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copytrader: init
This commit is contained in:
austin362667
parent
0f5d6655dc
commit
c7349f5c99
27
config/copytrader.yaml
Normal file
27
config/copytrader.yaml
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@ -0,0 +1,27 @@
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sessions:
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binanceMaster:
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exchange: binance
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envVarPrefix: BINANCE
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binanceSlave:
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exchange: binance
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envVarPrefix: BINANCE_SLAVE
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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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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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@ -5,6 +5,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/autoborrow"
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_ "github.com/c9s/bbgo/pkg/strategy/bollgrid"
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_ "github.com/c9s/bbgo/pkg/strategy/bollmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/copytrader"
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_ "github.com/c9s/bbgo/pkg/strategy/emastop"
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_ "github.com/c9s/bbgo/pkg/strategy/etf"
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_ "github.com/c9s/bbgo/pkg/strategy/ewoDgtrd"
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263
pkg/strategy/copytrader/strategy.go
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263
pkg/strategy/copytrader/strategy.go
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@ -0,0 +1,263 @@
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package copytrader
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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/types"
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"github.com/sirupsen/logrus"
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)
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const ID = "copytrader"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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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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// FollowerExchange session name
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FollowerExchange map[string]string `json:"makerExchange"`
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followerSession map[string]*bbgo.ExchangeSession
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sourceSession *bbgo.ExchangeSession
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Market types.Market
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}
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func (s *Strategy) ID() string {
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return ID
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}
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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) 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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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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}
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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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//s.followerMarket, ok = s.sourceSession.Market(s.Symbol)
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//if !ok {
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// return fmt.Errorf("maker session market %s is not defined", s.Symbol)
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//}
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// restore state
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//instanceID := s.InstanceID()
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//s.groupID = util.FNV32(instanceID)
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//log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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//s.book = types.NewStreamBook(s.Symbol)
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//s.book.BindStream(s.sourceSession.MarketDataStream)
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//for k, _ := range s.FollowerExchange {
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// s.activeFollowerOrders[k] = bbgo.NewLocalActiveOrderBook(s.Symbol)
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// s.activeFollowerOrders[k].BindStream(s.followerSession[k].UserDataStream)
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// s.followerOrderStore[k] = bbgo.NewOrderStore(s.Symbol)
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// s.followerOrderStore[k].BindStream(s.followerSession[k].UserDataStream)
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//}
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//
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//s.sourceOrderStore = bbgo.NewOrderStore(s.Symbol)
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//s.sourceOrderStore.BindStream(s.sourceSession.UserDataStream)
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// If position is nil, we need to allocate a new position for calculation
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//if s.Position == nil {
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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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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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}
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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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}
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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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//if s.NotifyTrade {
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// s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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// s.Notifiability.Notify(trade)
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// })
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//}
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//s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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// c := trade.PositionChange()
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// if trade.Exchange == s.sourceSession.ExchangeName {
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// s.CoveredPosition = s.CoveredPosition.Add(c)
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// }
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//
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// s.ProfitStats.AddTrade(trade)
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//
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// if profit.Compare(fixedpoint.Zero) == 0 {
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// s.Environment.RecordPosition(s.Position, trade, nil)
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// } else {
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// log.Infof("%s generated profit: %v", s.Symbol, profit)
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//
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// p := s.Position.NewProfit(trade, profit, netProfit)
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// p.Strategy = ID
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// p.StrategyInstanceID = instanceID
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// s.Notify(&p)
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// s.ProfitStats.AddProfit(p)
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//
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// s.Environment.RecordPosition(s.Position, trade, &p)
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// }
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//})
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//s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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// s.Notifiability.Notify(position)
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//})
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//s.tradeCollector.OnRecover(func(trade types.Trade) {
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// s.Notifiability.Notify("Recover trade", trade)
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//})
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//s.tradeCollector.BindStream(s.sourceSession.UserDataStream)
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//s.tradeCollector.BindStream(s.makerSession.UserDataStream)
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//go func() {
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//defer func() {
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// if err := s.activeFollowerOrders.GracefulCancel(context.Background(),
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// s.makerSession.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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//}()
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// for {
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// select {
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//
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// //case <-s.stopC:
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// // log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
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// // return
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//
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// case <-ctx.Done():
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// log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
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// return
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//
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// case <-quoteTicker.C:
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// s.updateQuote(ctx, orderExecutionRouter)
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//
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// case <-reportTicker.C:
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// s.Notifiability.Notify(&s.ProfitStats)
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//
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// case <-tradeScanTicker.C:
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// log.Infof("scanning trades from %s ago...", tradeScanInterval)
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// startTime := time.Now().Add(-tradeScanInterval)
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// if err := s.tradeCollector.Recover(ctx, s.sourceSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
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// log.WithError(err).Errorf("query trades error")
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// }
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//
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// case <-posTicker.C:
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// // For positive position and positive covered position:
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// // uncover position = +5 - +3 (covered position) = 2
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// //
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// // For positive position and negative covered position:
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// // uncover position = +5 - (-3) (covered position) = 8
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// //
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// // meaning we bought 5 on MAX and sent buy order with 3 on binance
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// //
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// // For negative position:
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// // uncover position = -5 - -3 (covered position) = -2
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// s.tradeCollector.Process()
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//
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// position := s.Position.GetBase()
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//
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// uncoverPosition := position.Sub(s.CoveredPosition)
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// absPos := uncoverPosition.Abs()
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// if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
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// log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
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// s.Symbol,
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// position,
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// s.CoveredPosition,
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// uncoverPosition,
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// )
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//
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// s.Hedge(ctx, uncoverPosition.Neg())
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// }
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// }
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// }
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//}()
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//s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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// defer wg.Done()
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//
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// close(s.stopC)
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//
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// // wait for the quoter to stop
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// time.Sleep(s.UpdateInterval.Duration())
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//
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// shutdownCtx, cancelShutdown := context.WithTimeout(context.TODO(), time.Minute)
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// defer cancelShutdown()
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//
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// if err := s.activeMakerOrders.GracefulCancel(shutdownCtx, s.makerSession.Exchange); err != nil {
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// log.WithError(err).Errorf("graceful cancel error")
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// }
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//
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// s.Notify("%s: %s position", ID, s.Symbol, s.Position)
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//})
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return nil
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}
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