package bbgo import ( "context" "fmt" "os" "time" "github.com/codingconcepts/env" log "github.com/sirupsen/logrus" "github.com/spf13/viper" "github.com/c9s/bbgo/pkg/accounting/pnl" "github.com/c9s/bbgo/pkg/cmd/cmdutil" "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{}) { loaded := 0 if d, ok := s.(SingleExchangeStrategy); ok { LoadedExchangeStrategies[key] = d loaded++ } if d, ok := s.(CrossExchangeStrategy); ok { LoadedCrossExchangeStrategies[key] = d loaded++ } if loaded == 0 { panic(fmt.Errorf("%T does not implement SingleExchangeStrategy or CrossExchangeStrategy", s)) } } 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 DatabaseService *service.DatabaseService OrderService *service.OrderService 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, -1, 0), // sync from 1 month ago sessions: make(map[string]*ExchangeSession), startTime: time.Now(), } } func (environ *Environment) Session(name string) (*ExchangeSession, bool) { s, ok := environ.sessions[name] return s, ok } func (environ *Environment) Sessions() map[string]*ExchangeSession { return environ.sessions } func (environ *Environment) SelectSessions(names ...string) map[string]*ExchangeSession { if len(names) == 0 { return environ.sessions } sessions := make(map[string]*ExchangeSession) for _, name := range names { if s, ok := environ.Session(name) ; ok { sessions[name] = s } } return sessions } func (environ *Environment) ConfigureDatabase(ctx context.Context, driver string, dsn string) error { environ.DatabaseService = service.NewDatabaseService(driver, dsn) err := environ.DatabaseService.Connect() if err != nil { return err } if err := environ.DatabaseService.Upgrade(ctx); err != nil { return err } // get the db connection pool object to create other services db := environ.DatabaseService.DB environ.OrderService = &service.OrderService{DB: db} environ.TradeService = &service.TradeService{DB: db} environ.TradeSync = &service.SyncService{ TradeService: environ.TradeService, OrderService: environ.OrderService, } return nil } // AddExchangeSession adds the existing exchange session or pre-created exchange session func (environ *Environment) AddExchangeSession(name string, session *ExchangeSession) *ExchangeSession { // update Notifiability from the environment session.Notifiability = environ.Notifiability environ.sessions[name] = session return session } // AddExchange adds the given exchange with the session name, this is the default func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession) { session = NewExchangeSession(name, exchange) return environ.AddExchangeSession(name, session) } func (environ *Environment) AddExchangesFromConfig(userConfig *Config) error { if len(userConfig.Sessions) == 0 { return environ.AddExchangesByViperKeys() } return environ.AddExchangesFromSessionConfig(userConfig.Sessions) } func (environ *Environment) AddExchangesByViperKeys() error { for _, n := range SupportedExchanges { if viper.IsSet(string(n) + "-api-key") { exchange, err := cmdutil.NewExchangeWithEnvVarPrefix(n, "") if err != nil { return err } environ.AddExchange(n.String(), exchange) } } return nil } func NewExchangeSessionFromConfig(name string, sessionConfig *ExchangeSession) (*ExchangeSession, error) { exchangeName, err := types.ValidExchangeName(sessionConfig.ExchangeName) if err != nil { return nil, err } var exchange types.Exchange if sessionConfig.Key != "" && sessionConfig.Secret != "" { exchange, err = cmdutil.NewExchangeStandard(exchangeName, sessionConfig.Key, sessionConfig.Secret) } else { exchange, err = cmdutil.NewExchangeWithEnvVarPrefix(exchangeName, sessionConfig.EnvVarPrefix) } if err != nil { return nil, err } // configure exchange if sessionConfig.Margin { marginExchange, ok := exchange.(types.MarginExchange) if !ok { return nil, fmt.Errorf("exchange %s does not support margin", exchangeName) } if sessionConfig.IsolatedMargin { marginExchange.UseIsolatedMargin(sessionConfig.IsolatedMarginSymbol) } else { marginExchange.UseMargin() } } session := NewExchangeSession(name, exchange) session.ExchangeName = sessionConfig.ExchangeName session.EnvVarPrefix = sessionConfig.EnvVarPrefix session.Key = sessionConfig.Key session.Secret = sessionConfig.Secret session.PublicOnly = sessionConfig.PublicOnly session.Margin = sessionConfig.Margin session.IsolatedMargin = sessionConfig.IsolatedMargin session.IsolatedMarginSymbol = sessionConfig.IsolatedMarginSymbol return session, nil } func (environ *Environment) AddExchangesFromSessionConfig(sessions map[string]*ExchangeSession) error { for sessionName, sessionConfig := range sessions { session, err := NewExchangeSessionFromConfig(sessionName, sessionConfig) if err != nil { return err } environ.AddExchangeSession(sessionName, session) } return nil } // 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] if err := session.Init(ctx, environ); err != nil { // we can skip initialized sessions if err != ErrSessionAlreadyInitialized { return err } } if err := session.InitSymbols(ctx, environ); err != nil { return err } } 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 (environ *Environment) SyncSession(ctx context.Context, session *ExchangeSession, startTime time.Time, defaultSymbols ...string) error { symbols, err := getSessionSymbols(session, defaultSymbols...) if err != nil { return err } return environ.TradeSync.SyncSessionSymbols(ctx, session.Exchange, startTime, symbols...) } func getSessionSymbols(session *ExchangeSession, defaultSymbols ...string) ([]string, error) { if session.IsolatedMargin { return []string{session.IsolatedMarginSymbol}, nil } if len(defaultSymbols) > 0 { return defaultSymbols, nil } return session.FindPossibleSymbols() }