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110 lines
2.9 KiB
Go
110 lines
2.9 KiB
Go
package bbgo
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import (
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"context"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type TradeCollector
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type TradeCollector struct {
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Symbol string
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orderSig sigchan.Chan
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tradeStore *TradeStore
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tradeC chan types.Trade
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position *Position
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orderStore *OrderStore
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tradeCallbacks []func(trade types.Trade)
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positionUpdateCallbacks []func(position *Position)
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profitCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
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}
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func NewTradeCollector(symbol string, position *Position, orderStore *OrderStore) *TradeCollector {
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return &TradeCollector{
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Symbol: symbol,
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orderSig: sigchan.New(1),
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tradeC: make(chan types.Trade, 100),
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tradeStore: NewTradeStore(symbol),
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position: position,
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orderStore: orderStore,
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}
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}
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// handleTradeUpdateInBackground sends the trade object to the trade channel,
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// so that the goroutine can receive the trade and process in the background.
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func (c *TradeCollector) handleTradeUpdateInBackground(trade types.Trade) {
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c.tradeC <- trade
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}
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// BindStreamForBackground bind the stream callback for background processing
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func (c *TradeCollector) BindStreamForBackground(stream types.Stream) {
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stream.OnTradeUpdate(c.handleTradeUpdateInBackground)
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}
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func (c *TradeCollector) BindStream(stream types.Stream) {
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stream.OnTradeUpdate(c.processTrade)
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}
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// Emit triggers the trade processing (position update)
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// If you sent order, and the order store is updated, you can call this method
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// so that trades will be processed in the next round of the goroutine loop
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func (c *TradeCollector) Emit() {
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c.orderSig.Emit()
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}
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// Process filters the received trades and see if there are orders matching the trades
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// if we have the order in the order store, then the trade will be considered for the position.
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// profit will also be calculated.
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func (c *TradeCollector) Process() bool {
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positionChanged := false
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c.tradeStore.Filter(func(trade types.Trade) bool {
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if c.orderStore.Exists(trade.OrderID) {
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c.EmitTrade(trade)
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if profit, netProfit, madeProfit := c.position.AddTrade(trade); madeProfit {
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c.EmitProfit(trade, profit, netProfit)
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}
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positionChanged = true
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return true
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}
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return false
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})
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if positionChanged {
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c.EmitPositionUpdate(c.position)
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}
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return positionChanged
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}
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func (c *TradeCollector) processTrade(trade types.Trade) {
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if c.orderStore.Exists(trade.OrderID) {
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c.EmitTrade(trade)
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if profit, netProfit, madeProfit := c.position.AddTrade(trade); madeProfit {
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c.EmitProfit(trade, profit, netProfit)
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}
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c.EmitPositionUpdate(c.position)
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} else {
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c.tradeStore.Add(trade)
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}
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}
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// Run is a goroutine executed in the background
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func (c *TradeCollector) Run(ctx context.Context) {
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for {
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select {
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case <-ctx.Done():
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return
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case <-c.orderSig:
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c.Process()
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case trade := <-c.tradeC:
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c.processTrade(trade)
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}
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}
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}
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