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https://github.com/c9s/bbgo.git
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drop legacy OrderProcessor and remove slack debug
This commit is contained in:
c9s
parent
468864302e
commit
b22e0370b3
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@ -144,7 +144,6 @@ func (e *BasicRiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders
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e.Notify(":memo: Submitting %s %s %s order with quantity %s @ %s", o.Symbol, o.Side, o.Type, o.QuantityString, o.PriceString, o)
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}
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return e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
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}
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@ -1,11 +1,7 @@
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package bbgo
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import (
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"context"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/types"
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)
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var (
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@ -17,118 +13,93 @@ var (
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ErrAssetBalanceLevelTooHigh = errors.New("asset balance level too high")
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)
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// OrderProcessor does:
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// - Check quote balance
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// - Check and control the order amount
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// - Adjust order amount due to the minAmount configuration and maxAmount configuration
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// - Canonicalize the volume precision base on the given exchange
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type OrderProcessor struct {
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// balance control
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MinQuoteBalance float64 `json:"minQuoteBalance"`
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MaxAssetBalance float64 `json:"maxBaseAssetBalance"`
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MinAssetBalance float64 `json:"minBaseAssetBalance"`
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MaxOrderAmount float64 `json:"maxOrderAmount"`
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/*
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tradingCtx := p.OrderExecutor.Context
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currentPrice := tradingCtx.CurrentPrice
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market := order.Market
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quantity := order.Quantity
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// MinProfitSpread is used when submitting sell orders, it check if there the selling can make the profit.
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MinProfitSpread float64 `json:"minProfitSpread"`
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tradingCtx.Lock()
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defer tradingCtx.Unlock()
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switch order.Side {
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case types.SideTypeBuy:
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Exchange types.Exchange `json:"-"`
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}
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if balance, ok := tradingCtx.Balances[market.QuoteCurrency]; ok {
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if balance.Available < p.MinQuoteBalance {
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return errors.Wrapf(ErrQuoteBalanceLevelTooLow, "quote balance level is too low: %s < %s",
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types.USD.FormatMoneyFloat64(balance.Available),
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types.USD.FormatMoneyFloat64(p.MinQuoteBalance))
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}
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func (p *OrderProcessor) Submit(ctx context.Context, order types.SubmitOrder) error {
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/*
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tradingCtx := p.OrderExecutor.Context
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currentPrice := tradingCtx.CurrentPrice
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market := order.Market
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quantity := order.Quantity
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tradingCtx.Lock()
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defer tradingCtx.Unlock()
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switch order.Side {
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case types.SideTypeBuy:
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if balance, ok := tradingCtx.Balances[market.QuoteCurrency]; ok {
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if balance.Available < p.MinQuoteBalance {
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return errors.Wrapf(ErrQuoteBalanceLevelTooLow, "quote balance level is too low: %s < %s",
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types.USD.FormatMoneyFloat64(balance.Available),
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types.USD.FormatMoneyFloat64(p.MinQuoteBalance))
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}
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if baseBalance, ok := tradingCtx.Balances[market.BaseCurrency]; ok {
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if util.NotZero(p.MaxAssetBalance) && baseBalance.Available > p.MaxAssetBalance {
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return errors.Wrapf(ErrAssetBalanceLevelTooHigh, "asset balance level is too high: %f > %f", baseBalance.Available, p.MaxAssetBalance)
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}
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}
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available := math.Max(0.0, balance.Available-p.MinQuoteBalance)
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if available < market.MinAmount {
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return errors.Wrapf(ErrInsufficientQuoteBalance, "insufficient quote balance: %f < min amount %f", available, market.MinAmount)
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}
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quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinAmount*1.01)
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quantity = adjustQuantityByMaxAmount(quantity, currentPrice, available)
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amount := quantity * currentPrice
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if amount < market.MinAmount {
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return fmt.Errorf("amount too small: %f < min amount %f", amount, market.MinAmount)
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if baseBalance, ok := tradingCtx.Balances[market.BaseCurrency]; ok {
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if util.NotZero(p.MaxAssetBalance) && baseBalance.Available > p.MaxAssetBalance {
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return errors.Wrapf(ErrAssetBalanceLevelTooHigh, "asset balance level is too high: %f > %f", baseBalance.Available, p.MaxAssetBalance)
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}
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}
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case types.SideTypeSell:
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available := math.Max(0.0, balance.Available-p.MinQuoteBalance)
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if balance, ok := tradingCtx.Balances[market.BaseCurrency]; ok {
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if util.NotZero(p.MinAssetBalance) && balance.Available < p.MinAssetBalance {
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return errors.Wrapf(ErrAssetBalanceLevelTooLow, "asset balance level is too low: %f > %f", balance.Available, p.MinAssetBalance)
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}
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if available < market.MinAmount {
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return errors.Wrapf(ErrInsufficientQuoteBalance, "insufficient quote balance: %f < min amount %f", available, market.MinAmount)
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}
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quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinNotional*1.01)
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available := balance.Available
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quantity = math.Min(quantity, available)
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if quantity < market.MinQuantity {
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return errors.Wrapf(ErrInsufficientAssetBalance, "insufficient asset balance: %f > minimal quantity %f", available, market.MinQuantity)
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}
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notional := quantity * currentPrice
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if notional < tradingCtx.Market.MinNotional {
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return fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional)
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}
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// price tick10
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// 2 -> 0.01 -> 0.1
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// 4 -> 0.0001 -> 0.001
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tick10 := math.Pow10(-market.PricePrecision + 1)
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minProfitSpread := math.Max(p.MinProfitSpread, tick10)
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estimatedFee := currentPrice * 0.0015 * 2 // double the fee
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targetPrice := currentPrice - estimatedFee - minProfitSpread
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stockQuantity := tradingCtx.StockManager.Stocks.QuantityBelowPrice(targetPrice)
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if math.Round(stockQuantity*1e8) == 0.0 {
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return fmt.Errorf("profitable stock not found: target price %f, profit spread: %f", targetPrice, minProfitSpread)
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}
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quantity = math.Min(quantity, stockQuantity)
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if quantity < market.MinLot {
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return fmt.Errorf("quantity %f less than min lot %f", quantity, market.MinLot)
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}
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notional = quantity * currentPrice
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if notional < tradingCtx.Market.MinNotional {
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return fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional)
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}
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quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinAmount*1.01)
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quantity = adjustQuantityByMaxAmount(quantity, currentPrice, available)
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amount := quantity * currentPrice
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if amount < market.MinAmount {
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return fmt.Errorf("amount too small: %f < min amount %f", amount, market.MinAmount)
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}
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}
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order.Quantity = quantity
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order.QuantityString = market.FormatVolume(quantity)
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*/
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case types.SideTypeSell:
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createdOrders, err := p.Exchange.SubmitOrders(ctx, order)
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_ = createdOrders
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return err
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}
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if balance, ok := tradingCtx.Balances[market.BaseCurrency]; ok {
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if util.NotZero(p.MinAssetBalance) && balance.Available < p.MinAssetBalance {
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return errors.Wrapf(ErrAssetBalanceLevelTooLow, "asset balance level is too low: %f > %f", balance.Available, p.MinAssetBalance)
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}
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quantity = adjustQuantityByMinAmount(quantity, currentPrice, market.MinNotional*1.01)
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available := balance.Available
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quantity = math.Min(quantity, available)
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if quantity < market.MinQuantity {
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return errors.Wrapf(ErrInsufficientAssetBalance, "insufficient asset balance: %f > minimal quantity %f", available, market.MinQuantity)
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}
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notional := quantity * currentPrice
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if notional < tradingCtx.Market.MinNotional {
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return fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional)
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}
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// price tick10
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// 2 -> 0.01 -> 0.1
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// 4 -> 0.0001 -> 0.001
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tick10 := math.Pow10(-market.PricePrecision + 1)
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minProfitSpread := math.Max(p.MinProfitSpread, tick10)
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estimatedFee := currentPrice * 0.0015 * 2 // double the fee
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targetPrice := currentPrice - estimatedFee - minProfitSpread
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stockQuantity := tradingCtx.StockManager.Stocks.QuantityBelowPrice(targetPrice)
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if math.Round(stockQuantity*1e8) == 0.0 {
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return fmt.Errorf("profitable stock not found: target price %f, profit spread: %f", targetPrice, minProfitSpread)
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}
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quantity = math.Min(quantity, stockQuantity)
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if quantity < market.MinLot {
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return fmt.Errorf("quantity %f less than min lot %f", quantity, market.MinLot)
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}
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notional = quantity * currentPrice
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if notional < tradingCtx.Market.MinNotional {
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return fmt.Errorf("notional %f < min notional: %f", notional, market.MinNotional)
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}
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}
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}
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order.Quantity = quantity
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order.QuantityString = market.FormatVolume(quantity)
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*/
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func adjustQuantityByMinAmount(quantity float64, currentPrice float64, minAmount float64) float64 {
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// modify quantity for the min amount
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@ -24,7 +24,6 @@ import (
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"github.com/c9s/bbgo/pkg/notifier/slacknotifier"
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"github.com/c9s/bbgo/pkg/slack/slacklog"
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"github.com/c9s/bbgo/pkg/types"
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)
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var errSlackTokenUndefined = errors.New("slack token is not defined.")
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@ -117,7 +116,7 @@ func runConfig(ctx context.Context, userConfig *bbgo.Config) error {
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log.AddHook(slacklog.NewLogHook(slackToken, conf.ErrorChannel))
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}
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log.Infof("adding slack notifier...")
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log.Infof("adding slack notifier with default channel: %s", conf.DefaultChannel)
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var notifier = slacknotifier.New(slackToken, conf.DefaultChannel)
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trader.AddNotifier(notifier)
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}
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@ -20,7 +20,8 @@ type Notifier struct {
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type NotifyOption func(notifier *Notifier)
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func New(token, channel string, options ...NotifyOption) *Notifier {
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var client = slack.New(token, slack.OptionDebug(true))
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// var client = slack.New(token, slack.OptionDebug(true))
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var client = slack.New(token)
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notifier := &Notifier{
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channel: channel,
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