bbgo_origin/pkg/strategy/grid2/strategy.go

package grid2

import (
	"context"
	"fmt"
	"sync"

	"github.com/pkg/errors"
	"github.com/sirupsen/logrus"

	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/fixedpoint"
	"github.com/c9s/bbgo/pkg/types"
	"github.com/c9s/bbgo/pkg/util"
)

const ID = "grid2"

var log = logrus.WithField("strategy", ID)

var notionalModifier = fixedpoint.NewFromFloat(1.0001)

func init() {
	// Register the pointer of the strategy struct,
	// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
	// Note: built-in strategies need to imported manually in the bbgo cmd package.
	bbgo.RegisterStrategy(ID, &Strategy{})
}

type Strategy struct {
	// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
	// This field will be injected automatically since we defined the Symbol field.
	types.Market `json:"-" yaml:"-"`

	// These fields will be filled from the config file (it translates YAML to JSON)
	Symbol string `json:"symbol" yaml:"symbol"`

	// ProfitSpread is the fixed profit spread you want to submit the sell order
	ProfitSpread fixedpoint.Value `json:"profitSpread" yaml:"profitSpread"`

	// GridNum is the grid number, how many orders you want to post on the orderbook.
	GridNum int64 `json:"gridNumber" yaml:"gridNumber"`

	UpperPrice fixedpoint.Value `json:"upperPrice" yaml:"upperPrice"`

	LowerPrice fixedpoint.Value `json:"lowerPrice" yaml:"lowerPrice"`

	bbgo.QuantityOrAmount

	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
	Position    *types.Position    `persistence:"position"`

	// orderStore is used to store all the created orders, so that we can filter the trades.
	orderStore *bbgo.OrderStore

	// activeOrders is the locally maintained active order book of the maker orders.
	activeOrders *bbgo.ActiveOrderBook

	tradeCollector *bbgo.TradeCollector

	// groupID is the group ID used for the strategy instance for canceling orders
	groupID uint32
}

func (s *Strategy) ID() string {
	return ID
}

func (s *Strategy) Validate() error {
	if s.UpperPrice.IsZero() {
		return errors.New("upperPrice can not be zero, you forgot to set?")
	}

	if s.LowerPrice.IsZero() {
		return errors.New("lowerPrice can not be zero, you forgot to set?")
	}

	if s.UpperPrice.Compare(s.LowerPrice) <= 0 {
		return fmt.Errorf("upperPrice (%s) should not be less than or equal to lowerPrice (%s)", s.UpperPrice.String(), s.LowerPrice.String())
	}

	if s.ProfitSpread.Sign() <= 0 {
		// If profitSpread is empty or its value is negative
		return fmt.Errorf("profit spread should bigger than 0")
	}

	if s.GridNum == 0 {
		return fmt.Errorf("gridNum can not be zero")
	}

	if err := s.QuantityOrAmount.Validate(); err != nil {
		return err
	}

	return nil
}

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
}

// InstanceID returns the instance identifier from the current grid configuration parameters
func (s *Strategy) InstanceID() string {
	return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice.Int(), s.LowerPrice.Int())
}

func (s *Strategy) handleOrderFilled(o types.Order) {

}

func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
	instanceID := s.InstanceID()

	s.groupID = util.FNV32(instanceID)

	log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)

	if s.ProfitStats == nil {
		s.ProfitStats = types.NewProfitStats(s.Market)
	}

	if s.Position == nil {
		s.Position = types.NewPositionFromMarket(s.Market)
	}

	s.orderStore = bbgo.NewOrderStore(s.Symbol)
	s.orderStore.BindStream(session.UserDataStream)

	// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
	s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
	s.activeOrders.OnFilled(s.handleOrderFilled)
	s.activeOrders.BindStream(session.UserDataStream)

	s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)

	s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
		bbgo.Notify(trade)
		s.ProfitStats.AddTrade(trade)
	})

	s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
		bbgo.Notify(position)
	})

	s.tradeCollector.BindStream(session.UserDataStream)

	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
		defer wg.Done()

		bbgo.Sync(ctx, s)

		// now we can cancel the open orders
		log.Infof("canceling active orders...")
		if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
			log.WithError(err).Errorf("cancel order error")
		}
	})

	session.UserDataStream.OnStart(func() {

	})

	return nil
}