package bbgo import ( "context" "reflect" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" _ "github.com/go-sql-driver/mysql" flag "github.com/spf13/pflag" ) var SupportedExchanges = []types.ExchangeName{"binance", "max"} // PersistentFlags defines the flags for environments func PersistentFlags(flags *flag.FlagSet) { flags.String("binance-api-key", "", "binance api key") flags.String("binance-api-secret", "", "binance api secret") flags.String("max-api-key", "", "max api key") flags.String("max-api-secret", "", "max api secret") } // 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 CrossExchangeStrategy interface { Run(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error } type Trader struct { Notifiability environment *Environment riskControls *RiskControls crossExchangeStrategies []CrossExchangeStrategy exchangeStrategies map[string][]SingleExchangeStrategy tradeReporter *TradeReporter // reportTimer *time.Timer // ProfitAndLossCalculator *accounting.ProfitAndLossCalculator } func NewTrader(environ *Environment) *Trader { return &Trader{ environment: environ, exchangeStrategies: make(map[string][]SingleExchangeStrategy), } } func (trader *Trader) ReportTrade() *TradeReporter { trader.tradeReporter = NewTradeReporter(&trader.Notifiability) return trader.tradeReporter } // 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) } } } if err := trader.environment.Init(ctx); err != nil { return err } // session based trade reporter for sessionName := range trader.environment.sessions { var session = trader.environment.sessions[sessionName] if trader.tradeReporter != nil { session.Stream.OnTrade(func(trade types.Trade) { trader.tradeReporter.Report(trade) }) } } // load and run session strategies for sessionName, strategies := range trader.exchangeStrategies { var session = trader.environment.sessions[sessionName] var baseOrderExecutor = &ExchangeOrderExecutor{ // copy the parent notifiers and session Notifiability: trader.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, "Notifiability", &trader.Notifiability); err != nil { log.WithError(err).Errorf("strategy Notifiability injection failed") } if err := injectField(rs, "OrderExecutor", orderExecutor); err != nil { log.WithError(err).Errorf("strategy OrderExecutor injection failed") } if symbol, ok := isSymbolBasedStrategy(rs); ok { log.Infof("found symbol based strategy from %T", 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); err != nil { log.WithError(err).Errorf("strategy Market injection failed") } } } if hasField(rs, "MarketDataStore") { if store, ok := session.MarketDataStore(symbol); ok { if err := injectField(rs, "MarketDataStore", store); err != nil { log.WithError(err).Errorf("strategy MarketDataStore injection failed") } } } } } err := strategy.Run(ctx, orderExecutor, session) if err != nil { return err } } } router := &ExchangeOrderExecutionRouter{ // copy the parent notifiers Notifiability: trader.Notifiability, sessions: trader.environment.sessions, } for _, strategy := range trader.crossExchangeStrategies { if err := strategy.Run(ctx, router, trader.environment.sessions); err != nil { return err } } return trader.environment.Connect(ctx) } /* func (trader *OrderExecutor) RunStrategyWithHotReload(ctx context.Context, strategy SingleExchangeStrategy, 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.NotifyTo("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 *OrderExecutor) RunStrategy(ctx context.Context, strategy SingleExchangeStrategy) (chan struct{}, error) { trader.reportTimer = time.AfterFunc(1*time.Second, func() { trader.reportPnL() }) stream.OnTrade(func(trade *types.Trade) { 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() }) }) } */ // ReportPnL configure and set the PnLReporter with the given notifier func (trader *Trader) ReportPnL() *PnLReporterManager { return NewPnLReporter(&trader.Notifiability) } type OrderExecutor interface { SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders []types.Order, err error) } type OrderExecutionRouter interface { // SubmitOrderTo submit order to a specific exchange session SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders []types.Order, err error) }