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Merge pull request #1475 from c9s/narumi/rebalance/fix-instance-id

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REFACTOR: [rebalance] refactor MultiMarketStrategy.Initialize
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c9s 2024-01-06 14:30:12 +08:00 committed by GitHub
commit 9f8bdeb3e9
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5 changed files with 36 additions and 61 deletions
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34
pkg/strategy/rebalance/multi_market_strategy.go
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@ -7,6 +7,9 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
type PositionMap map[string]*types.Position
type ProfitStatsMap map[string]*types.ProfitStats
type MultiMarketStrategy struct {
Environ *bbgo.Environment
Session *bbgo.ExchangeSession
@ -19,26 +22,47 @@ type MultiMarketStrategy struct {
cancel context.CancelFunc
}
func (s *MultiMarketStrategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, markets map[string]types.Market, strategyID string) {
func (s *MultiMarketStrategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, markets map[string]types.Market, strategyID string, instanceID string) {
s.parent = ctx
s.ctx, s.cancel = context.WithCancel(ctx)
s.Environ = environ
s.Session = session
// initialize position map
if s.PositionMap == nil {
log.Infof("creating position map")
s.PositionMap = make(PositionMap)
}
s.PositionMap.CreatePositions(markets)
for symbol, market := range markets {
if _, ok := s.PositionMap[symbol]; ok {
continue
}
log.Infof("creating position for symbol %s", symbol)
position := types.NewPositionFromMarket(market)
position.Strategy = ID
position.StrategyInstanceID = instanceID
s.PositionMap[symbol] = position
}
// initialize profit stats map
if s.ProfitStatsMap == nil {
log.Infof("creating profit stats map")
s.ProfitStatsMap = make(ProfitStatsMap)
}
s.ProfitStatsMap.CreateProfitStats(markets)
for symbol, market := range markets {
if _, ok := s.ProfitStatsMap[symbol]; ok {
continue
}
s.OrderExecutorMap = NewGeneralOrderExecutorMap(session, s.PositionMap)
log.Infof("creating profit stats for symbol %s", symbol)
s.ProfitStatsMap[symbol] = types.NewProfitStats(market)
}
// initialize order executor map
s.OrderExecutorMap = NewGeneralOrderExecutorMap(session, strategyID, instanceID, s.PositionMap)
s.OrderExecutorMap.BindEnvironment(environ)
s.OrderExecutorMap.BindProfitStats(s.ProfitStatsMap)
s.OrderExecutorMap.Sync(ctx, s)
s.OrderExecutorMap.Bind()
}

12
pkg/strategy/rebalance/order_executor_map.go
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@ -10,12 +10,12 @@ import (
type GeneralOrderExecutorMap map[string]*bbgo.GeneralOrderExecutor
func NewGeneralOrderExecutorMap(session *bbgo.ExchangeSession, positionMap PositionMap) GeneralOrderExecutorMap {
func NewGeneralOrderExecutorMap(session *bbgo.ExchangeSession, strategyID string, instanceID string, positionMap PositionMap) GeneralOrderExecutorMap {
m := make(GeneralOrderExecutorMap)
for symbol, position := range positionMap {
log.Infof("creating order executor for symbol %s", symbol)
orderExecutor := bbgo.NewGeneralOrderExecutor(session, symbol, ID, instanceID(symbol), position)
orderExecutor := bbgo.NewGeneralOrderExecutor(session, symbol, strategyID, instanceID, position)
m[symbol] = orderExecutor
}
@ -41,14 +41,6 @@ func (m GeneralOrderExecutorMap) Bind() {
}
}
func (m GeneralOrderExecutorMap) Sync(ctx context.Context, obj interface{}) {
for _, orderExecutor := range m {
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, obj)
})
}
}
func (m GeneralOrderExecutorMap) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) {
var allCreatedOrders types.OrderSlice
for _, submitOrder := range submitOrders {

22
pkg/strategy/rebalance/position_map.go
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@ -1,22 +0,0 @@
package rebalance
import (
"github.com/c9s/bbgo/pkg/types"
)
type PositionMap map[string]*types.Position
func (m PositionMap) CreatePositions(markets map[string]types.Market) PositionMap {
for symbol, market := range markets {
if _, ok := m[symbol]; ok {
continue
}
log.Infof("creating position for symbol %s", symbol)
position := types.NewPositionFromMarket(market)
position.Strategy = ID
position.StrategyInstanceID = instanceID(symbol)
m[symbol] = position
}
return m
}

19
pkg/strategy/rebalance/profit_stats_map.go
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@ -1,19 +0,0 @@
package rebalance
import (
"github.com/c9s/bbgo/pkg/types"
)
type ProfitStatsMap map[string]*types.ProfitStats
func (m ProfitStatsMap) CreateProfitStats(markets map[string]types.Market) ProfitStatsMap {
for symbol, market := range markets {
if _, ok := m[symbol]; ok {
continue
}
log.Infof("creating profit stats for symbol %s", symbol)
m[symbol] = types.NewProfitStats(market)
}
return m
}

10
pkg/strategy/rebalance/strategy.go
View File

@ -22,10 +22,6 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
func instanceID(symbol string) string {
return fmt.Sprintf("%s:%s", ID, symbol)
}
type Strategy struct {
*MultiMarketStrategy
@ -72,6 +68,10 @@ func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) InstanceID() string {
return ID
}
func (s *Strategy) Validate() error {
if len(s.TargetWeights) == 0 {
return fmt.Errorf("targetWeights should not be empty")
@ -109,7 +109,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
s.markets[symbol] = market
}
s.MultiMarketStrategy.Initialize(ctx, s.Environment, session, s.markets, ID)
s.MultiMarketStrategy.Initialize(ctx, s.Environment, session, s.markets, ID, s.InstanceID())
s.activeOrderBook = bbgo.NewActiveOrderBook("")
s.activeOrderBook.BindStream(session.UserDataStream)