package bbgo import ( "context" "fmt" "github.com/c9s/bbgo/pkg/util" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo/exchange/binance" "github.com/c9s/bbgo/pkg/bbgo/types" ) type Strategy interface { Init(tradingContext *TradingContext, trader types.Trader) error OnNewStream(stream *types.StandardPrivateStream) error } type KLineRegressionTrader struct { // Context is trading Context Context *TradingContext SourceKLines []types.KLine ProfitAndLossCalculator *ProfitAndLossCalculator doneOrders []*types.Order pendingOrders []*types.Order } func (trader *KLineRegressionTrader) SubmitOrder(cxt context.Context, order *types.Order) { trader.pendingOrders = append(trader.pendingOrders, order) } func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) { log.Infof("[regression] number of kline data: %d", len(trader.SourceKLines)) maxExposure := 0.4 trader.Context.Quota = make(map[string]types.Balance) for currency, balance := range trader.Context.Balances { quota := balance quota.Available *= maxExposure trader.Context.Quota[ currency ] = quota } done := make(chan struct{}) defer close(done) if err := strategy.Init(trader.Context, trader); err != nil { return nil, err } standardStream := types.StandardPrivateStream{} if err := strategy.OnNewStream(&standardStream); err != nil { return nil, err } var tradeID int64 = 0 for _, kline := range trader.SourceKLines { log.Debugf("kline %+v", kline) fmt.Print(".") standardStream.EmitKLineClosed(&kline) for _, order := range trader.pendingOrders { switch order.Side { case types.SideTypeBuy: fmt.Print("B") case types.SideTypeSell: fmt.Print("S") } var price float64 if order.Type == types.OrderTypeLimit { price = util.MustParseFloat(order.PriceStr) } else { price = kline.GetClose() } volume := util.MustParseFloat(order.VolumeStr) fee := 0.0 feeCurrency := "" trader.Context.Lock() if order.Side == types.SideTypeBuy { fee = price * volume * 0.001 feeCurrency = "USDT" quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency] if quote.Available < volume*price { log.Fatalf("quote balance not enough: %+v", quote) } quote.Available -= volume * price trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote base := trader.Context.Balances[trader.Context.Market.BaseCurrency] base.Available += volume trader.Context.Balances[trader.Context.Market.BaseCurrency] = base } else { fee = volume * 0.001 feeCurrency = "BTC" base := trader.Context.Balances[trader.Context.Market.BaseCurrency] if base.Available < volume { log.Fatalf("base balance not enough: %+v", base) } base.Available -= volume trader.Context.Balances[trader.Context.Market.BaseCurrency] = base quote := trader.Context.Balances[trader.Context.Market.QuoteCurrency] quote.Available += volume * price trader.Context.Balances[trader.Context.Market.QuoteCurrency] = quote } trader.Context.Unlock() trade := types.Trade{ ID: tradeID, Price: price, Quantity: volume, Side: string(order.Side), IsBuyer: order.Side == types.SideTypeBuy, IsMaker: false, Time: time.Unix(0, kline.EndTime*int64(time.Millisecond)), Symbol: trader.Context.Symbol, Fee: fee, FeeCurrency: feeCurrency, } tradeID++ trader.ProfitAndLossCalculator.AddTrade(trade) trader.doneOrders = append(trader.doneOrders, order) } // clear pending orders trader.pendingOrders = nil } fmt.Print("\n") report := trader.ProfitAndLossCalculator.Calculate() report.Print() log.Infof("wallet balance:") for _, balance := range trader.Context.Balances { log.Infof(" %s: %f", balance.Currency, balance.Available) } return done, nil } type Trader struct { Notifier *SlackNotifier // Context is trading Context Context *TradingContext Exchange *binance.Exchange reportTimer *time.Timer ProfitAndLossCalculator *ProfitAndLossCalculator } func (trader *Trader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error) { symbol := trader.Context.Symbol balances, err := trader.Exchange.QueryAccountBalances(ctx) if err != nil { return nil, err } trader.Context.Balances = balances for _, balance := range balances { if util.NotZero(balance.Available) { log.Infof("[trader] balance %s %f", balance.Currency, balance.Available) } } if err := strategy.Init(trader.Context, trader); err != nil { return nil, err } stream, err := trader.Exchange.NewPrivateStream() if err != nil { return nil, err } if err := strategy.OnNewStream(&stream.StandardPrivateStream); err != nil { return nil, err } trader.reportTimer = time.AfterFunc(1*time.Second, func() { trader.ReportPnL() }) stream.OnTrade(func(trade *types.Trade) { if trade.Symbol != symbol { return } trader.ReportTrade(trade) trader.ProfitAndLossCalculator.AddTrade(*trade) if trader.reportTimer != nil { trader.reportTimer.Stop() } trader.reportTimer = time.AfterFunc(5*time.Second, func() { trader.ReportPnL() }) }) stream.OnKLineEvent(func(e *binance.KLineEvent) { trader.ProfitAndLossCalculator.SetCurrentPrice(e.KLine.GetClose()) trader.Context.SetCurrentPrice(e.KLine.GetClose()) }) stream.OnBalanceSnapshot(func(snapshot map[string]types.Balance) { trader.Context.Lock() defer trader.Context.Unlock() for _, balance := range snapshot { trader.Context.Balances[balance.Currency] = balance } }) // stream.OnOutboundAccountInfoEvent(func(e *binance.OutboundAccountInfoEvent) { }) stream.OnBalanceUpdateEvent(func(e *binance.BalanceUpdateEvent) { trader.Context.Lock() defer trader.Context.Unlock() delta := util.MustParseFloat(e.Delta) if balance, ok := trader.Context.Balances[e.Asset]; ok { balance.Available += delta trader.Context.Balances[e.Asset] = balance } }) var eventC = make(chan interface{}, 20) if err := stream.Connect(ctx, eventC); err != nil { return nil, err } done := make(chan struct{}) go func() { defer close(done) defer stream.Close() for { select { case <-ctx.Done(): return // drain the event channel case <-eventC: } } }() return done, nil } func (trader *Trader) ReportTrade(trade *types.Trade) { trader.Notifier.ReportTrade(trade) } func (trader *Trader) ReportPnL() { report := trader.ProfitAndLossCalculator.Calculate() report.Print() trader.Notifier.ReportPnL(report) } func (trader *Trader) SubmitOrder(ctx context.Context, order *types.Order) { trader.Notifier.Notify(":memo: Submitting %s order on side %s with volume: %s", order.Type, order.Side, order.VolumeStr, order.SlackAttachment()) err := trader.Exchange.SubmitOrder(ctx, order) if err != nil { log.WithError(err).Errorf("order create error: side %s volume: %s", order.Side, order.VolumeStr) return } }