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109 lines
2.4 KiB
Go
109 lines
2.4 KiB
Go
package etf
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import (
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"context"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "etf"
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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Market types.Market
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Notifiability *bbgo.Notifiability
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TotalAmount fixedpoint.Value `json:"totalAmount,omitempty"`
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// Interval is the period that you want to submit order
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Duration types.Duration `json:"duration"`
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Index map[string]fixedpoint.Value `json:"index"`
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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func (s *Strategy) Validate() error {
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if s.TotalAmount == 0 {
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return errors.New("amount can not be empty")
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}
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return nil
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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go func() {
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ticker := time.NewTicker(s.Duration.Duration())
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defer ticker.Stop()
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s.Notifiability.Notify("ETF orders will be executed every %s", s.Duration.Duration().String())
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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totalAmount := s.TotalAmount
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for symbol, ratio := range s.Index {
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amount := totalAmount.Mul(ratio)
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ticker, err := session.Exchange.QueryTicker(ctx, symbol)
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if err != nil {
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s.Notifiability.Notify("query ticker error: %s", err.Error())
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log.WithError(err).Error("query ticker error")
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break
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}
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askPrice := fixedpoint.NewFromFloat(ticker.Sell)
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quantity := askPrice.Div(amount)
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// execute orders
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quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
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if !ok {
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break
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}
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if quoteBalance.Available < amount {
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s.Notifiability.Notify("Quote balance %s is not enough: %f < %f", s.Market.QuoteCurrency, quoteBalance.Available.Float64(), amount.Float64())
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break
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}
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s.Notifiability.Notify("Submitting etf order %s quantity %f at price %f (index ratio %f %%)",
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symbol,
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quantity.Float64(),
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askPrice.Float64(),
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ratio.Float64()*100.0)
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_, err = orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: quantity.Float64(),
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})
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if err != nil {
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log.WithError(err).Error("submit order error")
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}
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}
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}
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}
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}()
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return nil
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}
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