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Merge pull request #485 from zenixls2/feature/backtest_sig

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feature: add CancelOrders and CancelOrdersTo to executor
This commit is contained in:
Yo-An Lin 2022-03-16 21:22:32 +08:00 committed by GitHub
commit fae4f181b5
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7 changed files with 63 additions and 33 deletions
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21
pkg/bbgo/order_execution.go
View File

@ -13,6 +13,7 @@ import (
type OrderExecutor interface {
SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
CancelOrders(ctx context.Context, orders ...types.Order) error
OnTradeUpdate(cb func(trade types.Trade))
OnOrderUpdate(cb func(order types.Order))
@ -23,6 +24,7 @@ type OrderExecutor interface {
type OrderExecutionRouter interface {
// SubmitOrdersTo submit order to a specific exchange Session
SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error
}
type ExchangeOrderExecutionRouter struct {
@ -50,6 +52,18 @@ func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, sessi
return es.Exchange.SubmitOrders(ctx, formattedOrders...)
}
func (e *ExchangeOrderExecutionRouter) CancelOrdersTo(ctx context.Context, session string, orders ...types.Order) error {
if executor, ok := e.executors[session]; ok {
return executor.CancelOrders(ctx, orders...)
}
es, ok := e.sessions[session]
if !ok {
return fmt.Errorf("exchange session %s not found", session)
}
return es.Exchange.CancelOrders(ctx, orders...)
}
// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
//go:generate callbackgen -type ExchangeOrderExecutor
type ExchangeOrderExecutor struct {
@ -101,6 +115,13 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
return e.Session.Exchange.SubmitOrders(ctx, formattedOrders...)
}
func (e *ExchangeOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error {
for _, order := range orders {
log.Infof("cancelling order: %s", order)
}
return e.Session.Exchange.CancelOrders(ctx, orders...)
}
type BasicRiskController struct {
Logger *log.Logger

40
pkg/cmd/backtest.go
View File

@ -9,6 +9,7 @@ import (
"os"
"path/filepath"
"strings"
"syscall"
"time"
"github.com/fatih/color"
@ -324,28 +325,35 @@ var BacktestCmd = &cobra.Command{
klineChans = append(klineChans, KChanEx{KChan: c, Exchange: exchange})
}
for {
count := len(klineChans)
for _, kchanex := range klineChans {
kLine, more := <-kchanex.KChan
if more {
kchanex.Exchange.ConsumeKLine(kLine)
} else {
if err := kchanex.Exchange.CloseMarketData(); err != nil {
return err
runCtx, cancelRun := context.WithCancel(ctx)
go func() {
defer cancelRun()
for {
count := len(klineChans)
for _, kchanex := range klineChans {
kLine, more := <-kchanex.KChan
if more {
kchanex.Exchange.ConsumeKLine(kLine)
} else {
if err := kchanex.Exchange.CloseMarketData(); err != nil {
log.Errorf("%v", err)
return
}
count--
}
count--
}
if count == 0 {
break
}
}
if count == 0 {
break
}
}
}()
cmdutil.WaitForSignal(runCtx, syscall.SIGINT, syscall.SIGTERM)
log.Infof("shutting down trader...")
shutdownCtx, cancel := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
shutdownCtx, cancelShutdown := context.WithDeadline(runCtx, time.Now().Add(10*time.Second))
trader.Graceful.Shutdown(shutdownCtx)
cancel()
cancelShutdown()
// put the logger back to print the pnl
log.SetLevel(log.InfoLevel)

6
pkg/strategy/bollgrid/strategy.go
View File

@ -272,7 +272,7 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
}
func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
if err := orderExecutor.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
@ -359,13 +359,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
defer wg.Done()
log.Infof("canceling active orders...")
if err := session.Exchange.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
if err := orderExecutor.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
if s.CancelProfitOrdersOnShutdown {
log.Infof("canceling profit orders...")
err := session.Exchange.CancelOrders(ctx, s.profitOrders.Orders()...)
err := orderExecutor.CancelOrders(ctx, s.profitOrders.Orders()...)
if err != nil {
log.WithError(err).Errorf("cancel profit order error")

12
pkg/strategy/emastop/strategy.go
View File

@ -86,9 +86,9 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
targetSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}
func (s *Strategy) clear(ctx context.Context, session *bbgo.ExchangeSession) {
func (s *Strategy) clear(ctx context.Context, orderExecutor bbgo.OrderExecutor) {
if s.order.OrderID > 0 {
if err := session.Exchange.CancelOrders(ctx, s.order); err != nil {
if err := orderExecutor.CancelOrders(ctx, s.order); err != nil {
log.WithError(err).Errorf("can not cancel trailingstop order: %+v", s.order)
}
@ -217,14 +217,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
closePrice := kline.Close
// ok, it's our call, we need to cancel the stop limit order first
s.clear(ctx, session)
s.clear(ctx, orderExecutor)
s.place(ctx, orderExecutor, session, indicator, closePrice)
})
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
log.Infof("canceling trailingstop order...")
s.clear(ctx, session)
s.clear(ctx, orderExecutor)
})
if lastPrice, ok := session.LastPrice(s.Symbol); ok {
@ -261,14 +261,14 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
closePrice := kline.Close
// ok, it's our call, we need to cancel the stop limit order first
s.clear(ctx, session)
s.clear(ctx, &orderExecutor)
s.place(ctx, &orderExecutor, session, indicator, closePrice)
})
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
log.Infof("canceling trailingstop order...")
s.clear(ctx, session)
s.clear(ctx, &orderExecutor)
})
if lastPrice, ok := session.LastPrice(s.Symbol); ok {

4
pkg/strategy/flashcrash/strategy.go
View File

@ -62,7 +62,7 @@ func (s *Strategy) ID() string {
}
func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Bids.Orders()...); err != nil {
if err := orderExecutor.CancelOrders(context.Background(), s.activeOrders.Bids.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
@ -119,7 +119,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.Infof("canceling active orders...")
if err := session.Exchange.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
if err := orderExecutor.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
})

10
pkg/strategy/support/strategy.go
View File

@ -303,7 +303,7 @@ func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExe
}
// Cancel order
func (s *Strategy) cancelOrder(orderID uint64, ctx context.Context, session *bbgo.ExchangeSession) error {
func (s *Strategy) cancelOrder(orderID uint64, ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
// Cancel the original order
order, ok := s.orderStore.Get(orderID)
if ok {
@ -311,7 +311,7 @@ func (s *Strategy) cancelOrder(orderID uint64, ctx context.Context, session *bbg
case types.OrderStatusCanceled, types.OrderStatusRejected, types.OrderStatusFilled:
// Do nothing
default:
if err := session.Exchange.CancelOrders(ctx, order); err != nil {
if err := orderExecutor.CancelOrders(ctx, order); err != nil {
return err
}
}
@ -454,7 +454,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
if position.Base.Compare(s.Market.MinQuantity) > 0 { // Update order if we have a position
// Cancel the original order
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session); err != nil {
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, orderExecutor); err != nil {
log.WithError(err).Errorf("Can not cancel the original trailing stop order!")
}
s.trailingStopControl.OrderID = 0
@ -517,7 +517,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.trailingStopControl.CurrentHighestPrice = highPrice
// Cancel the original order
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session); err != nil {
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, orderExecutor); err != nil {
log.WithError(err).Errorf("Can not cancel the original trailing stop order!")
}
s.trailingStopControl.OrderID = 0
@ -681,7 +681,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Cancel trailing stop order
if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 {
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session); err != nil {
if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, orderExecutor); err != nil {
log.WithError(err).Errorf("Can not cancel the trailing stop order!")
}
s.trailingStopControl.OrderID = 0

3
pkg/strategy/xmaker/strategy.go
View File

@ -804,7 +804,8 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
defer tradeScanTicker.Stop()
defer func() {
if err := s.makerSession.Exchange.CancelOrders(context.Background(), s.activeMakerOrders.Orders()...); err != nil {
if err := s.activeMakerOrders.GracefulCancel(context.Background(),
s.makerSession.Exchange); err != nil {
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
}
}()