mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 17:13:51 +00:00
116 lines
3.0 KiB
Go
116 lines
3.0 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"context"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/sigchan"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
//go:generate callbackgen -type TradeCollector
|
|
type TradeCollector struct {
|
|
Symbol string
|
|
orderSig sigchan.Chan
|
|
|
|
tradeStore *TradeStore
|
|
tradeC chan types.Trade
|
|
position *Position
|
|
orderStore *OrderStore
|
|
|
|
tradeCallbacks []func(trade types.Trade)
|
|
positionUpdateCallbacks []func(position *Position)
|
|
profitCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
|
|
}
|
|
|
|
func NewTradeCollector(symbol string, position *Position, orderStore *OrderStore) *TradeCollector {
|
|
return &TradeCollector{
|
|
Symbol: symbol,
|
|
orderSig: sigchan.New(1),
|
|
|
|
tradeC: make(chan types.Trade, 100),
|
|
tradeStore: NewTradeStore(symbol),
|
|
position: position,
|
|
orderStore: orderStore,
|
|
}
|
|
}
|
|
|
|
// handleTradeUpdateInBackground sends the trade object to the trade channel,
|
|
// so that the goroutine can receive the trade and process in the background.
|
|
func (c *TradeCollector) handleTradeUpdateInBackground(trade types.Trade) {
|
|
c.tradeC <- trade
|
|
}
|
|
|
|
// BindStreamForBackground bind the stream callback for background processing
|
|
func (c *TradeCollector) BindStreamForBackground(stream types.Stream) {
|
|
stream.OnTradeUpdate(c.handleTradeUpdateInBackground)
|
|
}
|
|
|
|
func (c *TradeCollector) BindStream(stream types.Stream) {
|
|
stream.OnTradeUpdate(c.processTrade)
|
|
}
|
|
|
|
// Emit triggers the trade processing (position update)
|
|
// If you sent order, and the order store is updated, you can call this method
|
|
// so that trades will be processed in the next round of the goroutine loop
|
|
func (c *TradeCollector) Emit() {
|
|
c.orderSig.Emit()
|
|
}
|
|
|
|
// Process filters the received trades and see if there are orders matching the trades
|
|
// if we have the order in the order store, then the trade will be considered for the position.
|
|
// profit will also be calculated.
|
|
func (c *TradeCollector) Process() bool {
|
|
positionChanged := false
|
|
c.tradeStore.Filter(func(trade types.Trade) bool {
|
|
if c.orderStore.Exists(trade.OrderID) {
|
|
c.EmitTrade(trade)
|
|
if profit, netProfit, madeProfit := c.position.AddTrade(trade); madeProfit {
|
|
c.EmitProfit(trade, profit, netProfit)
|
|
}
|
|
positionChanged = true
|
|
return true
|
|
}
|
|
return false
|
|
})
|
|
if positionChanged {
|
|
c.EmitPositionUpdate(c.position)
|
|
}
|
|
|
|
return positionChanged
|
|
}
|
|
|
|
func (c *TradeCollector) processTrade(trade types.Trade) {
|
|
if c.orderStore.Exists(trade.OrderID) {
|
|
c.EmitTrade(trade)
|
|
if profit, netProfit, madeProfit := c.position.AddTrade(trade); madeProfit {
|
|
c.EmitProfit(trade, profit, netProfit)
|
|
}
|
|
c.EmitPositionUpdate(c.position)
|
|
} else {
|
|
c.tradeStore.Add(trade)
|
|
}
|
|
}
|
|
|
|
// Run is a goroutine executed in the background
|
|
// Do not use this function if you need back-testing
|
|
func (c *TradeCollector) Run(ctx context.Context) {
|
|
var ticker = time.NewTicker(3 * time.Second)
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-ticker.C:
|
|
c.Process()
|
|
|
|
case <-c.orderSig:
|
|
c.Process()
|
|
|
|
case trade := <-c.tradeC:
|
|
c.processTrade(trade)
|
|
}
|
|
}
|
|
}
|