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Merge pull request #1220 from c9s/feature/scmaker-with-risk-control

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REFACTOR: refactor risk control with the order executor interface and mocks
This commit is contained in:
c9s 2023-07-05 15:48:38 +08:00 committed by GitHub
commit b9b89756e2
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23 changed files with 267 additions and 91 deletions
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4
pkg/bbgo/activeorderbook.go
View File

@ -9,6 +9,7 @@ import (
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/core"
"github.com/c9s/bbgo/pkg/sigchan"
"github.com/c9s/bbgo/pkg/types"
)
@ -16,6 +17,7 @@ import (
const CancelOrderWaitTime = 20 * time.Millisecond
// ActiveOrderBook manages the local active order books.
//
//go:generate callbackgen -type ActiveOrderBook
type ActiveOrderBook struct {
Symbol string
@ -209,7 +211,7 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
continue
}
openOrderStore := NewOrderStore(symbol)
openOrderStore := core.NewOrderStore(symbol)
openOrderStore.Add(openOrders...)
for _, o := range orders {
// if it's not on the order book (open orders), we should remove it from our local side

104
pkg/bbgo/mocks/mock_order_executor_extended.go Normal file
View File

@ -0,0 +1,104 @@
// Code generated by MockGen. DO NOT EDIT.
// Source: github.com/c9s/bbgo/pkg/bbgo (interfaces: OrderExecutorExtended)
// Package mocks is a generated GoMock package.
package mocks
import (
context "context"
reflect "reflect"
bbgo "github.com/c9s/bbgo/pkg/bbgo"
types "github.com/c9s/bbgo/pkg/types"
gomock "github.com/golang/mock/gomock"
)
// MockOrderExecutorExtended is a mock of OrderExecutorExtended interface.
type MockOrderExecutorExtended struct {
ctrl *gomock.Controller
recorder *MockOrderExecutorExtendedMockRecorder
}
// MockOrderExecutorExtendedMockRecorder is the mock recorder for MockOrderExecutorExtended.
type MockOrderExecutorExtendedMockRecorder struct {
mock *MockOrderExecutorExtended
}
// NewMockOrderExecutorExtended creates a new mock instance.
func NewMockOrderExecutorExtended(ctrl *gomock.Controller) *MockOrderExecutorExtended {
mock := &MockOrderExecutorExtended{ctrl: ctrl}
mock.recorder = &MockOrderExecutorExtendedMockRecorder{mock}
return mock
}
// EXPECT returns an object that allows the caller to indicate expected use.
func (m *MockOrderExecutorExtended) EXPECT() *MockOrderExecutorExtendedMockRecorder {
return m.recorder
}
// CancelOrders mocks base method.
func (m *MockOrderExecutorExtended) CancelOrders(arg0 context.Context, arg1 ...types.Order) error {
m.ctrl.T.Helper()
varargs := []interface{}{arg0}
for _, a := range arg1 {
varargs = append(varargs, a)
}
ret := m.ctrl.Call(m, "CancelOrders", varargs...)
ret0, _ := ret[0].(error)
return ret0
}
// CancelOrders indicates an expected call of CancelOrders.
func (mr *MockOrderExecutorExtendedMockRecorder) CancelOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
mr.mock.ctrl.T.Helper()
varargs := append([]interface{}{arg0}, arg1...)
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "CancelOrders", reflect.TypeOf((*MockOrderExecutorExtended)(nil).CancelOrders), varargs...)
}
// Position mocks base method.
func (m *MockOrderExecutorExtended) Position() *types.Position {
m.ctrl.T.Helper()
ret := m.ctrl.Call(m, "Position")
ret0, _ := ret[0].(*types.Position)
return ret0
}
// Position indicates an expected call of Position.
func (mr *MockOrderExecutorExtendedMockRecorder) Position() *gomock.Call {
mr.mock.ctrl.T.Helper()
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "Position", reflect.TypeOf((*MockOrderExecutorExtended)(nil).Position))
}
// SubmitOrders mocks base method.
func (m *MockOrderExecutorExtended) SubmitOrders(arg0 context.Context, arg1 ...types.SubmitOrder) (types.OrderSlice, error) {
m.ctrl.T.Helper()
varargs := []interface{}{arg0}
for _, a := range arg1 {
varargs = append(varargs, a)
}
ret := m.ctrl.Call(m, "SubmitOrders", varargs...)
ret0, _ := ret[0].(types.OrderSlice)
ret1, _ := ret[1].(error)
return ret0, ret1
}
// SubmitOrders indicates an expected call of SubmitOrders.
func (mr *MockOrderExecutorExtendedMockRecorder) SubmitOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
mr.mock.ctrl.T.Helper()
varargs := append([]interface{}{arg0}, arg1...)
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "SubmitOrders", reflect.TypeOf((*MockOrderExecutorExtended)(nil).SubmitOrders), varargs...)
}
// TradeCollector mocks base method.
func (m *MockOrderExecutorExtended) TradeCollector() *bbgo.TradeCollector {
m.ctrl.T.Helper()
ret := m.ctrl.Call(m, "TradeCollector")
ret0, _ := ret[0].(*bbgo.TradeCollector)
return ret0
}
// TradeCollector indicates an expected call of TradeCollector.
func (mr *MockOrderExecutorExtendedMockRecorder) TradeCollector() *gomock.Call {
mr.mock.ctrl.T.Helper()
return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "TradeCollector", reflect.TypeOf((*MockOrderExecutorExtended)(nil).TradeCollector))
}

8
pkg/bbgo/order_execution.go
View File

@ -28,6 +28,14 @@ type OrderExecutor interface {
CancelOrders(ctx context.Context, orders ...types.Order) error
}
//go:generate mockgen -destination=mocks/mock_order_executor_extended.go -package=mocks . OrderExecutorExtended
type OrderExecutorExtended interface {
SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
CancelOrders(ctx context.Context, orders ...types.Order) error
TradeCollector() *TradeCollector
Position() *types.Position
}
type OrderExecutionRouter interface {
// SubmitOrdersTo submit order to a specific exchange Session
SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)

9
pkg/bbgo/order_executor_general.go
View File

@ -10,6 +10,7 @@ import (
log "github.com/sirupsen/logrus"
"go.uber.org/multierr"
"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"
@ -33,7 +34,7 @@ type GeneralOrderExecutor struct {
strategyInstanceID string
position *types.Position
activeMakerOrders *ActiveOrderBook
orderStore *OrderStore
orderStore *core.OrderStore
tradeCollector *TradeCollector
logger log.FieldLogger
@ -49,7 +50,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
position.Strategy = strategy
position.StrategyInstanceID = strategyInstanceID
orderStore := NewOrderStore(symbol)
orderStore := core.NewOrderStore(symbol)
executor := &GeneralOrderExecutor{
session: session,
@ -62,7 +63,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
tradeCollector: NewTradeCollector(symbol, position, orderStore),
}
if session.Margin {
if session != nil && session.Margin {
executor.startMarginAssetUpdater(context.Background())
}
@ -121,7 +122,7 @@ func (e *GeneralOrderExecutor) marginAssetMaxBorrowableUpdater(ctx context.Conte
}
}
func (e *GeneralOrderExecutor) OrderStore() *OrderStore {
func (e *GeneralOrderExecutor) OrderStore() *core.OrderStore {
return e.orderStore
}

13
pkg/bbgo/session.go
View File

@ -15,6 +15,7 @@ import (
"github.com/spf13/viper"
"github.com/c9s/bbgo/pkg/cache"
"github.com/c9s/bbgo/pkg/core"
"github.com/c9s/bbgo/pkg/util/templateutil"
exchange2 "github.com/c9s/bbgo/pkg/exchange"
@ -110,7 +111,7 @@ type ExchangeSession struct {
// indicators is the v2 api indicators
indicators map[string]*IndicatorSet
orderStores map[string]*OrderStore
orderStores map[string]*core.OrderStore
usedSymbols map[string]struct{}
initializedSymbols map[string]struct{}
@ -140,7 +141,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
marketDataStores: make(map[string]*MarketDataStore),
standardIndicatorSets: make(map[string]*StandardIndicatorSet),
indicators: make(map[string]*IndicatorSet),
orderStores: make(map[string]*OrderStore),
orderStores: make(map[string]*core.OrderStore),
usedSymbols: make(map[string]struct{}),
initializedSymbols: make(map[string]struct{}),
logger: log.WithField("session", name),
@ -398,7 +399,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
position.BindStream(session.UserDataStream)
session.positions[symbol] = position
orderStore := NewOrderStore(symbol)
orderStore := core.NewOrderStore(symbol)
orderStore.AddOrderUpdate = true
orderStore.BindStream(session.UserDataStream)
@ -615,12 +616,12 @@ func (session *ExchangeSession) Markets() map[string]types.Market {
return session.markets
}
func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool) {
func (session *ExchangeSession) OrderStore(symbol string) (store *core.OrderStore, ok bool) {
store, ok = session.orderStores[symbol]
return store, ok
}
func (session *ExchangeSession) OrderStores() map[string]*OrderStore {
func (session *ExchangeSession) OrderStores() map[string]*core.OrderStore {
return session.orderStores
}
@ -809,7 +810,7 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
session.positions = make(map[string]*types.Position)
session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
session.indicators = make(map[string]*IndicatorSet)
session.orderStores = make(map[string]*OrderStore)
session.orderStores = make(map[string]*core.OrderStore)
session.OrderExecutor = &ExchangeOrderExecutor{
// copy the notification system so that we can route
Session: session,

13
pkg/bbgo/tradecollector.go
View File

@ -7,6 +7,7 @@ import (
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/core"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/sigchan"
"github.com/c9s/bbgo/pkg/types"
@ -17,10 +18,10 @@ type TradeCollector struct {
Symbol string
orderSig sigchan.Chan
tradeStore *TradeStore
tradeStore *core.TradeStore
tradeC chan types.Trade
position *types.Position
orderStore *OrderStore
orderStore *core.OrderStore
doneTrades map[types.TradeKey]struct{}
mu sync.Mutex
@ -33,13 +34,13 @@ type TradeCollector struct {
profitCallbacks []func(trade types.Trade, profit *types.Profit)
}
func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
func NewTradeCollector(symbol string, position *types.Position, orderStore *core.OrderStore) *TradeCollector {
return &TradeCollector{
Symbol: symbol,
orderSig: sigchan.New(1),
tradeC: make(chan types.Trade, 100),
tradeStore: NewTradeStore(),
tradeStore: core.NewTradeStore(),
doneTrades: make(map[types.TradeKey]struct{}),
position: position,
orderStore: orderStore,
@ -47,7 +48,7 @@ func NewTradeCollector(symbol string, position *types.Position, orderStore *Orde
}
// OrderStore returns the order store used by the trade collector
func (c *TradeCollector) OrderStore() *OrderStore {
func (c *TradeCollector) OrderStore() *core.OrderStore {
return c.orderStore
}
@ -56,7 +57,7 @@ func (c *TradeCollector) Position() *types.Position {
return c.position
}
func (c *TradeCollector) TradeStore() *TradeStore {
func (c *TradeCollector) TradeStore() *core.TradeStore {
return c.tradeStore
}

3
pkg/bbgo/tradecollector_test.go
View File

@ -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)

5
pkg/bbgo/twap_order_executor.go
View File

@ -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)

3
pkg/cmd/backtest.go
View File

@ -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)

2
pkg/bbgo/order_store.go → pkg/core/orderstore.go
View File

@ -1,4 +1,4 @@
package bbgo
package core
import (
"sync"

2
pkg/bbgo/trade_store.go → pkg/core/tradestore.go
View File

@ -1,4 +1,4 @@
package bbgo
package core
import (
"sync"

2
pkg/bbgo/trade_store_test.go → pkg/core/tradestore_test.go
View File

@ -1,4 +1,4 @@
package bbgo
package core
import (
"testing"

68
pkg/risk/riskcontrol/position.go
View File

@ -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
}

65
pkg/risk/riskcontrol/position_test.go
View File

@ -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)
})
}
}

5
pkg/strategy/bollgrid/strategy.go
View File

@ -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.

5
pkg/strategy/fmaker/strategy.go
View File

@ -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 {

5
pkg/strategy/grid/strategy.go
View File

@ -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.

5
pkg/strategy/grid2/strategy.go
View File

@ -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)

4
pkg/strategy/grid2/strategy_test.go
View File

@ -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(),

18
pkg/strategy/scmaker/strategy.go
View File

@ -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() {

5
pkg/strategy/wall/strategy.go
View File

@ -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)

5
pkg/strategy/xalign/strategy.go
View File

@ -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]

5
pkg/strategy/xmaker/strategy.go
View File

@ -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)