copytrader: init

This commit is contained in:
austin362667 2022-05-13 22:26:32 +08:00
parent 5eec6180bb
commit d376b9fcc2
2 changed files with 919 additions and 0 deletions

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package copytrader
import (
"sync"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type State struct {
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
Position *types.Position `json:"position,omitempty"`
ProfitStats ProfitStats `json:"profitStats,omitempty"`
}
type ProfitStats struct {
types.ProfitStats
lock sync.Mutex
MakerExchange types.ExchangeName `json:"makerExchange"`
AccumulatedMakerVolume fixedpoint.Value `json:"accumulatedMakerVolume,omitempty"`
AccumulatedMakerBidVolume fixedpoint.Value `json:"accumulatedMakerBidVolume,omitempty"`
AccumulatedMakerAskVolume fixedpoint.Value `json:"accumulatedMakerAskVolume,omitempty"`
TodayMakerVolume fixedpoint.Value `json:"todayMakerVolume,omitempty"`
TodayMakerBidVolume fixedpoint.Value `json:"todayMakerBidVolume,omitempty"`
TodayMakerAskVolume fixedpoint.Value `json:"todayMakerAskVolume,omitempty"`
}
func (s *ProfitStats) AddTrade(trade types.Trade) {
s.ProfitStats.AddTrade(trade)
if trade.Exchange == s.MakerExchange {
s.lock.Lock()
s.AccumulatedMakerVolume = s.AccumulatedMakerVolume.Add(trade.Quantity)
s.TodayMakerVolume = s.TodayMakerVolume.Add(trade.Quantity)
switch trade.Side {
case types.SideTypeSell:
s.AccumulatedMakerAskVolume = s.AccumulatedMakerAskVolume.Add(trade.Quantity)
s.TodayMakerAskVolume = s.TodayMakerAskVolume.Add(trade.Quantity)
case types.SideTypeBuy:
s.AccumulatedMakerBidVolume = s.AccumulatedMakerBidVolume.Add(trade.Quantity)
s.TodayMakerBidVolume = s.TodayMakerBidVolume.Add(trade.Quantity)
}
s.lock.Unlock()
}
}
func (s *ProfitStats) ResetToday() {
s.ProfitStats.ResetToday()
s.lock.Lock()
s.TodayMakerVolume = fixedpoint.Zero
s.TodayMakerBidVolume = fixedpoint.Zero
s.TodayMakerAskVolume = fixedpoint.Zero
s.lock.Unlock()
}

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package copytrader
import (
"context"
"fmt"
"sync"
"time"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
"github.com/sirupsen/logrus"
)
const ID = "copytrader"
var defaultMargin = fixedpoint.NewFromFloat(0.003)
var Two = fixedpoint.NewFromInt(2)
const priceUpdateTimeout = 30 * time.Second
const stateKey = "state-v1"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability
*bbgo.Persistence
Environment *bbgo.Environment
Symbol string `json:"symbol"`
// MasterExchange session name
MasterExchange string `json:"masterExchange"`
// MakerExchange session name
FollowerExchange []string `json:"followerExchange"`
NotifyTrade bool `json:"notifyTrade"`
// --------------------------------
// private field
masterSession *bbgo.ExchangeSession
followerSession []*bbgo.ExchangeSession
masterMarket types.Market
followerMarket []types.Market
state *State
book *types.StreamOrderBook
activeFollowerOrders []*bbgo.LocalActiveOrderBook
masterOrderStore *bbgo.OrderStore
followerOrderStore []*bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
lastPrice fixedpoint.Value
groupID uint32
stopC chan struct{}
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
masterSession, ok := sessions[s.MasterExchange]
if !ok {
panic(fmt.Errorf("source session %s is not defined", s.MasterExchange))
}
masterSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
masterSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
var followerSession []*bbgo.ExchangeSession
for i, exchange := range s.FollowerExchange {
followerSession[i], ok = sessions[exchange]
if !ok {
panic(fmt.Errorf("maker session %s is not defined", exchange))
}
followerSession[i].Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
}
}
//func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
// q := requiredQuantity
// totalAmount := fixedpoint.Zero
//
// if len(pvs) == 0 {
// price = fixedpoint.Zero
// return price
// } else if pvs[0].Volume.Compare(requiredQuantity) >= 0 {
// return pvs[0].Price
// }
//
// for i := 0; i < len(pvs); i++ {
// pv := pvs[i]
// if pv.Volume.Compare(q) >= 0 {
// totalAmount = totalAmount.Add(q.Mul(pv.Price))
// break
// }
//
// q = q.Sub(pv.Volume)
// totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
// }
//
// price = totalAmount.Div(requiredQuantity)
// return price
//}
//func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter) {
// if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
// log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
// s.activeMakerOrders.Print()
// return
// }
//
// if s.activeMakerOrders.NumOfAsks() > 0 || s.activeMakerOrders.NumOfBids() > 0 {
// return
// }
//
// bestBid, bestAsk, hasPrice := s.book.BestBidAndAsk()
// if !hasPrice {
// return
// }
//
// // use mid-price for the last price
// s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
//
// bookLastUpdateTime := s.book.LastUpdateTime()
//
// if _, err := s.bidPriceHeartBeat.Update(bestBid, priceUpdateTimeout); err != nil {
// log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
// s.Symbol,
// time.Since(bookLastUpdateTime))
// return
// }
//
// if _, err := s.askPriceHeartBeat.Update(bestAsk, priceUpdateTimeout); err != nil {
// log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
// s.Symbol,
// time.Since(bookLastUpdateTime))
// return
// }
//
// sourceBook := s.book.CopyDepth(10)
// if valid, err := sourceBook.IsValid(); !valid {
// log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
// return
// }
//
// var disableMakerBid = false
// var disableMakerAsk = false
//
// // check maker's balance quota
// // we load the balances from the account while we're generating the orders,
// // the balance may have a chance to be deducted by other strategies or manual orders submitted by the user
// makerBalances := s.makerSession.Account.Balances()
// makerQuota := &bbgo.QuotaTransaction{}
// if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
// if b.Available.Compare(s.makerMarket.MinQuantity) > 0 {
// makerQuota.BaseAsset.Add(b.Available)
// } else {
// disableMakerAsk = true
// }
// }
//
// if b, ok := makerBalances[s.makerMarket.QuoteCurrency]; ok {
// if b.Available.Compare(s.makerMarket.MinNotional) > 0 {
// makerQuota.QuoteAsset.Add(b.Available)
// } else {
// disableMakerBid = true
// }
// }
//
// hedgeBalances := s.sourceSession.Account.Balances()
// hedgeQuota := &bbgo.QuotaTransaction{}
// if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
// // to make bid orders, we need enough base asset in the foreign exchange,
// // if the base asset balance is not enough for selling
// if s.StopHedgeBaseBalance.Sign() > 0 {
// minAvailable := s.StopHedgeBaseBalance.Add(s.sourceMarket.MinQuantity)
// if b.Available.Compare(minAvailable) > 0 {
// hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
// } else {
// log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
// disableMakerBid = true
// }
// } else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
// hedgeQuota.BaseAsset.Add(b.Available)
// } else {
// log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
// disableMakerBid = true
// }
// }
//
// if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
// // to make ask orders, we need enough quote asset in the foreign exchange,
// // if the quote asset balance is not enough for buying
// if s.StopHedgeQuoteBalance.Sign() > 0 {
// minAvailable := s.StopHedgeQuoteBalance.Add(s.sourceMarket.MinNotional)
// if b.Available.Compare(minAvailable) > 0 {
// hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
// } else {
// log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
// disableMakerAsk = true
// }
// } else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
// hedgeQuota.QuoteAsset.Add(b.Available)
// } else {
// log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
// disableMakerAsk = true
// }
// }
//
// // if max exposure position is configured, we should not:
// // 1. place bid orders when we already bought too much
// // 2. place ask orders when we already sold too much
// if s.MaxExposurePosition.Sign() > 0 {
// pos := s.state.Position.GetBase()
//
// if pos.Compare(s.MaxExposurePosition.Neg()) > 0 {
// // stop sell if we over-sell
// disableMakerAsk = true
// } else if pos.Compare(s.MaxExposurePosition) > 0 {
// // stop buy if we over buy
// disableMakerBid = true
// }
// }
//
// if disableMakerAsk && disableMakerBid {
// log.Warnf("%s bid/ask maker is disabled due to insufficient balances", s.Symbol)
// return
// }
//
// bestBidPrice := bestBid.Price
// bestAskPrice := bestAsk.Price
// log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
//
// var submitOrders []types.SubmitOrder
// var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
// var bidQuantity = s.Quantity
// var askQuantity = s.Quantity
// var bidMargin = s.BidMargin
// var askMargin = s.AskMargin
// var pips = s.Pips
//
// if s.EnableBollBandMargin {
// lastDownBand := s.boll.LastDownBand()
// lastUpBand := s.boll.LastUpBand()
//
// // when bid price is lower than the down band, then it's in the downtrend
// // when ask price is higher than the up band, then it's in the uptrend
// if bestBidPrice.Float64() < lastDownBand {
// // ratio here should be greater than 1.00
// ratio := fixedpoint.NewFromFloat(lastDownBand).Div(bestBidPrice)
//
// // so that the original bid margin can be multiplied by 1.x
// bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
//
// log.Infof("%s bollband downtrend: adjusting ask margin %v + %v = %v",
// s.Symbol,
// askMargin,
// bollMargin,
// askMargin.Add(bollMargin))
//
// askMargin = askMargin.Add(bollMargin)
// pips = pips.Mul(ratio)
// }
//
// if bestAskPrice.Float64() > lastUpBand {
// // ratio here should be greater than 1.00
// ratio := bestAskPrice.Div(fixedpoint.NewFromFloat(lastUpBand))
//
// // so that the original bid margin can be multiplied by 1.x
// bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
//
// log.Infof("%s bollband uptrend adjusting bid margin %v + %v = %v",
// s.Symbol,
// bidMargin,
// bollMargin,
// bidMargin.Add(bollMargin))
//
// bidMargin = bidMargin.Add(bollMargin)
// pips = pips.Mul(ratio)
// }
// }
//
// bidPrice := bestBidPrice
// askPrice := bestAskPrice
// for i := 0; i < s.NumLayers; i++ {
// // for maker bid orders
// if !disableMakerBid {
// if s.QuantityScale != nil {
// qf, err := s.QuantityScale.Scale(i + 1)
// if err != nil {
// log.WithError(err).Errorf("quantityScale error")
// return
// }
//
// log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
//
// // override the default bid quantity
// bidQuantity = fixedpoint.NewFromFloat(qf)
// }
//
// accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
// if s.UseDepthPrice {
// if s.DepthQuantity.Sign() > 0 {
// bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
// } else {
// bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
// }
// }
//
// bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
// if i > 0 && pips.Sign() > 0 {
// bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
// Mul(s.makerMarket.TickSize)))
// }
//
// if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// // if we bought, then we need to sell the base from the hedge session
// submitOrders = append(submitOrders, types.SubmitOrder{
// Symbol: s.Symbol,
// Type: types.OrderTypeLimit,
// Side: types.SideTypeBuy,
// Price: bidPrice,
// Quantity: bidQuantity,
// TimeInForce: types.TimeInForceGTC,
// GroupID: s.groupID,
// })
//
// makerQuota.Commit()
// hedgeQuota.Commit()
// } else {
// makerQuota.Rollback()
// hedgeQuota.Rollback()
// }
//
// if s.QuantityMultiplier.Sign() > 0 {
// bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
// }
// }
//
// // for maker ask orders
// if !disableMakerAsk {
// if s.QuantityScale != nil {
// qf, err := s.QuantityScale.Scale(i + 1)
// if err != nil {
// log.WithError(err).Errorf("quantityScale error")
// return
// }
//
// log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
//
// // override the default bid quantity
// askQuantity = fixedpoint.NewFromFloat(qf)
// }
// accumulativeAskQuantity = accumulativeAskQuantity.Add(askQuantity)
//
// if s.UseDepthPrice {
// if s.DepthQuantity.Sign() > 0 {
// askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
// } else {
// askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
// }
// }
//
// askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
// if i > 0 && pips.Sign() > 0 {
// askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
// }
//
// if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
// // if we bought, then we need to sell the base from the hedge session
// submitOrders = append(submitOrders, types.SubmitOrder{
// Symbol: s.Symbol,
// Market: s.makerMarket,
// Type: types.OrderTypeLimit,
// Side: types.SideTypeSell,
// Price: askPrice,
// Quantity: askQuantity,
// TimeInForce: types.TimeInForceGTC,
// GroupID: s.groupID,
// })
// makerQuota.Commit()
// hedgeQuota.Commit()
// } else {
// makerQuota.Rollback()
// hedgeQuota.Rollback()
// }
//
// if s.QuantityMultiplier.Sign() > 0 {
// askQuantity = askQuantity.Mul(s.QuantityMultiplier)
// }
// }
// }
//
// if len(submitOrders) == 0 {
// log.Warnf("no orders generated")
// return
// }
//
// makerOrders, err := orderExecutionRouter.SubmitOrdersTo(ctx, s.MakerExchange, submitOrders...)
// if err != nil {
// log.WithError(err).Errorf("order error: %s", err.Error())
// return
// }
//
// s.activeMakerOrders.Add(makerOrders...)
// s.orderStore.Add(makerOrders...)
//}
//var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
//var minGap = fixedpoint.NewFromFloat(1.02)
//
//func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
// side := types.SideTypeBuy
// if pos.IsZero() {
// return
// }
//
// quantity := pos.Abs()
//
// if pos.Sign() < 0 {
// side = types.SideTypeSell
// }
//
// lastPrice := s.lastPrice
// sourceBook := s.book.CopyDepth(1)
// switch side {
//
// case types.SideTypeBuy:
// if bestAsk, ok := sourceBook.BestAsk(); ok {
// lastPrice = bestAsk.Price
// }
//
// case types.SideTypeSell:
// if bestBid, ok := sourceBook.BestBid(); ok {
// lastPrice = bestBid.Price
// }
// }
//
// notional := quantity.Mul(lastPrice)
// if notional.Compare(s.sourceMarket.MinNotional) <= 0 {
// log.Warnf("%s %v less than min notional, skipping hedge", s.Symbol, notional)
// return
// }
//
// // adjust quantity according to the balances
// account := s.sourceSession.Account
// switch side {
//
// case types.SideTypeBuy:
// // check quote quantity
// if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
// if quote.Available.Compare(notional) < 0 {
// // adjust price to higher 0.1%, so that we can ensure that the order can be executed
// quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
// quantity = s.sourceMarket.TruncateQuantity(quantity)
// }
// }
//
// case types.SideTypeSell:
// // check quote quantity
// if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
// if base.Available.Compare(quantity) < 0 {
// quantity = base.Available
// }
// }
// }
//
// // truncate quantity for the supported precision
// quantity = s.sourceMarket.TruncateQuantity(quantity)
//
// if notional.Compare(s.sourceMarket.MinNotional.Mul(minGap)) <= 0 {
// log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.sourceMarket.MinNotional)
// return
// }
//
// if quantity.Compare(s.sourceMarket.MinQuantity.Mul(minGap)) <= 0 {
// log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.sourceMarket.MinQuantity)
// return
// }
//
// if s.hedgeErrorRateReservation != nil {
// if !s.hedgeErrorRateReservation.OK() {
// return
// }
// s.Notify("Hit hedge error rate limit, waiting...")
// time.Sleep(s.hedgeErrorRateReservation.Delay())
// s.hedgeErrorRateReservation = nil
// }
//
// log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
// s.Notifiability.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
// orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
// returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
// Market: s.sourceMarket,
// Symbol: s.Symbol,
// Type: types.OrderTypeMarket,
// Side: side,
// Quantity: quantity,
// })
//
// if err != nil {
// s.hedgeErrorRateReservation = s.hedgeErrorLimiter.Reserve()
// log.WithError(err).Errorf("market order submit error: %s", err.Error())
// return
// }
//
// // if it's selling, than we should add positive position
// if side == types.SideTypeSell {
// s.state.CoveredPosition = s.state.CoveredPosition.Add(quantity)
// } else {
// s.state.CoveredPosition = s.state.CoveredPosition.Add(quantity.Neg())
// }
//
// s.orderStore.Add(returnOrders...)
//}
//func (s *Strategy) Validate() error {
// if s.Quantity.IsZero() || s.QuantityScale == nil {
// return errors.New("quantity or quantityScale can not be empty")
// }
//
// if !s.QuantityMultiplier.IsZero() && s.QuantityMultiplier.Sign() < 0 {
// return errors.New("quantityMultiplier can not be a negative number")
// }
//
// if len(s.Symbol) == 0 {
// return errors.New("symbol is required")
// }
//
// return nil
//}
func (s *Strategy) LoadState() error {
var state State
// load position
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
if err != service.ErrPersistenceNotExists {
return err
}
s.state = &State{}
} else {
s.state = &state
}
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = types.NewPositionFromMarket(s.masterMarket)
}
s.state.Position.Market = s.masterMarket
s.state.ProfitStats.Symbol = s.masterMarket.Symbol
s.state.ProfitStats.BaseCurrency = s.masterMarket.BaseCurrency
s.state.ProfitStats.QuoteCurrency = s.masterMarket.QuoteCurrency
s.state.ProfitStats.MakerExchange = s.masterSession.ExchangeName
if s.state.ProfitStats.AccumulatedSince == 0 {
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
}
return nil
}
func (s *Strategy) SaveState() error {
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
return err
} else {
log.Infof("%s state is saved => %+v", ID, s.state)
}
return nil
}
func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
//if s.BollBandInterval == "" {
// s.BollBandInterval = types.Interval1m
//}
//if s.BollBandMarginFactor.IsZero() {
// s.BollBandMarginFactor = fixedpoint.One
//}
//if s.BollBandMargin.IsZero() {
// s.BollBandMargin = fixedpoint.NewFromFloat(0.001)
//}
// configure default values
//if s.UpdateInterval == 0 {
// s.UpdateInterval = types.Duration(time.Second)
//}
//
//if s.HedgeInterval == 0 {
// s.HedgeInterval = types.Duration(10 * time.Second)
//}
//
//if s.NumLayers == 0 {
// s.NumLayers = 1
//}
//if s.BidMargin.IsZero() {
// if !s.Margin.IsZero() {
// s.BidMargin = s.Margin
// } else {
// s.BidMargin = defaultMargin
// }
//}
//if s.AskMargin.IsZero() {
// if !s.Margin.IsZero() {
// s.AskMargin = s.Margin
// } else {
// s.AskMargin = defaultMargin
// }
//}
//s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
// configure sessions
masterSession, ok := sessions[s.MasterExchange]
if !ok {
return fmt.Errorf("source exchange session %s is not defined", s.MasterExchange)
}
s.masterSession = masterSession
var followerSession []*bbgo.ExchangeSession
for i, exchange := range s.FollowerExchange {
followerSession[i], ok = sessions[exchange]
if !ok {
return fmt.Errorf("maker exchange session %s is not defined", exchange)
}
s.followerSession[i] = followerSession[i]
}
s.masterMarket, ok = s.masterSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("source session market %s is not defined", s.Symbol)
}
for i, session := range s.followerSession {
s.followerMarket[i], ok = session.Market(s.Symbol)
if !ok {
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
}
}
//standardIndicatorSet, ok := s.sourceSession.StandardIndicatorSet(s.Symbol)
//if !ok {
// return fmt.Errorf("%s standard indicator set not found", s.Symbol)
//}
//
//s.boll = standardIndicatorSet.BOLL(types.IntervalWindow{
// Interval: s.BollBandInterval,
// Window: 21,
//}, 1.0)
// restore state
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
//s.groupID = max.GenerateGroupID(instanceID)
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
if err := s.LoadState(); err != nil {
return err
} else {
s.Notify("copytrader: %s position is restored", s.Symbol, s.state.Position)
}
for i, session := range s.followerSession {
if session.MakerFeeRate.Sign() > 0 || session.TakerFeeRate.Sign() > 0 {
s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.FollowerExchange[i]), types.ExchangeFee{
MakerFeeRate: session.MakerFeeRate,
TakerFeeRate: session.TakerFeeRate,
})
}
}
if s.masterSession.MakerFeeRate.Sign() > 0 || s.masterSession.TakerFeeRate.Sign() > 0 {
s.state.Position.SetExchangeFeeRate(types.ExchangeName(s.MasterExchange), types.ExchangeFee{
MakerFeeRate: s.masterSession.MakerFeeRate,
TakerFeeRate: s.masterSession.TakerFeeRate,
})
}
s.book = types.NewStreamBook(s.Symbol)
s.book.BindStream(s.masterSession.MarketDataStream)
for i, session := range s.followerSession {
s.activeFollowerOrders[i] = bbgo.NewLocalActiveOrderBook(s.Symbol)
s.activeFollowerOrders[i].BindStream(session.UserDataStream)
}
s.masterOrderStore = bbgo.NewOrderStore(s.Symbol)
s.masterOrderStore.BindStream(s.masterSession.UserDataStream)
for i, session := range s.followerSession {
s.followerOrderStore[i].BindStream(session.UserDataStream)
}
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.masterOrderStore)
if s.NotifyTrade {
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
s.Notifiability.Notify(trade)
})
}
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange()
if trade.Exchange == s.masterSession.ExchangeName {
s.state.CoveredPosition = s.state.CoveredPosition.Add(c)
}
s.state.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.state.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.state.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
s.Notify(&p)
s.state.ProfitStats.AddProfit(p)
s.Environment.RecordPosition(s.state.Position, trade, &p)
}
if err := s.SaveState(); err != nil {
log.WithError(err).Error("save state error")
}
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
s.Notifiability.Notify(position)
})
s.tradeCollector.OnRecover(func(trade types.Trade) {
s.Notifiability.Notify("Recover trade", trade)
})
s.tradeCollector.BindStream(s.masterSession.UserDataStream)
// TODO: ?
//s.tradeCollector.BindStream(s.makerSession.UserDataStream)
//s.stopC = make(chan struct{})
//go func() {
// posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
// defer posTicker.Stop()
//
// quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
// defer quoteTicker.Stop()
//
// reportTicker := time.NewTicker(time.Hour)
// defer reportTicker.Stop()
//
// tradeScanInterval := 20 * time.Minute
// tradeScanTicker := time.NewTicker(tradeScanInterval)
// defer tradeScanTicker.Stop()
//
// defer func() {
// if err := s.activeMakerOrders.GracefulCancel(context.Background(),
// s.makerSession.Exchange); err != nil {
// log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
// }
// }()
//
// for {
// select {
//
// case <-s.stopC:
// log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
// return
//
// case <-ctx.Done():
// log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
// return
//
// case <-quoteTicker.C:
// s.updateQuote(ctx, orderExecutionRouter)
//
// case <-reportTicker.C:
// s.Notifiability.Notify(&s.state.ProfitStats)
//
// case <-tradeScanTicker.C:
// log.Infof("scanning trades from %s ago...", tradeScanInterval)
// startTime := time.Now().Add(-tradeScanInterval)
// if err := s.tradeCollector.Recover(ctx, s.sourceSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
// log.WithError(err).Errorf("query trades error")
// }
//
// case <-posTicker.C:
// // For positive position and positive covered position:
// // uncover position = +5 - +3 (covered position) = 2
// //
// // For positive position and negative covered position:
// // uncover position = +5 - (-3) (covered position) = 8
// //
// // meaning we bought 5 on MAX and sent buy order with 3 on binance
// //
// // For negative position:
// // uncover position = -5 - -3 (covered position) = -2
// s.tradeCollector.Process()
//
// position := s.state.Position.GetBase()
//
// uncoverPosition := position.Sub(s.state.CoveredPosition)
// absPos := uncoverPosition.Abs()
// if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
// log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
// s.Symbol,
// position,
// s.state.CoveredPosition,
// uncoverPosition,
// )
//
// s.Hedge(ctx, uncoverPosition.Neg())
// }
// }
// }
//}()
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
close(s.stopC)
// wait for the quoter to stop
//time.Sleep(s.UpdateInterval.Duration())
shutdownCtx, cancelShutdown := context.WithTimeout(context.TODO(), time.Minute)
defer cancelShutdown()
for i, _ := range s.activeFollowerOrders {
if err := s.activeFollowerOrders[i].GracefulCancel(shutdownCtx, s.followerSession[i].Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel error")
}
}
if err := s.SaveState(); err != nil {
log.WithError(err).Errorf("can not save state: %+v", s.state)
} else {
s.Notify("%s: %s position is saved", ID, s.Symbol, s.state.Position)
}
})
return nil
}