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Merge pull request #1666 from c9s/c9s/liqmaker-profit-fixer
FEATURE: [liqmaker] add profit fixer support
This commit is contained in:
commit
d41de325f8
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@ -2,12 +2,14 @@ package common
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import (
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import (
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"context"
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"context"
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"fmt"
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"sync"
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"sync"
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"time"
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"time"
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log "github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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"golang.org/x/sync/errgroup"
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"golang.org/x/sync/errgroup"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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)
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)
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@ -101,3 +103,38 @@ func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.Profit
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log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
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log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
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return nil
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return nil
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}
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}
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type ProfitFixerBundle struct {
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ProfitFixerConfig *ProfitFixerConfig `json:"profitFixer,omitempty"`
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}
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func (f *ProfitFixerBundle) Fix(
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ctx context.Context,
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symbol string,
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position *types.Position,
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profitStats *types.ProfitStats,
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sessions ...*bbgo.ExchangeSession,
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) error {
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bbgo.Notify("Fixing %s profitStats and position...", symbol)
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log.Infof("profitFixer is enabled, checking checkpoint: %+v", f.ProfitFixerConfig.TradesSince)
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if f.ProfitFixerConfig.TradesSince.Time().IsZero() {
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return fmt.Errorf("tradesSince time can not be zero")
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}
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fixer := NewProfitFixer()
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for _, session := range sessions {
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if ss, ok := session.Exchange.(types.ExchangeTradeHistoryService); ok {
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log.Infof("adding makerSession %s to profitFixer", session.Name)
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fixer.AddExchange(session.Name, ss)
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}
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}
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return fixer.Fix(ctx,
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symbol,
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f.ProfitFixerConfig.TradesSince.Time(),
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time.Now(),
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profitStats,
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position)
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}
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@ -63,6 +63,8 @@ type Strategy struct {
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MinProfit fixedpoint.Value `json:"minProfit"`
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MinProfit fixedpoint.Value `json:"minProfit"`
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common.ProfitFixerBundle
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liquidityOrderBook, adjustmentOrderBook *bbgo.ActiveOrderBook
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liquidityOrderBook, adjustmentOrderBook *bbgo.ActiveOrderBook
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liquidityScale bbgo.Scale
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liquidityScale bbgo.Scale
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@ -91,6 +93,19 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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}
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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if s.ProfitFixerBundle.ProfitFixerConfig != nil {
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market, _ := session.Market(s.Symbol)
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s.Position = types.NewPositionFromMarket(market)
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s.ProfitStats = types.NewProfitStats(market)
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if err := s.ProfitFixerBundle.Fix(ctx, s.Symbol, s.Position, s.ProfitStats, session); err != nil {
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return err
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}
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bbgo.Notify("Fixed %s position", s.Symbol, s.Position)
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bbgo.Notify("Fixed %s profitStats", s.Symbol, s.ProfitStats)
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}
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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s.orderGenerator = &LiquidityOrderGenerator{
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s.orderGenerator = &LiquidityOrderGenerator{
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@ -196,7 +196,7 @@ type Strategy struct {
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// Pips is the pips of the layer prices
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// Pips is the pips of the layer prices
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Pips fixedpoint.Value `json:"pips"`
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Pips fixedpoint.Value `json:"pips"`
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ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`
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ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
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// --------------------------------
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// --------------------------------
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// private fields
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// private fields
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