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https://github.com/c9s/bbgo.git
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bbgo: move orderbook to the session level so that we can access it eaiser
This commit is contained in:
c9s
parent
2614b25de3
commit
e23c459697
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@ -210,75 +210,6 @@ func (environ *Environment) AddExchangesByViperKeys() error {
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return nil
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}
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func InitExchangeSession(name string, session *ExchangeSession) error {
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var err error
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var exchangeName = session.ExchangeName
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var exchange types.Exchange
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if session.Key != "" && session.Secret != "" {
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if !session.PublicOnly {
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if len(session.Key) == 0 || len(session.Secret) == 0 {
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return fmt.Errorf("can not create exchange %s: empty key or secret", exchangeName)
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}
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}
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exchange, err = cmdutil.NewExchangeStandard(exchangeName, session.Key, session.Secret, "", session.SubAccount)
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} else {
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exchange, err = cmdutil.NewExchangeWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
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}
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if err != nil {
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return err
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}
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// configure exchange
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if session.Margin {
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marginExchange, ok := exchange.(types.MarginExchange)
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if !ok {
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return fmt.Errorf("exchange %s does not support margin", exchangeName)
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}
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if session.IsolatedMargin {
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marginExchange.UseIsolatedMargin(session.IsolatedMarginSymbol)
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} else {
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marginExchange.UseMargin()
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}
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}
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session.Name = name
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session.Notifiability = Notifiability{
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SymbolChannelRouter: NewPatternChannelRouter(nil),
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SessionChannelRouter: NewPatternChannelRouter(nil),
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ObjectChannelRouter: NewObjectChannelRouter(),
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}
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session.Exchange = exchange
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session.UserDataStream = exchange.NewStream()
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session.MarketDataStream = exchange.NewStream()
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session.MarketDataStream.SetPublicOnly()
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// pointer fields
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session.Subscriptions = make(map[types.Subscription]types.Subscription)
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session.Account = &types.Account{}
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session.Trades = make(map[string]*types.TradeSlice)
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session.markets = make(map[string]types.Market)
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session.lastPrices = make(map[string]float64)
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session.startPrices = make(map[string]float64)
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session.marketDataStores = make(map[string]*MarketDataStore)
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session.positions = make(map[string]*Position)
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session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
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session.orderStores = make(map[string]*OrderStore)
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session.OrderExecutor = &ExchangeOrderExecutor{
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// copy the notification system so that we can route
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Notifiability: session.Notifiability,
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Session: session,
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}
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session.usedSymbols = make(map[string]struct{})
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session.initializedSymbols = make(map[string]struct{})
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session.logger = log.WithField("session", name)
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return nil
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}
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func (environ *Environment) AddExchangesFromSessionConfig(sessions map[string]*ExchangeSession) error {
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for sessionName, session := range sessions {
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if err := InitExchangeSession(sessionName, session); err != nil {
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@ -11,18 +11,12 @@ type MarketDataStore struct {
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KLineWindows map[types.Interval]types.KLineWindow `json:"-"`
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kLineWindowUpdateCallbacks []func(interval types.Interval, kline types.KLineWindow)
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orderBook *types.StreamOrderBook
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orderBookUpdateCallbacks []func(orderBook *types.StreamOrderBook)
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}
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func NewMarketDataStore(symbol string) *MarketDataStore {
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return &MarketDataStore{
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Symbol: symbol,
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orderBook: types.NewStreamBook(symbol),
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// KLineWindows stores all loaded klines per interval
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KLineWindows: make(map[types.Interval]types.KLineWindow, len(types.SupportedIntervals)), // 12 interval, 1m,5m,15m,30m,1h,2h,4h,6h,12h,1d,3d,1w
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}
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@ -32,40 +26,14 @@ func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]types.K
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store.KLineWindows = windows
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}
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func (store *MarketDataStore) OrderBook() types.OrderBook {
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return store.orderBook.Copy()
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}
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// KLinesOfInterval returns the kline window of the given interval
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func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines types.KLineWindow, ok bool) {
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kLines, ok = store.KLineWindows[interval]
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return kLines, ok
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}
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func (store *MarketDataStore) handleOrderBookUpdate(book types.SliceOrderBook) {
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if book.Symbol != store.Symbol {
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return
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}
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store.orderBook.Update(book)
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store.EmitOrderBookUpdate(store.orderBook)
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}
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func (store *MarketDataStore) handleOrderBookSnapshot(book types.SliceOrderBook) {
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if book.Symbol != store.Symbol {
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return
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}
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store.orderBook.Load(book)
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}
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func (store *MarketDataStore) BindStream(stream types.Stream) {
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stream.OnKLineClosed(store.handleKLineClosed)
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stream.OnBookSnapshot(store.handleOrderBookSnapshot)
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stream.OnBookUpdate(store.handleOrderBookUpdate)
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store.orderBook.BindStream(stream)
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}
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func (store *MarketDataStore) handleKLineClosed(kline types.KLine) {
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@ -15,13 +15,3 @@ func (store *MarketDataStore) EmitKLineWindowUpdate(interval types.Interval, kli
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cb(interval, kline)
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}
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}
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func (store *MarketDataStore) OnOrderBookUpdate(cb func(orderBook *types.StreamOrderBook)) {
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store.orderBookUpdateCallbacks = append(store.orderBookUpdateCallbacks, cb)
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}
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func (store *MarketDataStore) EmitOrderBookUpdate(orderBook *types.StreamOrderBook) {
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for _, cb := range store.orderBookUpdateCallbacks {
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cb(orderBook)
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}
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}
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@ -6,6 +6,7 @@ import (
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"strings"
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"time"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/viper"
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@ -163,6 +164,9 @@ type ExchangeSession struct {
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// markets defines market configuration of a symbol
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markets map[string]types.Market
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// orderBooks stores the streaming order book
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orderBooks map[string]*types.StreamOrderBook
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// startPrices is used for backtest
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startPrices map[string]float64
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@ -205,6 +209,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
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Account: &types.Account{},
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Trades: make(map[string]*types.TradeSlice),
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orderBooks: make(map[string]*types.StreamOrderBook),
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markets: make(map[string]types.Market),
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startPrices: make(map[string]float64),
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lastPrices: make(map[string]float64),
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@ -378,27 +383,31 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
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session.standardIndicatorSets[symbol] = standardIndicatorSet
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// used kline intervals by the given symbol
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var usedKLineIntervals = map[types.Interval]struct{}{}
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var klineSubscriptions = map[types.Interval]struct{}{}
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// always subscribe the 1m kline so we can make sure the connection persists.
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usedKLineIntervals[types.Interval1m] = struct{}{}
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klineSubscriptions[types.Interval1m] = struct{}{}
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for _, sub := range session.Subscriptions {
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if sub.Channel != types.KLineChannel {
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continue
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}
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switch sub.Channel {
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case types.BookChannel:
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book := types.NewStreamBook(sub.Symbol)
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book.BindStream(session.MarketDataStream)
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session.orderBooks[sub.Symbol] = book
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if sub.Options.Interval == "" {
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continue
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}
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case types.KLineChannel:
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if sub.Options.Interval == "" {
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continue
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}
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if sub.Symbol == symbol {
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usedKLineIntervals[types.Interval(sub.Options.Interval)] = struct{}{}
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if sub.Symbol == symbol {
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klineSubscriptions[types.Interval(sub.Options.Interval)] = struct{}{}
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}
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}
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}
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var lastPriceTime time.Time
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for interval := range usedKLineIntervals {
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for interval := range klineSubscriptions {
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// avoid querying the last unclosed kline
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endTime := environ.startTime.Add(-interval.Duration())
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kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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@ -472,6 +481,12 @@ func (session *ExchangeSession) MarketDataStore(symbol string) (s *MarketDataSto
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return s, ok
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}
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// MarketDataStore returns the market data store of a symbol
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func (session *ExchangeSession) OrderBook(symbol string) (s *types.StreamOrderBook, ok bool) {
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s, ok = session.orderBooks[symbol]
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return s, ok
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}
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func (session *ExchangeSession) StartPrice(symbol string) (price float64, ok bool) {
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price, ok = session.startPrices[symbol]
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return price, ok
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@ -616,3 +631,73 @@ func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err err
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return symbols, nil
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}
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func InitExchangeSession(name string, session *ExchangeSession) error {
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var err error
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var exchangeName = session.ExchangeName
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var exchange types.Exchange
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if session.Key != "" && session.Secret != "" {
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if !session.PublicOnly {
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if len(session.Key) == 0 || len(session.Secret) == 0 {
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return fmt.Errorf("can not create exchange %s: empty key or secret", exchangeName)
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}
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}
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exchange, err = cmdutil.NewExchangeStandard(exchangeName, session.Key, session.Secret, "", session.SubAccount)
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} else {
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exchange, err = cmdutil.NewExchangeWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
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}
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if err != nil {
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return err
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}
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// configure exchange
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if session.Margin {
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marginExchange, ok := exchange.(types.MarginExchange)
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if !ok {
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return fmt.Errorf("exchange %s does not support margin", exchangeName)
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}
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if session.IsolatedMargin {
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marginExchange.UseIsolatedMargin(session.IsolatedMarginSymbol)
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} else {
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marginExchange.UseMargin()
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}
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}
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session.Name = name
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session.Notifiability = Notifiability{
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SymbolChannelRouter: NewPatternChannelRouter(nil),
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SessionChannelRouter: NewPatternChannelRouter(nil),
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ObjectChannelRouter: NewObjectChannelRouter(),
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}
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session.Exchange = exchange
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session.UserDataStream = exchange.NewStream()
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session.MarketDataStream = exchange.NewStream()
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session.MarketDataStream.SetPublicOnly()
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// pointer fields
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session.Subscriptions = make(map[types.Subscription]types.Subscription)
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session.Account = &types.Account{}
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session.Trades = make(map[string]*types.TradeSlice)
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session.orderBooks = make(map[string]*types.StreamOrderBook)
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session.markets = make(map[string]types.Market)
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session.lastPrices = make(map[string]float64)
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session.startPrices = make(map[string]float64)
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session.marketDataStores = make(map[string]*MarketDataStore)
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session.positions = make(map[string]*Position)
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session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
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session.orderStores = make(map[string]*OrderStore)
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session.OrderExecutor = &ExchangeOrderExecutor{
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// copy the notification system so that we can route
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Notifiability: session.Notifiability,
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Session: session,
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}
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session.usedSymbols = make(map[string]struct{})
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session.initializedSymbols = make(map[string]struct{})
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session.logger = log.WithField("session", name)
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return nil
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}
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