package bbgo import ( "context" "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 } func (trader *KLineRegressionTrader) SubmitOrder(cxt context.Context, order *types.Order) { } func (trader *KLineRegressionTrader) RunStrategy(ctx context.Context, strategy Strategy) (chan struct{}, error){ 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 } for _, kline := range trader.SourceKLines { standardStream.EmitKLineClosed(&kline) } return done, nil } type Trader struct { Notifier *SlackNotifier // Context is trading Context Context *TradingContext Exchange *binance.Exchange reportTimer *time.Timer } 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.Context.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.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.Context.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 } }