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https://github.com/c9s/bbgo.git
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support: refactor kline handler
This commit is contained in:
c9s
parent
811319fa25
commit
f9fa6e96c3
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@ -4,6 +4,7 @@ import (
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"context"
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"fmt"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/sirupsen/logrus"
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@ -34,13 +35,18 @@ type Target struct {
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}
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type Strategy struct {
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*bbgo.Notifiability
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*bbgo.Notifiability `json:"-"`
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*bbgo.Persistence
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*bbgo.Graceful
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Market types.Market `json:"-"`
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MovingAverageWindow int `json:"movingAverageWindow"`
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LongTermMovingAverageInterval types.Interval `json:"longTermMovingAverage"`
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LongTermMovingAverageWindow int `json:"longTermMovingAverageWindow"`
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Quantity fixedpoint.Value `json:"quantity"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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Sensitivity fixedpoint.Value `json:"sensitivity"`
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@ -128,6 +134,69 @@ func (s *Strategy) LoadState() error {
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return nil
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) error {
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for _, o := range orderForms {
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s.Notifiability.Notify(o)
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForms...)
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if err != nil {
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return err
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}
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s.orderStore.Add(createdOrders...)
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return nil
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}
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func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.SideType, closePrice fixedpoint.Value, volume float64) (fixedpoint.Value, error) {
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var quantity fixedpoint.Value
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if s.Quantity > 0 {
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quantity = s.Quantity
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} else if s.ScaleQuantity != nil {
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qf, err := s.ScaleQuantity.Scale(closePrice.Float64(), volume)
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if err != nil {
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return 0, err
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}
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quantity = fixedpoint.NewFromFloat(qf)
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}
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if side == types.SideTypeBuy {
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baseBalance, _ := session.Account.Balance(s.Market.BaseCurrency)
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if s.MaxBaseAssetBalance > 0 && baseBalance.Total()+quantity > s.MaxBaseAssetBalance {
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quota := s.MaxBaseAssetBalance - baseBalance.Total()
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
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if !ok {
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return 0, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
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}
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// for spot, we need to modify the quantity according to the quote balance
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if !session.Margin {
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// add 0.3% for price slippage
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notional := closePrice.Mul(quantity).MulFloat64(1.003)
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if s.MinQuoteAssetBalance > 0 && quoteBalance.Available-notional < s.MinQuoteAssetBalance {
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log.Warnf("modifying quantity %f according to the min quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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s.Market.QuoteCurrency)
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quota := quoteBalance.Available - s.MinQuoteAssetBalance
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quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
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} else if notional > quoteBalance.Available {
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log.Warnf("modifying quantity %f according to the quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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s.Market.QuoteCurrency)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
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}
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}
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}
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return quantity, nil
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// buffer 100 trades in the channel
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s.tradeC = make(chan types.Trade, 100)
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@ -148,7 +217,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return err
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}
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s.MinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1] - volRange[0]).Mul(fixedpoint.NewFromFloat(1.0) - s.Sensitivity)
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s.MinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1]-volRange[0]).Mul(fixedpoint.NewFromFloat(1.0)-s.Sensitivity)
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log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
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}
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@ -162,7 +231,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return err
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}
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s.ResistanceMinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1] - volRange[0]).Mul(fixedpoint.NewFromFloat(1.0) - s.ResistanceSensitivity)
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s.ResistanceMinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1]-volRange[0]).Mul(fixedpoint.NewFromFloat(1.0)-s.ResistanceSensitivity)
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log.Infof("adjusted minimal resistance volume to %f according to sensitivity %f", s.ResistanceMinVolume.Float64(), s.ResistanceSensitivity.Float64())
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}
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@ -170,6 +239,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if !ok {
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return fmt.Errorf("market %s is not defined", s.Symbol)
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}
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s.Market = market
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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
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if !ok {
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@ -225,6 +295,26 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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kline.Volume,
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closePriceF,
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)
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quantity, err := s.calculateQuantity(session, types.SideTypeSell, closePrice, kline.Volume)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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return
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}
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orderForm := types.SubmitOrder{
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Symbol: s.Symbol,
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Market: market,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: quantity.Float64(),
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}
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if err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
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log.WithError(err).Error("submit sell order error")
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return
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}
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return
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}
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@ -258,56 +348,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.MinVolume.Float64(),
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kline)
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var quantity fixedpoint.Value
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if s.Quantity > 0 {
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quantity = s.Quantity
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} else if s.ScaleQuantity != nil {
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qf, err := s.ScaleQuantity.Scale(closePrice.Float64(), kline.Volume)
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quantity, err := s.calculateQuantity(session, types.SideTypeBuy, closePrice, kline.Volume)
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if err != nil {
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log.WithError(err).Error(err.Error())
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log.WithError(err).Errorf("%s quantity calculation error", s.Symbol)
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return
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}
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quantity = fixedpoint.NewFromFloat(qf)
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}
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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if s.MaxBaseAssetBalance > 0 && baseBalance.Total()+quantity > s.MaxBaseAssetBalance {
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quota := s.MaxBaseAssetBalance - baseBalance.Total()
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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log.Errorf("quote balance %s not found", market.QuoteCurrency)
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return
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}
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// for spot, we need to modify the quantity according to the quote balance
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if !session.Margin {
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// add 0.3% for price slippage
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notional := closePrice.Mul(quantity).MulFloat64(1.003)
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if s.MinQuoteAssetBalance > 0 && quoteBalance.Available-notional < s.MinQuoteAssetBalance {
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log.Warnf("modifying quantity %f according to the min quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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market.QuoteCurrency)
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quota := quoteBalance.Available - s.MinQuoteAssetBalance
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quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
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} else if notional > quoteBalance.Available {
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log.Warnf("modifying quantity %f according to the quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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market.QuoteCurrency)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
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}
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}
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s.Notify("Submitting %s market order buy with quantity %f according to the base volume %f, taker buy base volume %f",
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s.Symbol,
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quantity.Float64(),
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kline.Volume,
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kline.TakerBuyBaseAssetVolume)
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orderForm := types.SubmitOrder{
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Symbol: s.Symbol,
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@ -318,12 +363,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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MarginSideEffect: s.MarginOrderSideEffect,
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForm)
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if err != nil {
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s.Notify("Submitting %s market order buy with quantity %f according to the base volume %f, taker buy base volume %f",
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s.Symbol,
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quantity.Float64(),
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kline.Volume,
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kline.TakerBuyBaseAssetVolume,
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orderForm)
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if err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
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log.WithError(err).Error("submit order error")
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return
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}
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s.orderStore.Add(createdOrders...)
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time.Sleep(500 * time.Millisecond)
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trades := s.tradeStore.GetAndClear()
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for _, trade := range trades {
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@ -362,11 +414,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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}
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createdOrders, err = orderExecutor.SubmitOrders(ctx, targetOrders...)
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if err != nil {
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if err := s.submitOrders(ctx, orderExecutor, targetOrders...); err != nil {
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log.WithError(err).Error("submit profit target order error")
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return
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}
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s.orderStore.Add(createdOrders...)
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})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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