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dca: rewrite dca with the new order executor

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c9s 2022-06-22 13:35:27 +08:00
parent 5fe0f5a299
commit a5cb8355d4
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 14 additions and 55 deletions
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69
pkg/strategy/dca/strategy.go
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@ -71,12 +71,13 @@ type Strategy struct {
BudgetQuota fixedpoint.Value `persistence:"budget_quota"`
BudgetPeriodStartTime time.Time `persistence:"budget_period_start_time"`
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
session *bbgo.ExchangeSession
bbgo.StrategyController
}
@ -141,20 +142,10 @@ func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
// check if position can be close or not
func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// initial required information
s.session = session
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(session.UserDataStream)
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
if s.BudgetQuota.IsZero() {
s.BudgetQuota = s.Budget
}
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
@ -165,50 +156,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
instanceID := s.InstanceID()
if s.BudgetQuota.IsZero() {
s.BudgetQuota = s.Budget
}
s.session = session
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(s)
})
s.orderExecutor.Bind()
numOfInvestmentPerPeriod := fixedpoint.NewFromFloat(float64(s.BudgetPeriod.Duration()) / float64(s.InvestmentInterval.Duration()))
s.budgetPerInvestment = s.Budget.Div(numOfInvestmentPerPeriod)
// Always update the position fields
s.Position.Strategy = ID
s.Position.StrategyInstanceID = instanceID
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
bbgo.Notify(trade)
s.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
bbgo.Notify(&p)
s.ProfitStats.AddProfit(p)
bbgo.Notify(&s.ProfitStats)
s.Environment.RecordPosition(s.Position, trade, &p)
}
})
s.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
s.BudgetQuota = s.BudgetQuota.Sub(trade.QuoteQuantity)
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
log.Infof("position changed: %s", s.Position)
bbgo.Notify(s.Position)
})
s.tradeCollector.BindStream(session.UserDataStream)
session.UserDataStream.OnStart(func() {})
session.MarketDataStream.OnKLine(func(kline types.KLine) {})
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {