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https://github.com/c9s/bbgo.git
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notify trades and update position
This commit is contained in:
parent
41daea9e05
commit
e5db780be8
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@ -56,6 +56,17 @@ func (s *TradeStore) Clear() {
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s.mu.Unlock()
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}
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func (s *TradeStore) GetAndClear() (trades []types.Trade) {
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s.mu.Lock()
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for _, o := range s.trades {
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trades = append(trades, o)
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}
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s.trades = make(map[int64]types.Trade)
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s.mu.Unlock()
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return trades
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}
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func (s *TradeStore) Add(trades ...types.Trade) {
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s.mu.Lock()
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defer s.mu.Unlock()
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@ -3,7 +3,9 @@ package support
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import (
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"context"
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"fmt"
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"sync"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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@ -13,12 +15,18 @@ import (
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const ID = "support"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type State struct {
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Position *bbgo.Position `json:"position,omitempty"`
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}
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type Target struct {
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ProfitPercentage float64 `json:"profitPercentage"`
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QuantityPercentage float64 `json:"quantityPercentage"`
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@ -27,6 +35,8 @@ type Target struct {
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type Strategy struct {
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*bbgo.Notifiability
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*bbgo.Persistence
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*bbgo.Graceful
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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@ -46,6 +56,7 @@ type Strategy struct {
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orderStore *bbgo.OrderStore
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tradeStore *bbgo.TradeStore
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tradeC chan types.Trade
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state *State
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}
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func (s *Strategy) ID() string {
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@ -85,6 +96,33 @@ func (s *Strategy) tradeCollector(ctx context.Context) {
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}
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}
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func (s *Strategy) SaveState() error {
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if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
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return err
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} else {
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log.Infof("state is saved => %+v", s.state)
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}
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return nil
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}
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func (s *Strategy) LoadState() error {
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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}
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return nil
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// buffer 100 trades in the channel
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s.tradeC = make(chan types.Trade, 100)
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@ -115,6 +153,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
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var ema = standardIndicatorSet.EWMA(iw)
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if err := s.LoadState(); err != nil {
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return err
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} else {
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s.Notify("%s state is restored => %+v", s.Symbol, s.state)
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}
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// init state
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if s.state.Position == nil {
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s.state.Position = &bbgo.Position{
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Symbol: s.Symbol,
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BaseCurrency: market.BaseCurrency,
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QuoteCurrency: market.QuoteCurrency,
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}
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}
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go s.tradeCollector(ctx)
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session.UserDataStream.OnTradeUpdate(s.handleTradeUpdate)
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@ -152,7 +205,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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closePrice.Float64(),
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ema.Last(),
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kline.Volume,
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s.MinVolume.Float64(), kline)
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s.MinVolume.Float64(),
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kline)
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var quantity fixedpoint.Value
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if s.Quantity > 0 {
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@ -221,6 +275,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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s.orderStore.Add(createdOrders...)
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trades := s.tradeStore.GetAndClear()
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for _, trade := range trades {
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if s.orderStore.Exists(trade.OrderID) {
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s.Notify(trade)
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s.state.Position.AddTrade(trade)
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}
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}
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s.Notify(s.state.Position)
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// submit target orders
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var targetOrders []types.SubmitOrder
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for _, target := range s.Targets {
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@ -255,5 +318,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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if err := s.SaveState(); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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} else {
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s.Notify("%s position is saved", s.Symbol, s.state.Position)
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}
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})
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return nil
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}
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