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bollmaker: clean up strategy

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This commit is contained in:
austin362667 2022-03-03 20:26:20 +08:00
parent 3173fa554b
commit f893c084d7
1 changed files with 24 additions and 26 deletions
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50
pkg/strategy/bollmaker/strategy.go
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@ -3,11 +3,12 @@ package bollmaker
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"math"
"sync"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
@ -36,32 +37,30 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
// NewStack returns a new position stack.
func NewStack() *PositionStack {
return &PositionStack{}
}
// Stack is a basic LIFO stack that resizes as needed.
type PositionStack struct {
positions []*types.Position
}
// Push adds a node to the stack.
func (s *PositionStack) Length() int {
return len(s.positions)
func NewStack() *PositionStack {
return &PositionStack{}
}
// Push adds a node to the stack.
func (s *PositionStack) Push(p *types.Position) {
s.positions = append(s.positions, p)
func (ps *PositionStack) Length() int {
if ps == nil {
return 0
}
return len(ps.positions)
}
// Pop removes and returns a node from the stack in last to first order.
func (s *PositionStack) Pop() *types.Position {
if len(s.positions) == 0 {
func (ps *PositionStack) Push(p *types.Position) {
ps.positions = append(ps.positions, p)
}
func (ps *PositionStack) Pop() *types.Position {
if ps.Length() == 0 {
return nil
}
return s.positions[len(s.positions)-1]
return ps.positions[len(ps.positions)-1]
}
type State struct {
@ -289,10 +288,8 @@ func (s *Strategy) LoadState() error {
log.Infof("state is restored: %+v", s.state)
}
// if position is nil, we need to allocate a new position for calculation
//if s.state.Position == nil {
// we need to allocate a new position for calculation, since it's not a pointer
s.state.Position = *types.NewPositionFromMarket(s.market)
//}
// init profit states
s.state.ProfitStats.Symbol = s.market.Symbol
@ -596,6 +593,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, &s.state.Position, s.orderStore)
s.tradeCollector.OnProfit(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
log.Infof("generated profit: %v", profit)
@ -656,14 +654,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.Infof("trade collector position: %v", s.tradeCollector.Position())
if kline.Close.Float64() < s.state.Position.AverageCost.Float64()*0.8 {
if kline.Close.Float64() < s.state.Position.AverageCost.Float64()*0.9 {
p := s.state.Position
PositionStack.Push(&p)
s.state.Position.Reset()
//s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
}
if kline.Close.Float64() > s.state.Position.AverageCost.Float64()*1.2 {
if kline.Close.Float64() > s.state.Position.AverageCost.Float64()*1.1 {
if s.state.Position.GetBase().Float64() > 0 && s.state.Position.GetBase().Float64() < s.Quantity.Float64() {
if PositionStack.Length() > 1 {
s.ClosePosition(ctx, 100.0)
@ -673,9 +670,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
}
if PositionStack.Length() > 1 {
log.Infof("position stack: %v, length: %d, current position: %v", PositionStack.positions, PositionStack.Length(), s.state.Position)
}
//if PositionStack.Length() > 1 {
// log.Infof("position stack: %v, current position: %v", PositionStack.positions, s.state.Position)
//}
log.Infof("position stack length: %d", PositionStack.Length())
// check if there is a canceled order had partially filled.
s.tradeCollector.Process()