mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 01:01:56 +00:00
Merge pull request #1220 from c9s/feature/scmaker-with-risk-control
REFACTOR: refactor risk control with the order executor interface and mocks
This commit is contained in:
commit
b9b89756e2
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@ -9,6 +9,7 @@ import (
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -16,6 +17,7 @@ import (
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const CancelOrderWaitTime = 20 * time.Millisecond
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// ActiveOrderBook manages the local active order books.
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//
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//go:generate callbackgen -type ActiveOrderBook
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type ActiveOrderBook struct {
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Symbol string
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@ -209,7 +211,7 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
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continue
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}
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openOrderStore := NewOrderStore(symbol)
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openOrderStore := core.NewOrderStore(symbol)
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openOrderStore.Add(openOrders...)
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for _, o := range orders {
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// if it's not on the order book (open orders), we should remove it from our local side
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104
pkg/bbgo/mocks/mock_order_executor_extended.go
Normal file
104
pkg/bbgo/mocks/mock_order_executor_extended.go
Normal file
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@ -0,0 +1,104 @@
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// Code generated by MockGen. DO NOT EDIT.
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// Source: github.com/c9s/bbgo/pkg/bbgo (interfaces: OrderExecutorExtended)
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// Package mocks is a generated GoMock package.
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package mocks
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import (
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context "context"
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reflect "reflect"
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bbgo "github.com/c9s/bbgo/pkg/bbgo"
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types "github.com/c9s/bbgo/pkg/types"
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gomock "github.com/golang/mock/gomock"
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)
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// MockOrderExecutorExtended is a mock of OrderExecutorExtended interface.
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type MockOrderExecutorExtended struct {
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ctrl *gomock.Controller
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recorder *MockOrderExecutorExtendedMockRecorder
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}
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// MockOrderExecutorExtendedMockRecorder is the mock recorder for MockOrderExecutorExtended.
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type MockOrderExecutorExtendedMockRecorder struct {
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mock *MockOrderExecutorExtended
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}
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// NewMockOrderExecutorExtended creates a new mock instance.
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func NewMockOrderExecutorExtended(ctrl *gomock.Controller) *MockOrderExecutorExtended {
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mock := &MockOrderExecutorExtended{ctrl: ctrl}
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mock.recorder = &MockOrderExecutorExtendedMockRecorder{mock}
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return mock
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}
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// EXPECT returns an object that allows the caller to indicate expected use.
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func (m *MockOrderExecutorExtended) EXPECT() *MockOrderExecutorExtendedMockRecorder {
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return m.recorder
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}
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// CancelOrders mocks base method.
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func (m *MockOrderExecutorExtended) CancelOrders(arg0 context.Context, arg1 ...types.Order) error {
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m.ctrl.T.Helper()
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varargs := []interface{}{arg0}
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for _, a := range arg1 {
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varargs = append(varargs, a)
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}
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ret := m.ctrl.Call(m, "CancelOrders", varargs...)
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ret0, _ := ret[0].(error)
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return ret0
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}
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// CancelOrders indicates an expected call of CancelOrders.
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func (mr *MockOrderExecutorExtendedMockRecorder) CancelOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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varargs := append([]interface{}{arg0}, arg1...)
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "CancelOrders", reflect.TypeOf((*MockOrderExecutorExtended)(nil).CancelOrders), varargs...)
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}
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// Position mocks base method.
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func (m *MockOrderExecutorExtended) Position() *types.Position {
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m.ctrl.T.Helper()
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ret := m.ctrl.Call(m, "Position")
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ret0, _ := ret[0].(*types.Position)
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return ret0
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}
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// Position indicates an expected call of Position.
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func (mr *MockOrderExecutorExtendedMockRecorder) Position() *gomock.Call {
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mr.mock.ctrl.T.Helper()
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "Position", reflect.TypeOf((*MockOrderExecutorExtended)(nil).Position))
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}
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// SubmitOrders mocks base method.
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func (m *MockOrderExecutorExtended) SubmitOrders(arg0 context.Context, arg1 ...types.SubmitOrder) (types.OrderSlice, error) {
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m.ctrl.T.Helper()
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varargs := []interface{}{arg0}
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for _, a := range arg1 {
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varargs = append(varargs, a)
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}
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ret := m.ctrl.Call(m, "SubmitOrders", varargs...)
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ret0, _ := ret[0].(types.OrderSlice)
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ret1, _ := ret[1].(error)
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return ret0, ret1
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}
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// SubmitOrders indicates an expected call of SubmitOrders.
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func (mr *MockOrderExecutorExtendedMockRecorder) SubmitOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
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mr.mock.ctrl.T.Helper()
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varargs := append([]interface{}{arg0}, arg1...)
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "SubmitOrders", reflect.TypeOf((*MockOrderExecutorExtended)(nil).SubmitOrders), varargs...)
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}
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// TradeCollector mocks base method.
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func (m *MockOrderExecutorExtended) TradeCollector() *bbgo.TradeCollector {
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m.ctrl.T.Helper()
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ret := m.ctrl.Call(m, "TradeCollector")
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ret0, _ := ret[0].(*bbgo.TradeCollector)
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return ret0
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}
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// TradeCollector indicates an expected call of TradeCollector.
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func (mr *MockOrderExecutorExtendedMockRecorder) TradeCollector() *gomock.Call {
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mr.mock.ctrl.T.Helper()
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return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "TradeCollector", reflect.TypeOf((*MockOrderExecutorExtended)(nil).TradeCollector))
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}
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@ -28,6 +28,14 @@ type OrderExecutor interface {
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CancelOrders(ctx context.Context, orders ...types.Order) error
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}
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//go:generate mockgen -destination=mocks/mock_order_executor_extended.go -package=mocks . OrderExecutorExtended
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type OrderExecutorExtended interface {
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SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
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CancelOrders(ctx context.Context, orders ...types.Order) error
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TradeCollector() *TradeCollector
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Position() *types.Position
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}
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type OrderExecutionRouter interface {
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// SubmitOrdersTo submit order to a specific exchange Session
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SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
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@ -10,6 +10,7 @@ import (
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log "github.com/sirupsen/logrus"
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"go.uber.org/multierr"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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@ -33,7 +34,7 @@ type GeneralOrderExecutor struct {
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strategyInstanceID string
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position *types.Position
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activeMakerOrders *ActiveOrderBook
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orderStore *OrderStore
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orderStore *core.OrderStore
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tradeCollector *TradeCollector
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logger log.FieldLogger
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@ -49,7 +50,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
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position.Strategy = strategy
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position.StrategyInstanceID = strategyInstanceID
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orderStore := NewOrderStore(symbol)
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orderStore := core.NewOrderStore(symbol)
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executor := &GeneralOrderExecutor{
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session: session,
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@ -62,7 +63,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
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tradeCollector: NewTradeCollector(symbol, position, orderStore),
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}
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if session.Margin {
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if session != nil && session.Margin {
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executor.startMarginAssetUpdater(context.Background())
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}
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@ -121,7 +122,7 @@ func (e *GeneralOrderExecutor) marginAssetMaxBorrowableUpdater(ctx context.Conte
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}
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}
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func (e *GeneralOrderExecutor) OrderStore() *OrderStore {
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func (e *GeneralOrderExecutor) OrderStore() *core.OrderStore {
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return e.orderStore
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}
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|
|
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@ -15,6 +15,7 @@ import (
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/pkg/cache"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/util/templateutil"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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@ -110,7 +111,7 @@ type ExchangeSession struct {
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// indicators is the v2 api indicators
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indicators map[string]*IndicatorSet
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orderStores map[string]*OrderStore
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orderStores map[string]*core.OrderStore
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usedSymbols map[string]struct{}
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initializedSymbols map[string]struct{}
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|
@ -140,7 +141,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
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marketDataStores: make(map[string]*MarketDataStore),
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standardIndicatorSets: make(map[string]*StandardIndicatorSet),
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indicators: make(map[string]*IndicatorSet),
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orderStores: make(map[string]*OrderStore),
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orderStores: make(map[string]*core.OrderStore),
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usedSymbols: make(map[string]struct{}),
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initializedSymbols: make(map[string]struct{}),
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logger: log.WithField("session", name),
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@ -398,7 +399,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
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position.BindStream(session.UserDataStream)
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session.positions[symbol] = position
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orderStore := NewOrderStore(symbol)
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orderStore := core.NewOrderStore(symbol)
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orderStore.AddOrderUpdate = true
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orderStore.BindStream(session.UserDataStream)
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@ -615,12 +616,12 @@ func (session *ExchangeSession) Markets() map[string]types.Market {
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return session.markets
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}
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func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool) {
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func (session *ExchangeSession) OrderStore(symbol string) (store *core.OrderStore, ok bool) {
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store, ok = session.orderStores[symbol]
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return store, ok
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}
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func (session *ExchangeSession) OrderStores() map[string]*OrderStore {
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func (session *ExchangeSession) OrderStores() map[string]*core.OrderStore {
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return session.orderStores
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}
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|
@ -809,7 +810,7 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
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session.positions = make(map[string]*types.Position)
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session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
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session.indicators = make(map[string]*IndicatorSet)
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session.orderStores = make(map[string]*OrderStore)
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session.orderStores = make(map[string]*core.OrderStore)
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session.OrderExecutor = &ExchangeOrderExecutor{
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// copy the notification system so that we can route
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Session: session,
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|
|
|
@ -7,6 +7,7 @@ import (
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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|
@ -17,10 +18,10 @@ type TradeCollector struct {
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Symbol string
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orderSig sigchan.Chan
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|
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tradeStore *TradeStore
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tradeStore *core.TradeStore
|
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tradeC chan types.Trade
|
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position *types.Position
|
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orderStore *OrderStore
|
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orderStore *core.OrderStore
|
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doneTrades map[types.TradeKey]struct{}
|
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|
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mu sync.Mutex
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|
@ -33,13 +34,13 @@ type TradeCollector struct {
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profitCallbacks []func(trade types.Trade, profit *types.Profit)
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}
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|
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func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
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func NewTradeCollector(symbol string, position *types.Position, orderStore *core.OrderStore) *TradeCollector {
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return &TradeCollector{
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Symbol: symbol,
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orderSig: sigchan.New(1),
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|
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tradeC: make(chan types.Trade, 100),
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tradeStore: NewTradeStore(),
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tradeStore: core.NewTradeStore(),
|
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doneTrades: make(map[types.TradeKey]struct{}),
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position: position,
|
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orderStore: orderStore,
|
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|
@ -47,7 +48,7 @@ func NewTradeCollector(symbol string, position *types.Position, orderStore *Orde
|
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}
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|
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// OrderStore returns the order store used by the trade collector
|
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func (c *TradeCollector) OrderStore() *OrderStore {
|
||||
func (c *TradeCollector) OrderStore() *core.OrderStore {
|
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return c.orderStore
|
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}
|
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|
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|
@ -56,7 +57,7 @@ func (c *TradeCollector) Position() *types.Position {
|
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return c.position
|
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}
|
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|
||||
func (c *TradeCollector) TradeStore() *TradeStore {
|
||||
func (c *TradeCollector) TradeStore() *core.TradeStore {
|
||||
return c.tradeStore
|
||||
}
|
||||
|
||||
|
|
|
@ -5,6 +5,7 @@ import (
|
|||
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
@ -12,7 +13,7 @@ import (
|
|||
func TestTradeCollector_ShouldNotCountDuplicatedTrade(t *testing.T) {
|
||||
symbol := "BTCUSDT"
|
||||
position := types.NewPosition(symbol, "BTC", "USDT")
|
||||
orderStore := NewOrderStore(symbol)
|
||||
orderStore := core.NewOrderStore(symbol)
|
||||
collector := NewTradeCollector(symbol, position, orderStore)
|
||||
assert.NotNil(t, collector)
|
||||
|
||||
|
|
|
@ -10,6 +10,7 @@ import (
|
|||
log "github.com/sirupsen/logrus"
|
||||
"golang.org/x/time/rate"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
@ -37,7 +38,7 @@ type TwapExecution struct {
|
|||
activePosition fixedpoint.Value
|
||||
|
||||
activeMakerOrders *ActiveOrderBook
|
||||
orderStore *OrderStore
|
||||
orderStore *core.OrderStore
|
||||
position *types.Position
|
||||
|
||||
executionCtx context.Context
|
||||
|
@ -406,7 +407,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
|
|||
QuoteCurrency: e.market.QuoteCurrency,
|
||||
}
|
||||
|
||||
e.orderStore = NewOrderStore(e.Symbol)
|
||||
e.orderStore = core.NewOrderStore(e.Symbol)
|
||||
e.orderStore.BindStream(e.userDataStream)
|
||||
e.activeMakerOrders = NewActiveOrderBook(e.Symbol)
|
||||
e.activeMakerOrders.OnFilled(e.handleFilledOrder)
|
||||
|
|
|
@ -14,6 +14,7 @@ import (
|
|||
"github.com/google/uuid"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/cmd/cmdutil"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/data/tsv"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
||||
|
@ -314,7 +315,7 @@ var BacktestCmd = &cobra.Command{
|
|||
for usedSymbol := range exSource.Session.Positions() {
|
||||
market, _ := exSource.Session.Market(usedSymbol)
|
||||
position := types.NewPositionFromMarket(market)
|
||||
orderStore := bbgo.NewOrderStore(usedSymbol)
|
||||
orderStore := core.NewOrderStore(usedSymbol)
|
||||
orderStore.AddOrderUpdate = true
|
||||
tradeCollector := bbgo.NewTradeCollector(usedSymbol, position, orderStore)
|
||||
|
||||
|
|
|
@ -1,4 +1,4 @@
|
|||
package bbgo
|
||||
package core
|
||||
|
||||
import (
|
||||
"sync"
|
|
@ -1,4 +1,4 @@
|
|||
package bbgo
|
||||
package core
|
||||
|
||||
import (
|
||||
"sync"
|
|
@ -1,4 +1,4 @@
|
|||
package bbgo
|
||||
package core
|
||||
|
||||
import (
|
||||
"testing"
|
|
@ -1,6 +1,8 @@
|
|||
package riskcontrol
|
||||
|
||||
import (
|
||||
"context"
|
||||
|
||||
log "github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
|
@ -8,38 +10,76 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
// PositionRiskControl controls the position with the given hard limit
|
||||
// TODO: add a decorator for the order executor and move the order submission logics into the decorator
|
||||
//
|
||||
//go:generate callbackgen -type PositionRiskControl
|
||||
type PositionRiskControl struct {
|
||||
orderExecutor bbgo.OrderExecutorExtended
|
||||
|
||||
// hardLimit is the maximum base position you can hold
|
||||
hardLimit fixedpoint.Value
|
||||
quantity fixedpoint.Value
|
||||
|
||||
// sliceQuantity is the maximum quantity of the order you want to place.
|
||||
// only used in the ModifiedQuantity method
|
||||
sliceQuantity fixedpoint.Value
|
||||
|
||||
releasePositionCallbacks []func(quantity fixedpoint.Value, side types.SideType)
|
||||
}
|
||||
|
||||
func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector *bbgo.TradeCollector) *PositionRiskControl {
|
||||
p := &PositionRiskControl{
|
||||
hardLimit: hardLimit,
|
||||
quantity: quantity,
|
||||
func NewPositionRiskControl(orderExecutor bbgo.OrderExecutorExtended, hardLimit, quantity fixedpoint.Value) *PositionRiskControl {
|
||||
control := &PositionRiskControl{
|
||||
orderExecutor: orderExecutor,
|
||||
hardLimit: hardLimit,
|
||||
sliceQuantity: quantity,
|
||||
}
|
||||
|
||||
control.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
|
||||
pos := orderExecutor.Position()
|
||||
createdOrders, err := orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
|
||||
Symbol: pos.Symbol,
|
||||
Market: pos.Market,
|
||||
Side: side,
|
||||
Type: types.OrderTypeMarket,
|
||||
Quantity: quantity,
|
||||
})
|
||||
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("failed to submit orders")
|
||||
return
|
||||
}
|
||||
|
||||
log.Infof("created position release orders: %+v", createdOrders)
|
||||
})
|
||||
|
||||
// register position update handler: check if position is over the hard limit
|
||||
tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
||||
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
if fixedpoint.Compare(position.Base, hardLimit) > 0 {
|
||||
log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
|
||||
p.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
|
||||
control.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
|
||||
} else if fixedpoint.Compare(position.Base, hardLimit.Neg()) < 0 {
|
||||
log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
|
||||
p.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
|
||||
control.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
|
||||
}
|
||||
})
|
||||
|
||||
return p
|
||||
return control
|
||||
}
|
||||
|
||||
// ModifiedQuantity returns quantity controlled by position risks
|
||||
// For buy orders, mod quantity = min(hardLimit - position, quantity), limiting by positive position
|
||||
// For sell orders, mod quantity = min(hardLimit - (-position), quantity), limiting by negative position
|
||||
// ModifiedQuantity returns sliceQuantity controlled by position risks
|
||||
// For buy orders, modify sliceQuantity = min(hardLimit - position, sliceQuantity), limiting by positive position
|
||||
// For sell orders, modify sliceQuantity = min(hardLimit - (-position), sliceQuantity), limiting by negative position
|
||||
//
|
||||
// Pass the current base position to this method, and it returns the maximum sliceQuantity for placing the orders.
|
||||
// This works for both Long/Short position
|
||||
func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value) {
|
||||
return fixedpoint.Min(p.hardLimit.Sub(position), p.quantity),
|
||||
fixedpoint.Min(p.hardLimit.Add(position), p.quantity)
|
||||
if p.sliceQuantity.IsZero() {
|
||||
buyQuantity = p.hardLimit.Sub(position)
|
||||
sellQuantity = p.hardLimit.Add(position)
|
||||
return buyQuantity, sellQuantity
|
||||
}
|
||||
|
||||
buyQuantity = fixedpoint.Min(p.hardLimit.Sub(position), p.sliceQuantity)
|
||||
sellQuantity = fixedpoint.Min(p.hardLimit.Add(position), p.sliceQuantity)
|
||||
return buyQuantity, sellQuantity
|
||||
}
|
||||
|
|
|
@ -3,16 +3,27 @@ package riskcontrol
|
|||
import (
|
||||
"testing"
|
||||
|
||||
"github.com/golang/mock/gomock"
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/bbgo/mocks"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
func Test_ModifiedQuantity(t *testing.T) {
|
||||
|
||||
riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), &bbgo.TradeCollector{})
|
||||
pos := &types.Position{
|
||||
Market: types.Market{
|
||||
Symbol: "BTCUSDT",
|
||||
PricePrecision: 8,
|
||||
VolumePrecision: 8,
|
||||
QuoteCurrency: "USDT",
|
||||
BaseCurrency: "BTC",
|
||||
},
|
||||
}
|
||||
orderExecutor := bbgo.NewGeneralOrderExecutor(nil, "BTCUSDT", "strategy", "strategy-1", pos)
|
||||
riskControl := NewPositionRiskControl(orderExecutor, fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2))
|
||||
|
||||
cases := []struct {
|
||||
name string
|
||||
|
@ -43,26 +54,13 @@ func Test_ModifiedQuantity(t *testing.T) {
|
|||
}
|
||||
|
||||
func TestReleasePositionCallbacks(t *testing.T) {
|
||||
|
||||
var position fixedpoint.Value
|
||||
|
||||
tradeCollector := &bbgo.TradeCollector{}
|
||||
riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), tradeCollector)
|
||||
riskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
|
||||
if side == types.SideTypeBuy {
|
||||
position = position.Add(quantity)
|
||||
} else {
|
||||
position = position.Sub(quantity)
|
||||
}
|
||||
})
|
||||
|
||||
cases := []struct {
|
||||
name string
|
||||
position fixedpoint.Value
|
||||
resultPosition fixedpoint.Value
|
||||
}{
|
||||
{
|
||||
name: "PostivePositionWithinLimit",
|
||||
name: "PositivePositionWithinLimit",
|
||||
position: fixedpoint.NewFromInt(8),
|
||||
resultPosition: fixedpoint.NewFromInt(8),
|
||||
},
|
||||
|
@ -72,7 +70,7 @@ func TestReleasePositionCallbacks(t *testing.T) {
|
|||
resultPosition: fixedpoint.NewFromInt(-8),
|
||||
},
|
||||
{
|
||||
name: "PostivePositionOverLimit",
|
||||
name: "PositivePositionOverLimit",
|
||||
position: fixedpoint.NewFromInt(11),
|
||||
resultPosition: fixedpoint.NewFromInt(10),
|
||||
},
|
||||
|
@ -84,9 +82,36 @@ func TestReleasePositionCallbacks(t *testing.T) {
|
|||
}
|
||||
for _, tc := range cases {
|
||||
t.Run(tc.name, func(t *testing.T) {
|
||||
position = tc.position
|
||||
tradeCollector.EmitPositionUpdate(&types.Position{Base: tc.position})
|
||||
assert.Equal(t, tc.resultPosition, position)
|
||||
pos := &types.Position{
|
||||
Base: tc.position,
|
||||
Market: types.Market{
|
||||
Symbol: "BTCUSDT",
|
||||
PricePrecision: 8,
|
||||
VolumePrecision: 8,
|
||||
QuoteCurrency: "USDT",
|
||||
BaseCurrency: "BTC",
|
||||
},
|
||||
}
|
||||
|
||||
tradeCollector := &bbgo.TradeCollector{}
|
||||
mockCtrl := gomock.NewController(t)
|
||||
defer mockCtrl.Finish()
|
||||
orderExecutor := mocks.NewMockOrderExecutorExtended(mockCtrl)
|
||||
orderExecutor.EXPECT().TradeCollector().Return(tradeCollector).AnyTimes()
|
||||
orderExecutor.EXPECT().Position().Return(pos).AnyTimes()
|
||||
orderExecutor.EXPECT().SubmitOrders(gomock.Any(), gomock.Any()).AnyTimes()
|
||||
|
||||
riskControl := NewPositionRiskControl(orderExecutor, fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2))
|
||||
riskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
|
||||
if side == types.SideTypeBuy {
|
||||
pos.Base = pos.Base.Add(quantity)
|
||||
} else {
|
||||
pos.Base = pos.Base.Sub(quantity)
|
||||
}
|
||||
})
|
||||
|
||||
orderExecutor.TradeCollector().EmitPositionUpdate(&types.Position{Base: tc.position})
|
||||
assert.Equal(t, tc.resultPosition, pos.Base)
|
||||
})
|
||||
}
|
||||
}
|
||||
|
|
|
@ -8,6 +8,7 @@ import (
|
|||
"github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -71,7 +72,7 @@ type Strategy struct {
|
|||
|
||||
profitOrders *bbgo.ActiveOrderBook
|
||||
|
||||
orders *bbgo.OrderStore
|
||||
orders *core.OrderStore
|
||||
|
||||
// boll is the BOLLINGER indicator we used for predicting the price.
|
||||
boll *indicator.BOLL
|
||||
|
@ -330,7 +331,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
Window: 21,
|
||||
}, 2.0)
|
||||
|
||||
s.orders = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orders = core.NewOrderStore(s.Symbol)
|
||||
s.orders.BindStream(session.UserDataStream)
|
||||
|
||||
// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
|
||||
|
|
|
@ -10,6 +10,7 @@ import (
|
|||
"gonum.org/v1/gonum/floats"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
floats2 "github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -47,7 +48,7 @@ type Strategy struct {
|
|||
activeMakerOrders *bbgo.ActiveOrderBook
|
||||
// closePositionOrders *bbgo.LocalActiveOrderBook
|
||||
|
||||
orderStore *bbgo.OrderStore
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
|
||||
session *bbgo.ExchangeSession
|
||||
|
@ -158,7 +159,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
// s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
|
||||
// s.closePositionOrders.BindStream(session.UserDataStream)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orderStore = core.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(session.UserDataStream)
|
||||
|
||||
if s.Position == nil {
|
||||
|
|
|
@ -9,6 +9,7 @@ import (
|
|||
"github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/service"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -89,7 +90,7 @@ type Strategy struct {
|
|||
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
|
||||
|
||||
// orderStore is used to store all the created orders, so that we can filter the trades.
|
||||
orderStore *bbgo.OrderStore
|
||||
orderStore *core.OrderStore
|
||||
|
||||
// activeOrders is the locally maintained active order book of the maker orders.
|
||||
activeOrders *bbgo.ActiveOrderBook
|
||||
|
@ -562,7 +563,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
bbgo.Notify("grid %s position", s.Symbol, s.State.Position)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orderStore = core.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(session.UserDataStream)
|
||||
|
||||
// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
|
||||
|
|
|
@ -18,6 +18,7 @@ import (
|
|||
"go.uber.org/multierr"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/exchange/retry"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -186,7 +187,7 @@ type Strategy struct {
|
|||
orderQueryService types.ExchangeOrderQueryService
|
||||
|
||||
orderExecutor OrderExecutor
|
||||
historicalTrades *bbgo.TradeStore
|
||||
historicalTrades *core.TradeStore
|
||||
|
||||
logger *logrus.Entry
|
||||
|
||||
|
@ -1858,7 +1859,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
|
|||
}
|
||||
}
|
||||
|
||||
s.historicalTrades = bbgo.NewTradeStore()
|
||||
s.historicalTrades = core.NewTradeStore()
|
||||
s.historicalTrades.EnablePrune = true
|
||||
s.historicalTrades.BindStream(session.UserDataStream)
|
||||
|
||||
|
|
|
@ -11,7 +11,7 @@ import (
|
|||
"github.com/sirupsen/logrus"
|
||||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -588,7 +588,7 @@ func newTestStrategy() *Strategy {
|
|||
UpperPrice: number(20_000),
|
||||
LowerPrice: number(10_000),
|
||||
GridNum: 11,
|
||||
historicalTrades: bbgo.NewTradeStore(),
|
||||
historicalTrades: core.NewTradeStore(),
|
||||
|
||||
filledOrderIDMap: types.NewSyncOrderMap(),
|
||||
|
||||
|
|
|
@ -146,23 +146,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
|
||||
log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
|
||||
s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())
|
||||
s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
|
||||
createdOrders, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Market: s.Market,
|
||||
Side: side,
|
||||
Type: types.OrderTypeMarket,
|
||||
Quantity: quantity,
|
||||
})
|
||||
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("failed to submit orders")
|
||||
return
|
||||
}
|
||||
|
||||
log.Infof("created position release orders: %+v", createdOrders)
|
||||
})
|
||||
s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.orderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
|
||||
}
|
||||
|
||||
if !s.CircuitBreakLossThreshold.IsZero() {
|
||||
|
|
|
@ -6,6 +6,7 @@ import (
|
|||
"sync"
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
||||
"github.com/pkg/errors"
|
||||
|
@ -65,7 +66,7 @@ type Strategy struct {
|
|||
|
||||
activeAdjustmentOrders *bbgo.ActiveOrderBook
|
||||
activeWallOrders *bbgo.ActiveOrderBook
|
||||
orderStore *bbgo.OrderStore
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
|
||||
groupID uint32
|
||||
|
@ -273,7 +274,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.activeAdjustmentOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
||||
s.activeAdjustmentOrders.BindStream(session.UserDataStream)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orderStore = core.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(session.UserDataStream)
|
||||
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
||||
|
|
|
@ -11,6 +11,7 @@ import (
|
|||
"github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
@ -50,7 +51,7 @@ type Strategy struct {
|
|||
sessions map[string]*bbgo.ExchangeSession
|
||||
orderBooks map[string]*bbgo.ActiveOrderBook
|
||||
|
||||
orderStore *bbgo.OrderStore
|
||||
orderStore *core.OrderStore
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
|
@ -242,7 +243,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
|
|||
s.sessions = make(map[string]*bbgo.ExchangeSession)
|
||||
s.orderBooks = make(map[string]*bbgo.ActiveOrderBook)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore("")
|
||||
s.orderStore = core.NewOrderStore("")
|
||||
|
||||
for _, sessionName := range s.PreferredSessions {
|
||||
session, ok := sessions[sessionName]
|
||||
|
|
|
@ -11,6 +11,7 @@ import (
|
|||
"golang.org/x/time/rate"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -103,7 +104,7 @@ type Strategy struct {
|
|||
hedgeErrorLimiter *rate.Limiter
|
||||
hedgeErrorRateReservation *rate.Reservation
|
||||
|
||||
orderStore *bbgo.OrderStore
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
|
||||
askPriceHeartBeat, bidPriceHeartBeat types.PriceHeartBeat
|
||||
|
@ -732,7 +733,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
|
|||
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
||||
s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orderStore = core.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(s.sourceSession.UserDataStream)
|
||||
s.orderStore.BindStream(s.makerSession.UserDataStream)
|
||||
|
||||
|
|
Loading…
Reference in New Issue
Block a user