mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
more trader refactoring
This commit is contained in:
parent
c329f6dc86
commit
f6a1c20cfe
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@ -1,10 +1,12 @@
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package bbgo
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import "github.com/c9s/bbgo/pkg/bbgo/types"
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type TradingContext struct {
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Symbol string
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// Market is the market configuration of a symbol
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Market Market
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Market types.Market
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AverageBidPrice float64
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CurrentPrice float64
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@ -1,61 +1,2 @@
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package bbgo
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import (
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"math"
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"strconv"
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)
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type Market struct {
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Symbol string
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PricePrecision int
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VolumePrecision int
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QuoteCurrency string
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BaseCurrency string
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MinQuantity float64
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MinAmount float64
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}
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func (m Market) FormatPrice(val float64) string {
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return strconv.FormatFloat(val, 'f', m.PricePrecision, 64)
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}
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func (m Market) FormatVolume(val float64) string {
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return strconv.FormatFloat(val, 'f', m.VolumePrecision, 64)
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}
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func (m Market) CanonicalizeVolume(val float64) float64 {
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p := math.Pow10(m.VolumePrecision)
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return math.Trunc(p * val) / p
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}
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// Binance Markets, this should be defined per exchange
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var MarketBTCUSDT = Market{
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Symbol: "BTCUSDT",
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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PricePrecision: 2,
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VolumePrecision: 6,
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MinQuantity: 0.00000100,
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MinAmount: 10.0,
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}
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var MarketBNBUSDT = Market{
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Symbol: "BNBUSDT",
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BaseCurrency: "BNB",
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QuoteCurrency: "USDT",
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PricePrecision: 4,
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VolumePrecision: 2,
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MinQuantity: 0.01,
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MinAmount: 10.0,
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}
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var Markets = map[string]Market{
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"BNBUSDT": MarketBNBUSDT,
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"BTCUSDT": MarketBTCUSDT,
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}
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func FindMarket(symbol string) (m Market, ok bool) {
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m, ok = Markets[symbol]
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return m, ok
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}
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39
bbgo/pnl.go
39
bbgo/pnl.go
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@ -1,8 +1,11 @@
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package bbgo
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import (
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types2 "github.com/c9s/bbgo/pkg/bbgo/types"
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"github.com/c9s/bbgo/pkg/bbgo/types"
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"github.com/c9s/bbgo/pkg/slack/slackstyle"
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log "github.com/sirupsen/logrus"
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"github.com/slack-go/slack"
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"strconv"
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"strings"
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"time"
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)
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@ -11,12 +14,12 @@ type ProfitAndLossCalculator struct {
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Symbol string
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StartTime time.Time
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CurrentPrice float64
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Trades []types2.Trade
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Trades []types.Trade
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CurrencyPrice map[string]float64
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}
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func (c *ProfitAndLossCalculator) AddTrade(trade types2.Trade) {
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func (c *ProfitAndLossCalculator) AddTrade(trade types.Trade) {
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c.Trades = append(c.Trades, trade)
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}
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@ -129,3 +132,33 @@ func (report ProfitAndLossReport) Print() {
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log.Infof("overall profit: %s", USD.FormatMoneyFloat64(report.Profit))
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}
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func (report ProfitAndLossReport) SlackAttachment() slack.Attachment {
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var color = ""
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if report.Profit > 0 {
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color = slackstyle.Green
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} else {
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color = slackstyle.Red
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}
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market, ok := types.FindMarket(report.Symbol)
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if !ok {
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return slack.Attachment{}
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}
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return slack.Attachment{
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Title: "Profit and Loss report of " + report.Symbol,
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Color: color,
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// Pretext: "",
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// Text: "",
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Fields: []slack.AttachmentField{
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{Title: "Symbol", Value: report.Symbol, Short: true,},
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{Title: "Profit", Value: USD.FormatMoney(report.Profit), Short: true,},
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{Title: "Current Price", Value: USD.FormatMoney(report.CurrentPrice), Short: true,},
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{Title: "Average Bid Price", Value: USD.FormatMoney(report.AverageBidPrice), Short: true,},
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{Title: "Current Stock", Value: market.FormatVolume(report.Stock), Short: true,},
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{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true,},
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},
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Footer: report.StartTime.Format(time.RFC822),
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FooterIcon: "",
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}
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}
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142
bbgo/trader.go
142
bbgo/trader.go
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@ -3,7 +3,6 @@ package bbgo
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import (
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"context"
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"fmt"
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"strconv"
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"time"
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"github.com/leekchan/accounting"
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@ -19,6 +18,88 @@ import (
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var USD = accounting.Accounting{Symbol: "$ ", Precision: 2}
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var BTC = accounting.Accounting{Symbol: "BTC ", Precision: 8}
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type SlackReporter struct {
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Slack *slack.Client
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TradingChannel string
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ErrorChannel string
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InfoChannel string
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}
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func (t *SlackReporter) Infof(format string, args ...interface{}) {
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var slackAttachments []slack.Attachment = nil
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var slackArgsStartIdx = -1
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for idx, arg := range args {
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switch a := arg.(type) {
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// concrete type assert first
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case slack.Attachment:
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if slackArgsStartIdx == -1 {
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slackArgsStartIdx = idx
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}
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slackAttachments = append(slackAttachments, a)
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case slackstyle.SlackAttachmentCreator:
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if slackArgsStartIdx == -1 {
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slackArgsStartIdx = idx
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}
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slackAttachments = append(slackAttachments, a.SlackAttachment())
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}
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}
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var nonSlackArgs = []interface{}{}
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if slackArgsStartIdx > 0 {
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nonSlackArgs = args[:slackArgsStartIdx]
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}
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log.Infof(format, nonSlackArgs...)
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_, _, err := t.Slack.PostMessageContext(context.Background(), t.InfoChannel,
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slack.MsgOptionText(fmt.Sprintf(format, nonSlackArgs...), true),
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slack.MsgOptionAttachments(slackAttachments...))
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if err != nil {
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log.WithError(err).Errorf("slack error: %s", err.Error())
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}
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}
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func (t *SlackReporter) Errorf(err error, format string, args ...interface{}) {
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log.WithError(err).Errorf(format, args...)
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_, _, err2 := t.Slack.PostMessageContext(context.Background(), t.ErrorChannel,
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slack.MsgOptionText("ERROR: "+err.Error()+" "+fmt.Sprintf(format, args...), true))
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if err2 != nil {
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log.WithError(err2).Error("slack error:", err2)
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}
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}
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func (t *SlackReporter) ReportTrade(trade *types.Trade) {
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_, _, err := t.Slack.PostMessageContext(context.Background(), t.TradingChannel,
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slack.MsgOptionText(util.Render(`:handshake: trade execution @ {{ .Price }}`, trade), true),
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slack.MsgOptionAttachments(trade.SlackAttachment()))
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if err != nil {
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t.Errorf(err, "slack send error")
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}
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}
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func (t *SlackReporter) ReportPnL(report *ProfitAndLossReport) {
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attachment := report.SlackAttachment()
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_, _, err := t.Slack.PostMessageContext(context.Background(), t.TradingChannel,
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slack.MsgOptionText(util.Render(
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`:heavy_dollar_sign: Here is your *{{ .symbol }}* PnL report collected since *{{ .startTime }}*`,
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map[string]interface{}{
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"symbol": report.Symbol,
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"startTime": report.StartTime.Format(time.RFC822),
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}), true),
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slack.MsgOptionAttachments(attachment))
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if err != nil {
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t.Errorf(err, "slack send error")
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}
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}
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type Trader struct {
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// Context is trading Context
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Context *TradingContext
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@ -87,7 +168,7 @@ func (t *Trader) ReportTrade(trade *types.Trade) {
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}
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_, _, err := t.Slack.PostMessageContext(context.Background(), t.TradingChannel,
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slack.MsgOptionText(util.Render(`:handshake: trade execution`, trade), true),
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slack.MsgOptionText(util.Render(`:handshake: Trade execution @ {{ .Price }}`, trade), true),
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slack.MsgOptionAttachments(slack.Attachment{
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Title: "New Trade",
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Color: color,
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}))
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if err != nil {
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t.Errorf(err, "Slack send error")
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t.Errorf(err, "slack send error")
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}
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}
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func (t *Trader) ReportPnL() {
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tradingCtx := t.Context
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report := tradingCtx.ProfitAndLossCalculator.Calculate()
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report := t.Context.ProfitAndLossCalculator.Calculate()
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report.Print()
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var color = ""
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if report.Profit > 0 {
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color = slackstyle.Green
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} else {
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color = slackstyle.Red
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}
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attachment := report.SlackAttachment()
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_, _, err := t.Slack.PostMessageContext(context.Background(), t.TradingChannel,
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slack.MsgOptionText(util.Render(
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`:heavy_dollar_sign: Here is your *{{ .symbol }}* PnL report collected since *{{ .startTime }}*`,
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map[string]interface{}{
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"symbol": tradingCtx.Symbol,
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"symbol": report.Symbol,
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"startTime": report.StartTime.Format(time.RFC822),
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}), true),
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slack.MsgOptionAttachments(slack.Attachment{
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Title: "Profit and Loss report",
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Color: color,
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// Pretext: "",
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// Text: "",
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Fields: []slack.AttachmentField{
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{
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Title: "Symbol",
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Value: tradingCtx.Symbol,
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Short: true,
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},
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{
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Title: "Profit",
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Value: USD.FormatMoney(report.Profit),
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Short: true,
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},
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{
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Title: "Current Price",
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Value: USD.FormatMoney(report.CurrentPrice),
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Short: true,
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},
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{
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Title: "Average Bid Price",
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Value: USD.FormatMoney(report.AverageBidPrice),
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Short: true,
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},
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{
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Title: "Current Stock",
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Value: tradingCtx.Market.FormatVolume(report.Stock),
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Short: true,
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},
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{
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Title: "Number of Trades",
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Value: strconv.Itoa(report.NumTrades),
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Short: true,
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},
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},
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Footer: report.StartTime.Format(time.RFC822),
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FooterIcon: "",
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}))
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slack.MsgOptionAttachments(attachment))
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if err != nil {
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t.Errorf(err, "Slack send error")
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t.Errorf(err, "slack send error")
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}
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}
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59
bbgo/types/market.go
Normal file
59
bbgo/types/market.go
Normal file
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package types
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import (
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"math"
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"strconv"
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)
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type Market struct {
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Symbol string
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PricePrecision int
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VolumePrecision int
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QuoteCurrency string
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BaseCurrency string
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MinQuantity float64
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MinAmount float64
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}
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func (m Market) FormatPrice(val float64) string {
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return strconv.FormatFloat(val, 'f', m.PricePrecision, 64)
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}
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func (m Market) FormatVolume(val float64) string {
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return strconv.FormatFloat(val, 'f', m.VolumePrecision, 64)
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}
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func (m Market) CanonicalizeVolume(val float64) float64 {
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p := math.Pow10(m.VolumePrecision)
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return math.Trunc(p*val) / p
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}
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var MarketBTCUSDT = Market{
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Symbol: "BTCUSDT",
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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PricePrecision: 2,
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VolumePrecision: 6,
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MinQuantity: 0.00000100,
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MinAmount: 10.0,
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}
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var MarketBNBUSDT = Market{
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Symbol: "BNBUSDT",
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BaseCurrency: "BNB",
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QuoteCurrency: "USDT",
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PricePrecision: 4,
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VolumePrecision: 2,
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MinQuantity: 0.01,
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MinAmount: 10.0,
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}
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var Markets = map[string]Market{
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"BNBUSDT": MarketBNBUSDT,
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"BTCUSDT": MarketBTCUSDT,
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}
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func FindMarket(symbol string) (m Market, ok bool) {
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m, ok = Markets[symbol]
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return m, ok
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}
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@ -1,6 +1,9 @@
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package types
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import "time"
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import (
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"github.com/slack-go/slack"
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"time"
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)
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type Trade struct {
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ID int64
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@ -14,3 +17,35 @@ type Trade struct {
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Fee float64
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FeeCurrency string
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}
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func (trade Trade) SlackAttachment() slack.Attachment {
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var color = ""
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if trade.IsBuyer {
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color = "#228B22"
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} else {
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color = "#DC143C"
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}
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market, ok := FindMarket(trade.Symbol)
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if !ok {
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return slack.Attachment{
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Title: "New Trade",
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Color: color,
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}
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}
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return slack.Attachment{
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Title: "New Trade",
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Color: color,
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// Pretext: "",
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// Text: "",
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Fields: []slack.AttachmentField{
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{Title: "Symbol", Value: trade.Symbol, Short: true,},
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{Title: "Side", Value: trade.Side, Short: true,},
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{Title: "Price", Value: market.FormatPrice(trade.Price), Short: true,},
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{Title: "Volume", Value: market.FormatVolume(trade.Volume), Short: true,},
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},
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// Footer: tradingCtx.TradeStartTime.Format(time.RFC822),
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// FooterIcon: "",
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}
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}
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