lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-20 00:01:09 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

common: pull out ProfitFixerBundle

Browse Source
This commit is contained in:
c9s 2024-07-08 14:16:40 +08:00
parent d982524824
commit c217aadc1b
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
2 changed files with 40 additions and 39 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

37
pkg/strategy/common/profit_fixer.go
View File

@ -2,12 +2,14 @@ package common
import (
"context"
"fmt"
"sync"
"time"
log "github.com/sirupsen/logrus"
"golang.org/x/sync/errgroup"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/exchange/batch"
"github.com/c9s/bbgo/pkg/types"
)
@ -101,3 +103,38 @@ func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.Profit
log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
return nil
}
type ProfitFixerBundle struct {
ProfitFixerConfig *ProfitFixerConfig `json:"profitFixer,omitempty"`
}
func (f *ProfitFixerBundle) Fix(
ctx context.Context,
symbol string,
position *types.Position,
profitStats *types.ProfitStats,
sessions ...*bbgo.ExchangeSession,
) error {
bbgo.Notify("Fixing %s profitStats and position...", symbol)
log.Infof("profitFixer is enabled, checking checkpoint: %+v", f.ProfitFixerConfig.TradesSince)
if f.ProfitFixerConfig.TradesSince.Time().IsZero() {
return fmt.Errorf("tradesSince time can not be zero")
}
fixer := NewProfitFixer()
for _, session := range sessions {
if ss, ok := session.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding makerSession %s to profitFixer", session.Name)
fixer.AddExchange(session.Name, ss)
}
}
return fixer.Fix(ctx,
symbol,
f.ProfitFixerConfig.TradesSince.Time(),
time.Now(),
profitStats,
position)
}

42
pkg/strategy/liquiditymaker/strategy.go
View File

@ -4,7 +4,6 @@ import (
"context"
"fmt"
"sync"
"time"
log "github.com/sirupsen/logrus"
@ -28,41 +27,6 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type ProfitFixer struct {
ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
}
func (f *ProfitFixer) Fix(
ctx context.Context,
symbol string,
position *types.Position,
profitStats *types.ProfitStats,
sessions ...*bbgo.ExchangeSession,
) error {
bbgo.Notify("Fixing %s profitStats and position...", symbol)
log.Infof("profitFixer is enabled, checking checkpoint: %+v", f.ProfitFixerConfig.TradesSince)
if f.ProfitFixerConfig.TradesSince.Time().IsZero() {
return fmt.Errorf("tradesSince time can not be zero")
}
fixer := common.NewProfitFixer()
for _, session := range sessions {
if ss, ok := session.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding makerSession %s to profitFixer", session.Name)
fixer.AddExchange(session.Name, ss)
}
}
return fixer.Fix(ctx,
symbol,
f.ProfitFixerConfig.TradesSince.Time(),
time.Now(),
profitStats,
position)
}
// Strategy is the strategy struct of LiquidityMaker
// liquidity maker does not care about the current price, it tries to place liquidity orders (limit maker orders)
// around the current mid price
@ -99,7 +63,7 @@ type Strategy struct {
MinProfit fixedpoint.Value `json:"minProfit"`
ProfitFixer
common.ProfitFixerBundle
liquidityOrderBook, adjustmentOrderBook *bbgo.ActiveOrderBook
@ -129,12 +93,12 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.ProfitFixer.ProfitFixerConfig != nil {
if s.ProfitFixerBundle.ProfitFixerConfig != nil {
market, _ := session.Market(s.Symbol)
s.Position = types.NewPositionFromMarket(market)
s.ProfitStats = types.NewProfitStats(market)
if err := s.ProfitFixer.Fix(ctx, s.Symbol, s.Position, s.ProfitStats, session); err != nil {
if err := s.ProfitFixerBundle.Fix(ctx, s.Symbol, s.Position, s.ProfitStats, session); err != nil {
return err
}