mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
refactor trade command
This commit is contained in:
parent
a90184a464
commit
ec839d0dc9
59
bbgo/account.go
Normal file
59
bbgo/account.go
Normal file
|
@ -0,0 +1,59 @@
|
|||
package bbgo
|
||||
|
||||
import (
|
||||
"context"
|
||||
"sync"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo/exchange/binance"
|
||||
"github.com/c9s/bbgo/pkg/bbgo/types"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
||||
log "github.com/sirupsen/logrus"
|
||||
)
|
||||
|
||||
type Account struct {
|
||||
mu sync.Mutex
|
||||
|
||||
Balances map[string]types.Balance
|
||||
}
|
||||
|
||||
func LoadAccount(ctx context.Context, exchange *binance.Exchange) (*Account, error) {
|
||||
balances, err := exchange.QueryAccountBalances(ctx)
|
||||
return &Account{
|
||||
Balances: balances,
|
||||
}, err
|
||||
}
|
||||
|
||||
func (a *Account) BindPrivateStream(stream *binance.PrivateStream) {
|
||||
stream.OnBalanceSnapshot(func(snapshot map[string]types.Balance) {
|
||||
a.mu.Lock()
|
||||
defer a.mu.Unlock()
|
||||
|
||||
for _, balance := range snapshot {
|
||||
a.Balances[balance.Currency] = balance
|
||||
}
|
||||
})
|
||||
|
||||
stream.OnOutboundAccountInfoEvent(func(e *binance.OutboundAccountInfoEvent) {
|
||||
|
||||
})
|
||||
|
||||
stream.OnBalanceUpdateEvent(func(e *binance.BalanceUpdateEvent) {
|
||||
a.mu.Lock()
|
||||
defer a.mu.Unlock()
|
||||
|
||||
delta := util.MustParseFloat(e.Delta)
|
||||
if balance, ok := a.Balances[e.Asset]; ok {
|
||||
balance.Available += delta
|
||||
a.Balances[e.Asset] = balance
|
||||
}
|
||||
})
|
||||
}
|
||||
|
||||
func (a *Account) Print() {
|
||||
for _, balance := range a.Balances {
|
||||
if util.NotZero(balance.Available) {
|
||||
log.Infof("[trader] balance %s %f", balance.Currency, balance.Available)
|
||||
}
|
||||
}
|
||||
}
|
|
@ -1,11 +1,12 @@
|
|||
package bbgo
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/bbgo/types"
|
||||
"sync"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo/types"
|
||||
)
|
||||
|
||||
type TradingContext struct {
|
||||
type Context struct {
|
||||
sync.Mutex
|
||||
|
||||
Symbol string
|
||||
|
@ -22,6 +23,6 @@ type TradingContext struct {
|
|||
StockManager *StockManager
|
||||
}
|
||||
|
||||
func (c *TradingContext) SetCurrentPrice(price float64) {
|
||||
func (c *Context) SetCurrentPrice(price float64) {
|
||||
c.CurrentPrice = price
|
||||
}
|
||||
|
|
|
@ -13,7 +13,7 @@ import (
|
|||
|
||||
type KLineRegressionTrader struct {
|
||||
// Context is trading Context
|
||||
Context *TradingContext
|
||||
Context *Context
|
||||
SourceKLines []types.KLine
|
||||
ProfitAndLossCalculator *ProfitAndLossCalculator
|
||||
|
||||
|
@ -39,7 +39,7 @@ func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy S
|
|||
done := make(chan struct{})
|
||||
defer close(done)
|
||||
|
||||
if err := strategy.Init(trader.Context, trader); err != nil {
|
||||
if err := strategy.Load(trader.Context, trader); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
|
|
|
@ -12,19 +12,19 @@ var Interval1h = Interval("1h")
|
|||
var Interval1d = Interval("1d")
|
||||
|
||||
type KLineStore struct {
|
||||
// MaxKLines stores the max change kline per interval
|
||||
MaxKLines map[Interval]types.KLine `json:"-"`
|
||||
// MaxChanges stores the max change kline per interval
|
||||
MaxChanges map[Interval]types.KLine `json:"-"`
|
||||
|
||||
// KLineWindows stores all loaded klines per interval
|
||||
KLineWindows map[Interval]types.KLineWindow `json:"-"`
|
||||
// Windows stores all loaded klines per interval
|
||||
Windows map[Interval]types.KLineWindow `json:"-"`
|
||||
}
|
||||
|
||||
func NewKLineStore() *KLineStore {
|
||||
return &KLineStore{
|
||||
MaxKLines: make(map[Interval]types.KLine),
|
||||
MaxChanges: make(map[Interval]types.KLine),
|
||||
|
||||
// KLineWindows stores all loaded klines per interval
|
||||
KLineWindows: make(map[Interval]types.KLineWindow),
|
||||
// Windows stores all loaded klines per interval
|
||||
Windows: make(map[Interval]types.KLineWindow),
|
||||
}
|
||||
}
|
||||
|
||||
|
@ -39,10 +39,10 @@ func (store *KLineStore) handleKLineClosed(kline *types.KLine) {
|
|||
func (store *KLineStore) AddKLine(kline types.KLine) {
|
||||
var interval = Interval(kline.Interval)
|
||||
|
||||
var window = store.KLineWindows[interval]
|
||||
var window = store.Windows[interval]
|
||||
window.Add(kline)
|
||||
|
||||
if kline.GetMaxChange() > store.MaxKLines[interval].GetMaxChange() {
|
||||
store.MaxKLines[interval] = kline
|
||||
if kline.GetMaxChange() > store.MaxChanges[interval].GetMaxChange() {
|
||||
store.MaxChanges[interval] = kline
|
||||
}
|
||||
}
|
||||
|
|
151
bbgo/trader.go
151
bbgo/trader.go
|
@ -2,27 +2,33 @@ package bbgo
|
|||
|
||||
import (
|
||||
"context"
|
||||
"fmt"
|
||||
"strings"
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo/service"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
||||
"github.com/jmoiron/sqlx"
|
||||
log "github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo/service"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo/exchange/binance"
|
||||
"github.com/c9s/bbgo/pkg/bbgo/types"
|
||||
)
|
||||
|
||||
type Strategy interface {
|
||||
Init(tradingContext *TradingContext, trader types.Trader) error
|
||||
Load(tradingContext *Context, trader types.Trader) error
|
||||
OnNewStream(stream *types.StandardPrivateStream) error
|
||||
}
|
||||
|
||||
type Trader struct {
|
||||
Symbol string
|
||||
TradeService *service.TradeService
|
||||
TradeSync *service.TradeSync
|
||||
|
||||
Notifier *SlackNotifier
|
||||
|
||||
// Context is trading Context
|
||||
Context *TradingContext
|
||||
Context *Context
|
||||
|
||||
Exchange *binance.Exchange
|
||||
|
||||
|
@ -30,25 +36,105 @@ type Trader struct {
|
|||
|
||||
ProfitAndLossCalculator *ProfitAndLossCalculator
|
||||
|
||||
TradeService *service.TradeService
|
||||
Account *Account
|
||||
}
|
||||
|
||||
func NewTrader(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader {
|
||||
tradeService := &service.TradeService{DB: db}
|
||||
tradeSync := &service.TradeSync{Service: tradeService, Exchange: exchange}
|
||||
return &Trader{
|
||||
Symbol: symbol,
|
||||
TradeService: tradeService,
|
||||
TradeSync: tradeSync,
|
||||
}
|
||||
}
|
||||
|
||||
func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error {
|
||||
|
||||
log.Info("syncing trades...")
|
||||
if err := trader.TradeSync.Sync(ctx, trader.Symbol, startTime); err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
var err error
|
||||
var trades []types.Trade
|
||||
tradingFeeCurrency := trader.Exchange.TradingFeeCurrency()
|
||||
if strings.HasPrefix(trader.Symbol, tradingFeeCurrency) {
|
||||
trades, err = trader.TradeService.QueryForTradingFeeCurrency(trader.Symbol, tradingFeeCurrency)
|
||||
} else {
|
||||
trades, err = trader.TradeService.Query(trader.Symbol)
|
||||
}
|
||||
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
log.Infof("%d trades loaded", len(trades))
|
||||
|
||||
stockManager := &StockManager{
|
||||
Symbol: trader.Symbol,
|
||||
TradingFeeCurrency: tradingFeeCurrency,
|
||||
}
|
||||
|
||||
checkpoints, err := stockManager.AddTrades(trades)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
log.Infof("found checkpoints: %+v", checkpoints)
|
||||
|
||||
market, ok := types.FindMarket(trader.Symbol)
|
||||
if !ok {
|
||||
return fmt.Errorf("%s market not found", trader.Symbol)
|
||||
}
|
||||
|
||||
currentPrice, err := trader.Exchange.QueryAveragePrice(ctx, trader.Symbol)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
trader.Context = &Context{
|
||||
CurrentPrice: currentPrice,
|
||||
Symbol: trader.Symbol,
|
||||
Market: market,
|
||||
StockManager: stockManager,
|
||||
}
|
||||
|
||||
/*
|
||||
if len(checkpoints) > 0 {
|
||||
// get the last checkpoint
|
||||
idx := checkpoints[len(checkpoints)-1]
|
||||
if idx < len(trades)-1 {
|
||||
trades = trades[idx:]
|
||||
firstTrade := trades[0]
|
||||
pnlStartTime = firstTrade.Time
|
||||
notifier.Notify("%s Found the latest trade checkpoint %s", firstTrade.Symbol, firstTrade.Time, firstTrade)
|
||||
}
|
||||
}
|
||||
*/
|
||||
|
||||
trader.ProfitAndLossCalculator = &ProfitAndLossCalculator{
|
||||
TradingFeeCurrency: tradingFeeCurrency,
|
||||
Symbol: trader.Symbol,
|
||||
StartTime: startTime,
|
||||
CurrentPrice: currentPrice,
|
||||
Trades: trades,
|
||||
}
|
||||
|
||||
account, err := LoadAccount(ctx, trader.Exchange)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
trader.Account = account
|
||||
trader.Context.Balances = account.Balances
|
||||
account.Print()
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
|
||||
symbol := trader.Context.Symbol
|
||||
|
||||
balances, err := trader.Exchange.QueryAccountBalances(ctx)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
trader.Context.Balances = balances
|
||||
for _, balance := range balances {
|
||||
if util.NotZero(balance.Available) {
|
||||
log.Infof("[trader] balance %s %f", balance.Currency, balance.Available)
|
||||
}
|
||||
}
|
||||
|
||||
if err := strategy.Init(trader.Context, trader); err != nil {
|
||||
if err := strategy.Load(trader.Context, trader); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
|
@ -61,6 +147,8 @@ func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan
|
|||
klineStore := NewKLineStore()
|
||||
klineStore.BindPrivateStream(&stream.StandardPrivateStream)
|
||||
|
||||
trader.Account.BindPrivateStream(stream)
|
||||
|
||||
if err := strategy.OnNewStream(&stream.StandardPrivateStream); err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
@ -70,7 +158,7 @@ func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan
|
|||
})
|
||||
|
||||
stream.OnTrade(func(trade *types.Trade) {
|
||||
if trade.Symbol != symbol {
|
||||
if trade.Symbol != trader.Symbol {
|
||||
return
|
||||
}
|
||||
|
||||
|
@ -99,25 +187,6 @@ func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan
|
|||
trader.Context.SetCurrentPrice(e.KLine.GetClose())
|
||||
})
|
||||
|
||||
stream.OnBalanceSnapshot(func(snapshot map[string]types.Balance) {
|
||||
trader.Context.Lock()
|
||||
defer trader.Context.Unlock()
|
||||
for _, balance := range snapshot {
|
||||
trader.Context.Balances[balance.Currency] = balance
|
||||
}
|
||||
})
|
||||
|
||||
// stream.OnOutboundAccountInfoEvent(func(e *binance.OutboundAccountInfoEvent) { })
|
||||
stream.OnBalanceUpdateEvent(func(e *binance.BalanceUpdateEvent) {
|
||||
trader.Context.Lock()
|
||||
defer trader.Context.Unlock()
|
||||
delta := util.MustParseFloat(e.Delta)
|
||||
if balance, ok := trader.Context.Balances[e.Asset]; ok {
|
||||
balance.Available += delta
|
||||
trader.Context.Balances[e.Asset] = balance
|
||||
}
|
||||
})
|
||||
|
||||
var eventC = make(chan interface{}, 20)
|
||||
if err := stream.Connect(ctx, eventC); err != nil {
|
||||
return nil, err
|
||||
|
|
Loading…
Reference in New Issue
Block a user