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