package ktrade import ( "context" "github.com/c9s/bbgo/pkg/util" "time" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type Minute struct { Symbol string Market types.Market `json:"-"` types.IntervalWindow // MarketOrder is the option to enable market order short. MarketOrder bool `json:"marketOrder"` Quantity fixedpoint.Value `json:"quantity"` orderExecutor *bbgo.GeneralOrderExecutor session *bbgo.ExchangeSession activeOrders *bbgo.ActiveOrderBook StreamBook *types.StreamOrderBook midPrice fixedpoint.Value bbgo.QuantityOrAmount } func (s *Minute) updateOrder(ctx context.Context, symbol string) { bestBid, bestAsk, _ := s.StreamBook.BestBidAndAsk() s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2)) log.Info(s.midPrice) } func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) { s.session = session s.orderExecutor = orderExecutor position := orderExecutor.Position() symbol := position.Symbol s.StreamBook = types.NewStreamBook(symbol) s.StreamBook.BindStream(session.MarketDataStream) //store, _ := session.MarketDataStore(symbol) session.MarketDataStream.OnMarketTrade(func(trade types.Trade) { log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64()) bestAsk, _ := s.StreamBook.BestAsk() bestBid, _ := s.StreamBook.BestBid() if trade.Side == types.SideTypeBuy && trade.Price.Compare(s.midPrice) > 0 && trade.Price.Compare(bestAsk.Price) <= 0 { _ = s.orderExecutor.GracefulCancel(context.Background()) // update ask price newAskPrice := s.midPrice.Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75))) log.Infof("short @ %f", newAskPrice.Float64()) s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Round(2, 1), symbol) } else if trade.Side == types.SideTypeSell && trade.Price.Compare(s.midPrice) < 0 && trade.Price.Compare(bestBid.Price) >= 0 { _ = s.orderExecutor.GracefulCancel(context.Background()) // update bid price newBidPrice := s.midPrice.Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75))) log.Infof("long @ %f", newBidPrice.Float64()) s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Round(2, 1), symbol) } }) session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) { log.Info(kline.NumberOfTrades) })) go func() { quoteTicker := time.NewTicker(util.MillisecondsJitter(time.Millisecond*10, 200)) defer quoteTicker.Stop() for { select { case <-quoteTicker.C: s.updateOrder(context.Background(), symbol) } } }() if !bbgo.IsBackTesting { session.MarketDataStream.OnMarketTrade(func(trade types.Trade) { }) } } func (s *Minute) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) { market, _ := s.session.Market(symbol) _, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: symbol, Market: market, Side: side, Type: types.OrderTypeLimitMaker, Quantity: quantity, Price: price, //TimeInForce: types.TimeInForceGTC, Tag: "ktrade", }) if err != nil { log.WithError(err).Errorf("can not place order") } }