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Merge pull request #634 from narumiruna/rebalance/place-limit-orders

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rebalance: place limit orders
This commit is contained in:
Yo-An Lin 2022-05-27 13:41:14 +08:00 committed by GitHub
commit dee8611310
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1 changed files with 29 additions and 3 deletions
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32
pkg/strategy/rebalance/strategy.go
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@ -35,6 +35,8 @@ type Strategy struct {
MaxAmount fixedpoint.Value `json:"maxAmount"`
currencies []string
activeOrderBooks map[string]*bbgo.LocalActiveOrderBook
}
func (s *Strategy) Initialize() error {
@ -79,13 +81,31 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.activeOrderBooks = make(map[string]*bbgo.LocalActiveOrderBook)
for _, symbol := range s.getSymbols() {
activeOrderBook := bbgo.NewLocalActiveOrderBook(symbol)
activeOrderBook.BindStream(session.UserDataStream)
s.activeOrderBooks[symbol] = activeOrderBook
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if kline.Symbol != s.currencies[0]+s.BaseCurrency {
return
}
s.rebalance(ctx, orderExecutor, session)
})
return nil
}
func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
for symbol, book := range s.activeOrderBooks {
err := orderExecutor.CancelOrders(ctx, book.Orders()...)
if err != nil {
log.WithError(err).Errorf("failed to cancel %s orders", symbol)
return
}
}
prices, err := s.getPrices(ctx, session)
if err != nil {
return
@ -104,11 +124,15 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
return
}
_, err = orderExecutor.SubmitOrders(ctx, orders...)
createdOrders, err := orderExecutor.SubmitOrders(ctx, orders...)
if err != nil {
log.WithError(err).Error("submit order error")
return
}
for _, createdOrder := range createdOrders {
s.activeOrderBooks[createdOrder.Symbol].Add(createdOrder)
}
}
func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession) (prices types.Float64Slice, err error) {
@ -198,8 +222,10 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice)
order := types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity}
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: fixedpoint.NewFromFloat(currentPrice),
}
submitOrders = append(submitOrders, order)
}