lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-21 22:43:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

rebalance: remove unused subscriptions

Browse Source
This commit is contained in:
なるみ 2022-06-16 00:20:53 +08:00
parent 21a793e16b
commit ad98cf883c
1 changed files with 13 additions and 12 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

25
pkg/strategy/rebalance/strategy.go
View File

@ -33,8 +33,12 @@ type Strategy struct {
// max amount to buy or sell per order
MaxAmount fixedpoint.Value `json:"maxAmount"`
// sorted currencies
currencies []string
// symbol for subscribing kline
symbol string
activeOrderBook *bbgo.ActiveOrderBook
}
@ -44,6 +48,9 @@ func (s *Strategy) Initialize() error {
}
sort.Strings(s.currencies)
s.symbol = s.currencies[0] + s.BaseCurrency
return nil
}
@ -74,9 +81,7 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
for _, symbol := range s.symbols() {
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
}
session.Subscribe(types.KLineChannel, s.symbol, types.SubscribeOptions{Interval: s.Interval})
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
@ -84,21 +89,17 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.activeOrderBook.BindStream(session.UserDataStream)
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if kline.Symbol != s.currencies[0]+s.BaseCurrency {
return
// cancel active orders before rebalance
if err := session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
log.WithError(err).Errorf("failed to cancel orders")
}
s.rebalance(ctx, orderExecutor, session)
})
return nil
}
func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
err := orderExecutor.CancelOrders(ctx, s.activeOrderBook.Orders()...)
if err != nil {
log.WithError(err).Error("failed to cancel orders")
return
}
prices, err := s.prices(ctx, session)
if err != nil {
return
@ -117,7 +118,7 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Error("submit order error")
log.WithError(err).Error("failed to submit orders")
return
}