package bbgo import ( "context" "fmt" "strings" "time" "github.com/fsnotify/fsnotify" "github.com/jmoiron/sqlx" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo/accounting" "github.com/c9s/bbgo/pkg/bbgo/config" "github.com/c9s/bbgo/pkg/bbgo/exchange/binance" "github.com/c9s/bbgo/pkg/bbgo/service" "github.com/c9s/bbgo/pkg/bbgo/types" ) // MarketStrategy represents the single Exchange strategy type MarketStrategy interface { OnLoad(tradingContext *Context, trader types.Trader) error OnNewStream(stream types.Stream) error } type ExchangeSession struct { Name string Account *Account Stream types.Stream Subscriptions []types.Subscription Exchange *binance.Exchange Strategies []MarketStrategy loadedSymbols map[string]struct{} Markets map[string]types.Market Trades map[string][]types.Trade } func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession { session.Symbols(symbol) session.Subscriptions = append(session.Subscriptions, types.Subscription{ Channel: channel, Symbol: symbol, Options: options, }) return session } func (session *ExchangeSession) Symbols(symbols ...string) *ExchangeSession { if session.loadedSymbols == nil { session.loadedSymbols = make(map[string]struct{}) } if session.Markets == nil { session.Markets = make(map[string]types.Market) } for _, symbol := range symbols { session.loadedSymbols[symbol] = struct{}{} if market, ok := types.FindMarket(symbol); ok { session.Markets[symbol] = market } else { log.Panicf("market of symbol %s not found", symbol) } } return session } func (session *ExchangeSession) AddStrategy(strategy MarketStrategy) *ExchangeSession { session.Strategies = append(session.Strategies, strategy) return session } type Trader struct { Symbol string TradeService *service.TradeService TradeSync *service.TradeSync // Context is trading Context Context *Context Exchange *binance.Exchange reportTimer *time.Timer ProfitAndLossCalculator *accounting.ProfitAndLossCalculator Account *Account Notifiers []Notifier ExchangeSessions map[string]*ExchangeSession } func New(db *sqlx.DB, exchange *binance.Exchange, symbol string) *Trader { tradeService := &service.TradeService{DB: db} return &Trader{ Symbol: symbol, Exchange: exchange, TradeService: tradeService, TradeSync: &service.TradeSync{ Service: tradeService, }, } } func (trader *Trader) AddNotifier(notifier Notifier) { trader.Notifiers = append(trader.Notifiers, notifier) } func (trader *Trader) AddExchange(name string, exchange *binance.Exchange) (session *ExchangeSession) { session = &ExchangeSession{ Name: name, Exchange: exchange, } if trader.ExchangeSessions == nil { trader.ExchangeSessions = make(map[string]*ExchangeSession) } trader.ExchangeSessions[name] = session return session } func (trader *Trader) Connect(ctx context.Context) (err error) { log.Info("syncing trades from exchange...") startTime := time.Now().AddDate(0, 0, -7) // sync from 7 days ago for _, session := range trader.ExchangeSessions { for symbol := range session.loadedSymbols { if err := trader.TradeSync.Sync(ctx, session.Exchange, symbol, startTime); err != nil { return err } var trades []types.Trade tradingFeeCurrency := session.Exchange.PlatformFeeCurrency() if strings.HasPrefix(symbol, tradingFeeCurrency) { trades, err = trader.TradeService.QueryForTradingFeeCurrency(symbol, tradingFeeCurrency) } else { trades, err = trader.TradeService.Query(symbol) } if err != nil { return err } log.Infof("symbol %s: %d trades loaded", symbol, len(trades)) if session.Trades == nil { session.Trades = make(map[string][]types.Trade) } session.Trades[symbol] = trades stockManager := &StockManager{ Symbol: symbol, TradingFeeCurrency: tradingFeeCurrency, } checkpoints, err := stockManager.AddTrades(trades) if err != nil { return err } log.Infof("symbol %s: found stock checkpoints: %+v", symbol, checkpoints) } session.Account, err = LoadAccount(ctx, session.Exchange) if err != nil { return err } session.Stream = session.Exchange.NewStream() if err != nil { return err } if err := session.Stream.Connect(ctx); err != nil { return err } } return nil } func (trader *Trader) Initialize(ctx context.Context, startTime time.Time) error { // query all trades from database so that we can get the correct pnl var err error var trades []types.Trade tradingFeeCurrency := trader.Exchange.PlatformFeeCurrency() if strings.HasPrefix(trader.Symbol, tradingFeeCurrency) { trades, err = trader.TradeService.QueryForTradingFeeCurrency(trader.Symbol, tradingFeeCurrency) } else { trades, err = trader.TradeService.Query(trader.Symbol) } if err != nil { return err } log.Infof("%d trades loaded", len(trades)) stockManager := &StockManager{ Symbol: trader.Symbol, TradingFeeCurrency: tradingFeeCurrency, } checkpoints, err := stockManager.AddTrades(trades) if err != nil { return err } log.Infof("found checkpoints: %+v", checkpoints) market, ok := types.FindMarket(trader.Symbol) if !ok { return fmt.Errorf("%s market not found", trader.Symbol) } currentPrice, err := trader.Exchange.QueryAveragePrice(ctx, trader.Symbol) if err != nil { return err } trader.Context = &Context{ CurrentPrice: currentPrice, Symbol: trader.Symbol, Market: market, StockManager: stockManager, } /* if len(checkpoints) > 0 { // get the last checkpoint idx := checkpoints[len(checkpoints)-1] if idx < len(trades)-1 { trades = trades[idx:] firstTrade := trades[0] pnlStartTime = firstTrade.Time notifier.Notify("%s Found the latest trade checkpoint %s", firstTrade.Symbol, firstTrade.Time, firstTrade) } } */ trader.ProfitAndLossCalculator = &accounting.ProfitAndLossCalculator{ TradingFeeCurrency: tradingFeeCurrency, Symbol: trader.Symbol, StartTime: startTime, CurrentPrice: currentPrice, Trades: trades, } account, err := LoadAccount(ctx, trader.Exchange) if err != nil { return err } trader.Account = account trader.Context.Balances = account.Balances account.Print() return nil } func (trader *Trader) RunStrategyWithHotReload(ctx context.Context, strategy MarketStrategy, configFile string) (chan struct{}, error) { var done = make(chan struct{}) var configWatcherDone = make(chan struct{}) log.Infof("watching config file: %v", configFile) watcher, err := fsnotify.NewWatcher() if err != nil { return nil, err } defer watcher.Close() if err := watcher.Add(configFile); err != nil { return nil, err } go func() { strategyContext, strategyCancel := context.WithCancel(ctx) defer strategyCancel() defer close(done) traderDone, err := trader.RunStrategy(strategyContext, strategy) if err != nil { return } var configReloadTimer *time.Timer = nil defer close(configWatcherDone) for { select { case <-ctx.Done(): return case <-traderDone: log.Infof("reloading config file %s", configFile) if err := config.LoadConfigFile(configFile, strategy); err != nil { log.WithError(err).Error("error load config file") } trader.Notify("config reloaded, restarting trader") traderDone, err = trader.RunStrategy(strategyContext, strategy) if err != nil { log.WithError(err).Error("[trader] error:", err) return } case event := <-watcher.Events: log.Infof("[fsnotify] event: %+v", event) if event.Op&fsnotify.Write == fsnotify.Write { log.Info("[fsnotify] modified file:", event.Name) } if configReloadTimer != nil { configReloadTimer.Stop() } configReloadTimer = time.AfterFunc(3*time.Second, func() { strategyCancel() }) case err := <-watcher.Errors: log.WithError(err).Error("[fsnotify] error:", err) return } } }() return done, nil } func (trader *Trader) RunStrategy(ctx context.Context, strategy MarketStrategy) (chan struct{}, error) { if err := strategy.OnLoad(trader.Context, trader); err != nil { return nil, err } stream := trader.Exchange.NewStream() if err != nil { return nil, err } // bind kline store to the stream klineStore := NewMarketDataStore() klineStore.BindPrivateStream(stream) trader.Account.BindPrivateStream(stream) if err := strategy.OnNewStream(stream); err != nil { return nil, err } trader.reportTimer = time.AfterFunc(1*time.Second, func() { trader.reportPnL() }) stream.OnTrade(func(trade *types.Trade) { if trade.Symbol != trader.Symbol { return } if err := trader.TradeService.Insert(*trade); err != nil { log.WithError(err).Error("trade insert error") } trader.NotifyTrade(trade) trader.ProfitAndLossCalculator.AddTrade(*trade) _, err := trader.Context.StockManager.AddTrades([]types.Trade{*trade}) if err != nil { log.WithError(err).Error("stock manager load trades error") } if trader.reportTimer != nil { trader.reportTimer.Stop() } trader.reportTimer = time.AfterFunc(1*time.Minute, func() { trader.reportPnL() }) }) stream.OnKLineClosed(func(kline types.KLine) { trader.ProfitAndLossCalculator.SetCurrentPrice(kline.Close) trader.Context.SetCurrentPrice(kline.Close) }) if err := stream.Connect(ctx); err != nil { return nil, err } done := make(chan struct{}) go func() { defer close(done) defer stream.Close() select { case <-ctx.Done(): return } }() return done, nil } func (trader *Trader) reportPnL() { report := trader.ProfitAndLossCalculator.Calculate() report.Print() trader.NotifyPnL(report) } func (trader *Trader) NotifyPnL(report *accounting.ProfitAndLossReport) { for _, n := range trader.Notifiers { n.NotifyPnL(report) } } func (trader *Trader) NotifyTrade(trade *types.Trade) { for _, n := range trader.Notifiers { n.NotifyTrade(trade) } } func (trader *Trader) Notify(msg string, args ...interface{}) { for _, n := range trader.Notifiers { n.Notify(msg, args...) } } func (trader *Trader) SubmitOrder(ctx context.Context, order *types.SubmitOrder) { trader.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order) orderProcessor := &OrderProcessor{ MinQuoteBalance: 0, MaxAssetBalance: 0, MinAssetBalance: 0, MinProfitSpread: 0, MaxOrderAmount: 0, Exchange: trader.Exchange, Trader: trader, } err := orderProcessor.Submit(ctx, order) if err != nil { log.WithError(err).Errorf("order create error: side %s quantity: %s", order.Side, order.QuantityString) return } }