package schedule import ( "context" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/pkg/errors" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/types" ) const ID = "schedule" func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type Strategy struct { Market types.Market Notifiability *bbgo.Notifiability // StandardIndicatorSet contains the standard indicators of a market (symbol) // This field will be injected automatically since we defined the Symbol field. *bbgo.StandardIndicatorSet // Interval is the period that you want to submit order Interval types.Interval `json:"interval"` // Symbol is the symbol of the market Symbol string `json:"symbol"` // Side is the order side type, which can be buy or sell Side types.SideType `json:"side"` // Quantity is the quantity of the submit order Quantity fixedpoint.Value `json:"quantity,omitempty"` Amount fixedpoint.Value `json:"amount,omitempty"` BelowMovingAverage *bbgo.MovingAverageSettings `json:"belowMovingAverage,omitempty"` AboveMovingAverage *bbgo.MovingAverageSettings `json:"aboveMovingAverage,omitempty"` } func (s *Strategy) ID() string { return ID } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()}) if s.BelowMovingAverage != nil { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.BelowMovingAverage.Interval.String()}) } if s.AboveMovingAverage != nil { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.AboveMovingAverage.Interval.String()}) } } func (s *Strategy) Validate() error { if s.Quantity == 0 && s.Amount == 0 { return errors.New("either quantity or amount can not be empty") } return nil } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { if s.StandardIndicatorSet == nil { return errors.New("StandardIndicatorSet can not be nil, injection failed?") } var belowMA types.Float64Indicator var aboveMA types.Float64Indicator var err error if s.BelowMovingAverage != nil { belowMA, err = s.BelowMovingAverage.Indicator(s.StandardIndicatorSet) if err != nil { return err } } if s.AboveMovingAverage != nil { aboveMA, err = s.AboveMovingAverage.Indicator(s.StandardIndicatorSet) if err != nil { return err } } session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { if kline.Symbol != s.Symbol { return } if kline.Interval != s.Interval { return } closePrice := fixedpoint.NewFromFloat(kline.Close) quantity := s.Quantity amount := s.Amount side := s.Side if s.BelowMovingAverage != nil || s.AboveMovingAverage != nil { match := false // if any of the conditions satisfies then we execute order if belowMA != nil && closePrice.Float64() < belowMA.Last() { match = true if s.BelowMovingAverage != nil { if s.BelowMovingAverage.Side != nil { side = *s.BelowMovingAverage.Side } // override the default quantity or amount if s.BelowMovingAverage.Quantity != nil { quantity = *s.BelowMovingAverage.Quantity } else if s.BelowMovingAverage.Amount != nil { amount = *s.BelowMovingAverage.Amount } } } else if aboveMA != nil && closePrice.Float64() > aboveMA.Last() { match = true if s.AboveMovingAverage != nil { if s.AboveMovingAverage.Side != nil { side = *s.AboveMovingAverage.Side } // override the default quantity or amount if s.AboveMovingAverage.Quantity != nil { quantity = *s.AboveMovingAverage.Quantity } else if s.AboveMovingAverage.Amount != nil { amount = *s.AboveMovingAverage.Amount } } } if !match { s.Notifiability.Notify("skip, the %s closed price %f is below or above moving average", s.Symbol, closePrice.Float64()) return } } // convert amount to quantity if amount is given if amount > 0 { quantity = amount.Div(closePrice) } // calculate quote quantity for balance checking quoteQuantity := quantity.Mul(closePrice) // execute orders switch side { case types.SideTypeBuy: quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency) if !ok { return } if quoteBalance.Available < quoteQuantity { s.Notifiability.Notify("Quote balance %s is not enough: %f < %f", s.Market.QuoteCurrency, quoteBalance.Available.Float64(), quoteQuantity.Float64()) return } case types.SideTypeSell: baseBalance, ok := session.Account.Balance(s.Market.BaseCurrency) if !ok { return } if baseBalance.Available < quantity { s.Notifiability.Notify("Base balance %s is not enough: %f < %f", s.Market.QuoteCurrency, baseBalance.Available.Float64(), quantity.Float64()) return } } s.Notifiability.Notify("Submitting scheduled order %s quantity %f at price %f", s.Symbol, quantity.Float64(), closePrice.Float64()) _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: s.Symbol, Side: side, Type: types.OrderTypeMarket, Quantity: quantity.Float64(), }) if err != nil { log.WithError(err).Error("submit order error") } }) return nil }