(ctx)
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if err != nil {
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return
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}
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s.logger.Infof("Final signal: %f", signal)
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finalSignalMetrics.With(s.metricsLabels).Set(signal)
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if s.CircuitBreaker != nil {
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now := time.Now()
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if reason, halted := s.CircuitBreaker.IsHalted(now); halted {
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@ -500,13 +577,6 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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}
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labels := prometheus.Labels{
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"strategy_type": ID,
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"strategy_id": s.InstanceID(),
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"exchange": s.MakerExchange,
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"symbol": s.Symbol,
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}
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bidExposureInUsd := fixedpoint.Zero
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askExposureInUsd := fixedpoint.Zero
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bidPrice := quote.BestBidPrice
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@ -520,8 +590,8 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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return
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}
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bidMarginMetrics.With(labels).Set(quote.BidMargin.Float64())
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askMarginMetrics.With(labels).Set(quote.AskMargin.Float64())
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bidMarginMetrics.With(s.metricsLabels).Set(quote.BidMargin.Float64())
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askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64())
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for i := 0; i < s.NumLayers; i++ {
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// for maker bid orders
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@ -566,7 +636,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if i == 0 {
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s.logger.Infof("maker best bid price %f", bidPrice.Float64())
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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makerBestBidPriceMetrics.With(s.metricsLabels).Set(bidPrice.Float64())
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}
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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@ -634,7 +704,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if i == 0 {
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s.logger.Infof("maker best ask price %f", askPrice.Float64())
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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makerBestAskPriceMetrics.With(s.metricsLabels).Set(askPrice.Float64())
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}
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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@ -687,8 +757,8 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
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}
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openOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureInUsd.Float64())
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openOrderAskExposureInUsdMetrics.With(labels).Set(askExposureInUsd.Float64())
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openOrderBidExposureInUsdMetrics.With(s.metricsLabels).Set(bidExposureInUsd.Float64())
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openOrderAskExposureInUsdMetrics.With(s.metricsLabels).Set(askExposureInUsd.Float64())
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_ = errIdx
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_ = createdOrders
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@ -1039,7 +1109,6 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
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func (s *Strategy) CrossRun(
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ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
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) error {
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instanceID := s.InstanceID()
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// configure sessions
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@ -1125,6 +1194,14 @@ func (s *Strategy) CrossRun(
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})
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}
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s.sourceSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
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s.priceSolver.Update(k.Symbol, k.Close)
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feeToken := s.sourceSession.Exchange.PlatformFeeCurrency()
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if feePrice, ok := s.priceSolver.ResolvePrice(feeToken, "USDT"); ok {
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s.Position.SetFeeAverageCost(feeToken, feePrice)
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}
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}))
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if s.ProfitFixerConfig != nil {
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bbgo.Notify("Fixing %s profitStats and position...", s.Symbol)
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@ -1169,6 +1246,25 @@ func (s *Strategy) CrossRun(
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s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
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s.book.BindStream(s.sourceSession.MarketDataStream)
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for _, signalConfig := range s.SignalConfigList {
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var sigAny any
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switch {
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case signalConfig.OrderBookBestPriceSignal != nil:
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sig := signalConfig.OrderBookBestPriceSignal
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sig.book = s.book
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sigAny = sig
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case signalConfig.BollingerBandTrendSignal != nil:
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}
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if sigAny != nil {
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if binder, ok := sigAny.(SessionBinder); ok {
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binder.Bind(ctx, s.sourceSession, s.Symbol)
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}
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}
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}
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
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