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115 lines
3.9 KiB
Go
115 lines
3.9 KiB
Go
package ktrade
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import (
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"context"
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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) 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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bestBid, bestAsk, hasPrice := s.StreamBook.BestBidAndAsk()
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if !hasPrice {
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return
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}
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s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2))
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ctx := context.Background()
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if trade.Side == types.SideTypeBuy && trade.Price.Div(bestAsk.Price).Compare(fixedpoint.NewFromFloat(1.00005)) > 0 {
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canceled := s.orderExecutor.GracefulCancel(ctx)
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if canceled != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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}
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// update ask price
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//bestAsk, _ = s.StreamBook.BestAsk()
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newAskPrice := bestAsk.Price.Mul(fixedpoint.NewFromFloat(1.001)).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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err := s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Round(2, 0), symbol)
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if err != nil {
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newAskPrice = bestAsk.Price.Mul(fixedpoint.NewFromFloat(1.002)).Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("short again @ %f", newAskPrice.Float64())
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_ = s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Round(2, 0), symbol)
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}
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} else if trade.Side == types.SideTypeSell && trade.Price.Div(bestBid.Price).Compare(fixedpoint.NewFromFloat(0.99995)) < 0 {
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canceled := s.orderExecutor.GracefulCancel(ctx)
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if canceled != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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}
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// update bid price
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//bestBid, _ = s.StreamBook.BestBid()
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newBidPrice := bestBid.Price.Mul(fixedpoint.NewFromFloat(0.999)).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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err := s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Round(2, 2), symbol)
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if err != nil {
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newBidPrice = bestBid.Price.Mul(fixedpoint.NewFromFloat(0.998)).Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("long again @ %f", newBidPrice.Float64())
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_ = s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Round(2, 2), symbol)
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}
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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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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) error {
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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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return err
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}
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