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99 lines
3.2 KiB
Go
99 lines
3.2 KiB
Go
package common
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import (
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"context"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/risk/riskcontrol"
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"github.com/c9s/bbgo/pkg/types"
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)
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type RiskController struct {
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PositionHardLimit fixedpoint.Value `json:"positionHardLimit"`
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MaxPositionQuantity fixedpoint.Value `json:"maxPositionQuantity"`
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CircuitBreakLossThreshold fixedpoint.Value `json:"circuitBreakLossThreshold"`
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CircuitBreakEMA types.IntervalWindow `json:"circuitBreakEMA"`
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positionRiskControl *riskcontrol.PositionRiskControl
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circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
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}
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// Strategy provides the core functionality that is required by a long/short strategy.
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type Strategy struct {
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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parent, ctx context.Context
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cancel context.CancelFunc
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Environ *bbgo.Environment
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Session *bbgo.ExchangeSession
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OrderExecutor *bbgo.GeneralOrderExecutor
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RiskController
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}
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func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, market types.Market, strategyID, instanceID string) {
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s.parent = ctx
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s.ctx, s.cancel = context.WithCancel(ctx)
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s.Environ = environ
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s.Session = session
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(market)
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}
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(market)
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}
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// Always update the position fields
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s.Position.Strategy = strategyID
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s.Position.StrategyInstanceID = instanceID
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// if anyone of the fee rate is defined, this assumes that both are defined.
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// so that zero maker fee could be applied
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if session.MakerFeeRate.Sign() > 0 || session.TakerFeeRate.Sign() > 0 {
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s.Position.SetExchangeFeeRate(session.ExchangeName, types.ExchangeFee{
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MakerFeeRate: session.MakerFeeRate,
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TakerFeeRate: session.TakerFeeRate,
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})
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}
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s.OrderExecutor = bbgo.NewGeneralOrderExecutor(session, market.Symbol, strategyID, instanceID, s.Position)
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s.OrderExecutor.BindEnvironment(environ)
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s.OrderExecutor.BindProfitStats(s.ProfitStats)
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s.OrderExecutor.Bind()
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s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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// bbgo.Sync(ctx, s)
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})
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if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
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log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
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s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.OrderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
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s.positionRiskControl.Initialize(ctx, session)
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}
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if !s.CircuitBreakLossThreshold.IsZero() {
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log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
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s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
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s.Position,
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session.Indicators(market.Symbol).EWMA(s.CircuitBreakEMA),
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s.CircuitBreakLossThreshold,
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s.ProfitStats,
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24*time.Hour)
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}
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}
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func (s *Strategy) IsHalted(t time.Time) bool {
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if s.circuitBreakRiskControl == nil {
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return false
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}
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return s.circuitBreakRiskControl.IsHalted(t)
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}
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