skeleton: add detailed comment to the skeleton

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c9s 2022-06-22 23:18:11 +08:00
parent 7398afbde7
commit b9cbb9d478
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3 changed files with 109 additions and 13 deletions

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@ -75,7 +75,7 @@ func (inc *ATR) Length() int {
var _ types.Series = &ATR{} var _ types.Series = &ATR{}
func (inc *ATR) calculateAndUpdate(kLines []types.KLine) { func (inc *ATR) CalculateAndUpdate(kLines []types.KLine) {
for _, k := range kLines { for _, k := range kLines {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
continue continue
@ -92,7 +92,7 @@ func (inc *ATR) handleKLineWindowUpdate(interval types.Interval, window types.KL
return return
} }
inc.calculateAndUpdate(window) inc.CalculateAndUpdate(window)
} }
func (inc *ATR) Bind(updater KLineWindowUpdater) { func (inc *ATR) Bind(updater KLineWindowUpdater) {

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@ -61,7 +61,7 @@ func Test_calculateATR(t *testing.T) {
for _, tt := range tests { for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) { t.Run(tt.name, func(t *testing.T) {
atr := &ATR{IntervalWindow: types.IntervalWindow{Window: tt.window}} atr := &ATR{IntervalWindow: types.IntervalWindow{Window: tt.window}}
atr.calculateAndUpdate(tt.kLines) atr.CalculateAndUpdate(tt.kLines)
got := atr.Last() got := atr.Last()
diff := math.Trunc((got-tt.want)*100) / 100 diff := math.Trunc((got-tt.want)*100) / 100
if diff != 0 { if diff != 0 {

View File

@ -2,11 +2,13 @@ package skeleton
import ( import (
"context" "context"
"fmt"
"github.com/sirupsen/logrus" "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
) )
@ -14,42 +16,129 @@ const ID = "skeleton"
var log = logrus.WithField("strategy", ID) var log = logrus.WithField("strategy", ID)
var Ten = fixedpoint.NewFromInt(10)
func init() { func init() {
bbgo.RegisterStrategy(ID, &Strategy{}) bbgo.RegisterStrategy(ID, &Strategy{})
} }
type Strategy struct { // State is a struct contains the information that we want to keep in the persistence layer,
Symbol string `json:"symbol"` // for example, redis or json file.
type State struct {
Counter int `json:"counter,omitempty"`
} }
// Strategy is a struct that contains the settings of your strategy.
// These settings will be loaded from the BBGO YAML config file "bbgo.yaml" automatically.
type Strategy struct {
Symbol string `json:"symbol"`
// State is a state of your strategy
// When BBGO shuts down, everything in the memory will be dropped
// If you need to store something and restore this information back,
// Simply define the "persistence" tag
State *State `persistence:"state"`
}
// ID should return the identity of this strategy
func (s *Strategy) ID() string { func (s *Strategy) ID() string {
return ID return ID
} }
// InstanceID returns the identity of the current instance of this strategy.
// You may have multiple instance of a strategy, with different symbols and settings.
// This value will be used for persistence layer to separate the storage.
//
// Run:
// redis-cli KEYS "*"
//
// And you will see how this instance ID is used in redis.
func (s *Strategy) InstanceID() string {
return ID + ":" + s.Symbol
}
// Subscribe method subscribes specific market data from the given session.
// Before BBGO is connected to the exchange, we need to collect what we want to subscribe.
// Here the strategy needs kline data, so it adds the kline subscription.
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
log.Infof("subscribe %s", s.Symbol) // We want 1m kline data of the symbol
// It will be BTCUSDT 1m if our s.Symbol is BTCUSDT
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
} }
var Ten = fixedpoint.NewFromInt(10)
// This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed // This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// Initialize the default value for state
if s.State == nil {
s.State = &State{Counter: 1}
}
// Optional: You can get the market data store from session
store, ok := session.MarketDataStore(s.Symbol)
if !ok {
return fmt.Errorf("market data store %s not found", s.Symbol)
}
// Initialize a custom indicator
atr := &indicator.ATR{
IntervalWindow: types.IntervalWindow{
Interval: types.Interval1m,
Window: 14,
},
}
// Bind the indicator to the market data store, so that when a new kline is received,
// the indicator will be updated.
atr.Bind(store)
// To get the past kline history, call KLinesOfInterval from the market data store
klines, ok := store.KLinesOfInterval(types.Interval1m)
if !ok {
return fmt.Errorf("market data store %s lkline not found", s.Symbol)
}
// Use the history data to initialize the indicator
atr.CalculateAndUpdate(*klines)
// To get the market information from the current session
// The market object provides the precision, MoQ (minimal of quantity) information
market, ok := session.Market(s.Symbol) market, ok := session.Market(s.Symbol)
if !ok { if !ok {
log.Warnf("fetch market fail %s", s.Symbol) return fmt.Errorf("market %s not found", s.Symbol)
return nil
} }
// here we define a kline callback
// when a kline is closed, we will do something
callback := func(kline types.KLine) { callback := func(kline types.KLine) {
// get the latest ATR value from the indicator object that we just defined.
atrValue := atr.Last()
log.Infof("atr %f", atrValue)
// Update our counter and sync the changes to the persistence layer on time
// If you don't do this, BBGO will sync it automatically when BBGO shuts down.
s.State.Counter++
bbgo.Sync(s)
// To check if we have the quote balance
// When symbol = "BTCUSDT", the quote currency is USDT
// We can get this information from the market object
quoteBalance, ok := session.GetAccount().Balance(market.QuoteCurrency) quoteBalance, ok := session.GetAccount().Balance(market.QuoteCurrency)
if !ok { if !ok {
// if not ok, it means we don't have this currency in the account
return return
} }
// For each balance, we have Available and Locked balance.
// balance.Available is the balance you can use to place an order.
// Note that the available balance is a fixed-point object, so you can not compare it with integer directly.
// Instead, you should call valueA.Compare(valueB)
quantityAmount := quoteBalance.Available quantityAmount := quoteBalance.Available
if quantityAmount.Sign() <= 0 || quantityAmount.Compare(Ten) < 0 { if quantityAmount.Sign() <= 0 || quantityAmount.Compare(Ten) < 0 {
return return
} }
// Call LastPrice(symbol) If you need to get the latest price
// Note this last price is updated by the closed kline
currentPrice, ok := session.LastPrice(s.Symbol) currentPrice, ok := session.LastPrice(s.Symbol)
if !ok { if !ok {
return return
@ -57,7 +146,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
totalQuantity := quantityAmount.Div(currentPrice) totalQuantity := quantityAmount.Div(currentPrice)
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ // Place a market order to the exchange
createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol, Symbol: kline.Symbol,
Side: types.SideTypeBuy, Side: types.SideTypeBuy,
Type: types.OrderTypeMarket, Type: types.OrderTypeMarket,
@ -68,12 +158,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if err != nil { if err != nil {
log.WithError(err).Error("submit order error") log.WithError(err).Error("submit order error")
} }
log.Infof("createdOrders: %+v", createdOrders)
} }
// register our kline event handler
session.MarketDataStream.OnKLineClosed(callback)
// if you need to do something when the user data stream is ready
// note that you only receive order update, trade update, balance update when the user data stream is connect.
session.UserDataStream.OnStart(func() { session.UserDataStream.OnStart(func() {
log.Infof("connected") log.Infof("connected")
}) })
session.MarketDataStream.OnKLineClosed(callback)
return nil return nil
} }