package bbgo import ( "context" "fmt" "reflect" "github.com/pkg/errors" log "github.com/sirupsen/logrus" _ "github.com/go-sql-driver/mysql" "github.com/c9s/bbgo/pkg/interact" ) type StrategyID interface { ID() string } // SingleExchangeStrategy represents the single Exchange strategy type SingleExchangeStrategy interface { StrategyID Run(ctx context.Context, orderExecutor OrderExecutor, session *ExchangeSession) error } type StrategyInitializer interface { Initialize() error } // ExchangeSessionSubscriber provides an interface for collecting subscriptions from different strategies // Subscribe method will be called before the user data stream connection is created. type ExchangeSessionSubscriber interface { Subscribe(session *ExchangeSession) } type CrossExchangeSessionSubscriber interface { CrossSubscribe(sessions map[string]*ExchangeSession) } type CrossExchangeStrategy interface { StrategyID CrossRun(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error } type Validator interface { Validate() error } type Logging interface { EnableLogging() DisableLogging() } type Logger interface { Warnf(message string, args ...interface{}) Errorf(message string, args ...interface{}) Infof(message string, args ...interface{}) } type SilentLogger struct{} func (logger *SilentLogger) Infof(string, ...interface{}) {} func (logger *SilentLogger) Warnf(string, ...interface{}) {} func (logger *SilentLogger) Errorf(string, ...interface{}) {} type Trader struct { environment *Environment riskControls *RiskControls crossExchangeStrategies []CrossExchangeStrategy exchangeStrategies map[string][]SingleExchangeStrategy logger Logger Graceful Graceful } func NewTrader(environ *Environment) *Trader { return &Trader{ environment: environ, exchangeStrategies: make(map[string][]SingleExchangeStrategy), logger: log.StandardLogger(), } } func (trader *Trader) EnableLogging() { trader.logger = log.StandardLogger() } func (trader *Trader) DisableLogging() { trader.logger = &SilentLogger{} } func (trader *Trader) Configure(userConfig *Config) error { if userConfig.RiskControls != nil { trader.SetRiskControls(userConfig.RiskControls) } for _, entry := range userConfig.ExchangeStrategies { for _, mount := range entry.Mounts { log.Infof("attaching strategy %T on %s...", entry.Strategy, mount) if err := trader.AttachStrategyOn(mount, entry.Strategy); err != nil { return err } } } for _, strategy := range userConfig.CrossExchangeStrategies { log.Infof("attaching cross exchange strategy %T", strategy) trader.AttachCrossExchangeStrategy(strategy) } for _, report := range userConfig.PnLReporters { if len(report.AverageCostBySymbols) > 0 { log.Infof("setting up average cost pnl reporter on symbols: %v", report.AverageCostBySymbols) trader.ReportPnL(). AverageCostBySymbols(report.AverageCostBySymbols...). Of(report.Of...). When(report.When...) } else { return fmt.Errorf("unsupported PnL reporter: %+v", report) } } return nil } // AttachStrategyOn attaches the single exchange strategy on an exchange Session. // Single exchange strategy is the default behavior. func (trader *Trader) AttachStrategyOn(session string, strategies ...SingleExchangeStrategy) error { if len(trader.environment.sessions) == 0 { return fmt.Errorf("you don't have any session configured, please check your environment variable or config file") } if _, ok := trader.environment.sessions[session]; !ok { var keys []string for k := range trader.environment.sessions { keys = append(keys, k) } return fmt.Errorf("session %s is not defined, valid sessions are: %v", session, keys) } trader.exchangeStrategies[session] = append( trader.exchangeStrategies[session], strategies...) return nil } // AttachCrossExchangeStrategy attaches the cross exchange strategy func (trader *Trader) AttachCrossExchangeStrategy(strategy CrossExchangeStrategy) *Trader { trader.crossExchangeStrategies = append(trader.crossExchangeStrategies, strategy) return trader } // SetRiskControls sets the risk controller // TODO: provide a more DSL way to configure risk controls func (trader *Trader) SetRiskControls(riskControls *RiskControls) { trader.riskControls = riskControls } func (trader *Trader) Subscribe() { // pre-subscribe the data for sessionName, strategies := range trader.exchangeStrategies { session := trader.environment.sessions[sessionName] for _, strategy := range strategies { if initializer, ok := strategy.(StrategyInitializer); ok { if err := initializer.Initialize(); err != nil { panic(err) } } if subscriber, ok := strategy.(ExchangeSessionSubscriber); ok { subscriber.Subscribe(session) } else { log.Errorf("strategy %s does not implement ExchangeSessionSubscriber", strategy.ID()) } } } for _, strategy := range trader.crossExchangeStrategies { if initializer, ok := strategy.(StrategyInitializer); ok { if err := initializer.Initialize(); err != nil { panic(err) } } if subscriber, ok := strategy.(CrossExchangeSessionSubscriber); ok { subscriber.CrossSubscribe(trader.environment.sessions) } else { log.Errorf("strategy %s does not implement CrossExchangeSessionSubscriber", strategy.ID()) } } } func (trader *Trader) RunSingleExchangeStrategy(ctx context.Context, strategy SingleExchangeStrategy, session *ExchangeSession, orderExecutor OrderExecutor) error { rs := reflect.ValueOf(strategy) // get the struct element rs = rs.Elem() if rs.Kind() != reflect.Struct { return errors.New("strategy object is not a struct") } if err := trader.injectCommonServices(strategy); err != nil { return err } if err := injectField(rs, "OrderExecutor", orderExecutor, false); err != nil { return errors.Wrapf(err, "failed to inject OrderExecutor on %T", strategy) } if symbol, ok := isSymbolBasedStrategy(rs); ok { log.Infof("found symbol based strategy from %s", rs.Type()) market, ok := session.Market(symbol) if !ok { return fmt.Errorf("market of symbol %s not found", symbol) } indicatorSet, ok := session.StandardIndicatorSet(symbol) if !ok { return fmt.Errorf("standardIndicatorSet of symbol %s not found", symbol) } store, ok := session.MarketDataStore(symbol) if !ok { return fmt.Errorf("marketDataStore of symbol %s not found", symbol) } if err := parseStructAndInject(strategy, market, indicatorSet, store, session, session.OrderExecutor, ); err != nil { return errors.Wrapf(err, "failed to inject object into %T", strategy) } } // If the strategy has Validate() method, run it and check the error if v, ok := strategy.(Validator); ok { if err := v.Validate(); err != nil { return fmt.Errorf("failed to validate the config: %w", err) } } return strategy.Run(ctx, orderExecutor, session) } func (trader *Trader) getSessionOrderExecutor(sessionName string) OrderExecutor { var session = trader.environment.sessions[sessionName] // default to base order executor var orderExecutor OrderExecutor = session.OrderExecutor // Since the risk controls are loaded from the config file if trader.riskControls != nil && trader.riskControls.SessionBasedRiskControl != nil { if control, ok := trader.riskControls.SessionBasedRiskControl[sessionName]; ok { control.SetBaseOrderExecutor(session.OrderExecutor) // pick the wrapped order executor if control.OrderExecutor != nil { return control.OrderExecutor } } } return orderExecutor } func (trader *Trader) RunAllSingleExchangeStrategy(ctx context.Context) error { // load and run Session strategies for sessionName, strategies := range trader.exchangeStrategies { var session = trader.environment.sessions[sessionName] var orderExecutor = trader.getSessionOrderExecutor(sessionName) for _, strategy := range strategies { if err := trader.RunSingleExchangeStrategy(ctx, strategy, session, orderExecutor); err != nil { return err } } } return nil } func (trader *Trader) Run(ctx context.Context) error { // before we start the interaction, // register the core interaction, because we can only get the strategies in this scope // trader.environment.Connect will call interact.Start interact.AddCustomInteraction(NewCoreInteraction(trader.environment, trader)) trader.Subscribe() if err := trader.environment.Start(ctx); err != nil { return err } if err := trader.RunAllSingleExchangeStrategy(ctx); err != nil { return err } router := &ExchangeOrderExecutionRouter{ Notifiability: trader.environment.Notifiability, sessions: trader.environment.sessions, executors: make(map[string]OrderExecutor), } for sessionID := range trader.environment.sessions { var orderExecutor = trader.getSessionOrderExecutor(sessionID) router.executors[sessionID] = orderExecutor } for _, strategy := range trader.crossExchangeStrategies { rs := reflect.ValueOf(strategy) // get the struct element from the struct pointer rs = rs.Elem() if rs.Kind() != reflect.Struct { continue } if err := trader.injectCommonServices(strategy); err != nil { return err } if err := strategy.CrossRun(ctx, router, trader.environment.sessions); err != nil { return err } } return trader.environment.Connect(ctx) } func (trader *Trader) LoadState() error { if trader.environment.BacktestService != nil { return nil } if trader.environment.PersistenceServiceFacade == nil { return nil } ps := trader.environment.PersistenceServiceFacade.Get() log.Infof("loading strategies states...") return trader.IterateStrategies(func(strategy StrategyID) error { id := callID(strategy) return loadPersistenceFields(strategy, id, ps) }) } func (trader *Trader) IterateStrategies(f func(st StrategyID) error) error { for _, strategies := range trader.exchangeStrategies { for _, strategy := range strategies { if err := f(strategy); err != nil { return err } } } for _, strategy := range trader.crossExchangeStrategies { if err := f(strategy); err != nil { return err } } return nil } func (trader *Trader) SaveState() error { if trader.environment.BacktestService != nil { return nil } if trader.environment.PersistenceServiceFacade == nil { return nil } ps := trader.environment.PersistenceServiceFacade.Get() log.Infof("saving strategies states...") return trader.IterateStrategies(func(strategy StrategyID) error { id := callID(strategy) if len(id) == 0 { return nil } return storePersistenceFields(strategy, id, ps) }) } var defaultPersistenceSelector = &PersistenceSelector{ StoreID: "default", Type: "memory", } func (trader *Trader) injectCommonServices(s interface{}) error { persistenceFacade := trader.environment.PersistenceServiceFacade persistence := &Persistence{ PersistenceSelector: defaultPersistenceSelector, Facade: persistenceFacade, } // a special injection for persistence selector: // if user defined the selector, the facade pointer will be nil, hence we need to update the persistence facade pointer sv := reflect.ValueOf(s).Elem() if field, ok := hasField(sv, "Persistence"); ok { // the selector is set, but we need to update the facade pointer if !field.IsNil() { elem := field.Elem() if elem.Kind() != reflect.Struct { return fmt.Errorf("field Persistence is not a struct element, %s given", field) } if err := injectField(elem, "Facade", persistenceFacade, true); err != nil { return err } /* if err := parseStructAndInject(field.Interface(), persistenceFacade); err != nil { return err } */ } } return parseStructAndInject(s, &trader.Graceful, &trader.logger, &trader.environment.Notifiability, trader.environment.TradeService, trader.environment.OrderService, trader.environment.DatabaseService, trader.environment.AccountService, trader.environment, persistence, persistenceFacade, // if the strategy use persistence facade separately ) } // ReportPnL configure and set the PnLReporter with the given notifier func (trader *Trader) ReportPnL() *PnLReporterManager { return NewPnLReporter(&trader.environment.Notifiability) }