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strategy/bollmaker: refactor and clean up

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This commit is contained in:
c9s 2022-06-19 13:40:10 +08:00
parent 156219456b
commit cb9ce753e2
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 20 additions and 74 deletions
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6
pkg/bbgo/order_executor_general.go
View File

@ -108,6 +108,7 @@ func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error {
return err
}
e.tradeCollector.Process()
return nil
}
@ -119,3 +120,8 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
return e.SubmitOrders(ctx, *submitOrder)
}
func (e *GeneralOrderExecutor) TradeCollector() *TradeCollector {
return e.tradeCollector
}

88
pkg/strategy/bollmaker/strategy.go
View File

@ -25,7 +25,6 @@ const ID = "bollmaker"
const stateKey = "state-v1"
var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
var notionModifier = fixedpoint.NewFromFloat(1.1)
var two = fixedpoint.NewFromInt(2)
@ -155,9 +154,7 @@ type Strategy struct {
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
orderExecutor *bbgo.GeneralOrderExecutor
groupID uint32
@ -244,13 +241,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place position close order")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
return err
}
@ -479,12 +470,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
submitOrders[i] = adjustOrderQuantity(submitOrders[i], s.Market)
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Errorf("can not place ping pong orders")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
_ = s.orderExecutor.SubmitOrders(ctx, submitOrders...)
}
func (s *Strategy) hasLongSet() bool {
@ -507,17 +493,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.OnSuspend(func() {
s.Status = types.StrategyStatusStopped
// Cancel all order
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
bbgo.Notify("graceful cancel order error")
} else {
bbgo.Notify("All orders are cancelled.")
}
s.tradeCollector.Process()
_ = s.orderExecutor.GracefulCancel(ctx)
_ = s.Persistence.Sync(s)
})
@ -593,48 +569,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Position.Strategy = ID
s.Position.StrategyInstanceID = instanceID
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
s.orderExecutor.Bind()
s.stopC = make(chan struct{})
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(session.UserDataStream)
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
bbgo.Notify(trade)
s.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
bbgo.Notify(&p)
s.ProfitStats.AddProfit(p)
bbgo.Notify(s.ProfitStats)
s.Environment.RecordPosition(s.Position, trade, &p)
}
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
log.Infof("position changed: %s", s.Position)
bbgo.Notify(s.Position)
// TODO: migrate persistance to singleton
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
if err := s.Persistence.Sync(s); err != nil {
log.WithError(err).Errorf("can not sync state to persistence")
}
})
s.tradeCollector.BindStream(session.UserDataStream)
s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
s.SmartStops.RunStopControllers(ctx, session, s.orderExecutor.TradeCollector())
if s.Environment.IsBackTesting() {
log.Warn("turning of useTickerPrice option in the back-testing environment...")
@ -682,12 +631,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
// check if there is a canceled order had partially filled.
s.tradeCollector.Process()
_ = s.orderExecutor.GracefulCancel(ctx)
if s.UseTickerPrice {
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
@ -710,11 +654,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
defer wg.Done()
close(s.stopC)
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
s.tradeCollector.Process()
_ = s.orderExecutor.GracefulCancel(ctx)
})
return nil