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85 lines
2.0 KiB
Go
85 lines
2.0 KiB
Go
package xdepthmaker
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import (
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"context"
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"sync"
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"time"
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"golang.org/x/sync/errgroup"
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"github.com/c9s/bbgo/pkg/exchange/batch"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ProfitFixerConfig struct {
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TradesSince types.Time `json:"tradesSince,omitempty"`
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}
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// ProfitFixer implements a trade history based profit fixer
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type ProfitFixer struct {
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market types.Market
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sessions map[string]types.ExchangeTradeHistoryService
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}
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func NewProfitFixer(market types.Market) *ProfitFixer {
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return &ProfitFixer{
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market: market,
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sessions: make(map[string]types.ExchangeTradeHistoryService),
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}
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}
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func (f *ProfitFixer) AddExchange(sessionName string, service types.ExchangeTradeHistoryService) {
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f.sessions[sessionName] = service
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}
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func (f *ProfitFixer) batchQueryTrades(
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ctx context.Context,
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service types.ExchangeTradeHistoryService,
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symbol string,
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since, until time.Time,
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) ([]types.Trade, error) {
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q := &batch.TradeBatchQuery{ExchangeTradeHistoryService: service}
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return q.QueryTrades(ctx, symbol, &types.TradeQueryOptions{
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StartTime: &since,
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EndTime: &until,
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})
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}
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func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, stats *types.ProfitStats, position *types.Position) error {
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var mu sync.Mutex
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var allTrades = make([]types.Trade, 0, 1000)
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g, subCtx := errgroup.WithContext(ctx)
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for n, s := range f.sessions {
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// allocate a copy of the iteration variables
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sessionName := n
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service := s
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g.Go(func() error {
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log.Infof("batch querying %s trade history from %s since %s until %s", f.market.Symbol, sessionName, since.String(), until.String())
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trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until)
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if err != nil {
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log.WithError(err).Errorf("unable to batch query trades for fixer")
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return err
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}
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mu.Lock()
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allTrades = append(allTrades, trades...)
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mu.Unlock()
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return nil
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})
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}
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if err := g.Wait(); err != nil {
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return err
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}
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allTrades = types.SortTradesAscending(allTrades)
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for _, trade := range allTrades {
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stats.AddTrade(trade)
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position.AddTrade(trade)
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}
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return nil
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}
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