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122 lines
3.3 KiB
Go
122 lines
3.3 KiB
Go
package bbgo
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import (
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"context"
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log "github.com/sirupsen/logrus"
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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 NotifyFunc func(obj interface{}, args ...interface{})
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// GeneralOrderExecutor implements the general order executor for strategy
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type GeneralOrderExecutor struct {
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session *ExchangeSession
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symbol string
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strategy string
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strategyInstanceID string
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position *types.Position
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activeMakerOrders *ActiveOrderBook
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orderStore *OrderStore
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tradeCollector *TradeCollector
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}
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func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position) *GeneralOrderExecutor {
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// Always update the position fields
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position.Strategy = strategy
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position.StrategyInstanceID = strategyInstanceID
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orderStore := NewOrderStore(symbol)
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return &GeneralOrderExecutor{
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session: session,
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symbol: symbol,
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strategy: strategy,
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strategyInstanceID: strategyInstanceID,
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position: position,
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activeMakerOrders: NewActiveOrderBook(symbol),
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orderStore: orderStore,
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tradeCollector: NewTradeCollector(symbol, position, orderStore),
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}
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}
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func (e *GeneralOrderExecutor) BindEnvironment(environ *Environment) {
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e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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environ.RecordPosition(e.position, trade, profit)
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})
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}
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func (e *GeneralOrderExecutor) BindTradeStats(tradeStats *types.TradeStats) {
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e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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tradeStats.Add(profit.Profit)
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})
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}
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func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
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e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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profitStats.AddTrade(trade)
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if profit == nil {
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return
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}
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profitStats.AddProfit(*profit)
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Notify(&profitStats)
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})
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}
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func (e *GeneralOrderExecutor) Bind() {
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e.activeMakerOrders.BindStream(e.session.UserDataStream)
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e.orderStore.BindStream(e.session.UserDataStream)
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// trade notify
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e.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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Notify(trade)
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})
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e.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", position)
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Notify(position)
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})
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e.tradeCollector.BindStream(e.session.UserDataStream)
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}
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func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) error {
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formattedOrders, err := e.session.FormatOrders(submitOrders)
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if err != nil {
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return err
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}
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createdOrders, err := e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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e.orderStore.Add(createdOrders...)
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e.activeMakerOrders.Add(createdOrders...)
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e.tradeCollector.Process()
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return err
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}
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func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error {
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if err := e.activeMakerOrders.GracefulCancel(ctx, e.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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return err
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}
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return nil
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}
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func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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submitOrder := e.position.NewMarketCloseOrder(percentage)
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if submitOrder == nil {
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return nil
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}
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return e.SubmitOrders(ctx, *submitOrder)
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}
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