mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-26 00:35:15 +00:00
149 lines
3.5 KiB
Go
149 lines
3.5 KiB
Go
package dca2
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"math"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/strategy/common"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
"github.com/sirupsen/logrus"
|
|
)
|
|
|
|
const ID = "dca2"
|
|
|
|
const orderTag = "dca2"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type Strategy struct {
|
|
*common.Strategy
|
|
|
|
Environment *bbgo.Environment
|
|
Market types.Market
|
|
|
|
Symbol string `json:"symbol"`
|
|
|
|
// setting
|
|
Short bool `json:"short"`
|
|
Budget fixedpoint.Value `json:"budget"`
|
|
MaxOrderNum int64 `json:"maxOrderNum"`
|
|
PriceDeviation fixedpoint.Value `json:"priceDeviation"`
|
|
TakeProfitRatio fixedpoint.Value `json:"takeProfitRatio"`
|
|
CoolDownInterval types.Duration `json:"coolDownInterval"`
|
|
|
|
// OrderGroupID is the group ID used for the strategy instance for canceling orders
|
|
OrderGroupID uint32 `json:"orderGroupID"`
|
|
|
|
// log
|
|
logger *logrus.Entry
|
|
LogFields logrus.Fields `json:"logFields"`
|
|
|
|
// private field
|
|
mu sync.Mutex
|
|
makerSide types.SideType
|
|
takeProfitSide types.SideType
|
|
takeProfitPrice fixedpoint.Value
|
|
startTimeOfNextRound time.Time
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
if s.MaxOrderNum < 1 {
|
|
return fmt.Errorf("maxOrderNum can not be < 1")
|
|
}
|
|
|
|
if s.TakeProfitRatio.Sign() <= 0 {
|
|
return fmt.Errorf("takeProfitSpread can not be <= 0")
|
|
}
|
|
|
|
if s.PriceDeviation.Sign() <= 0 {
|
|
return fmt.Errorf("margin can not be <= 0")
|
|
}
|
|
|
|
// TODO: validate balance is enough
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Defaults() error {
|
|
if s.LogFields == nil {
|
|
s.LogFields = logrus.Fields{}
|
|
}
|
|
|
|
s.LogFields["symbol"] = s.Symbol
|
|
s.LogFields["strategy"] = ID
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Initialize() error {
|
|
s.logger = log.WithFields(s.LogFields)
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s-%s", ID, s.Symbol)
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
s.Strategy = &common.Strategy{}
|
|
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
|
|
instanceID := s.InstanceID()
|
|
|
|
if s.Short {
|
|
s.makerSide = types.SideTypeSell
|
|
s.takeProfitSide = types.SideTypeBuy
|
|
} else {
|
|
s.makerSide = types.SideTypeBuy
|
|
s.takeProfitSide = types.SideTypeSell
|
|
}
|
|
|
|
if s.OrderGroupID == 0 {
|
|
s.OrderGroupID = util.FNV32(instanceID) % math.MaxInt32
|
|
}
|
|
|
|
// order executor
|
|
s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
s.logger.Infof("position: %s", s.Position.String())
|
|
bbgo.Sync(ctx, s)
|
|
|
|
// update take profit price here
|
|
})
|
|
|
|
session.MarketDataStream.OnKLine(func(kline types.KLine) {
|
|
// check price here
|
|
})
|
|
|
|
session.UserDataStream.OnAuth(func() {
|
|
s.logger.Info("user data stream authenticated, start the process")
|
|
// decide state here
|
|
})
|
|
|
|
balances, err := session.Exchange.QueryAccountBalances(ctx)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
balance := balances[s.Market.QuoteCurrency]
|
|
if balance.Available.Compare(s.Budget) < 0 {
|
|
return fmt.Errorf("the available balance of %s is %s which is less than budget setting %s, please check it", s.Market.QuoteCurrency, balance.Available, s.Budget)
|
|
}
|
|
|
|
return nil
|
|
}
|