mirror of
https://github.com/c9s/bbgo.git
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404 lines
12 KiB
Go
404 lines
12 KiB
Go
package bbgo
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import (
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"context"
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"fmt"
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"strings"
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"time"
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"github.com/jmoiron/sqlx"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy)
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var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy)
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func RegisterStrategy(key string, s interface{}) {
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switch d := s.(type) {
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case SingleExchangeStrategy:
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LoadedExchangeStrategies[key] = d
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case CrossExchangeStrategy:
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LoadedCrossExchangeStrategies[key] = d
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default:
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panic(fmt.Errorf("%T does not implement SingleExchangeStrategy or CrossExchangeStrategy", d))
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}
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}
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var emptyTime time.Time
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// Environment presents the real exchange data layer
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type Environment struct {
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// Notifiability here for environment is for the streaming data notification
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// note that, for back tests, we don't need notification.
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Notifiability
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TradeService *service.TradeService
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TradeSync *service.SyncService
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// startTime is the time of start point (which is used in the backtest)
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startTime time.Time
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tradeScanTime time.Time
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sessions map[string]*ExchangeSession
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}
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func NewEnvironment() *Environment {
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return &Environment{
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// default trade scan time
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tradeScanTime: time.Now().AddDate(0, 0, -7), // sync from 7 days ago
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sessions: make(map[string]*ExchangeSession),
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}
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}
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func (environ *Environment) Sessions() map[string]*ExchangeSession {
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return environ.sessions
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}
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func (environ *Environment) SyncTrades(db *sqlx.DB) *Environment {
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environ.TradeService = &service.TradeService{DB: db}
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environ.TradeSync = &service.SyncService{
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TradeService: environ.TradeService,
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}
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return environ
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}
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func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession) {
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session = NewExchangeSession(name, exchange)
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environ.sessions[name] = session
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return session
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}
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// Init prepares the data that will be used by the strategies
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func (environ *Environment) Init(ctx context.Context) (err error) {
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for n := range environ.sessions {
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var session = environ.sessions[n]
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var markets, err = LoadExchangeMarketsWithCache(ctx, session.Exchange)
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if len(markets) == 0 {
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return fmt.Errorf("market config should not be empty")
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}
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session.markets = markets
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// trade sync and market data store depends on subscribed symbols so we have to do this here.
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for symbol := range session.loadedSymbols {
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var trades []types.Trade
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if environ.TradeSync != nil {
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log.Infof("syncing trades from %s for symbol %s...", session.Exchange.Name(), symbol)
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if err := environ.TradeSync.SyncTrades(ctx, session.Exchange, symbol, environ.tradeScanTime); err != nil {
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return err
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}
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tradingFeeCurrency := session.Exchange.PlatformFeeCurrency()
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if strings.HasPrefix(symbol, tradingFeeCurrency) {
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trades, err = environ.TradeService.QueryForTradingFeeCurrency(session.Exchange.Name(), symbol, tradingFeeCurrency)
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} else {
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trades, err = environ.TradeService.Query(session.Exchange.Name(), symbol)
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}
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if err != nil {
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return err
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}
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log.Infof("symbol %s: %d trades loaded", symbol, len(trades))
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}
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session.Trades[symbol] = trades
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session.lastPrices[symbol] = 0.0
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marketDataStore := NewMarketDataStore(symbol)
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marketDataStore.BindStream(session.Stream)
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session.marketDataStores[symbol] = marketDataStore
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standardIndicatorSet := NewStandardIndicatorSet(symbol, marketDataStore)
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session.standardIndicatorSets[symbol] = standardIndicatorSet
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}
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log.Infof("querying balances from session %s...", session.Name)
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balances, err := session.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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log.Infof("%s account", session.Name)
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balances.Print()
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session.Account.UpdateBalances(balances)
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session.Account.BindStream(session.Stream)
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session.Stream.OnBalanceUpdate(func(balances types.BalanceMap) {
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log.Infof("balance update: %+v", balances)
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})
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// update last prices
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session.Stream.OnKLineClosed(func(kline types.KLine) {
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log.Infof("kline closed: %+v", kline)
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if _, ok := session.startPrices[kline.Symbol]; !ok {
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session.startPrices[kline.Symbol] = kline.Open
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}
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session.lastPrices[kline.Symbol] = kline.Close
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session.marketDataStores[kline.Symbol].AddKLine(kline)
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})
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session.Stream.OnTradeUpdate(func(trade types.Trade) {
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session.Trades[trade.Symbol] = append(session.Trades[trade.Symbol], trade)
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})
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// feed klines into the market data store
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if environ.startTime == emptyTime {
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environ.startTime = time.Now()
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}
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for symbol := range session.loadedSymbols {
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marketDataStore, ok := session.marketDataStores[symbol]
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if !ok {
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return fmt.Errorf("symbol %s is not defined", symbol)
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}
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var lastPriceTime time.Time
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for interval := range types.SupportedIntervals {
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kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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EndTime: &environ.startTime,
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Limit: 500, // indicators need at least 100
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})
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if err != nil {
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return err
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}
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if len(kLines) == 0 {
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log.Warnf("no kline data for interval %s (end time <= %s)", interval, environ.startTime)
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continue
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}
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// update last prices by the given kline
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lastKLine := kLines[len(kLines)-1]
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if lastPriceTime == emptyTime {
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session.lastPrices[symbol] = lastKLine.Close
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lastPriceTime = lastKLine.EndTime
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} else if lastPriceTime.Before(lastKLine.EndTime) {
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session.lastPrices[symbol] = lastKLine.Close
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lastPriceTime = lastKLine.EndTime
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}
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for _, k := range kLines {
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// let market data store trigger the update, so that the indicator could be updated too.
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marketDataStore.AddKLine(k)
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}
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}
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}
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if environ.TradeService != nil {
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session.Stream.OnTradeUpdate(func(trade types.Trade) {
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if err := environ.TradeService.Insert(trade); err != nil {
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log.WithError(err).Errorf("trade insert error: %+v", trade)
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}
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})
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}
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// TODO: move market data store dispatch to here, use one callback to dispatch the market data
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// Session.Stream.OnKLineClosed(func(kline types.KLine) { })
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}
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return nil
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}
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// configure notification rules
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// for symbol-based routes, we should register the same symbol rules for each session.
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// for session-based routes, we should set the fixed callbacks for each session
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func (environ *Environment) ConfigureNotification(conf *NotificationConfig) {
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// configure routing here
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if conf.SymbolChannels != nil {
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environ.SymbolChannelRouter.AddRoute(conf.SymbolChannels)
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}
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if conf.SessionChannels != nil {
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environ.SessionChannelRouter.AddRoute(conf.SessionChannels)
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}
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if conf.Routing != nil {
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// configure passive object notification routing
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switch conf.Routing.Trade {
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case "$silent": // silent, do not setup notification
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case "$session":
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defaultTradeUpdateHandler := func(trade types.Trade) {
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text := util.Render(TemplateTradeReport, trade)
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environ.Notify(text, &trade)
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}
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for name := range environ.sessions {
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session := environ.sessions[name]
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// if we can route session name to channel successfully...
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channel, ok := environ.SessionChannelRouter.Route(name)
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if ok {
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session.Stream.OnTradeUpdate(func(trade types.Trade) {
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text := util.Render(TemplateTradeReport, trade)
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environ.NotifyTo(channel, text, &trade)
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})
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} else {
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session.Stream.OnTradeUpdate(defaultTradeUpdateHandler)
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}
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}
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case "$symbol":
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// configure object routes for Trade
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environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) {
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trade, matched := obj.(*types.Trade)
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if !matched {
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return
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}
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channel, ok = environ.SymbolChannelRouter.Route(trade.Symbol)
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return
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})
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// use same handler for each session
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handler := func(trade types.Trade) {
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text := util.Render(TemplateTradeReport, trade)
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channel, ok := environ.RouteObject(&trade)
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if ok {
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environ.NotifyTo(channel, text, &trade)
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} else {
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environ.Notify(text, &trade)
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}
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}
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for _, session := range environ.sessions {
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session.Stream.OnTradeUpdate(handler)
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}
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}
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switch conf.Routing.Order {
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case "$silent": // silent, do not setup notification
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case "$session":
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defaultOrderUpdateHandler := func(order types.Order) {
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text := util.Render(TemplateOrderReport, order)
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environ.Notify(text, &order)
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}
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for name := range environ.sessions {
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session := environ.sessions[name]
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// if we can route session name to channel successfully...
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channel, ok := environ.SessionChannelRouter.Route(name)
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if ok {
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session.Stream.OnOrderUpdate(func(order types.Order) {
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text := util.Render(TemplateOrderReport, order)
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environ.NotifyTo(channel, text, &order)
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})
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} else {
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session.Stream.OnOrderUpdate(defaultOrderUpdateHandler)
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}
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}
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case "$symbol":
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// add object route
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environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) {
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order, matched := obj.(*types.Order)
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if !matched {
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return
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}
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channel, ok = environ.SymbolChannelRouter.Route(order.Symbol)
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return
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})
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// use same handler for each session
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handler := func(order types.Order) {
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text := util.Render(TemplateOrderReport, order)
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channel, ok := environ.RouteObject(&order)
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if ok {
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environ.NotifyTo(channel, text, &order)
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} else {
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environ.Notify(text, &order)
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}
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}
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for _, session := range environ.sessions {
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session.Stream.OnOrderUpdate(handler)
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}
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}
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switch conf.Routing.SubmitOrder {
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case "$silent": // silent, do not setup notification
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case "$symbol":
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// add object route
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environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) {
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order, matched := obj.(*types.SubmitOrder)
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if !matched {
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return
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}
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channel, ok = environ.SymbolChannelRouter.Route(order.Symbol)
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return
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})
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}
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// currently not used
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switch conf.Routing.PnL {
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case "$symbol":
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environ.ObjectChannelRouter.Route(func(obj interface{}) (channel string, ok bool) {
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report, matched := obj.(*pnl.AverageCostPnlReport)
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if !matched {
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return
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}
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channel, ok = environ.SymbolChannelRouter.Route(report.Symbol)
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return
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})
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}
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}
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}
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func (environ *Environment) SetStartTime(t time.Time) *Environment {
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environ.startTime = t
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return environ
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}
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// SyncTradesFrom overrides the default trade scan time (-7 days)
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func (environ *Environment) SyncTradesFrom(t time.Time) *Environment {
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environ.tradeScanTime = t
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return environ
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}
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func (environ *Environment) Connect(ctx context.Context) error {
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for n := range environ.sessions {
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// avoid using the placeholder variable for the session because we use that in the callbacks
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var session = environ.sessions[n]
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var logger = log.WithField("session", n)
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if len(session.Subscriptions) == 0 {
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logger.Warnf("exchange session %s has no subscriptions", session.Name)
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} else {
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// add the subscribe requests to the stream
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for _, s := range session.Subscriptions {
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logger.Infof("subscribing %s %s %v", s.Symbol, s.Channel, s.Options)
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session.Stream.Subscribe(s.Channel, s.Symbol, s.Options)
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}
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}
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logger.Infof("connecting session %s...", session.Name)
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if err := session.Stream.Connect(ctx); err != nil {
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return err
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}
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}
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return nil
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}
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func LoadExchangeMarketsWithCache(ctx context.Context, ex types.Exchange) (markets types.MarketMap, err error) {
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err = WithCache(fmt.Sprintf("%s-markets", ex.Name()), &markets, func() (interface{}, error) {
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return ex.QueryMarkets(ctx)
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})
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return markets, err
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}
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