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add exechange order executor and pull out Notifiability
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parent
a91f851ac7
commit
f454136449
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@ -6,9 +6,9 @@ import (
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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/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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@ -17,11 +17,11 @@ import (
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// SingleExchangeStrategy represents the single Exchange strategy
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type SingleExchangeStrategy interface {
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Run(ctx context.Context, trader types.OrderExecutor, session *ExchangeSession) error
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Run(ctx context.Context, orderExecutor types.OrderExecutor, session *ExchangeSession) error
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}
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type CrossExchangeStrategy interface {
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Run(ctx context.Context, trader types.OrderExecutor, sessions map[string]*ExchangeSession) error
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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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@ -174,15 +174,31 @@ func (environ *Environment) Connect(ctx context.Context) error {
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return nil
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}
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type Trader struct {
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reportTimer *time.Timer
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ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
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type Notifiability struct {
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notifiers []Notifier
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}
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func (m *Notifiability) AddNotifier(notifier Notifier) {
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m.notifiers = append(m.notifiers, notifier)
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}
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func (m *Notifiability) Notify(msg string, args ...interface{}) {
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for _, n := range m.notifiers {
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n.Notify(msg, args...)
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}
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}
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type Trader struct {
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Notifiability
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environment *Environment
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crossExchangeStrategies []CrossExchangeStrategy
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exchangeStrategies map[string][]SingleExchangeStrategy
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// reportTimer *time.Timer
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// ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
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}
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func NewTrader(environ *Environment) *Trader {
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@ -192,10 +208,6 @@ func NewTrader(environ *Environment) *Trader {
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}
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}
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func (trader *Trader) AddNotifier(notifier Notifier) {
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trader.notifiers = append(trader.notifiers, notifier)
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}
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// AttachStrategy attaches the single exchange strategy on an exchange session.
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// Single exchange strategy is the default behavior.
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func (trader *Trader) AttachStrategy(session string, strategy SingleExchangeStrategy) {
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@ -219,16 +231,29 @@ func (trader *Trader) Run(ctx context.Context) error {
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// load and run session strategies
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for session, strategies := range trader.exchangeStrategies {
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// we can move this to the exchange session,
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// that way we can mount the notification on the exchange with DSL
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orderExecutor := &ExchangeOrderExecutor{
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Notifiability: trader.Notifiability,
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Exchange: nil,
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}
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for _, strategy := range strategies {
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err := strategy.Run(ctx, trader, trader.environment.sessions[session])
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err := strategy.Run(ctx, orderExecutor, trader.environment.sessions[session])
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if err != nil {
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return err
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}
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}
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}
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router := &ExchangeOrderExecutionRouter{
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// copy the parent notifiers
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Notifiability: trader.Notifiability,
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sessions: trader.environment.sessions,
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}
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for _, strategy := range trader.crossExchangeStrategies {
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if err := strategy.Run(ctx, trader, trader.environment.sessions); err != nil {
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if err := strategy.Run(ctx, router, trader.environment.sessions); err != nil {
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return err
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}
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}
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@ -339,17 +364,21 @@ func (trader *OrderExecutor) RunStrategy(ctx context.Context, strategy SingleExc
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}
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*/
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/*
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func (trader *Trader) reportPnL() {
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report := trader.ProfitAndLossCalculator.Calculate()
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report.Print()
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trader.NotifyPnL(report)
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}
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*/
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/*
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func (trader *Trader) NotifyPnL(report *accounting.ProfitAndLossReport) {
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for _, n := range trader.notifiers {
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n.NotifyPnL(report)
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}
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}
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*/
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func (trader *Trader) NotifyTrade(trade *types.Trade) {
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for _, n := range trader.notifiers {
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@ -357,12 +386,6 @@ func (trader *Trader) NotifyTrade(trade *types.Trade) {
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}
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}
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func (trader *Trader) Notify(msg string, args ...interface{}) {
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for _, n := range trader.notifiers {
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n.Notify(msg, args...)
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}
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}
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func (trader *Trader) SubmitOrder(ctx context.Context, order types.SubmitOrder) {
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trader.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)
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@ -384,3 +407,39 @@ func (trader *Trader) SubmitOrder(ctx context.Context, order types.SubmitOrder)
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return
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}
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}
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type ExchangeOrderExecutionRouter struct {
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Notifiability
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sessions map[string]*ExchangeSession
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}
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func (e *ExchangeOrderExecutionRouter) SubmitOrderTo(ctx context.Context, session string, order types.SubmitOrder) error {
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es, ok := e.sessions[session]
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if !ok {
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return errors.Errorf("exchange session %s not found", session)
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}
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e.Notify(":memo: Submitting order to %s %s %s %s with quantity: %s", session, order.Symbol, order.Type, order.Side, order.QuantityString, order)
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order.PriceString = order.Market.FormatVolume(order.Price)
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order.QuantityString = order.Market.FormatVolume(order.Quantity)
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return es.Exchange.SubmitOrder(ctx, order)
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}
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// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
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type ExchangeOrderExecutor struct {
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Notifiability
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Exchange types.Exchange
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}
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func (e *ExchangeOrderExecutor) SubmitOrder(ctx context.Context, order types.SubmitOrder) error {
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e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)
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order.PriceString = order.Market.FormatVolume(order.Price)
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order.QuantityString = order.Market.FormatVolume(order.Quantity)
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return e.Exchange.SubmitOrder(ctx, order)
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}
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@ -3,5 +3,10 @@ package types
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import "context"
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type OrderExecutor interface {
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SubmitOrder(ctx context.Context, order SubmitOrder)
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SubmitOrder(ctx context.Context, order SubmitOrder) error
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}
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type OrderExecutionRouter interface {
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// SubmitOrderTo submit order to a specific exchange session
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SubmitOrderTo(ctx context.Context, session string, order SubmitOrder) error
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}
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