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xpuremaker: final clean up

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This commit is contained in:
c9s 2020-10-26 10:01:18 +08:00
parent 145264aae4
commit fbba9b12ce
1 changed files with 11 additions and 47 deletions
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58
pkg/strategy/xpuremaker/strategy.go
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@ -29,12 +29,6 @@ type Strategy struct {
activeOrders map[string]types.Order
}
func New(symbol string) *Strategy {
return &Strategy{
Symbol: symbol,
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
@ -48,7 +42,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
ticker := time.NewTicker(1 * time.Minute)
defer ticker.Stop()
s.update(orderExecutor)
s.update(orderExecutor, session)
for {
select {
@ -56,49 +50,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
case <-s.book.C:
s.update(orderExecutor)
s.update(orderExecutor, session)
case <-ticker.C:
s.update(orderExecutor)
s.update(orderExecutor, session)
}
}
}()
/*
session.Stream.OnKLineClosed(func(kline types.KLine) {
market, ok := session.Market(s.Symbol)
if !ok {
return
}
quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
if !ok {
return
}
_ = quoteBalance
err := orderExecutor.SubmitOrder(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: 0.01,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
})
*/
return nil
}
func (s *Strategy) cancelOrders(orderExecutor bbgo.OrderExecutor) {
func (s *Strategy) cancelOrders(session *bbgo.ExchangeSession) {
var deletedIDs []string
for clientOrderID, o := range s.activeOrders {
log.Infof("canceling order: %+v", o)
if err := orderExecutor.Session().Exchange.CancelOrders(context.Background(), o); err != nil {
if err := session.Exchange.CancelOrders(context.Background(), o); err != nil {
log.WithError(err).Error("cancel order error")
continue
}
@ -112,8 +80,8 @@ func (s *Strategy) cancelOrders(orderExecutor bbgo.OrderExecutor) {
}
}
func (s *Strategy) update(orderExecutor bbgo.OrderExecutor) {
s.cancelOrders(orderExecutor)
func (s *Strategy) update(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
s.cancelOrders(session)
switch s.Side {
case "buy":
@ -150,21 +118,20 @@ func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, side types.Sid
log.Infof("placing order behind volume: %f", s.BehindVolume.Float64())
index := pvs.IndexByVolumeDepth(s.BehindVolume)
if index == -1 {
idx := pvs.IndexByVolumeDepth(s.BehindVolume)
if idx == -1 {
// do not place orders
log.Warn("depth is not enough")
return
}
var price = pvs[index].Price
var orders = s.generateOrders(s.Symbol, side, price, s.PriceTick, s.BaseQuantity, s.NumOrders)
var depthPrice = pvs[idx].Price
var orders = s.generateOrders(s.Symbol, side, depthPrice, s.PriceTick, s.BaseQuantity, s.NumOrders)
if len(orders) == 0 {
log.Warn("empty orders")
return
}
log.Infof("submitting %d orders", len(orders))
createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orders...)
if err != nil {
log.WithError(err).Errorf("order submit error")
@ -173,11 +140,8 @@ func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, side types.Sid
// add created orders to the list
for i, o := range createdOrders {
log.Infof("adding order: %s => %+v", o.ClientOrderID, o)
s.activeOrders[o.ClientOrderID] = createdOrders[i]
}
log.Infof("active orders: %+v", s.activeOrders)
}
func (s *Strategy) generateOrders(symbol string, side types.SideType, price, priceTick, baseVolume fixedpoint.Value, numOrders int) (orders []types.SubmitOrder) {