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mirror: add copy trading strategy
This commit is contained in:
austin362667
parent
c7349f5c99
commit
bfa4c4f546
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@ -1,27 +1,39 @@
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sessions:
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binanceMaster:
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binance-master:
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exchange: binance
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envVarPrefix: BINANCE
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binanceSlave:
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futures: true
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binance-slave:
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exchange: binance
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envVarPrefix: BINANCE_SLAVE
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futures: true
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#sync:
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# userDataStream:
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# trades: true
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# filledOrders: true
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# sessions:
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# - binanceMaster
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# - binanceSlave
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# symbols:
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# - BTCUSDT
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sync:
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userDataStream:
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trades: true
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filledOrders: true
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sessions:
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- binance-master
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- binance-slave
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symbols:
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- BTCUSDT
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crossExchangeStrategies:
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- copytrader:
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symbol: BTCUSDT
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sourceExchange: binanceMaster
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followerExchange:
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- binanceMaster
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- binanceSlave
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- on: binance-master
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copytrader:
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symbol: BTCUSDT
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exchange: binance
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#- on: binance-slave
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# copytrader:
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# symbol: BTCUSDT
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# exchange: binance
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# sourceExchange: binanceMaster
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# followerExchange:
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# - binanceMaster
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# - binanceSlave
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@ -4,6 +4,7 @@ import (
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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)
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@ -26,14 +27,12 @@ type Strategy struct {
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Symbol string `json:"symbol"`
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// SourceExchange session name
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SourceExchange string `json:"sourceExchange"`
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Exchange string `json:"exchange,omitempty"`
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// FollowerExchange session name
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FollowerExchange map[string]string `json:"makerExchange"`
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SourceSession *bbgo.ExchangeSession
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FollowerSession map[string]*bbgo.ExchangeSession
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followerSession map[string]*bbgo.ExchangeSession
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sourceSession *bbgo.ExchangeSession
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FollowerMakerOrders map[string]*bbgo.LocalActiveOrderBook
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Market types.Market
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}
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@ -46,48 +45,116 @@ func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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//func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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// sourceSession, ok := sessions[s.SourceExchange]
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// if !ok {
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// panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
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// }
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//
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// sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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// sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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//
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// for _, v := range s.FollowerExchange {
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// makerSession, ok := sessions[v]
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// if !ok {
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// panic(fmt.Errorf("maker session %s is not defined", v))
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// }
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// makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// }
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//
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//}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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//log.Info(sessions)
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//sourceSession, ok := sessions["binance-master"]
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//if !ok {
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// panic(fmt.Errorf("source session %s is not defined", sourceSession.Name))
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//} else {
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// sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// //sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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//}
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//s.SourceSession = sourceSession
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//
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////s.FollowerSession = make(map[string]*bbgo.ExchangeSession, len(sessions)-1)
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//s.FollowerMakerOrders = make(map[string]*bbgo.LocalActiveOrderBook, len(sessions)-1)
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//for k, v := range sessions {
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// // do not follower yourself
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// if k != "binance-master" {
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// followerSession, ok := sessions[k]
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// if !ok {
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// panic(fmt.Errorf("follower session %s is not defined", followerSession.Name))
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// } else {
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// //followerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// //followerSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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// //s.FollowerSession[k] = followerSession
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//
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// s.FollowerMakerOrders[k] = bbgo.NewLocalActiveOrderBook(s.Symbol)
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// s.FollowerMakerOrders[k].BindStream(sessions[k].UserDataStream)
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//
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// log.Infof("subscribe follower session %s: %s, from env var: %s", k, v.Name, v.EnvVarPrefix)
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// }
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// //if !ok {
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// // panic(fmt.Errorf("follower session %s is not defined", v))
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// //}
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// //s.FollowerSession[k].Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// }
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//}
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//for k, v := range sessions {
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// // do not follower yourself
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// if k != "binance-master" {
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// s.FollowerSession[k] = sessions[k]
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// log.Infof("subscribe follower session %s: %s, from env var: %s", k, v.Name, v.EnvVarPrefix)
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// //if !ok {
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// // panic(fmt.Errorf("follower session %s is not defined", v))
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// //}
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// //s.FollowerSession[k].Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// }
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//}
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//s.SourceSession = sessions["binance-master"]
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////if !ok {
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//// panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
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////}
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//
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//s.SourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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//s.SourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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//
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//for k, v := range sessions {
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// // do not follower yourself
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// if k != "binance-master" {
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// s.FollowerSession[k] = sessions[k]
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// log.Infof("subscribe follower session %s: %s, from env var: %s", k, v.Name, v.EnvVarPrefix)
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// //if !ok {
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// // panic(fmt.Errorf("follower session %s is not defined", v))
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// //}
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// s.FollowerSession[k].Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// }
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//}
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}
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func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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//_ = s.Persistence.Sync(s)
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// configure sessions
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
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}
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//sourceSession, ok := sessions[s.SourceExchange]
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//if !ok {
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// return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
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//}
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s.sourceSession = sourceSession
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//s.sourceSession = sourceSession
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for k, v := range s.FollowerExchange {
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followerSession, ok := sessions[k]
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if !ok {
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panic(fmt.Errorf("maker exchange session %s is not defined", v))
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}
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s.followerSession[k] = followerSession
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//for k, v := range s.FollowerExchange {
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// followerSession, ok := sessions[k]
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// if !ok {
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// panic(fmt.Errorf("maker exchange session %s is not defined", v))
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// }
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// s.followerSession[k] = followerSession
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//
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//}
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}
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log.Info(sessions)
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s.Market, ok = s.sourceSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("source session market %s is not defined", s.Symbol)
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}
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//sourceSession, _ := sessions["binance-master"]
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//s.SourceSession = sourceSession
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//
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//for k, v := range sessions {
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// // do not follower yourself
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// if k != "binance-master" {
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// s.FollowerSession[k], _ = sessions[k]
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// log.Infof("subscribe follower session %s: %s, from env var: %s", k, v.Name, v.EnvVarPrefix)
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// //if !ok {
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// // panic(fmt.Errorf("follower session %s is not defined", v))
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// //}
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// //s.FollowerSession[k].Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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// }
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//}
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//if !ok {
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// return fmt.Errorf("source session market %s is not defined", s.Symbol)
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//}
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//s.followerMarket, ok = s.sourceSession.Market(s.Symbol)
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//if !ok {
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@ -116,26 +183,86 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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// s.Position = types.NewPositionFromMarket(s.Market)
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//}
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s.sourceSession.UserDataStream.OnOrderUpdate(func(order types.Order) {
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log.Infof("source order: %v", order)
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//log.Infof("===")
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//log.Info(s.SourceSession)
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//log.Infof("===")
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//log.Info(s.FollowerSession)
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sourceSession, ok := sessions["binance-master"]
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if !ok {
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panic(fmt.Errorf("source session %s is not defined", sourceSession.Name))
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}
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s.Market, _ = sourceSession.Market(s.Symbol)
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copyOrder := types.SubmitOrder{
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Symbol: order.Symbol,
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Side: order.Side,
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Type: order.Type,
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Quantity: order.Quantity,
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Market: order.Market,
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s.FollowerMakerOrders = make(map[string]*bbgo.LocalActiveOrderBook)
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for k, _ := range sessions {
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s.FollowerMakerOrders[k] = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.FollowerMakerOrders[k].BindStream(sessions[k].UserDataStream)
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}
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//go func() {
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//cnt := 0
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//log.Info(sourceSession)
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sourceSession.UserDataStream.OnOrderUpdate(func(order types.Order) {
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utility := fixedpoint.Zero
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account := sourceSession.GetAccount()
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if quote, ok := account.Balance(s.Market.QuoteCurrency); ok {
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utility = order.Quantity.Mul(order.Price).Div(quote.Available)
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}
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log.Infof("copy order: %s", copyOrder)
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for k, _ := range s.FollowerExchange {
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createdOrders, err := s.followerSession[k].Exchange.SubmitOrders(ctx, copyOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place order")
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} else {
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log.Infof("submitted order: %s for ...", createdOrders)
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log.Infof("source order: %v", order)
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log.Info(utility)
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if order.Status == types.OrderStatusNew {
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for k, v := range sessions {
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//log.Error(cnt)
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if k != sourceSession.Name {
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// cancel all follower's open orders from source
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//if err := s.FollowerMakerOrders[k].GracefulCancel(context.Background(),
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// sessions[k].Exchange); err != nil {
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// log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
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//}
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//log.Infof("submitted order: %s for follower index key %s, %s", copyOrder, k, sessions[k].Name)
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//cnt++
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followerAccount := v.GetAccount()
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orderAmount := fixedpoint.Zero
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if followerQuote, ok := followerAccount.Balance(s.Market.QuoteCurrency); ok {
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orderAmount = followerQuote.Available.Mul(utility)
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}
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copyOrder := types.SubmitOrder{
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Symbol: order.Symbol,
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Side: order.Side,
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Price: order.Price,
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Type: order.Type,
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Quantity: orderAmount.Div(order.Price),
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}
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log.Infof("copy order: %s", copyOrder)
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//createdOrders, err := orderExecutionRouter.SubmitOrdersTo(ctx, sessions[k].Name, copyOrder)
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//// createdOrders, err := v.Exchange.SubmitOrders(ctx, copyOrder)
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//if err != nil {
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// log.WithError(err).Errorf("can not place order")
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//} else {
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// s.FollowerMakerOrders[k].Add(createdOrders...)
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// log.Infof("submit order success: %s for follower index key %s", createdOrders, k)
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//}
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}
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}
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} else if order.Status == types.OrderStatusCanceled {
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for k, _ := range sessions {
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//log.Error(cnt)
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if k != sourceSession.Name {
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// cancel all follower's open orders from source
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if err := s.FollowerMakerOrders[k].GracefulCancel(context.Background(),
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sessions[k].Exchange); err != nil {
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log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
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} else {
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log.Infof("cancel order success: %d for follower index key %s", order.OrderID, k)
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}
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}
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}
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}
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})
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//}()
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//s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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