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all: integrate metrics into stream book

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c9s 2024-08-24 13:45:01 +08:00
parent b0cc009d67
commit afac81a3e8
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GPG Key ID: 7385E7E464CB0A54
14 changed files with 97 additions and 29 deletions
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2
examples/exchange-api/binance-book/main.go
View File

@ -48,7 +48,7 @@ var rootCmd = &cobra.Command{
stream.SetPublicOnly()
stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
streamBook := types.NewStreamBook(symbol)
streamBook := types.NewStreamBook(symbol, exchange.Name())
streamBook.BindStream(stream)
go func() {

2
pkg/bbgo/session.go
View File

@ -464,7 +464,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
for _, sub := range session.Subscriptions {
switch sub.Channel {
case types.BookChannel:
book := types.NewStreamBook(sub.Symbol)
book := types.NewStreamBook(sub.Symbol, session.ExchangeName)
book.BindStream(session.MarketDataStream)
session.orderBooks[sub.Symbol] = book

2
pkg/cmd/orderbook.go
View File

@ -54,7 +54,7 @@ var orderbookCmd = &cobra.Command{
return fmt.Errorf("session %s not found", sessionName)
}
orderBook := types.NewMutexOrderBook(symbol)
orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
s := session.Exchange.NewStream()
s.SetPublicOnly()

23
pkg/strategy/audacitymaker/orderflow.go
View File

@ -2,6 +2,7 @@ package audacitymaker
import (
"context"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -38,7 +39,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
position := orderExecutor.Position()
symbol := position.Symbol
// ger best bid/ask, not used yet
s.StreamBook = types.NewStreamBook(symbol)
s.StreamBook = types.NewStreamBook(symbol, session.ExchangeName)
s.StreamBook.BindStream(session.MarketDataStream)
// use queue to do time-series rolling
@ -59,7 +60,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
//log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
// log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
ctx := context.Background()
@ -80,10 +81,10 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
sellTradesNumber.Update(1)
}
//canceled := s.orderExecutor.GracefulCancel(ctx)
//if canceled != nil {
// canceled := s.orderExecutor.GracefulCancel(ctx)
// if canceled != nil {
// _ = s.orderExecutor.GracefulCancel(ctx)
//}
// }
sizeFraction := buyTradeSize.Sum() / sellTradeSize.Sum()
numberFraction := buyTradesNumber.Sum() / sellTradesNumber.Sum()
@ -112,15 +113,15 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
if outlier(orderFlowSizeMinMax.Tail(100), threshold) > 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) > 0 {
_ = s.orderExecutor.GracefulCancel(ctx)
log.Infof("long!!")
//_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
// _ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price, symbol)
//_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
// _ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
} else if outlier(orderFlowSizeMinMax.Tail(100), threshold) < 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) < 0 {
_ = s.orderExecutor.GracefulCancel(ctx)
log.Infof("short!!")
//_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
// _ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price, symbol)
//_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
// _ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
}
}
@ -138,7 +139,9 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}
}
func (s *PerTrade) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) error {
func (s *PerTrade) placeOrder(
ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string,
) error {
market, _ := s.session.Market(symbol)
_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: symbol,

2
pkg/strategy/scmaker/strategy.go
View File

@ -98,7 +98,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
s.book = types.NewStreamBook(s.Symbol)
s.book = types.NewStreamBook(s.Symbol, session.Exchange.Name())
s.book.BindStream(session.MarketDataStream)
s.liquidityOrderBook = bbgo.NewActiveOrderBook(s.Symbol)

14
pkg/strategy/tri/strategy.go
View File

@ -513,7 +513,9 @@ func notifyUsdPnL(profit fixedpoint.Value) {
bbgo.Notify(title)
}
func (s *Strategy) iocOrderExecution(ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64) (types.OrderSlice, error) {
func (s *Strategy) iocOrderExecution(
ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64,
) (types.OrderSlice, error) {
service, ok := session.Exchange.(types.ExchangeOrderQueryService)
if !ok {
return nil, errors.New("exchange does not support ExchangeOrderQueryService")
@ -700,7 +702,9 @@ func (s *Strategy) waitWebSocketOrderDone(ctx context.Context, orderID uint64, t
}
}
func (s *Strategy) waitOrdersAndCollectTrades(ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice) (map[uint64][]types.Trade, types.OrderSlice, error) {
func (s *Strategy) waitOrdersAndCollectTrades(
ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice,
) (map[uint64][]types.Trade, types.OrderSlice, error) {
var err error
var orderTrades = make(map[uint64][]types.Trade)
var updatedOrders types.OrderSlice
@ -763,7 +767,9 @@ func (s *Strategy) analyzeOrders(orders types.OrderSlice) {
}
}
func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan) (map[string]*ArbMarket, error) {
func (s *Strategy) buildArbMarkets(
session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan,
) (map[string]*ArbMarket, error) {
markets := make(map[string]*ArbMarket)
// build market object
for _, symbol := range symbols {
@ -790,7 +796,7 @@ func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []stri
Speed: types.SpeedHigh,
})
book := types.NewStreamBook(symbol)
book := types.NewStreamBook(symbol, session.ExchangeName)
priceUpdater := func(_ types.SliceOrderBook) {
bestBid, bestAsk, _ := book.BestBidAndAsk()
if bestAsk.Equals(m.bestAsk) && bestBid.Equals(m.bestBid) {

2
pkg/strategy/xdepthmaker/strategy.go
View File

@ -393,7 +393,7 @@ func (s *Strategy) CrossRun(
return err
}
s.pricingBook = types.NewStreamBook(s.HedgeSymbol)
s.pricingBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
s.stopC = make(chan struct{})

2
pkg/strategy/xdepthmaker/strategy_test.go
View File

@ -44,7 +44,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
},
}
pricingBook := types.NewStreamBook("BTCUSDT")
pricingBook := types.NewStreamBook("BTCUSDT", types.ExchangeBinance)
pricingBook.Load(types.SliceOrderBook{
Symbol: "BTCUSDT",
Bids: types.PriceVolumeSlice{

4
pkg/strategy/xgap/strategy.go
View File

@ -153,11 +153,11 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
})
if s.SourceExchange != "" {
s.sourceBook = types.NewStreamBook(s.Symbol)
s.sourceBook = types.NewStreamBook(s.Symbol, sourceSession.ExchangeName)
s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
}
s.tradingBook = types.NewStreamBook(s.Symbol)
s.tradingBook = types.NewStreamBook(s.Symbol, tradingSession.ExchangeName)
s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {

2
pkg/strategy/xmaker/strategy.go
View File

@ -819,7 +819,7 @@ func (s *Strategy) CrossRun(
})
}
s.book = types.NewStreamBook(s.Symbol)
s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
s.book.BindStream(s.sourceSession.MarketDataStream)
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)

2
pkg/twap/stream_executor.go
View File

@ -396,7 +396,7 @@ func (e *StreamExecutor) Run(parentCtx context.Context) error {
e.marketDataStream.SetPublicOnly()
e.marketDataStream.Subscribe(types.BookChannel, e.Symbol, types.SubscribeOptions{})
e.orderBook = types.NewStreamBook(e.Symbol)
e.orderBook = types.NewStreamBook(e.Symbol, e.Session.ExchangeName)
e.orderBook.BindStream(e.marketDataStream)
e.userDataStream = e.Session.Exchange.NewStream()

2
pkg/twap/v2/stream_executor.go
View File

@ -88,7 +88,7 @@ func NewFixedQuantityExecutor(
Depth: types.DepthLevelMedium,
})
orderBook := types.NewStreamBook(symbol)
orderBook := types.NewStreamBook(symbol, exchange.Name())
orderBook.BindStream(marketDataStream)
userDataStream := exchange.NewStream()

1
pkg/twap/v2/stream_executor_test.go
View File

@ -143,6 +143,7 @@ func TestNewStreamExecutor(t *testing.T) {
},
}
mockEx.EXPECT().Name().Return(exchangeName)
mockEx.EXPECT().NewStream().Return(mockMarketDataStream)
mockEx.EXPECT().NewStream().Return(mockUserDataStream)
mockEx.EXPECT().QueryAccountBalances(gomock.AssignableToTypeOf(ctx)).Return(initialBalances, nil)

66
pkg/types/orderbook.go
View File

@ -6,6 +6,8 @@ import (
"sync"
"time"
"github.com/prometheus/client_golang/prometheus"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
@ -26,12 +28,13 @@ type OrderBook interface {
type MutexOrderBook struct {
sync.Mutex
Symbol string
Symbol string
Exchange ExchangeName
orderBook OrderBook
}
func NewMutexOrderBook(symbol string) *MutexOrderBook {
func NewMutexOrderBook(symbol string, exchangeName ExchangeName) *MutexOrderBook {
var book OrderBook = NewSliceOrderBook(symbol)
if v, _ := strconv.ParseBool(os.Getenv("ENABLE_RBT_ORDERBOOK")); v {
@ -40,6 +43,7 @@ func NewMutexOrderBook(symbol string) *MutexOrderBook {
return &MutexOrderBook{
Symbol: symbol,
Exchange: exchangeName,
orderBook: book,
}
}
@ -134,6 +138,46 @@ type BookSignal struct {
Time time.Time
}
var streamOrderBookBestBidPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_bid_price",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookBestAskPriceMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_ask_price",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookBestBidVolumeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_bid_volume",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookBestAskVolumeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_best_ask_volume",
Help: "",
}, []string{"symbol", "exchange"})
var streamOrderBookUpdateTimeMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "bbgo_stream_order_book_update_time_milliseconds",
Help: "",
}, []string{"symbol", "exchange"})
func init() {
prometheus.MustRegister(
streamOrderBookBestBidPriceMetrics,
streamOrderBookBestAskPriceMetrics,
streamOrderBookBestBidVolumeMetrics,
streamOrderBookBestAskVolumeMetrics,
streamOrderBookUpdateTimeMetrics,
)
}
// StreamOrderBook receives streaming data from websocket connection and
// update the order book with mutex lock, so you can safely access it.
//
@ -147,13 +191,25 @@ type StreamOrderBook struct {
snapshotCallbacks []func(snapshot SliceOrderBook)
}
func NewStreamBook(symbol string) *StreamOrderBook {
func NewStreamBook(symbol string, exchangeName ExchangeName) *StreamOrderBook {
return &StreamOrderBook{
MutexOrderBook: NewMutexOrderBook(symbol),
MutexOrderBook: NewMutexOrderBook(symbol, exchangeName),
C: make(chan *BookSignal, 1),
}
}
func (sb *StreamOrderBook) updateMetrics(t time.Time) {
bestBid, bestAsk, ok := sb.BestBidAndAsk()
if ok {
exchangeName := string(sb.Exchange)
streamOrderBookBestAskPriceMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestAsk.Price.Float64())
streamOrderBookBestBidPriceMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestBid.Price.Float64())
streamOrderBookBestAskVolumeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestAsk.Volume.Float64())
streamOrderBookBestBidVolumeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(bestBid.Volume.Float64())
streamOrderBookUpdateTimeMetrics.WithLabelValues(sb.Symbol, exchangeName).Set(float64(t.UnixMilli()))
}
}
func (sb *StreamOrderBook) BindStream(stream Stream) {
stream.OnBookSnapshot(func(book SliceOrderBook) {
if sb.MutexOrderBook.Symbol != book.Symbol {
@ -163,6 +219,7 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
sb.Load(book)
sb.EmitSnapshot(book)
sb.emitChange(BookSignalSnapshot, book.Time)
sb.updateMetrics(book.Time)
})
stream.OnBookUpdate(func(book SliceOrderBook) {
@ -173,6 +230,7 @@ func (sb *StreamOrderBook) BindStream(stream Stream) {
sb.Update(book)
sb.EmitUpdate(book)
sb.emitChange(BookSignalUpdate, book.Time)
sb.updateMetrics(book.Time)
})
}