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feature/profitTracker: use profitTracker in Supertrend strategy

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This commit is contained in:
Andy Cheng 2023-06-16 15:18:15 +08:00
parent 57cdbb1d77
commit a197352c6e
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GPG Key ID: 936427CF651A9D28
2 changed files with 23 additions and 13 deletions
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29
pkg/report/profit_tracker.go
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@ -9,9 +9,10 @@ import (
type ProfitTracker struct {
types.IntervalWindow
market types.Market
profitStatsSlice []*types.ProfitStats
currentProfitStats **types.ProfitStats
ProfitStatsSlice []*types.ProfitStats
CurrentProfitStats **types.ProfitStats
market types.Market
}
// InitOld is for backward capability. ps is the ProfitStats of the strategy, market is the strategy market
@ -22,18 +23,20 @@ func (p *ProfitTracker) InitOld(ps **types.ProfitStats, market types.Market) {
*ps = types.NewProfitStats(p.market)
}
p.currentProfitStats = ps
p.profitStatsSlice = append(p.profitStatsSlice, *ps)
p.CurrentProfitStats = ps
p.ProfitStatsSlice = append(p.ProfitStatsSlice, *ps)
}
// Init initialize the tracker with the given market
func (p *ProfitTracker) Init(market types.Market) {
p.market = market
*p.currentProfitStats = types.NewProfitStats(p.market)
p.profitStatsSlice = append(p.profitStatsSlice, *p.currentProfitStats)
*p.CurrentProfitStats = types.NewProfitStats(p.market)
p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
}
func (p *ProfitTracker) Bind(tradeCollector *bbgo.TradeCollector, session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, p.market.Symbol, types.SubscribeOptions{Interval: p.Interval})
tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
p.AddProfit(*profit)
})
@ -50,18 +53,18 @@ func (p *ProfitTracker) Bind(tradeCollector *bbgo.TradeCollector, session *bbgo.
// Rotate the tracker to make a new ProfitStats to record the profits
func (p *ProfitTracker) Rotate() {
*p.currentProfitStats = types.NewProfitStats(p.market)
p.profitStatsSlice = append(p.profitStatsSlice, *p.currentProfitStats)
*p.CurrentProfitStats = types.NewProfitStats(p.market)
p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
// Truncate
if len(p.profitStatsSlice) > p.Window {
p.profitStatsSlice = p.profitStatsSlice[len(p.profitStatsSlice)-p.Window:]
if len(p.ProfitStatsSlice) > p.Window {
p.ProfitStatsSlice = p.ProfitStatsSlice[len(p.ProfitStatsSlice)-p.Window:]
}
}
func (p *ProfitTracker) AddProfit(profit types.Profit) {
(*p.currentProfitStats).AddProfit(profit)
(*p.CurrentProfitStats).AddProfit(profit)
}
func (p *ProfitTracker) AddTrade(trade types.Trade) {
(*p.currentProfitStats).AddTrade(trade)
(*p.CurrentProfitStats).AddTrade(trade)
}

7
pkg/strategy/supertrend/strategy.go
View File

@ -39,6 +39,8 @@ type Strategy struct {
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
TradeStats *types.TradeStats `persistence:"trade_stats"`
ProfitTracker *report.ProfitTracker `json:"profitTracker" persistence:"profit_tracker"`
// Symbol is the market symbol you want to trade
Symbol string `json:"symbol"`
@ -328,6 +330,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.TradeStats = types.NewTradeStats(s.Symbol)
}
if s.ProfitTracker.CurrentProfitStats == nil {
s.ProfitTracker.InitOld(&s.ProfitStats, s.Market)
}
// Interval profit report
if bbgo.IsBackTesting {
startTime := s.Environment.StartTime()
@ -349,6 +355,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.BindTradeStats(s.TradeStats)
s.orderExecutor.BindProfitTracker(s.ProfitTracker)
s.orderExecutor.Bind()
// AccountValueCalculator