bbgo_origin/pkg/strategy/dca2/state.go

226 lines
6.8 KiB
Go

package dca2
import (
"context"
"time"
"github.com/c9s/bbgo/pkg/bbgo"
)
type State int64
const (
None State = iota
WaitToOpenPosition
PositionOpening
OpenPositionReady
OpenPositionOrderFilled
OpenPositionOrdersCancelling
OpenPositionOrdersCancelled
TakeProfitReady
)
var stateTransition map[State]State = map[State]State{
WaitToOpenPosition: PositionOpening,
PositionOpening: OpenPositionReady,
OpenPositionReady: OpenPositionOrderFilled,
OpenPositionOrderFilled: OpenPositionOrdersCancelling,
OpenPositionOrdersCancelling: OpenPositionOrdersCancelled,
OpenPositionOrdersCancelled: TakeProfitReady,
TakeProfitReady: WaitToOpenPosition,
}
func (s *Strategy) initializeNextStateC() bool {
s.mu.Lock()
defer s.mu.Unlock()
isInitialize := false
if s.nextStateC == nil {
s.logger.Info("[DCA] initializing next state channel")
s.nextStateC = make(chan State, 1)
} else {
s.logger.Info("[DCA] nextStateC is already initialized")
isInitialize = true
}
return isInitialize
}
func (s *Strategy) updateState(state State) {
s.state = state
s.logger.Infof("[state] update state to %d", state)
metricsState.With(baseLabels).Set(float64(s.state))
}
func (s *Strategy) emitNextState(nextState State) {
select {
case s.nextStateC <- nextState:
default:
s.logger.Info("[DCA] nextStateC is full or not initialized")
}
}
// runState
// WaitToOpenPosition -> after startTimeOfNextRound, place dca orders ->
// PositionOpening
// OpenPositionReady -> any dca maker order filled ->
// OpenPositionOrderFilled -> price hit the take profit ration, start cancelling ->
// OpenPositionOrdersCancelled -> place the takeProfit order ->
// TakeProfitReady -> the takeProfit order filled ->
func (s *Strategy) runState(ctx context.Context) {
s.logger.Info("[DCA] runState")
stateTriggerTicker := time.NewTicker(5 * time.Second)
defer stateTriggerTicker.Stop()
for {
select {
case <-ctx.Done():
s.logger.Info("[DCA] runState DONE")
return
case <-stateTriggerTicker.C:
// s.logger.Infof("[DCA] triggerNextState current state: %d", s.state)
s.triggerNextState()
case nextState := <-s.nextStateC:
// next state == current state -> skip
if nextState == s.state {
continue
}
// check the next state is valid
validNextState, exist := stateTransition[s.state]
if !exist {
s.logger.Warnf("[DCA] %d not in stateTransition", s.state)
continue
}
if nextState != validNextState {
s.logger.Warnf("[DCA] %d is not valid next state of curreny state %d", nextState, s.state)
continue
}
// move to next state
switch s.state {
case WaitToOpenPosition:
s.runWaitToOpenPositionState(ctx, nextState)
case PositionOpening:
s.runPositionOpening(ctx, nextState)
case OpenPositionReady:
s.runOpenPositionReady(ctx, nextState)
case OpenPositionOrderFilled:
s.runOpenPositionOrderFilled(ctx, nextState)
case OpenPositionOrdersCancelling:
s.runOpenPositionOrdersCancelling(ctx, nextState)
case OpenPositionOrdersCancelled:
s.runOpenPositionOrdersCancelled(ctx, nextState)
case TakeProfitReady:
s.runTakeProfitReady(ctx, nextState)
}
}
}
}
func (s *Strategy) triggerNextState() {
switch s.state {
case OpenPositionReady:
// only trigger from order filled event
case OpenPositionOrderFilled:
// only trigger from kline event
case TakeProfitReady:
// only trigger from order filled event
default:
if nextState, ok := stateTransition[s.state]; ok {
s.emitNextState(nextState)
}
}
}
func (s *Strategy) runWaitToOpenPositionState(ctx context.Context, next State) {
if s.nextRoundPaused {
s.logger.Info("[State] WaitToOpenPosition - nextRoundPaused is set")
return
}
if time.Now().Before(s.startTimeOfNextRound) {
s.logger.Infof("[State] WaitToOpenPosition - before the startTimeOfNextRound %s", s.startTimeOfNextRound.String())
return
}
s.updateState(PositionOpening)
s.logger.Info("[State] WaitToOpenPosition -> PositionOpening")
}
func (s *Strategy) runPositionOpening(ctx context.Context, next State) {
s.logger.Info("[State] PositionOpening - start placing open-position orders")
if err := s.placeOpenPositionOrders(ctx); err != nil {
s.logger.WithError(err).Error("failed to place dca orders, please check it.")
// try after 1 minute when failed to placing orders
s.startTimeOfNextRound = s.startTimeOfNextRound.Add(1 * time.Minute)
s.updateState(WaitToOpenPosition)
return
}
s.updateState(OpenPositionReady)
s.logger.Info("[State] PositionOpening -> OpenPositionReady")
}
func (s *Strategy) runOpenPositionReady(_ context.Context, next State) {
s.updateState(OpenPositionOrderFilled)
s.logger.Info("[State] OpenPositionReady -> OpenPositionOrderFilled")
}
func (s *Strategy) runOpenPositionOrderFilled(_ context.Context, next State) {
s.updateState(OpenPositionOrdersCancelling)
s.logger.Info("[State] OpenPositionOrderFilled -> OpenPositionOrdersCancelling")
// after open position cancelling, immediately trigger open position cancelled to cancel the other orders
s.emitNextState(OpenPositionOrdersCancelled)
}
func (s *Strategy) runOpenPositionOrdersCancelling(ctx context.Context, next State) {
s.logger.Info("[State] OpenPositionOrdersCancelling - start cancelling open-position orders")
if err := s.OrderExecutor.GracefulCancel(ctx); err != nil {
s.logger.WithError(err).Error("failed to cancel maker orders")
return
}
s.updateState(OpenPositionOrdersCancelled)
s.logger.Info("[State] OpenPositionOrdersCancelling -> OpenPositionOrdersCancelled")
// after open position cancelled, immediately trigger take profit ready to open take-profit order
s.emitNextState(TakeProfitReady)
}
func (s *Strategy) runOpenPositionOrdersCancelled(ctx context.Context, next State) {
s.logger.Info("[State] OpenPositionOrdersCancelled - start placing take-profit orders")
if err := s.placeTakeProfitOrders(ctx); err != nil {
s.logger.WithError(err).Error("failed to open take profit orders")
return
}
s.updateState(TakeProfitReady)
s.logger.Info("[State] OpenPositionOrdersCancelled -> TakeProfitReady")
}
func (s *Strategy) runTakeProfitReady(ctx context.Context, next State) {
// wait 3 seconds to avoid position not update
time.Sleep(3 * time.Second)
s.logger.Info("[State] TakeProfitReady - start reseting position and calculate quote investment for next round")
// update profit stats
if err := s.UpdateProfitStatsUntilSuccessful(ctx); err != nil {
s.logger.WithError(err).Warn("failed to calculate and emit profit")
}
// reset position and open new round for profit stats before position opening
s.Position.Reset()
// store into redis
bbgo.Sync(ctx, s)
// set the start time of the next round
s.startTimeOfNextRound = time.Now().Add(s.CoolDownInterval.Duration())
s.updateState(WaitToOpenPosition)
s.logger.Info("[State] TakeProfitReady -> WaitToOpenPosition")
}