mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
418 lines
11 KiB
Go
418 lines
11 KiB
Go
package bbgo
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import (
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"encoding/json"
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"fmt"
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"io/ioutil"
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"reflect"
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"runtime"
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"time"
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"github.com/pkg/errors"
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"gopkg.in/yaml.v3"
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"github.com/c9s/bbgo/pkg/datatype"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type PnLReporterConfig struct {
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AverageCostBySymbols datatype.StringSlice `json:"averageCostBySymbols" yaml:"averageCostBySymbols"`
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Of datatype.StringSlice `json:"of" yaml:"of"`
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When datatype.StringSlice `json:"when" yaml:"when"`
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}
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// ExchangeStrategyMount wraps the SingleExchangeStrategy with the ExchangeSession name for mounting
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type ExchangeStrategyMount struct {
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// Mounts contains the ExchangeSession name to mount
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Mounts []string
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// Strategy is the strategy we loaded from config
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Strategy SingleExchangeStrategy
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}
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type SlackNotification struct {
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DefaultChannel string `json:"defaultChannel,omitempty" yaml:"defaultChannel,omitempty"`
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ErrorChannel string `json:"errorChannel,omitempty" yaml:"errorChannel,omitempty"`
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}
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type NotificationRouting struct {
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Trade string `json:"trade,omitempty" yaml:"trade,omitempty"`
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Order string `json:"order,omitempty" yaml:"order,omitempty"`
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SubmitOrder string `json:"submitOrder,omitempty" yaml:"submitOrder,omitempty"`
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PnL string `json:"pnL,omitempty" yaml:"pnL,omitempty"`
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}
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type NotificationConfig struct {
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Slack *SlackNotification `json:"slack,omitempty" yaml:"slack,omitempty"`
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SymbolChannels map[string]string `json:"symbolChannels,omitempty" yaml:"symbolChannels,omitempty"`
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SessionChannels map[string]string `json:"sessionChannels,omitempty" yaml:"sessionChannels,omitempty"`
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Routing *NotificationRouting `json:"routing,omitempty" yaml:"routing,omitempty"`
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}
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type Session struct {
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Name string `json:"name,omitempty" yaml:"name,omitempty"`
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ExchangeName string `json:"exchange" yaml:"exchange"`
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EnvVarPrefix string `json:"envVarPrefix" yaml:"envVarPrefix"`
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Key string `json:"key,omitempty" yaml:"key,omitempty"`
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Secret string `json:"secret,omitempty" yaml:"secret,omitempty"`
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PublicOnly bool `json:"publicOnly,omitempty" yaml:"publicOnly"`
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Margin bool `json:"margin,omitempty" yaml:"margin,omitempty"`
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IsolatedMargin bool `json:"isolatedMargin,omitempty" yaml:"isolatedMargin,omitempty"`
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IsolatedMarginSymbol string `json:"isolatedMarginSymbol,omitempty" yaml:"isolatedMarginSymbol,omitempty"`
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}
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type Backtest struct {
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StartTime string `json:"startTime" yaml:"startTime"`
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EndTime string `json:"endTime" yaml:"endTime"`
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Account BacktestAccount `json:"account" yaml:"account"`
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Symbols []string `json:"symbols" yaml:"symbols"`
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}
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func (t Backtest) ParseEndTime() (time.Time, error) {
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if len(t.EndTime) == 0 {
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return time.Time{}, errors.New("backtest.endTime must be defined")
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}
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return time.Parse("2006-01-02", t.EndTime)
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}
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func (t Backtest) ParseStartTime() (time.Time, error) {
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if len(t.StartTime) == 0 {
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return time.Time{}, errors.New("backtest.startTime must be defined")
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}
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return time.Parse("2006-01-02", t.StartTime)
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}
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type BacktestAccount struct {
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MakerCommission int `json:"makerCommission"`
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TakerCommission int `json:"takerCommission"`
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BuyerCommission int `json:"buyerCommission"`
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SellerCommission int `json:"sellerCommission"`
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Balances BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
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}
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type BacktestAccountBalanceMap map[string]fixedpoint.Value
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func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap {
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balances := make(types.BalanceMap)
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for currency, value := range m {
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balances[currency] = types.Balance{
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Currency: currency,
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Available: value,
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Locked: 0,
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}
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}
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return balances
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}
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type RedisPersistenceConfig struct {
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Host string `json:"host" env:"REDIS_HOST"`
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Port string `json:"port" env:"REDIS_PORT"`
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Password string `json:"password" env:"REDIS_PASSWORD"`
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DB int `json:"db" env:"REDIS_DB"`
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}
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type JsonPersistenceConfig struct {
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Directory string `json:"directory"`
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}
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type PersistenceConfig struct {
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Redis *RedisPersistenceConfig `json:"redis,omitempty" yaml:"redis,omitempty"`
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Json *JsonPersistenceConfig `json:"json,omitempty" yaml:"json,omitempty"`
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}
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type BuildTargetConfig struct {
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Name string `json:"name" yaml:"name"`
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Arch string `json:"arch" yaml:"arch"`
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OS string `json:"os" yaml:"os"`
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LDFlags datatype.StringSlice `json:"ldflags,omitempty" yaml:"ldflags,omitempty"`
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GCFlags datatype.StringSlice `json:"gcflags,omitempty" yaml:"gcflags,omitempty"`
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Imports []string `json:"imports,omitempty" yaml:"imports,omitempty"`
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}
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type BuildConfig struct {
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BuildDir string `json:"buildDir,omitempty" yaml:"buildDir,omitempty"`
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Imports []string `json:"imports,omitempty" yaml:"imports,omitempty"`
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Targets []BuildTargetConfig `json:"targets,omitempty" yaml:"targets,omitempty"`
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}
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func GetNativeBuildTargetConfig() BuildTargetConfig {
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return BuildTargetConfig{
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Name: "bbgow",
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Arch: runtime.GOARCH,
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OS: runtime.GOOS,
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}
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}
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type Config struct {
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Build *BuildConfig `json:"build,omitempty" yaml:"build,omitempty"`
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// Imports is deprecated
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// Deprecated: use BuildConfig instead
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Imports []string `json:"imports,omitempty" yaml:"imports,omitempty"`
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Backtest *Backtest `json:"backtest,omitempty" yaml:"backtest,omitempty"`
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Notifications *NotificationConfig `json:"notifications,omitempty" yaml:"notifications,omitempty"`
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Persistence *PersistenceConfig `json:"persistence,omitempty" yaml:"persistence,omitempty"`
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Sessions map[string]*ExchangeSession `json:"sessions,omitempty" yaml:"sessions,omitempty"`
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RiskControls *RiskControls `json:"riskControls,omitempty" yaml:"riskControls,omitempty"`
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ExchangeStrategies []ExchangeStrategyMount `json:"-" yaml:"-"`
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CrossExchangeStrategies []CrossExchangeStrategy `json:"-" yaml:"-"`
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PnLReporters []PnLReporterConfig `json:"reportPnL,omitempty" yaml:"reportPnL,omitempty"`
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}
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func (c *Config) Map() (map[string]interface{}, error) {
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text, err := json.Marshal(c)
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if err != nil {
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return nil, err
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}
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var data map[string]interface{}
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err = json.Unmarshal(text, &data)
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if err != nil {
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return nil, err
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}
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// convert strategy config back to the DSL format
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var exchangeStrategies []map[string]interface{}
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for _, m := range c.ExchangeStrategies {
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strategyID := m.Strategy.ID()
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var params Stash
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out, err := json.Marshal(m.Strategy)
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if err != nil {
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return nil, err
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}
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if err := json.Unmarshal(out, ¶ms); err != nil {
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return nil, err
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}
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exchangeStrategies = append(exchangeStrategies, map[string]interface{}{
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"on": m.Mounts,
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strategyID: params,
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})
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}
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data["exchangeStrategies"] = exchangeStrategies
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return data, err
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}
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type Stash map[string]interface{}
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func loadStash(config []byte) (Stash, error) {
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stash := make(Stash)
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if err := yaml.Unmarshal(config, stash); err != nil {
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return nil, err
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}
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return stash, nil
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}
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func LoadBuildConfig(configFile string) (*Config, error) {
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var config Config
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content, err := ioutil.ReadFile(configFile)
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if err != nil {
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return nil, err
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}
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if err := yaml.Unmarshal(content, &config); err != nil {
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return nil, err
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}
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// for backward compatible
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if config.Build == nil {
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if len(config.Imports) > 0 {
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config.Build = &BuildConfig{
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BuildDir: "build",
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Imports: config.Imports,
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Targets: []BuildTargetConfig{
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{Name: "bbgow-amd64-darwin", Arch: "amd64", OS: "darwin"},
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{Name: "bbgow-amd64-linux", Arch: "amd64", OS: "linux"},
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},
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}
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}
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}
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return &config, nil
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}
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// Load parses the config
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func Load(configFile string, loadStrategies bool) (*Config, error) {
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var config Config
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content, err := ioutil.ReadFile(configFile)
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if err != nil {
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return nil, err
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}
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if err := yaml.Unmarshal(content, &config); err != nil {
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return nil, err
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}
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// for backward compatible
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if config.Build == nil {
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config.Build = &BuildConfig{
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BuildDir: "build",
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Imports: config.Imports,
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Targets: []BuildTargetConfig{
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{Name: "bbgow-amd64-darwin", Arch: "amd64", OS: "darwin"},
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{Name: "bbgow-amd64-linux", Arch: "amd64", OS: "linux"},
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},
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}
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}
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stash, err := loadStash(content)
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if err != nil {
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return nil, err
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}
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if loadStrategies {
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if err := loadExchangeStrategies(&config, stash); err != nil {
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return nil, err
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}
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if err := loadCrossExchangeStrategies(&config, stash); err != nil {
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return nil, err
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}
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}
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return &config, nil
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}
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func loadCrossExchangeStrategies(config *Config, stash Stash) (err error) {
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exchangeStrategiesConf, ok := stash["crossExchangeStrategies"]
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if !ok {
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return nil
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}
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if len(LoadedCrossExchangeStrategies) == 0 {
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return errors.New("no cross exchange strategy is registered")
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}
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configList, ok := exchangeStrategiesConf.([]interface{})
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if !ok {
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return errors.New("expecting list in crossExchangeStrategies")
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}
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for _, entry := range configList {
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configStash, ok := entry.(Stash)
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if !ok {
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return fmt.Errorf("strategy config should be a map, given: %T %+v", entry, entry)
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}
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for id, conf := range configStash {
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// look up the real struct type
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if st, ok := LoadedCrossExchangeStrategies[id]; ok {
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val, err := reUnmarshal(conf, st)
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if err != nil {
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return err
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}
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config.CrossExchangeStrategies = append(config.CrossExchangeStrategies, val.(CrossExchangeStrategy))
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}
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}
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}
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return nil
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}
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func NewStrategyFromMap(id string, conf interface{}) (SingleExchangeStrategy, error) {
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if st, ok := LoadedExchangeStrategies[id]; ok {
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val, err := reUnmarshal(conf, st)
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if err != nil {
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return nil, err
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}
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return val.(SingleExchangeStrategy), nil
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}
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return nil, fmt.Errorf("strategy %s not found", id)
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}
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func loadExchangeStrategies(config *Config, stash Stash) (err error) {
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exchangeStrategiesConf, ok := stash["exchangeStrategies"]
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if !ok {
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return nil
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}
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if len(LoadedExchangeStrategies) == 0 {
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return errors.New("no exchange strategy is registered")
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}
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configList, ok := exchangeStrategiesConf.([]interface{})
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if !ok {
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return errors.New("expecting list in exchangeStrategies")
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}
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for _, entry := range configList {
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configStash, ok := entry.(Stash)
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if !ok {
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return fmt.Errorf("strategy config should be a map, given: %T %+v", entry, entry)
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}
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var mounts []string
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if val, ok := configStash["on"]; ok {
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if values, ok := val.([]string); ok {
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mounts = append(mounts, values...)
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} else if str, ok := val.(string); ok {
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mounts = append(mounts, str)
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}
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}
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for id, conf := range configStash {
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// look up the real struct type
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if _, ok := LoadedExchangeStrategies[id]; ok {
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st, err := NewStrategyFromMap(id, conf)
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if err != nil {
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return err
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}
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config.ExchangeStrategies = append(config.ExchangeStrategies, ExchangeStrategyMount{
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Mounts: mounts,
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Strategy: st,
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})
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}
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}
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}
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return nil
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}
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func reUnmarshal(conf interface{}, tpe interface{}) (interface{}, error) {
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// get the type "*Strategy"
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rt := reflect.TypeOf(tpe)
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// allocate new object from the given type
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val := reflect.New(rt)
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// now we have &(*Strategy) -> **Strategy
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valRef := val.Interface()
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plain, err := json.Marshal(conf)
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if err != nil {
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return nil, err
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}
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if err := json.Unmarshal(plain, valRef); err != nil {
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return nil, errors.Wrapf(err, "json parsing error, given payload: %s", plain)
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}
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return val.Elem().Interface(), nil
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}
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