mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
all: move trade store and order store into pkg/core
This commit is contained in:
parent
1f98731636
commit
f1828beac8
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@ -9,6 +9,7 @@ import (
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -16,6 +17,7 @@ import (
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const CancelOrderWaitTime = 20 * time.Millisecond
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// ActiveOrderBook manages the local active order books.
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//
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//go:generate callbackgen -type ActiveOrderBook
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type ActiveOrderBook struct {
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Symbol string
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@ -209,7 +211,7 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
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continue
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}
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openOrderStore := NewOrderStore(symbol)
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openOrderStore := core.NewOrderStore(symbol)
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openOrderStore.Add(openOrders...)
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for _, o := range orders {
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// if it's not on the order book (open orders), we should remove it from our local side
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@ -10,6 +10,7 @@ import (
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log "github.com/sirupsen/logrus"
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"go.uber.org/multierr"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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@ -33,7 +34,7 @@ type GeneralOrderExecutor struct {
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strategyInstanceID string
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position *types.Position
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activeMakerOrders *ActiveOrderBook
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orderStore *OrderStore
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orderStore *core.OrderStore
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tradeCollector *TradeCollector
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logger log.FieldLogger
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@ -49,7 +50,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
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position.Strategy = strategy
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position.StrategyInstanceID = strategyInstanceID
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orderStore := NewOrderStore(symbol)
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orderStore := core.NewOrderStore(symbol)
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executor := &GeneralOrderExecutor{
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session: session,
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@ -121,7 +122,7 @@ func (e *GeneralOrderExecutor) marginAssetMaxBorrowableUpdater(ctx context.Conte
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}
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}
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func (e *GeneralOrderExecutor) OrderStore() *OrderStore {
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func (e *GeneralOrderExecutor) OrderStore() *core.OrderStore {
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return e.orderStore
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}
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@ -15,6 +15,7 @@ import (
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/pkg/cache"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/util/templateutil"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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@ -110,7 +111,7 @@ type ExchangeSession struct {
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// indicators is the v2 api indicators
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indicators map[string]*IndicatorSet
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orderStores map[string]*OrderStore
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orderStores map[string]*core.OrderStore
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usedSymbols map[string]struct{}
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initializedSymbols map[string]struct{}
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@ -140,7 +141,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
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marketDataStores: make(map[string]*MarketDataStore),
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standardIndicatorSets: make(map[string]*StandardIndicatorSet),
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indicators: make(map[string]*IndicatorSet),
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orderStores: make(map[string]*OrderStore),
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orderStores: make(map[string]*core.OrderStore),
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usedSymbols: make(map[string]struct{}),
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initializedSymbols: make(map[string]struct{}),
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logger: log.WithField("session", name),
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@ -398,7 +399,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
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position.BindStream(session.UserDataStream)
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session.positions[symbol] = position
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orderStore := NewOrderStore(symbol)
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orderStore := core.NewOrderStore(symbol)
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orderStore.AddOrderUpdate = true
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orderStore.BindStream(session.UserDataStream)
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@ -615,12 +616,12 @@ func (session *ExchangeSession) Markets() map[string]types.Market {
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return session.markets
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}
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func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool) {
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func (session *ExchangeSession) OrderStore(symbol string) (store *core.OrderStore, ok bool) {
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store, ok = session.orderStores[symbol]
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return store, ok
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}
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func (session *ExchangeSession) OrderStores() map[string]*OrderStore {
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func (session *ExchangeSession) OrderStores() map[string]*core.OrderStore {
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return session.orderStores
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}
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@ -809,7 +810,7 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
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session.positions = make(map[string]*types.Position)
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session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
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session.indicators = make(map[string]*IndicatorSet)
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session.orderStores = make(map[string]*OrderStore)
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session.orderStores = make(map[string]*core.OrderStore)
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session.OrderExecutor = &ExchangeOrderExecutor{
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// copy the notification system so that we can route
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Session: session,
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@ -7,6 +7,7 @@ import (
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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@ -17,10 +18,10 @@ type TradeCollector struct {
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Symbol string
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orderSig sigchan.Chan
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tradeStore *TradeStore
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tradeStore *core.TradeStore
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tradeC chan types.Trade
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position *types.Position
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orderStore *OrderStore
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orderStore *core.OrderStore
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doneTrades map[types.TradeKey]struct{}
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mu sync.Mutex
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@ -33,13 +34,13 @@ type TradeCollector struct {
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profitCallbacks []func(trade types.Trade, profit *types.Profit)
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}
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func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
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func NewTradeCollector(symbol string, position *types.Position, orderStore *core.OrderStore) *TradeCollector {
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return &TradeCollector{
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Symbol: symbol,
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orderSig: sigchan.New(1),
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tradeC: make(chan types.Trade, 100),
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tradeStore: NewTradeStore(),
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tradeStore: core.NewTradeStore(),
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doneTrades: make(map[types.TradeKey]struct{}),
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position: position,
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orderStore: orderStore,
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@ -47,7 +48,7 @@ func NewTradeCollector(symbol string, position *types.Position, orderStore *Orde
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}
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// OrderStore returns the order store used by the trade collector
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func (c *TradeCollector) OrderStore() *OrderStore {
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func (c *TradeCollector) OrderStore() *core.OrderStore {
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return c.orderStore
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}
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@ -56,7 +57,7 @@ func (c *TradeCollector) Position() *types.Position {
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return c.position
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}
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func (c *TradeCollector) TradeStore() *TradeStore {
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func (c *TradeCollector) TradeStore() *core.TradeStore {
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return c.tradeStore
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}
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@ -5,6 +5,7 @@ import (
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -12,7 +13,7 @@ import (
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func TestTradeCollector_ShouldNotCountDuplicatedTrade(t *testing.T) {
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symbol := "BTCUSDT"
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position := types.NewPosition(symbol, "BTC", "USDT")
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orderStore := NewOrderStore(symbol)
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orderStore := core.NewOrderStore(symbol)
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collector := NewTradeCollector(symbol, position, orderStore)
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assert.NotNil(t, collector)
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@ -10,6 +10,7 @@ import (
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log "github.com/sirupsen/logrus"
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"golang.org/x/time/rate"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -37,7 +38,7 @@ type TwapExecution struct {
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activePosition fixedpoint.Value
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activeMakerOrders *ActiveOrderBook
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orderStore *OrderStore
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orderStore *core.OrderStore
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position *types.Position
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executionCtx context.Context
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@ -406,7 +407,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
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QuoteCurrency: e.market.QuoteCurrency,
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}
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e.orderStore = NewOrderStore(e.Symbol)
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e.orderStore = core.NewOrderStore(e.Symbol)
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e.orderStore.BindStream(e.userDataStream)
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e.activeMakerOrders = NewActiveOrderBook(e.Symbol)
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e.activeMakerOrders.OnFilled(e.handleFilledOrder)
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@ -14,6 +14,7 @@ import (
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"github.com/google/uuid"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/util"
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@ -314,7 +315,7 @@ var BacktestCmd = &cobra.Command{
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for usedSymbol := range exSource.Session.Positions() {
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market, _ := exSource.Session.Market(usedSymbol)
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position := types.NewPositionFromMarket(market)
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orderStore := bbgo.NewOrderStore(usedSymbol)
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orderStore := core.NewOrderStore(usedSymbol)
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orderStore.AddOrderUpdate = true
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tradeCollector := bbgo.NewTradeCollector(usedSymbol, position, orderStore)
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@ -1,4 +1,4 @@
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package bbgo
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package core
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import (
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"sync"
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@ -1,4 +1,4 @@
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package bbgo
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package core
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import (
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"sync"
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@ -1,4 +1,4 @@
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package bbgo
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package core
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import (
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"testing"
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@ -8,6 +8,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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@ -71,7 +72,7 @@ type Strategy struct {
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profitOrders *bbgo.ActiveOrderBook
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orders *bbgo.OrderStore
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orders *core.OrderStore
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// boll is the BOLLINGER indicator we used for predicting the price.
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boll *indicator.BOLL
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@ -330,7 +331,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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Window: 21,
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}, 2.0)
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s.orders = bbgo.NewOrderStore(s.Symbol)
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s.orders = core.NewOrderStore(s.Symbol)
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s.orders.BindStream(session.UserDataStream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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@ -10,6 +10,7 @@ import (
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"gonum.org/v1/gonum/floats"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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floats2 "github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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@ -47,7 +48,7 @@ type Strategy struct {
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activeMakerOrders *bbgo.ActiveOrderBook
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// closePositionOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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orderStore *core.OrderStore
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tradeCollector *bbgo.TradeCollector
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session *bbgo.ExchangeSession
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@ -158,7 +159,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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// s.closePositionOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore = core.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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if s.Position == nil {
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@ -9,6 +9,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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@ -89,7 +90,7 @@ type Strategy struct {
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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// orderStore is used to store all the created orders, so that we can filter the trades.
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orderStore *bbgo.OrderStore
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orderStore *core.OrderStore
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// activeOrders is the locally maintained active order book of the maker orders.
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activeOrders *bbgo.ActiveOrderBook
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@ -562,7 +563,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bbgo.Notify("grid %s position", s.Symbol, s.State.Position)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore = core.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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@ -18,6 +18,7 @@ import (
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"go.uber.org/multierr"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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@ -186,7 +187,7 @@ type Strategy struct {
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orderQueryService types.ExchangeOrderQueryService
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orderExecutor OrderExecutor
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historicalTrades *bbgo.TradeStore
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historicalTrades *core.TradeStore
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logger *logrus.Entry
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@ -1858,7 +1859,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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}
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}
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s.historicalTrades = bbgo.NewTradeStore()
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s.historicalTrades = core.NewTradeStore()
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s.historicalTrades.EnablePrune = true
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s.historicalTrades.BindStream(session.UserDataStream)
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@ -11,7 +11,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
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"github.com/c9s/bbgo/pkg/types"
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@ -588,7 +588,7 @@ func newTestStrategy() *Strategy {
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UpperPrice: number(20_000),
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LowerPrice: number(10_000),
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GridNum: 11,
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historicalTrades: bbgo.NewTradeStore(),
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historicalTrades: core.NewTradeStore(),
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filledOrderIDMap: types.NewSyncOrderMap(),
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|
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@ -6,6 +6,7 @@ import (
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/pkg/errors"
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@ -65,7 +66,7 @@ type Strategy struct {
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activeAdjustmentOrders *bbgo.ActiveOrderBook
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activeWallOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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orderStore *core.OrderStore
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tradeCollector *bbgo.TradeCollector
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groupID uint32
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@ -273,7 +274,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.activeAdjustmentOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeAdjustmentOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore = core.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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@ -11,6 +11,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -50,7 +51,7 @@ type Strategy struct {
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sessions map[string]*bbgo.ExchangeSession
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orderBooks map[string]*bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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orderStore *core.OrderStore
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}
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func (s *Strategy) ID() string {
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@ -242,7 +243,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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s.sessions = make(map[string]*bbgo.ExchangeSession)
|
||||
s.orderBooks = make(map[string]*bbgo.ActiveOrderBook)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore("")
|
||||
s.orderStore = core.NewOrderStore("")
|
||||
|
||||
for _, sessionName := range s.PreferredSessions {
|
||||
session, ok := sessions[sessionName]
|
||||
|
|
|
@ -11,6 +11,7 @@ import (
|
|||
"golang.org/x/time/rate"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/core"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -103,7 +104,7 @@ type Strategy struct {
|
|||
hedgeErrorLimiter *rate.Limiter
|
||||
hedgeErrorRateReservation *rate.Reservation
|
||||
|
||||
orderStore *bbgo.OrderStore
|
||||
orderStore *core.OrderStore
|
||||
tradeCollector *bbgo.TradeCollector
|
||||
|
||||
askPriceHeartBeat, bidPriceHeartBeat types.PriceHeartBeat
|
||||
|
@ -732,7 +733,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
|
|||
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
||||
s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
|
||||
|
||||
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||
s.orderStore = core.NewOrderStore(s.Symbol)
|
||||
s.orderStore.BindStream(s.sourceSession.UserDataStream)
|
||||
s.orderStore.BindStream(s.makerSession.UserDataStream)
|
||||
|
||||
|
|
Loading…
Reference in New Issue
Block a user