bbgo_origin/pkg/strategy/etf/strategy.go

110 lines
2.4 KiB
Go

package etf
import (
"context"
"time"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "etf"
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Market types.Market
Notifiability *bbgo.Notifiability
TotalAmount fixedpoint.Value `json:"totalAmount,omitempty"`
// Interval is the period that you want to submit order
Duration types.Duration `json:"duration"`
Index map[string]fixedpoint.Value `json:"index"`
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Validate() error {
if s.TotalAmount.IsZero() {
return errors.New("amount can not be empty")
}
return nil
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
go func() {
ticker := time.NewTicker(s.Duration.Duration())
defer ticker.Stop()
s.Notifiability.Notify("ETF orders will be executed every %s", s.Duration.Duration().String())
for {
select {
case <-ctx.Done():
return
case <-ticker.C:
totalAmount := s.TotalAmount
for symbol, ratio := range s.Index {
amount := totalAmount.Mul(ratio)
ticker, err := session.Exchange.QueryTicker(ctx, symbol)
if err != nil {
s.Notifiability.Notify("query ticker error: %s", err.Error())
log.WithError(err).Error("query ticker error")
break
}
askPrice := ticker.Sell
quantity := askPrice.Div(amount)
// execute orders
quoteBalance, ok := session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
break
}
if quoteBalance.Available.Compare(amount) < 0 {
s.Notifiability.Notify("Quote balance %s is not enough: %s < %s", s.Market.QuoteCurrency, quoteBalance.Available.String(), amount.String())
break
}
s.Notifiability.Notify("Submitting etf order %s quantity %s at price %s (index ratio %s)",
symbol,
quantity.String(),
askPrice.String(),
ratio.Percentage())
_, err = orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: quantity,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
}
}
}
}()
return nil
}