package bbgo import ( "context" "fmt" "os" "strings" "time" "github.com/codingconcepts/env" "github.com/jmoiron/sqlx" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/accounting/pnl" "github.com/c9s/bbgo/pkg/service" "github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/util" ) var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy) var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy) func RegisterStrategy(key string, s interface{}) { switch d := s.(type) { case SingleExchangeStrategy: LoadedExchangeStrategies[key] = d case CrossExchangeStrategy: LoadedCrossExchangeStrategies[key] = d default: panic(fmt.Errorf("%T does not implement SingleExchangeStrategy or CrossExchangeStrategy", d)) } } var emptyTime time.Time // Environment presents the real exchange data layer type Environment struct { // Notifiability here for environment is for the streaming data notification // note that, for back tests, we don't need notification. Notifiability PersistenceServiceFacade *PersistenceServiceFacade TradeService *service.TradeService TradeSync *service.SyncService // startTime is the time of start point (which is used in the backtest) startTime time.Time tradeScanTime time.Time sessions map[string]*ExchangeSession } func NewEnvironment() *Environment { return &Environment{ // default trade scan time tradeScanTime: time.Now().AddDate(0, 0, -7), // sync from 7 days ago sessions: make(map[string]*ExchangeSession), } } func (environ *Environment) Sessions() map[string]*ExchangeSession { return environ.sessions } func (environ *Environment) SyncTrades(db *sqlx.DB) *Environment { environ.TradeService = &service.TradeService{DB: db} environ.TradeSync = &service.SyncService{ TradeService: environ.TradeService, } return environ } func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession) { session = NewExchangeSession(name, exchange) environ.sessions[name] = session return session } // Init prepares the data that will be used by the strategies func (environ *Environment) Init(ctx context.Context) (err error) { for n := range environ.sessions { var session = environ.sessions[n] var markets, err = LoadExchangeMarketsWithCache(ctx, session.Exchange) if len(markets) == 0 { return fmt.Errorf("market config should not be empty") } session.markets = markets // trade sync and market data store depends on subscribed symbols so we have to do this here. for symbol := range session.loadedSymbols { var trades []types.Trade if environ.TradeSync != nil { log.Infof("syncing trades from %s for symbol %s...", session.Exchange.Name(), symbol) if err := environ.TradeSync.SyncTrades(ctx, session.Exchange, symbol, environ.tradeScanTime); err != nil { return err } tradingFeeCurrency := session.Exchange.PlatformFeeCurrency() if strings.HasPrefix(symbol, tradingFeeCurrency) { trades, err = environ.TradeService.QueryForTradingFeeCurrency(session.Exchange.Name(), symbol, tradingFeeCurrency) } else { trades, err = environ.TradeService.Query(session.Exchange.Name(), symbol) } if err != nil { return err } log.Infof("symbol %s: %d trades loaded", symbol, len(trades)) } session.Trades[symbol] = trades session.lastPrices[symbol] = 0.0 marketDataStore := NewMarketDataStore(symbol) marketDataStore.BindStream(session.Stream) session.marketDataStores[symbol] = marketDataStore standardIndicatorSet := NewStandardIndicatorSet(symbol, marketDataStore) session.standardIndicatorSets[symbol] = standardIndicatorSet } log.Infof("querying balances from session %s...", session.Name) balances, err := session.Exchange.QueryAccountBalances(ctx) if err != nil { return err } log.Infof("%s account", session.Name) balances.Print() session.Account.UpdateBalances(balances) session.Account.BindStream(session.Stream) session.Stream.OnBalanceUpdate(func(balances types.BalanceMap) { log.Infof("balance update: %+v", balances) }) // update last prices session.Stream.OnKLineClosed(func(kline types.KLine) { log.Infof("kline closed: %+v", kline) if _, ok := session.startPrices[kline.Symbol]; !ok { session.startPrices[kline.Symbol] = kline.Open } session.lastPrices[kline.Symbol] = kline.Close }) session.Stream.OnTradeUpdate(func(trade types.Trade) { session.Trades[trade.Symbol] = append(session.Trades[trade.Symbol], trade) }) // feed klines into the market data store if environ.startTime == emptyTime { environ.startTime = time.Now() } var intervals = map[types.Interval]struct{}{} for _, sub := range session.Subscriptions { if sub.Channel == types.KLineChannel { intervals[types.Interval(sub.Options.Interval)] = struct{}{} } } for symbol := range session.loadedSymbols { marketDataStore, ok := session.marketDataStores[symbol] if !ok { return fmt.Errorf("symbol %s is not defined", symbol) } var lastPriceTime time.Time for interval := range intervals { // avoid querying the last unclosed kline endTime := environ.startTime.Add(- interval.Duration()) kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{ EndTime: &endTime, Limit: 1000, // indicators need at least 100 }) if err != nil { return err } if len(kLines) == 0 { log.Warnf("no kline data for interval %s (end time <= %s)", interval, environ.startTime) continue } // update last prices by the given kline lastKLine := kLines[len(kLines)-1] log.Infof("last kline: %+v", lastKLine) if lastPriceTime == emptyTime { session.lastPrices[symbol] = lastKLine.Close lastPriceTime = lastKLine.EndTime } else if lastPriceTime.Before(lastKLine.EndTime) { session.lastPrices[symbol] = lastKLine.Close lastPriceTime = lastKLine.EndTime } for _, k := range kLines { // let market data store trigger the update, so that the indicator could be updated too. marketDataStore.AddKLine(k) } } } if environ.TradeService != nil { session.Stream.OnTradeUpdate(func(trade types.Trade) { if err := environ.TradeService.Insert(trade); err != nil { log.WithError(err).Errorf("trade insert error: %+v", trade) } }) } // TODO: move market data store dispatch to here, use one callback to dispatch the market data // Session.Stream.OnKLineClosed(func(kline types.KLine) { }) } return nil } func (environ *Environment) ConfigurePersistence(conf *PersistenceConfig) error { var facade = &PersistenceServiceFacade{ Memory: NewMemoryService(), } if conf.Redis != nil { if err := env.Set(conf.Redis); err != nil { return err } facade.Redis = NewRedisPersistenceService(conf.Redis) } if conf.Json != nil { if _, err := os.Stat(conf.Json.Directory); os.IsNotExist(err) { if err2 := os.MkdirAll(conf.Json.Directory, 0777); err2 != nil { log.WithError(err2).Errorf("can not create directory: %s", conf.Json.Directory) return err2 } } facade.Json = &JsonPersistenceService{Directory: conf.Json.Directory} } environ.PersistenceServiceFacade = facade return nil } // configure notification rules // for symbol-based routes, we should register the same symbol rules for each session. // for session-based routes, we should set the fixed callbacks for each session func (environ *Environment) ConfigureNotification(conf *NotificationConfig) error { // configure routing here if conf.SymbolChannels != nil { environ.SymbolChannelRouter.AddRoute(conf.SymbolChannels) } if conf.SessionChannels != nil { environ.SessionChannelRouter.AddRoute(conf.SessionChannels) } if conf.Routing != nil { // configure passive object notification routing switch conf.Routing.Trade { case "$silent": // silent, do not setup notification case "$session": defaultTradeUpdateHandler := func(trade types.Trade) { text := util.Render(TemplateTradeReport, trade) environ.Notify(text, &trade) } for name := range environ.sessions { session := environ.sessions[name] // if we can route session name to channel successfully... channel, ok := environ.SessionChannelRouter.Route(name) if ok { session.Stream.OnTradeUpdate(func(trade types.Trade) { text := util.Render(TemplateTradeReport, trade) environ.NotifyTo(channel, text, &trade) }) } else { session.Stream.OnTradeUpdate(defaultTradeUpdateHandler) } } case "$symbol": // configure object routes for Trade environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) { trade, matched := obj.(*types.Trade) if !matched { return } channel, ok = environ.SymbolChannelRouter.Route(trade.Symbol) return }) // use same handler for each session handler := func(trade types.Trade) { text := util.Render(TemplateTradeReport, trade) channel, ok := environ.RouteObject(&trade) if ok { environ.NotifyTo(channel, text, &trade) } else { environ.Notify(text, &trade) } } for _, session := range environ.sessions { session.Stream.OnTradeUpdate(handler) } } switch conf.Routing.Order { case "$silent": // silent, do not setup notification case "$session": defaultOrderUpdateHandler := func(order types.Order) { text := util.Render(TemplateOrderReport, order) environ.Notify(text, &order) } for name := range environ.sessions { session := environ.sessions[name] // if we can route session name to channel successfully... channel, ok := environ.SessionChannelRouter.Route(name) if ok { session.Stream.OnOrderUpdate(func(order types.Order) { text := util.Render(TemplateOrderReport, order) environ.NotifyTo(channel, text, &order) }) } else { session.Stream.OnOrderUpdate(defaultOrderUpdateHandler) } } case "$symbol": // add object route environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) { order, matched := obj.(*types.Order) if !matched { return } channel, ok = environ.SymbolChannelRouter.Route(order.Symbol) return }) // use same handler for each session handler := func(order types.Order) { text := util.Render(TemplateOrderReport, order) channel, ok := environ.RouteObject(&order) if ok { environ.NotifyTo(channel, text, &order) } else { environ.Notify(text, &order) } } for _, session := range environ.sessions { session.Stream.OnOrderUpdate(handler) } } switch conf.Routing.SubmitOrder { case "$silent": // silent, do not setup notification case "$symbol": // add object route environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) { order, matched := obj.(*types.SubmitOrder) if !matched { return } channel, ok = environ.SymbolChannelRouter.Route(order.Symbol) return }) } // currently not used switch conf.Routing.PnL { case "$symbol": environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) { report, matched := obj.(*pnl.AverageCostPnlReport) if !matched { return } channel, ok = environ.SymbolChannelRouter.Route(report.Symbol) return }) } } return nil } func (environ *Environment) SetStartTime(t time.Time) *Environment { environ.startTime = t return environ } // SyncTradesFrom overrides the default trade scan time (-7 days) func (environ *Environment) SyncTradesFrom(t time.Time) *Environment { environ.tradeScanTime = t return environ } func (environ *Environment) Connect(ctx context.Context) error { for n := range environ.sessions { // avoid using the placeholder variable for the session because we use that in the callbacks var session = environ.sessions[n] var logger = log.WithField("session", n) if len(session.Subscriptions) == 0 { logger.Warnf("exchange session %s has no subscriptions", session.Name) } else { // add the subscribe requests to the stream for _, s := range session.Subscriptions { logger.Infof("subscribing %s %s %v", s.Symbol, s.Channel, s.Options) session.Stream.Subscribe(s.Channel, s.Symbol, s.Options) } } logger.Infof("connecting session %s...", session.Name) if err := session.Stream.Connect(ctx); err != nil { return err } } return nil } func LoadExchangeMarketsWithCache(ctx context.Context, ex types.Exchange) (markets types.MarketMap, err error) { err = WithCache(fmt.Sprintf("%s-markets", ex.Name()), &markets, func() (interface{}, error) { return ex.QueryMarkets(ctx) }) return markets, err }