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more strategy refactor

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This commit is contained in:
c9s 2020-09-28 15:01:10 +08:00
parent 4663e51e3a
commit db72b3b0f0
4 changed files with 118 additions and 48 deletions
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4
bbgo/kline_regression.go
View File

@ -38,13 +38,13 @@ func (trader *BackTestTrader) SubmitOrder(cxt context.Context, order *types.Subm
trader.pendingOrders = append(trader.pendingOrders, order)
}
func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy MarketStrategy) (chan struct{}, error) {
logrus.Infof("[regression] number of kline data: %d", len(trader.SourceKLines))
done := make(chan struct{})
defer close(done)
if err := strategy.Load(trader.Context, trader); err != nil {
if err := strategy.OnLoad(trader.Context, trader); err != nil {
return nil, err
}

6
bbgo/service/trade.go
View File

@ -8,16 +8,14 @@ import (
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo/exchange/binance"
"github.com/c9s/bbgo/pkg/bbgo/types"
)
type TradeSync struct {
Service *TradeService
Exchange *binance.Exchange
}
func (s *TradeSync) Sync(ctx context.Context, symbol string, startTime time.Time) error {
func (s *TradeSync) Sync(ctx context.Context, exchange types.Exchange, symbol string, startTime time.Time) error {
lastTrade, err := s.Service.QueryLast(symbol)
if err != nil {
return err
@ -31,7 +29,7 @@ func (s *TradeSync) Sync(ctx context.Context, symbol string, startTime time.Time
log.Infof("found last trade, start from lastID = %d since %s", lastTrade.ID, startTime)
}
trades, err := s.Exchange.BatchQueryTrades(ctx, symbol, &types.TradeQueryOptions{
trades, err := exchange.BatchQueryTrades(ctx, symbol, &types.TradeQueryOptions{
StartTime: &startTime,
Limit: 200,
LastTradeID: lastID,

154
bbgo/trader.go
View File

@ -12,17 +12,68 @@ import (
"github.com/c9s/bbgo/pkg/bbgo/accounting"
"github.com/c9s/bbgo/pkg/bbgo/config"
"github.com/c9s/bbgo/pkg/bbgo/service"
"github.com/c9s/bbgo/pkg/bbgo/exchange/binance"
"github.com/c9s/bbgo/pkg/bbgo/service"
"github.com/c9s/bbgo/pkg/bbgo/types"
)
type Strategy interface {
Load(tradingContext *Context, trader types.Trader) error
// MarketStrategy represents the single Exchange strategy
type MarketStrategy interface {
OnLoad(tradingContext *Context, trader types.Trader) error
OnNewStream(stream types.PrivateStream) error
}
type ExchangeSession struct {
Name string
Account *Account
Stream types.PrivateStream
Subscriptions []types.Subscription
Exchange *binance.Exchange
Strategies []MarketStrategy
loadedSymbols map[string]struct{}
Markets map[string]types.Market
Trades map[string][]types.Trade
}
func (session *ExchangeSession) Subscribe(channel string, symbol string, options types.SubscribeOptions) *ExchangeSession {
session.Symbols(symbol)
session.Subscriptions = append(session.Subscriptions, types.Subscription{
Channel: channel,
Symbol: symbol,
Options: options,
})
return session
}
func (session *ExchangeSession) Symbols(symbols ...string) *ExchangeSession {
for _, symbol := range symbols {
session.loadedSymbols[symbol] = struct{}{}
if market, ok := types.FindMarket(symbol); ok {
session.Markets[symbol] = market
} else {
log.Panicf("market of symbol %s not found", symbol)
}
}
return session
}
func (session *ExchangeSession) AddStrategy(strategy MarketStrategy) *ExchangeSession {
session.Strategies = append(session.Strategies, strategy)
return session
}
type Trader struct {
Symbol string
TradeService *service.TradeService
@ -39,16 +90,9 @@ type Trader struct {
Account *Account
// new fieldss
Exchanges map[string]*binance.Exchange
ExchangeAccounts map[string]*Account
ExchangeStreams map[string]types.PrivateStream
ExchangeSubscriptions map[string][]types.Subscription
Notifiers []Notifier
ExchangeSessions map[string]*ExchangeSession
}
func New(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader {
@ -58,8 +102,7 @@ func New(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader {
Exchange: exchange,
TradeService: tradeService,
TradeSync: &service.TradeSync{
Service: tradeService,
Exchange: exchange,
Service: tradeService,
},
}
}
@ -68,36 +111,67 @@ func (trader *Trader) AddNotifier(notifier Notifier) {
trader.Notifiers = append(trader.Notifiers, notifier)
}
func (trader *Trader) AddExchange(name string, exchange *binance.Exchange) {
trader.Exchanges[name] = exchange
func (trader *Trader) AddExchange(name string, exchange *binance.Exchange) (session *ExchangeSession) {
session = &ExchangeSession{
Name: name,
Exchange: exchange,
}
trader.ExchangeSessions[name] = session
return session
}
func (trader *Trader) Subscribe(exchange string, channel string, symbol string, options types.SubscribeOptions) {
trader.ExchangeSubscriptions[exchange] = append(trader.ExchangeSubscriptions[exchange], types.Subscription{
Channel: channel,
Symbol: symbol,
Options: options,
})
}
func (trader *Trader) Connect(ctx context.Context) (err error) {
log.Info("syncing trades from exchange...")
startTime := time.Now().AddDate(0, 0, -7) // sync from 7 days ago
func (trader *Trader) Connect(ctx context.Context) error {
for n, ex := range trader.Exchanges {
account, err := LoadAccount(ctx, ex)
for _, session := range trader.ExchangeSessions {
for symbol := range session.loadedSymbols {
if err := trader.TradeSync.Sync(ctx, session.Exchange, symbol, startTime); err != nil {
return err
}
var trades []types.Trade
tradingFeeCurrency := session.Exchange.PlatformFeeCurrency()
if strings.HasPrefix(symbol, tradingFeeCurrency) {
trades, err = trader.TradeService.QueryForTradingFeeCurrency(symbol, tradingFeeCurrency)
} else {
trades, err = trader.TradeService.Query(symbol)
}
if err != nil {
return err
}
log.Infof("symbol %s: %d trades loaded", symbol, len(trades))
session.Trades[symbol] = trades
stockManager := &StockManager{
Symbol: symbol,
TradingFeeCurrency: tradingFeeCurrency,
}
checkpoints, err := stockManager.AddTrades(trades)
if err != nil {
return err
}
log.Infof("symbol %s: found stock checkpoints: %+v", symbol, checkpoints)
}
session.Account, err = LoadAccount(ctx, session.Exchange)
if err != nil {
return err
}
trader.ExchangeAccounts[n] = account
stream, err := ex.NewPrivateStream()
session.Stream, err = session.Exchange.NewPrivateStream()
if err != nil {
return err
}
trader.ExchangeStreams[n] = stream
if err := stream.Connect(ctx); err != nil {
if err := session.Stream.Connect(ctx); err != nil {
return err
}
}
@ -106,11 +180,7 @@ func (trader *Trader) Connect(ctx context.Context) error {
}
func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error {
log.Info("syncing trades from exchange...")
if err := trader.TradeSync.Sync(ctx, trader.Symbol, startTime); err != nil {
return err
}
// query all trades from database so that we can get the correct pnl
var err error
var trades []types.Trade
tradingFeeCurrency := trader.Exchange.PlatformFeeCurrency()
@ -188,7 +258,7 @@ func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error
return nil
}
func (trader *Trader) RunStrategyWithHotReload(ctx context.Context, strategy Strategy, configFile string) (chan struct{}, error) {
func (trader *Trader) RunStrategyWithHotReload(ctx context.Context, strategy MarketStrategy, configFile string) (chan struct{}, error) {
var done = make(chan struct{})
var configWatcherDone = make(chan struct{})
@ -264,8 +334,8 @@ func (trader *Trader) RunStrategyWithHotReload(ctx context.Context, strategy Str
return done, nil
}
func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
if err := strategy.Load(trader.Context, trader); err != nil {
func (trader *Trader) RunStrategy(ctx context.Context, strategy MarketStrategy) (chan struct{}, error) {
if err := strategy.OnLoad(trader.Context, trader); err != nil {
return nil, err
}

2
bbgo/types/exchange.go
View File

@ -13,7 +13,9 @@ type Exchange interface {
QueryAccountBalances(ctx context.Context) (map[string]Balance, error)
QueryKLines(ctx context.Context, symbol string, interval string, options KLineQueryOptions) ([]KLine, error)
QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
BatchQueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)
SubmitOrder(ctx context.Context, order *SubmitOrder) error
}