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116 lines
3.3 KiB
Go
116 lines
3.3 KiB
Go
package ktrade
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import (
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"context"
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"github.com/c9s/bbgo/pkg/util"
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"time"
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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/types"
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)
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type Minute struct {
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Symbol string
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Market types.Market `json:"-"`
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types.IntervalWindow
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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Quantity fixedpoint.Value `json:"quantity"`
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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StreamBook *types.StreamOrderBook
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midPrice fixedpoint.Value
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bbgo.QuantityOrAmount
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}
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func (s *Minute) updateOrder(ctx context.Context, symbol string) {
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bestBid, bestAsk, _ := s.StreamBook.BestBidAndAsk()
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s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2))
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log.Info(s.midPrice)
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}
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func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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symbol := position.Symbol
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s.StreamBook = types.NewStreamBook(symbol)
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s.StreamBook.BindStream(session.MarketDataStream)
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//store, _ := session.MarketDataStore(symbol)
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
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bestAsk, _ := s.StreamBook.BestAsk()
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bestBid, _ := s.StreamBook.BestBid()
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if trade.Side == types.SideTypeBuy && trade.Price.Compare(s.midPrice) > 0 && trade.Price.Compare(bestAsk.Price) <= 0 {
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_ = s.orderExecutor.GracefulCancel(context.Background())
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// update ask price
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newAskPrice := s.midPrice.Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("short @ %f", newAskPrice.Float64())
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s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Ceil(), symbol)
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} else if trade.Side == types.SideTypeSell && trade.Price.Compare(s.midPrice) < 0 && trade.Price.Compare(bestBid.Price) >= 0 {
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_ = s.orderExecutor.GracefulCancel(context.Background())
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// update bid price
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newBidPrice := s.midPrice.Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("long @ %f", newBidPrice.Float64())
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s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Floor(), symbol)
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}
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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log.Info(kline.NumberOfTrades)
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}))
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go func() {
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quoteTicker := time.NewTicker(util.MillisecondsJitter(time.Millisecond*10, 200))
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defer quoteTicker.Stop()
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for {
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select {
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case <-quoteTicker.C:
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s.updateOrder(context.Background(), symbol)
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}
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}
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}()
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if !bbgo.IsBackTesting {
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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})
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}
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}
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func (s *Minute) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) {
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market, _ := s.session.Market(symbol)
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Market: market,
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Side: side,
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Type: types.OrderTypeLimitMaker,
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Quantity: quantity,
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Price: price,
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//TimeInForce: types.TimeInForceGTC,
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Tag: "ktrade",
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})
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if err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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}
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