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c9s
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ee86a71ebb
158
pkg/bbgo/environment.go
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158
pkg/bbgo/environment.go
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@ -0,0 +1,158 @@
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package bbgo
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import (
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"context"
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"strings"
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"time"
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"github.com/jmoiron/sqlx"
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"github.com/sirupsen/logrus"
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Environment presents the real exchange data layer
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type Environment struct {
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TradeService *service.TradeService
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TradeSync *service.TradeSync
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sessions map[string]*ExchangeSession
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}
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func NewDefaultEnvironment(db *sqlx.DB) *Environment {
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environment := NewEnvironment(db)
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for _, n := range SupportedExchanges {
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if viper.IsSet(string(n) + "-api-key") {
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exchange, err := cmdutil.NewExchange(n)
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if err != nil {
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panic(err)
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}
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environment.AddExchange(string(n), exchange)
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}
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}
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return environment
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}
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func NewEnvironment(db *sqlx.DB) *Environment {
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tradeService := &service.TradeService{DB: db}
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return &Environment{
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TradeService: tradeService,
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TradeSync: &service.TradeSync{
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Service: tradeService,
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},
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sessions: make(map[string]*ExchangeSession),
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}
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}
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func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession) {
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session = &ExchangeSession{
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Name: name,
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Exchange: exchange,
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Subscriptions: make(map[types.Subscription]types.Subscription),
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Markets: make(map[string]types.Market),
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Trades: make(map[string][]types.Trade),
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LastPrices: make(map[string]float64),
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}
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environ.sessions[name] = session
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return session
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}
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func (environ *Environment) Init(ctx context.Context) (err error) {
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startTime := time.Now().AddDate(0, 0, -7) // sync from 7 days ago
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for _, session := range environ.sessions {
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loadedSymbols := make(map[string]struct{})
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for _, sub := range session.Subscriptions {
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loadedSymbols[sub.Symbol] = struct{}{}
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}
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markets, err := session.Exchange.QueryMarkets(ctx)
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if err != nil {
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return err
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}
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session.Markets = markets
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for symbol := range loadedSymbols {
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if err := environ.TradeSync.Sync(ctx, session.Exchange, symbol, startTime); err != nil {
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return err
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}
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var trades []types.Trade
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tradingFeeCurrency := session.Exchange.PlatformFeeCurrency()
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if strings.HasPrefix(symbol, tradingFeeCurrency) {
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trades, err = environ.TradeService.QueryForTradingFeeCurrency(symbol, tradingFeeCurrency)
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} else {
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trades, err = environ.TradeService.Query(symbol)
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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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logrus.Infof("symbol %s: %d trades loaded", symbol, len(trades))
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session.Trades[symbol] = trades
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currentPrice, err := session.Exchange.QueryAveragePrice(ctx, symbol)
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if err != nil {
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return err
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}
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session.LastPrices[symbol] = currentPrice
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}
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balances, err := session.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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stream := session.Exchange.NewStream()
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session.Stream = stream
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session.Account = &Account{balances: balances}
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session.Account.BindStream(session.Stream)
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marketDataStore := NewMarketDataStore()
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marketDataStore.BindStream(session.Stream)
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// update last prices
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session.Stream.OnKLineClosed(func(kline types.KLine) {
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session.LastPrices[kline.Symbol] = kline.Close
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})
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session.Stream.OnTrade(func(trade *types.Trade) {
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// append trades
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session.Trades[trade.Symbol] = append(session.Trades[trade.Symbol], *trade)
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if err := environ.TradeService.Insert(*trade); err != nil {
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logrus.WithError(err).Errorf("trade insert error: %+v", *trade)
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}
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})
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}
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return nil
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}
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func (environ *Environment) Connect(ctx context.Context) error {
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for _, session := range environ.sessions {
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for _, s := range session.Subscriptions {
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logrus.Infof("subscribing %s %s %v", s.Symbol, s.Channel, s.Options)
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session.Stream.Subscribe(s.Channel, s.Symbol, s.Options)
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}
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if err := session.Stream.Connect(ctx); err != nil {
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return err
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}
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}
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return nil
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}
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43
pkg/bbgo/session.go
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43
pkg/bbgo/session.go
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@ -0,0 +1,43 @@
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package bbgo
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import "github.com/c9s/bbgo/pkg/types"
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// ExchangeSession presents the exchange connection session
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// It also maintains and collects the data returned from the stream.
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type ExchangeSession struct {
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// Exchange session name
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Name string
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// The exchange account states
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Account *Account
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// Stream is the connection stream of the exchange
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Stream types.Stream
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Subscriptions map[types.Subscription]types.Subscription
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Exchange types.Exchange
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// Markets defines market configuration of a symbol
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Markets map[string]types.Market
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LastPrices map[string]float64
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// Trades collects the executed trades from the exchange
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// map: symbol -> []trade
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Trades map[string][]types.Trade
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MarketDataStore *MarketDataStore
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}
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// Subscribe save the subscription info, later it will be assigned to the stream
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func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession {
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sub := types.Subscription{
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Channel: channel,
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Symbol: symbol,
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Options: options,
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}
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session.Subscriptions[sub] = sub
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return session
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}
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@ -2,16 +2,10 @@ package bbgo
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import (
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"context"
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"strings"
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"time"
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"github.com/jmoiron/sqlx"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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_ "github.com/go-sql-driver/mysql"
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@ -37,187 +31,6 @@ type CrossExchangeStrategy interface {
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Run(ctx context.Context, orderExecutionRouter types.OrderExecutionRouter, sessions map[string]*ExchangeSession) error
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}
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// ExchangeSession presents the exchange connection session
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// It also maintains and collects the data returned from the stream.
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type ExchangeSession struct {
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// Exchange session name
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Name string
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// The exchange account states
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Account *Account
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// Stream is the connection stream of the exchange
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Stream types.Stream
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Subscriptions map[types.Subscription]types.Subscription
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Exchange types.Exchange
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// Markets defines market configuration of a symbol
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Markets map[string]types.Market
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LastPrices map[string]float64
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// Trades collects the executed trades from the exchange
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// map: symbol -> []trade
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Trades map[string][]types.Trade
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MarketDataStore *MarketDataStore
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}
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func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession {
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sub := types.Subscription{
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Channel: channel,
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Symbol: symbol,
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Options: options,
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}
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session.Subscriptions[sub] = sub
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return session
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}
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// Environment presents the real exchange data layer
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type Environment struct {
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TradeService *service.TradeService
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TradeSync *service.TradeSync
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sessions map[string]*ExchangeSession
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}
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func NewDefaultEnvironment(db *sqlx.DB) *Environment {
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environment := NewEnvironment(db)
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for _, n := range SupportedExchanges {
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if viper.IsSet(string(n) + "-api-key") {
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exchange, err := cmdutil.NewExchange(n)
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if err != nil {
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panic(err)
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}
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environment.AddExchange(string(n), exchange)
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}
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}
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return environment
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}
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func NewEnvironment(db *sqlx.DB) *Environment {
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tradeService := &service.TradeService{DB: db}
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return &Environment{
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TradeService: tradeService,
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TradeSync: &service.TradeSync{
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Service: tradeService,
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},
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sessions: make(map[string]*ExchangeSession),
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}
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}
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func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession) {
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session = &ExchangeSession{
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Name: name,
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Exchange: exchange,
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Subscriptions: make(map[types.Subscription]types.Subscription),
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Markets: make(map[string]types.Market),
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Trades: make(map[string][]types.Trade),
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LastPrices: make(map[string]float64),
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}
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environ.sessions[name] = session
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return session
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}
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func (environ *Environment) Init(ctx context.Context) (err error) {
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startTime := time.Now().AddDate(0, 0, -7) // sync from 7 days ago
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for _, session := range environ.sessions {
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loadedSymbols := make(map[string]struct{})
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for _, sub := range session.Subscriptions {
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loadedSymbols[sub.Symbol] = struct{}{}
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}
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markets, err := session.Exchange.QueryMarkets(ctx)
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if err != nil {
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return err
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}
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session.Markets = markets
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for symbol := range loadedSymbols {
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if err := environ.TradeSync.Sync(ctx, session.Exchange, symbol, startTime); err != nil {
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return err
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}
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var trades []types.Trade
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tradingFeeCurrency := session.Exchange.PlatformFeeCurrency()
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if strings.HasPrefix(symbol, tradingFeeCurrency) {
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trades, err = environ.TradeService.QueryForTradingFeeCurrency(symbol, tradingFeeCurrency)
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} else {
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trades, err = environ.TradeService.Query(symbol)
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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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log.Infof("symbol %s: %d trades loaded", symbol, len(trades))
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session.Trades[symbol] = trades
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currentPrice, err := session.Exchange.QueryAveragePrice(ctx, symbol)
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if err != nil {
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return err
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}
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session.LastPrices[symbol] = currentPrice
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}
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balances, err := session.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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stream := session.Exchange.NewStream()
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session.Stream = stream
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session.Account = &Account{balances: balances}
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session.Account.BindStream(session.Stream)
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marketDataStore := NewMarketDataStore()
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marketDataStore.BindStream(session.Stream)
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// update last prices
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session.Stream.OnKLineClosed(func(kline types.KLine) {
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session.LastPrices[kline.Symbol] = kline.Close
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})
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session.Stream.OnTrade(func(trade *types.Trade) {
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// append trades
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session.Trades[trade.Symbol] = append(session.Trades[trade.Symbol], *trade)
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if err := environ.TradeService.Insert(*trade); err != nil {
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log.WithError(err).Errorf("trade insert error: %+v", *trade)
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}
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})
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}
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return nil
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}
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func (environ *Environment) Connect(ctx context.Context) error {
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for _, session := range environ.sessions {
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for _, s := range session.Subscriptions {
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log.Infof("subscribing %s %s %v", s.Symbol, s.Channel, s.Options)
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session.Stream.Subscribe(s.Channel, s.Symbol, s.Options)
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}
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if err := session.Stream.Connect(ctx); err != nil {
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return err
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}
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}
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return nil
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}
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type Notifiability struct {
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notifiers []Notifier
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}
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@ -38,6 +38,8 @@ func (e *Exchange) Name() types.ExchangeName {
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}
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func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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log.Info("querying market info...")
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exchangeInfo, err := e.Client.NewExchangeInfoService().Do(ctx)
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if err != nil {
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return nil, err
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@ -35,6 +35,8 @@ func (e *Exchange) Name() types.ExchangeName {
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}
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func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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log.Info("querying market info...")
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remoteMarkets, err := e.client.PublicService.Markets()
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if err != nil {
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return nil, err
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