package dca import ( "context" "fmt" "time" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) const ID = "dca" var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type BudgetPeriod string const ( BudgetPeriodDay BudgetPeriod = "day" BudgetPeriodWeek BudgetPeriod = "week" BudgetPeriodMonth BudgetPeriod = "month" ) func (b BudgetPeriod) Duration() time.Duration { var period time.Duration switch b { case BudgetPeriodDay: period = 24 * time.Hour case BudgetPeriodWeek: period = 24 * time.Hour * 7 case BudgetPeriodMonth: period = 24 * time.Hour * 30 } return period } // Strategy is the Dollar-Cost-Average strategy type Strategy struct { Environment *bbgo.Environment Symbol string `json:"symbol"` Market types.Market // BudgetPeriod is how long your budget quota will be reset. // day, week, month BudgetPeriod BudgetPeriod `json:"budgetPeriod"` // Budget is the amount you invest per budget period Budget fixedpoint.Value `json:"budget"` // InvestmentInterval is the interval of each investment InvestmentInterval types.Interval `json:"investmentInterval"` budgetPerInvestment fixedpoint.Value Position *types.Position `persistence:"position"` ProfitStats *types.ProfitStats `persistence:"profit_stats"` BudgetQuota fixedpoint.Value `persistence:"budget_quota"` BudgetPeriodStartTime time.Time `persistence:"budget_period_start_time"` session *bbgo.ExchangeSession orderExecutor *bbgo.GeneralOrderExecutor bbgo.StrategyController } func (s *Strategy) ID() string { return ID } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.InvestmentInterval}) } func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error { return s.orderExecutor.ClosePosition(ctx, percentage) } func (s *Strategy) InstanceID() string { return fmt.Sprintf("%s:%s", ID, s.Symbol) } func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { if s.BudgetQuota.IsZero() { s.BudgetQuota = s.Budget } if s.Position == nil { s.Position = types.NewPositionFromMarket(s.Market) } if s.ProfitStats == nil { s.ProfitStats = types.NewProfitStats(s.Market) } instanceID := s.InstanceID() s.session = session s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position) s.orderExecutor.BindEnvironment(s.Environment) s.orderExecutor.BindProfitStats(s.ProfitStats) s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) { bbgo.Sync(s) }) s.orderExecutor.Bind() numOfInvestmentPerPeriod := fixedpoint.NewFromFloat(float64(s.BudgetPeriod.Duration()) / float64(s.InvestmentInterval.Duration())) s.budgetPerInvestment = s.Budget.Div(numOfInvestmentPerPeriod) session.UserDataStream.OnStart(func() {}) session.MarketDataStream.OnKLine(func(kline types.KLine) {}) session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { if kline.Symbol != s.Symbol || kline.Interval != s.InvestmentInterval { return } if s.BudgetPeriodStartTime == (time.Time{}) { s.BudgetPeriodStartTime = kline.StartTime.Time().Truncate(time.Minute) } if kline.EndTime.Time().Sub(s.BudgetPeriodStartTime) >= s.BudgetPeriod.Duration() { // reset budget quota s.BudgetQuota = s.Budget s.BudgetPeriodStartTime = kline.StartTime.Time() } // check if we have quota if s.BudgetQuota.Compare(s.budgetPerInvestment) <= 0 { return } price := kline.Close quantity := s.budgetPerInvestment.Div(price) _, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeBuy, Type: types.OrderTypeMarket, Quantity: quantity, Market: s.Market, }) if err != nil { log.WithError(err).Errorf("submit order failed") } }) return nil }