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add exechange order executor and pull out Notifiability

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This commit is contained in:
c9s 2020-10-14 10:06:15 +08:00
parent a91f851ac7
commit f454136449
2 changed files with 83 additions and 19 deletions
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95
pkg/bbgo/trader.go
View File

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

7
pkg/types/trader.go
View File

@ -3,5 +3,10 @@ package types
import "context"
type OrderExecutor interface {
SubmitOrder(ctx context.Context, order SubmitOrder)
SubmitOrder(ctx context.Context, order SubmitOrder) error
}
type OrderExecutionRouter interface {
// SubmitOrderTo submit order to a specific exchange session
SubmitOrderTo(ctx context.Context, session string, order SubmitOrder) error
}