package dca2 import ( "context" "fmt" "math" "sync" "time" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/strategy/common" "github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/util" "github.com/prometheus/client_golang/prometheus" "github.com/sirupsen/logrus" ) const ID = "dca2" const orderTag = "dca2" var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } //go:generate callbackgen -type Strateg type Strategy struct { *common.Strategy Environment *bbgo.Environment Market types.Market Symbol string `json:"symbol"` // setting Budget fixedpoint.Value `json:"budget"` MaxOrderNum int64 `json:"maxOrderNum"` PriceDeviation fixedpoint.Value `json:"priceDeviation"` TakeProfitRatio fixedpoint.Value `json:"takeProfitRatio"` CoolDownInterval types.Duration `json:"coolDownInterval"` // OrderGroupID is the group ID used for the strategy instance for canceling orders OrderGroupID uint32 `json:"orderGroupID"` // RecoverWhenStart option is used for recovering dca states RecoverWhenStart bool `json:"recoverWhenStart"` // KeepOrdersWhenShutdown option is used for keeping the grid orders when shutting down bbgo KeepOrdersWhenShutdown bool `json:"keepOrdersWhenShutdown"` // log logger *logrus.Entry LogFields logrus.Fields `json:"logFields"` // PrometheusLabels will be used as the base prometheus labels PrometheusLabels prometheus.Labels `json:"prometheusLabels"` // private field mu sync.Mutex takeProfitPrice fixedpoint.Value startTimeOfNextRound time.Time nextStateC chan State state State // callbacks readyCallbacks []func() positionCallbacks []func(*types.Position) profitCallbacks []func(*types.ProfitStats) closedCallbacks []func() errorCallbacks []func(error) } func (s *Strategy) ID() string { return ID } func (s *Strategy) Validate() error { if s.MaxOrderNum < 1 { return fmt.Errorf("maxOrderNum can not be < 1") } if s.TakeProfitRatio.Sign() <= 0 { return fmt.Errorf("takeProfitSpread can not be <= 0") } if s.PriceDeviation.Sign() <= 0 { return fmt.Errorf("margin can not be <= 0") } // TODO: validate balance is enough return nil } func (s *Strategy) Defaults() error { if s.LogFields == nil { s.LogFields = logrus.Fields{} } s.LogFields["symbol"] = s.Symbol s.LogFields["strategy"] = ID return nil } func (s *Strategy) Initialize() error { s.logger = log.WithFields(s.LogFields) s.Strategy = &common.Strategy{} return nil } func (s *Strategy) InstanceID() string { return fmt.Sprintf("%s-%s", ID, s.Symbol) } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m}) } func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID()) instanceID := s.InstanceID() if s.OrderGroupID == 0 { s.OrderGroupID = util.FNV32(instanceID) % math.MaxInt32 } // order executor s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) { s.logger.Infof("[DCA] POSITION UPDATE: %s", s.Position.String()) bbgo.Sync(ctx, s) // update take profit price here s.updateTakeProfitPrice() }) s.OrderExecutor.ActiveMakerOrders().OnFilled(func(o types.Order) { s.logger.Infof("[DCA] FILLED ORDER: %s", o.String()) openPositionSide := types.SideTypeBuy takeProfitSide := types.SideTypeSell switch o.Side { case openPositionSide: s.emitNextState(OpenPositionOrderFilled) case takeProfitSide: s.emitNextState(WaitToOpenPosition) default: s.logger.Infof("[DCA] unsupported side (%s) of order: %s", o.Side, o) } }) session.MarketDataStream.OnKLine(func(kline types.KLine) { // check price here if s.state != OpenPositionOrderFilled { return } compRes := kline.Close.Compare(s.takeProfitPrice) // price doesn't hit the take profit price if compRes < 0 { return } s.emitNextState(OpenPositionOrdersCancelling) }) session.UserDataStream.OnAuth(func() { s.logger.Info("[DCA] user data stream authenticated") time.AfterFunc(3*time.Second, func() { if isInitialize := s.initializeNextStateC(); !isInitialize { if s.RecoverWhenStart { // recover if err := s.recover(ctx); err != nil { s.logger.WithError(err).Error("[DCA] something wrong when state recovering") return } s.logger.Infof("[DCA] recovered state: %d", s.state) s.logger.Infof("[DCA] recovered position %s", s.Position.String()) s.logger.Infof("[DCA] recovered budget %s", s.Budget) s.logger.Infof("[DCA] recovered startTimeOfNextRound %s", s.startTimeOfNextRound) } else { s.state = WaitToOpenPosition } s.updateTakeProfitPrice() // store persistence bbgo.Sync(ctx, s) // ready s.EmitReady() // start running state machine s.runState(ctx) } }) }) balances, err := session.Exchange.QueryAccountBalances(ctx) if err != nil { return err } balance := balances[s.Market.QuoteCurrency] if balance.Available.Compare(s.Budget) < 0 { return fmt.Errorf("the available balance of %s is %s which is less than budget setting %s, please check it", s.Market.QuoteCurrency, balance.Available, s.Budget) } bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() if s.KeepOrdersWhenShutdown { s.logger.Infof("keepOrdersWhenShutdown is set, will keep the orders on the exchange") return } if err := s.Close(ctx); err != nil { s.logger.WithError(err).Errorf("dca2 graceful order cancel error") } }) return nil } func (s *Strategy) updateTakeProfitPrice() { takeProfitRatio := s.TakeProfitRatio s.takeProfitPrice = s.Market.TruncatePrice(s.Position.AverageCost.Mul(fixedpoint.One.Add(takeProfitRatio))) s.logger.Infof("[DCA] cost: %s, ratio: %s, price: %s", s.Position.AverageCost, takeProfitRatio, s.takeProfitPrice) } func (s *Strategy) Close(ctx context.Context) error { s.logger.Infof("[DCA] closing %s dca2", s.Symbol) defer s.EmitClosed() err := s.OrderExecutor.GracefulCancel(ctx) if err != nil { s.logger.WithError(err).Errorf("[DCA] there are errors when cancelling orders at close") } bbgo.Sync(ctx, s) return err } func (s *Strategy) CleanUp(ctx context.Context) error { _ = s.Initialize() defer s.EmitClosed() err := s.OrderExecutor.GracefulCancel(ctx) if err != nil { s.logger.WithError(err).Errorf("[DCA] there are errors when cancelling orders at clean up") } bbgo.Sync(ctx, s) return err }