package bbgo import ( "context" "reflect" "sync" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" _ "github.com/go-sql-driver/mysql" ) var SupportedExchanges = []types.ExchangeName{"binance", "max"} // SingleExchangeStrategy represents the single Exchange strategy type SingleExchangeStrategy interface { Run(ctx context.Context, orderExecutor OrderExecutor, session *ExchangeSession) error } type ExchangeSessionSubscriber interface { Subscribe(session *ExchangeSession) } type CrossExchangeSessionSubscriber interface { Subscribe(sessions map[string]*ExchangeSession) } type CrossExchangeStrategy interface { Run(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error } //go:generate callbackgen -type Graceful type Graceful struct { shutdownCallbacks []func(ctx context.Context, wg *sync.WaitGroup) } func (g *Graceful) Shutdown(ctx context.Context) { var wg sync.WaitGroup wg.Add(len(g.shutdownCallbacks)) go g.EmitShutdown(ctx, &wg) wg.Wait() } 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(message string, args ...interface{}) {} func (logger *SilentLogger) Warnf(message string, args ...interface{}) {} func (logger *SilentLogger) Errorf(message string, args ...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{} } // 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) *Trader { if _, ok := trader.environment.sessions[session]; !ok { log.Panicf("Session %s is not defined", session) } for _, s := range strategies { trader.exchangeStrategies[session] = append(trader.exchangeStrategies[session], s) } return trader } // AttachCrossExchangeStrategy attaches the cross exchange strategy func (trader *Trader) AttachCrossExchangeStrategy(strategy CrossExchangeStrategy) *Trader { trader.crossExchangeStrategies = append(trader.crossExchangeStrategies, strategy) return trader } // TODO: provide a more DSL way to configure risk controls func (trader *Trader) SetRiskControls(riskControls *RiskControls) { trader.riskControls = riskControls } func (trader *Trader) Run(ctx context.Context) error { // pre-subscribe the data for sessionName, strategies := range trader.exchangeStrategies { session := trader.environment.sessions[sessionName] for _, strategy := range strategies { if subscriber, ok := strategy.(ExchangeSessionSubscriber); ok { subscriber.Subscribe(session) } } } for _, strategy := range trader.crossExchangeStrategies { if subscriber, ok := strategy.(CrossExchangeSessionSubscriber); ok { subscriber.Subscribe(trader.environment.sessions) } } if err := trader.environment.Init(ctx); err != nil { return err } // load and run Session strategies for sessionName, strategies := range trader.exchangeStrategies { var session = trader.environment.sessions[sessionName] var baseOrderExecutor = &ExchangeOrderExecutor{ // copy the environment notification system so that we can route Notifiability: trader.environment.Notifiability, Session: session, } // default to base order executor var orderExecutor OrderExecutor = baseOrderExecutor // Since the risk controls are loaded from the config file if riskControls := trader.riskControls; riskControls != nil { if trader.riskControls.SessionBasedRiskControl != nil { control, ok := trader.riskControls.SessionBasedRiskControl[sessionName] if ok { control.SetBaseOrderExecutor(baseOrderExecutor) // pick the order executor if control.OrderExecutor != nil { orderExecutor = control.OrderExecutor } } } } for _, strategy := range strategies { rs := reflect.ValueOf(strategy) if rs.Elem().Kind() == reflect.Struct { // get the struct element rs = rs.Elem() if err := injectField(rs, "Graceful", &trader.Graceful, true); err != nil { log.WithError(err).Errorf("strategy Graceful injection failed") } if err := injectField(rs, "Logger", &trader.logger, false); err != nil { log.WithError(err).Errorf("strategy Logger injection failed") } if err := injectField(rs, "Notifiability", &trader.environment.Notifiability, false); err != nil { log.WithError(err).Errorf("strategy Notifiability injection failed") } if err := injectField(rs, "OrderExecutor", orderExecutor, false); err != nil { log.WithError(err).Errorf("strategy OrderExecutor injection failed") } if symbol, ok := isSymbolBasedStrategy(rs); ok { log.Infof("found symbol based strategy from %s", rs.Type()) if hasField(rs, "Market") { if market, ok := session.Market(symbol); ok { // let's make the market object passed by pointer if err := injectField(rs, "Market", &market, false); err != nil { log.WithError(err).Errorf("strategy %T Market injection failed", strategy) } } } // StandardIndicatorSet if hasField(rs, "StandardIndicatorSet") { if indicatorSet, ok := session.StandardIndicatorSet(symbol); ok { if err := injectField(rs, "StandardIndicatorSet", indicatorSet, true); err != nil { log.WithError(err).Errorf("strategy %T StandardIndicatorSet injection failed", strategy) } } } if hasField(rs, "MarketDataStore") { if store, ok := session.MarketDataStore(symbol); ok { if err := injectField(rs, "MarketDataStore", store, true); err != nil { log.WithError(err).Errorf("strategy %T MarketDataStore injection failed", strategy) } } } } } err := strategy.Run(ctx, orderExecutor, session) if err != nil { return err } } } router := &ExchangeOrderExecutionRouter{ Notifiability: trader.environment.Notifiability, sessions: trader.environment.sessions, } for _, strategy := range trader.crossExchangeStrategies { rs := reflect.ValueOf(strategy) if rs.Elem().Kind() == reflect.Struct { // get the struct element rs = rs.Elem() if err := injectField(rs, "Graceful", &trader.Graceful, true); err != nil { log.WithError(err).Errorf("strategy Graceful injection failed") } if err := injectField(rs, "Logger", &trader.logger, false); err != nil { log.WithError(err).Errorf("strategy Logger injection failed") } if err := injectField(rs, "Notifiability", &trader.environment.Notifiability, false); err != nil { log.WithError(err).Errorf("strategy Notifiability injection failed") } } if err := strategy.Run(ctx, router, trader.environment.sessions); err != nil { return err } } return trader.environment.Connect(ctx) } // ReportPnL configure and set the PnLReporter with the given notifier func (trader *Trader) ReportPnL() *PnLReporterManager { return NewPnLReporter(&trader.environment.Notifiability) } type OrderExecutor interface { SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) } type OrderExecutionRouter interface { // SubmitOrderTo submit order to a specific exchange Session SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) }