bbgo_origin/pkg/bbgo/config.go
2020-12-29 16:00:03 +08:00

303 lines
7.8 KiB
Go

package bbgo
import (
"encoding/json"
"fmt"
"io/ioutil"
"reflect"
"time"
"github.com/pkg/errors"
"gopkg.in/yaml.v3"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type PnLReporterConfig struct {
AverageCostBySymbols StringSlice `json:"averageCostBySymbols" yaml:"averageCostBySymbols"`
Of StringSlice `json:"of" yaml:"of"`
When StringSlice `json:"when" yaml:"when"`
}
// ExchangeStrategyMount wraps the SingleExchangeStrategy with the Session name for mounting
type ExchangeStrategyMount struct {
// Mounts contains the Session name to mount
Mounts []string
// Strategy is the strategy we loaded from config
Strategy SingleExchangeStrategy
}
type SlackNotification struct {
DefaultChannel string `json:"defaultChannel,omitempty" yaml:"defaultChannel,omitempty"`
ErrorChannel string `json:"errorChannel,omitempty" yaml:"errorChannel,omitempty"`
}
type NotificationRouting struct {
Trade string `json:"trade,omitempty" yaml:"trade,omitempty"`
Order string `json:"order,omitempty" yaml:"order,omitempty"`
SubmitOrder string `json:"submitOrder,omitempty" yaml:"submitOrder,omitempty"`
PnL string `json:"pnL,omitempty" yaml:"pnL,omitempty"`
}
type NotificationConfig struct {
Slack *SlackNotification `json:"slack,omitempty" yaml:"slack,omitempty"`
SymbolChannels map[string]string `json:"symbolChannels,omitempty" yaml:"symbolChannels,omitempty"`
SessionChannels map[string]string `json:"sessionChannels,omitempty" yaml:"sessionChannels,omitempty"`
Routing *NotificationRouting `json:"routing,omitempty" yaml:"routing,omitempty"`
}
type Session struct {
ExchangeName string `json:"exchange" yaml:"exchange"`
EnvVarPrefix string `json:"envVarPrefix" yaml:"envVarPrefix"`
}
type Backtest struct {
StartTime string `json:"startTime" yaml:"startTime"`
EndTime string `json:"endTime" yaml:"endTime"`
Account BacktestAccount `json:"account" yaml:"account"`
Symbols []string `json:"symbols" yaml:"symbols"`
}
func (t Backtest) ParseEndTime() (time.Time, error) {
if len(t.EndTime) == 0 {
return time.Time{}, errors.New("backtest.endTime must be defined")
}
return time.Parse("2006-01-02", t.EndTime)
}
func (t Backtest) ParseStartTime() (time.Time, error) {
if len(t.StartTime) == 0 {
return time.Time{}, errors.New("backtest.startTime must be defined")
}
return time.Parse("2006-01-02", t.StartTime)
}
type BacktestAccount struct {
MakerCommission int `json:"makerCommission"`
TakerCommission int `json:"takerCommission"`
BuyerCommission int `json:"buyerCommission"`
SellerCommission int `json:"sellerCommission"`
Balances BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
}
type BacktestAccountBalanceMap map[string]fixedpoint.Value
func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap {
balances := make(types.BalanceMap)
for currency, value := range m {
balances[currency] = types.Balance{
Currency: currency,
Available: value,
Locked: 0,
}
}
return balances
}
type RedisPersistenceConfig struct {
Host string `json:"host" env:"REDIS_HOST"`
Port string `json:"port" env:"REDIS_PORT"`
Password string `json:"password" env:"REDIS_PASSWORD"`
DB int `json:"db" env:"REDIS_DB"`
}
type JsonPersistenceConfig struct {
Directory string `json:"directory"`
}
type PersistenceConfig struct {
Redis *RedisPersistenceConfig `json:"redis,omitempty" yaml:"redis,omitempty"`
Json *JsonPersistenceConfig `json:"json,omitempty" yaml:"json,omitempty"`
}
type Config struct {
Imports []string `json:"imports" yaml:"imports"`
Backtest *Backtest `json:"backtest,omitempty" yaml:"backtest,omitempty"`
Notifications *NotificationConfig `json:"notifications,omitempty" yaml:"notifications,omitempty"`
Persistence *PersistenceConfig `json:"persistence,omitempty" yaml:"persistence,omitempty"`
Sessions map[string]Session `json:"sessions,omitempty" yaml:"sessions,omitempty"`
RiskControls *RiskControls `json:"riskControls,omitempty" yaml:"riskControls,omitempty"`
ExchangeStrategies []ExchangeStrategyMount
CrossExchangeStrategies []CrossExchangeStrategy
PnLReporters []PnLReporterConfig `json:"reportPnL,omitempty" yaml:"reportPnL,omitempty"`
}
type Stash map[string]interface{}
func loadStash(config []byte) (Stash, error) {
stash := make(Stash)
if err := yaml.Unmarshal(config, stash); err != nil {
return nil, err
}
return stash, nil
}
func LoadBuildConfig(configFile string) (*Config, error) {
var config Config
content, err := ioutil.ReadFile(configFile)
if err != nil {
return nil, err
}
if err := yaml.Unmarshal(content, &config); err != nil {
return nil, err
}
return &config, nil
}
func Load(configFile string, loadStrategies bool) (*Config, error) {
var config Config
content, err := ioutil.ReadFile(configFile)
if err != nil {
return nil, err
}
if err := yaml.Unmarshal(content, &config); err != nil {
return nil, err
}
stash, err := loadStash(content)
if err != nil {
return nil, err
}
if loadStrategies {
if err := loadExchangeStrategies(&config, stash); err != nil {
return nil, err
}
if err := loadCrossExchangeStrategies(&config, stash); err != nil {
return nil, err
}
}
return &config, nil
}
func loadCrossExchangeStrategies(config *Config, stash Stash) (err error) {
exchangeStrategiesConf, ok := stash["crossExchangeStrategies"]
if !ok {
return nil
}
if len(LoadedCrossExchangeStrategies) == 0 {
return errors.New("no cross exchange strategy is registered")
}
configList, ok := exchangeStrategiesConf.([]interface{})
if !ok {
return errors.New("expecting list in crossExchangeStrategies")
}
for _, entry := range configList {
configStash, ok := entry.(Stash)
if !ok {
return fmt.Errorf("strategy config should be a map, given: %T %+v", entry, entry)
}
for id, conf := range configStash {
// look up the real struct type
if st, ok := LoadedCrossExchangeStrategies[id]; ok {
val, err := reUnmarshal(conf, st)
if err != nil {
return err
}
config.CrossExchangeStrategies = append(config.CrossExchangeStrategies, val.(CrossExchangeStrategy))
}
}
}
return nil
}
func loadExchangeStrategies(config *Config, stash Stash) (err error) {
exchangeStrategiesConf, ok := stash["exchangeStrategies"]
if !ok {
return nil
}
if len(LoadedExchangeStrategies) == 0 {
return errors.New("no exchange strategy is registered")
}
configList, ok := exchangeStrategiesConf.([]interface{})
if !ok {
return errors.New("expecting list in exchangeStrategies")
}
for _, entry := range configList {
configStash, ok := entry.(Stash)
if !ok {
return fmt.Errorf("strategy config should be a map, given: %T %+v", entry, entry)
}
var mounts []string
if val, ok := configStash["on"]; ok {
if values, ok := val.([]string); ok {
mounts = append(mounts, values...)
} else if str, ok := val.(string); ok {
mounts = append(mounts, str)
}
}
for id, conf := range configStash {
// look up the real struct type
if st, ok := LoadedExchangeStrategies[id]; ok {
val, err := reUnmarshal(conf, st)
if err != nil {
return err
}
config.ExchangeStrategies = append(config.ExchangeStrategies, ExchangeStrategyMount{
Mounts: mounts,
Strategy: val.(SingleExchangeStrategy),
})
}
}
}
return nil
}
func reUnmarshal(conf interface{}, tpe interface{}) (interface{}, error) {
// get the type "*Strategy"
rt := reflect.TypeOf(tpe)
// allocate new object from the given type
val := reflect.New(rt)
// now we have &(*Strategy) -> **Strategy
valRef := val.Interface()
plain, err := json.Marshal(conf)
if err != nil {
return nil, err
}
if err := json.Unmarshal(plain, valRef); err != nil {
return nil, errors.Wrapf(err, "json parsing error, given payload: %s", plain)
}
return val.Elem().Interface(), nil
}