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support balance load and update
This commit is contained in:
parent
762f965130
commit
ef622b0c7c
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@ -1,8 +1,13 @@
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package bbgo
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import "github.com/c9s/bbgo/pkg/bbgo/types"
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import (
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"github.com/c9s/bbgo/pkg/bbgo/types"
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"sync"
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)
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type TradingContext struct {
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sync.Mutex
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Symbol string
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// Market is the market configuration of a symbol
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@ -11,6 +16,7 @@ type TradingContext struct {
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AverageBidPrice float64
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CurrentPrice float64
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Balances map[string]types.Balance
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ProfitAndLossCalculator *ProfitAndLossCalculator
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}
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@ -2,6 +2,7 @@ package bbgo
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import (
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"context"
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"github.com/c9s/bbgo/pkg/util"
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"time"
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log "github.com/sirupsen/logrus"
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@ -23,23 +24,35 @@ type Trader struct {
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type Strategy interface {
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Init(trader *Trader, stream *binance.PrivateStream) error
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Init(trader *Trader) error
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OnNewStream(stream *binance.PrivateStream) error
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}
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func (t *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
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symbol := t.Context.Symbol
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func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) {
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symbol := trader.Context.Symbol
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stream, err := t.Exchange.NewPrivateStream()
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balances, err := trader.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return nil, err
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}
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if err := strategy.Init(t, stream); err != nil {
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trader.Context.Balances = balances
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if err := strategy.Init(trader) ; err != nil {
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return nil, err
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}
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t.reportTimer = time.AfterFunc(1*time.Second, func() {
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t.ReportPnL()
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stream, err := trader.Exchange.NewPrivateStream()
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if err != nil {
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return nil, err
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}
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if err := strategy.OnNewStream(stream); err != nil {
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return nil, err
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}
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trader.reportTimer = time.AfterFunc(1*time.Second, func() {
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trader.ReportPnL()
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})
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stream.OnTrade(func(trade *types.Trade) {
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@ -47,20 +60,46 @@ func (t *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struc
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return
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}
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t.ReportTrade(trade)
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t.Context.ProfitAndLossCalculator.AddTrade(*trade)
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trader.ReportTrade(trade)
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trader.Context.ProfitAndLossCalculator.AddTrade(*trade)
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if t.reportTimer != nil {
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t.reportTimer.Stop()
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if trader.reportTimer != nil {
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trader.reportTimer.Stop()
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}
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t.reportTimer = time.AfterFunc(5*time.Second, func() {
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t.ReportPnL()
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trader.reportTimer = time.AfterFunc(5*time.Second, func() {
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trader.ReportPnL()
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})
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})
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stream.OnKLineEvent(func(e *binance.KLineEvent) {
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t.Context.SetCurrentPrice(e.KLine.GetClose())
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trader.Context.SetCurrentPrice(e.KLine.GetClose())
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})
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stream.OnOutboundAccountInfoEvent(func(e *binance.OutboundAccountInfoEvent) {
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trader.Context.Lock()
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defer trader.Context.Unlock()
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for _, balance := range e.Balances {
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available := util.MustParseFloat(balance.Free)
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locked := util.MustParseFloat(balance.Locked)
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trader.Context.Balances[balance.Asset] = types.Balance{
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Currency: balance.Asset,
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Available: available,
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Locked: locked,
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}
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}
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})
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stream.OnBalanceUpdateEvent(func(e *binance.BalanceUpdateEvent) {
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trader.Context.Lock()
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defer trader.Context.Unlock()
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delta := util.MustParseFloat(e.Delta)
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if balance, ok := trader.Context.Balances[e.Asset] ; ok {
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balance.Available += delta
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trader.Context.Balances[e.Asset] = balance
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}
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})
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var eventC = make(chan interface{}, 20)
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@ -90,24 +129,20 @@ func (t *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struc
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return done, nil
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}
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func (t *Trader) Infof(format string, args ...interface{}) {
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t.Notifier.Notify(format, args...)
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func (trader *Trader) ReportTrade(trade *types.Trade) {
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trader.Notifier.ReportTrade(trade)
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}
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func (t *Trader) ReportTrade(trade *types.Trade) {
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t.Notifier.ReportTrade(trade)
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}
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func (t *Trader) ReportPnL() {
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report := t.Context.ProfitAndLossCalculator.Calculate()
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func (trader *Trader) ReportPnL() {
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report := trader.Context.ProfitAndLossCalculator.Calculate()
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report.Print()
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t.Notifier.ReportPnL(report)
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trader.Notifier.ReportPnL(report)
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}
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func (t *Trader) SubmitOrder(ctx context.Context, order *types.Order) {
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t.Notifier.Notify(":memo: Submitting %s order on side %s with volume: %s", order.Type, order.Side, order.VolumeStr, order.SlackAttachment())
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func (trader *Trader) SubmitOrder(ctx context.Context, order *types.Order) {
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trader.Notifier.Notify(":memo: Submitting %s order on side %s with volume: %s", order.Type, order.Side, order.VolumeStr, order.SlackAttachment())
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err := t.Exchange.SubmitOrder(ctx, order)
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err := trader.Exchange.SubmitOrder(ctx, order)
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if err != nil {
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log.WithError(err).Errorf("order create error: side %s volume: %s", order.Side, order.VolumeStr)
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return
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