Merge pull request #1629 from c9s/kbearXD/dca2/refactor

REFACTOR: [dca2] refactor dca2 strategy to make it can back testing

pkg/strategy/dca2/dev_mode.go

@@ -1,7 +0,0 @@
-package dca2
-
-// DevMode, if Enabled is true. it means it will check the running field
-type DevMode struct {
-	Enabled      bool `json:"enabled"`
-	IsNewAccount bool `json:"isNewAccount"`
-}

pkg/strategy/dca2/open_position.go

@@ -4,7 +4,6 @@ import (
 	"context"
 	"fmt"
 
-	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
@@ -33,21 +32,6 @@ func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
 
 	s.debugOrders(createdOrders)
 
-	if s.DevMode != nil && s.DevMode.Enabled && s.DevMode.IsNewAccount {
-		if len(createdOrders) > 0 {
-			s.ProfitStats.FromOrderID = createdOrders[0].OrderID
-		}
-
-		for _, createdOrder := range createdOrders {
-			if s.ProfitStats.FromOrderID > createdOrder.OrderID {
-				s.ProfitStats.FromOrderID = createdOrder.OrderID
-			}
-		}
-
-		s.DevMode.IsNewAccount = false
-		bbgo.Sync(ctx, s)
-	}
-
 	return nil
 }
 

pkg/strategy/dca2/state.go

@@ -74,7 +74,7 @@ func (s *Strategy) emitNextState(nextState State) {
 // TakeProfitReady -> the takeProfit order filled ->
 func (s *Strategy) runState(ctx context.Context) {
 	s.logger.Info("[DCA] runState")
-	stateTriggerTicker := time.NewTicker(5 * time.Second)
+	stateTriggerTicker := time.NewTicker(1 * time.Minute)
 	defer stateTriggerTicker.Stop()
 
 	for {
@@ -83,7 +83,7 @@ func (s *Strategy) runState(ctx context.Context) {
 			s.logger.Info("[DCA] runState DONE")
 			return
 		case <-stateTriggerTicker.C:
-			// s.logger.Infof("[DCA] triggerNextState current state: %d", s.state)
+			// move triggerNextState to the end of next state handler, this ticker is used to avoid the state is stopped unexpectedly
 			s.triggerNextState()
 		case nextState := <-s.nextStateC:
 			// next state == current state -> skip
@@ -120,6 +120,8 @@ func (s *Strategy) runState(ctx context.Context) {
 			case TakeProfitReady:
 				s.runTakeProfitReady(ctx, nextState)
 			}
+
+			s.triggerNextState()
 		}
 	}
 }
@@ -178,9 +180,6 @@ func (s *Strategy) runOpenPositionReady(_ context.Context, next State) {
 func (s *Strategy) runOpenPositionOrderFilled(_ context.Context, next State) {
 	s.updateState(OpenPositionOrdersCancelling)
 	s.logger.Info("[State] OpenPositionOrderFilled -> OpenPositionOrdersCancelling")
-
-	// after open position cancelling, immediately trigger open position cancelled to cancel the other orders
-	s.emitNextState(OpenPositionOrdersCancelled)
 }
 
 func (s *Strategy) runOpenPositionOrdersCancelling(ctx context.Context, next State) {
@@ -191,9 +190,6 @@ func (s *Strategy) runOpenPositionOrdersCancelling(ctx context.Context, next Sta
 	}
 	s.updateState(OpenPositionOrdersCancelled)
 	s.logger.Info("[State] OpenPositionOrdersCancelling -> OpenPositionOrdersCancelled")
-
-	// after open position cancelled, immediately trigger take profit ready to open take-profit order
-	s.emitNextState(TakeProfitReady)
 }
 
 func (s *Strategy) runOpenPositionOrdersCancelled(ctx context.Context, next State) {

pkg/strategy/dca2/strategy.go

@@ -79,9 +79,6 @@ type Strategy struct {
 	// UseCancelAllOrdersApiWhenClose uses a different API to cancel all the orders on the market when closing a grid
 	UseCancelAllOrdersApiWhenClose bool `json:"useCancelAllOrdersApiWhenClose"`
 
-	// dev mode
-	DevMode *DevMode `json:"devMode"`
-
 	// log
 	logger    *logrus.Entry
 	LogFields logrus.Fields `json:"logFields"`
@@ -179,12 +176,6 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 		s.Position = types.NewPositionFromMarket(s.Market)
 	}
 
-	// if dev mode is on and it's not a new strategy
-	if s.DevMode != nil && s.DevMode.Enabled && !s.DevMode.IsNewAccount {
-		s.ProfitStats = newProfitStats(s.Market, s.QuoteInvestment)
-		s.Position = types.NewPositionFromMarket(s.Market)
-	}
-
 	// set ttl for persistence
 	s.Position.SetTTL(s.PersistenceTTL.Duration())
 	s.ProfitStats.SetTTL(s.PersistenceTTL.Duration())
@@ -219,7 +210,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	}
 
 	s.OrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
-	s.OrderExecutor.SetMaxRetries(10)
+	s.OrderExecutor.SetMaxRetries(50)
 	s.OrderExecutor.BindEnvironment(s.Environment)
 	s.OrderExecutor.Bind()
 
@@ -271,23 +262,23 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	})
 
 	session.MarketDataStream.OnKLine(func(kline types.KLine) {
-		// check price here
-		if s.state != OpenPositionOrderFilled {
+		switch s.state {
+		case OpenPositionOrderFilled:
+			if s.takeProfitPrice.IsZero() {
+				s.logger.Warn("take profit price should not be 0 when there is at least one open-position order filled, please check it")
+				return
+			}
+
+			compRes := kline.Close.Compare(s.takeProfitPrice)
+			// price doesn't hit the take profit price
+			if compRes < 0 {
+				return
+			}
+
+			s.emitNextState(OpenPositionOrdersCancelling)
+		default:
 			return
 		}
-
-		if s.takeProfitPrice.IsZero() {
-			s.logger.Warn("take profit price should not be 0 when there is at least one open-position order filled, please check it")
-			return
-		}
-
-		compRes := kline.Close.Compare(s.takeProfitPrice)
-		// price doesn't hit the take profit price
-		if compRes < 0 {
-			return
-		}
-
-		s.emitNextState(OpenPositionOrdersCancelling)
 	})
 
 	session.UserDataStream.OnAuth(func() {
@@ -298,7 +289,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 				// no need to recover when two situation
 				// 1. recoverWhenStart is false
 				// 2. dev mode is on and it's not new strategy
-				if !s.RecoverWhenStart || (s.DevMode != nil && s.DevMode.Enabled && !s.DevMode.IsNewAccount) {
+				if !s.RecoverWhenStart {
 					s.updateState(WaitToOpenPosition)
 				} else {
 					// recover
@@ -343,6 +334,11 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 				// start to sync periodically
 				go s.syncPeriodically(ctx)
 
+				// try to trigger position opening immediately
+				if s.state == WaitToOpenPosition {
+					s.emitNextState(PositionOpening)
+				}
+
 				// start running state machine
 				s.runState(ctx)
 			}