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bollmaker: add Environment field and Market field for injection

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This commit is contained in:
c9s 2022-03-05 12:40:56 +08:00
parent 47023729ec
commit a9f9fa8fed
1 changed files with 20 additions and 26 deletions
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46
pkg/strategy/bollmaker/strategy.go
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@ -52,7 +52,9 @@ type Strategy struct {
*bbgo.Notifiability
*bbgo.Persistence
Environment *bbgo.Environment
StandardIndicatorSet *bbgo.StandardIndicatorSet
Market types.Market
// Symbol is the market symbol you want to trade
Symbol string `json:"symbol"`
@ -141,8 +143,7 @@ type Strategy struct {
bbgo.SmartStops
session *bbgo.ExchangeSession
book *types.StreamOrderBook
market types.Market
book *types.StreamOrderBook
state *State
@ -214,8 +215,8 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
side = types.SideTypeSell
}
if quantity.Compare(s.market.MinQuantity) < 0 {
return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.market.MinQuantity)
if quantity.Compare(s.Market.MinQuantity) < 0 {
return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
}
submitOrder := types.SubmitOrder{
@ -223,7 +224,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity,
Market: s.market,
Market: s.Market,
}
s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
@ -264,13 +265,13 @@ func (s *Strategy) LoadState() error {
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = types.NewPositionFromMarket(s.market)
s.state.Position = types.NewPositionFromMarket(s.Market)
}
// init profit states
s.state.ProfitStats.Symbol = s.market.Symbol
s.state.ProfitStats.BaseCurrency = s.market.BaseCurrency
s.state.ProfitStats.QuoteCurrency = s.market.QuoteCurrency
s.state.ProfitStats.Symbol = s.Market.Symbol
s.state.ProfitStats.BaseCurrency = s.Market.BaseCurrency
s.state.ProfitStats.QuoteCurrency = s.Market.QuoteCurrency
if s.state.ProfitStats.AccumulatedSince == 0 {
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
}
@ -323,7 +324,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
Type: types.OrderTypeLimitMaker,
Quantity: sellQuantity,
Price: askPrice,
Market: s.market,
Market: s.Market,
GroupID: s.groupID,
}
buyOrder := types.SubmitOrder{
@ -332,14 +333,14 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
Type: types.OrderTypeLimitMaker,
Quantity: buyQuantity,
Price: bidPrice,
Market: s.market,
Market: s.Market,
GroupID: s.groupID,
}
var submitOrders []types.SubmitOrder
baseBalance, hasBaseBalance := balances[s.market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.market.QuoteCurrency]
baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
downBand := s.defaultBoll.LastDownBand()
upBand := s.defaultBoll.LastUpBand()
@ -421,12 +422,12 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
case UpTrend:
skew := s.UptrendSkew
buyOrder.Quantity = fixedpoint.Max(s.market.MinQuantity, sellOrder.Quantity.Mul(skew))
buyOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, sellOrder.Quantity.Mul(skew))
case DownTrend:
skew := s.DowntrendSkew
ratio := fixedpoint.One.Div(skew)
sellOrder.Quantity = fixedpoint.Max(s.market.MinQuantity, buyOrder.Quantity.Mul(ratio))
sellOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, buyOrder.Quantity.Mul(ratio))
}
@ -506,12 +507,12 @@ func (s *Strategy) detectPriceTrend(inc *indicator.BOLL, price float64) PriceTre
}
func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
if submitOrder.Quantity.Mul(submitOrder.Price).Compare(s.market.MinNotional) < 0 {
submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.market.MinNotional.Mul(notionModifier))
if submitOrder.Quantity.Mul(submitOrder.Price).Compare(s.Market.MinNotional) < 0 {
submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.Market.MinNotional.Mul(notionModifier))
}
if submitOrder.Quantity.Compare(s.market.MinQuantity) < 0 {
submitOrder.Quantity = fixedpoint.Max(submitOrder.Quantity, s.market.MinQuantity)
if submitOrder.Quantity.Compare(s.Market.MinQuantity) < 0 {
submitOrder.Quantity = fixedpoint.Max(submitOrder.Quantity, s.Market.MinQuantity)
}
return submitOrder
@ -540,13 +541,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// initial required information
s.session = session
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s not found", s.Symbol)
}
s.market = market
s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)