bbgo_origin/pkg/strategy/skeleton/strategy.go

167 lines
5.5 KiB
Go

package skeleton
import (
"context"
"fmt"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
// ID is the unique strategy ID, it needs to be in all lower case
// For example, grid strategy uses "grid"
const ID = "skeleton"
// log is a logrus.Entry that will be reused.
// This line attaches the strategy field to the logger with our ID, so that the logs from this strategy will be tagged with our ID
var log = logrus.WithField("strategy", ID)
var ten = fixedpoint.NewFromInt(10)
// init is a special function of golang, it will be called when the program is started
// importing this package will trigger the init function call.
func init() {
// Register our struct type to BBGO
// Note that you don't need to field the fields.
// BBGO uses reflect to parse your type information.
bbgo.RegisterStrategy(ID, &Strategy{})
}
// State is a struct contains the information that we want to keep in the persistence layer,
// for example, redis or json file.
type State struct {
Counter int `json:"counter,omitempty"`
}
// Strategy is a struct that contains the settings of your strategy.
// These settings will be loaded from the BBGO YAML config file "bbgo.yaml" automatically.
type Strategy struct {
Symbol string `json:"symbol"`
// State is a state of your strategy
// When BBGO shuts down, everything in the memory will be dropped
// If you need to store something and restore this information back,
// Simply define the "persistence" tag
State *State `persistence:"state"`
}
// ID should return the identity of this strategy
func (s *Strategy) ID() string {
return ID
}
// InstanceID returns the identity of the current instance of this strategy.
// You may have multiple instance of a strategy, with different symbols and settings.
// This value will be used for persistence layer to separate the storage.
//
// Run:
// redis-cli KEYS "*"
//
// And you will see how this instance ID is used in redis.
func (s *Strategy) InstanceID() string {
return ID + ":" + s.Symbol
}
// Subscribe method subscribes specific market data from the given session.
// Before BBGO is connected to the exchange, we need to collect what we want to subscribe.
// Here the strategy needs kline data, so it adds the kline subscription.
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
// We want 1m kline data of the symbol
// It will be BTCUSDT 1m if our s.Symbol is BTCUSDT
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
}
// This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// Initialize the default value for state
if s.State == nil {
s.State = &State{Counter: 1}
}
indicators := session.StandardIndicatorSet(s.Symbol)
atr := indicators.ATR(types.IntervalWindow{
Interval: types.Interval1m,
Window: 14,
})
// To get the market information from the current session
// The market object provides the precision, MoQ (minimal of quantity) information
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s not found", s.Symbol)
}
// here we define a kline callback
// when a kline is closed, we will do something
callback := func(kline types.KLine) {
// get the latest ATR value from the indicator object that we just defined.
atrValue := atr.Last(0)
log.Infof("atr %f", atrValue)
// Update our counter and sync the changes to the persistence layer on time
// If you don't do this, BBGO will sync it automatically when BBGO shuts down.
s.State.Counter++
bbgo.Sync(ctx, s)
// To check if we have the quote balance
// When symbol = "BTCUSDT", the quote currency is USDT
// We can get this information from the market object
quoteBalance, ok := session.GetAccount().Balance(market.QuoteCurrency)
if !ok {
// if not ok, it means we don't have this currency in the account
return
}
// For each balance, we have Available and Locked balance.
// balance.Available is the balance you can use to place an order.
// Note that the available balance is a fixed-point object, so you can not compare it with integer directly.
// Instead, you should call valueA.Compare(valueB)
quantityAmount := quoteBalance.Available
if quantityAmount.Sign() <= 0 || quantityAmount.Compare(ten) < 0 {
return
}
// Call LastPrice(symbol) If you need to get the latest price
// Note this last price is updated by the closed kline
currentPrice, ok := session.LastPrice(s.Symbol)
if !ok {
return
}
// totalQuantity = quantityAmount / currentPrice
totalQuantity := quantityAmount.Div(currentPrice)
// Place a market order to the exchange
createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Price: currentPrice,
Quantity: totalQuantity,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
log.Infof("createdOrders: %+v", createdOrders)
// send notification to slack or telegram if you have configured it
bbgo.Notify("order created")
}
// register our kline event handler
session.MarketDataStream.OnKLineClosed(callback)
// if you need to do something when the user data stream is ready
// note that you only receive order update, trade update, balance update when the user data stream is connect.
session.UserDataStream.OnStart(func() {
log.Infof("connected")
})
return nil
}