bbgo_origin/pkg/strategy/schedule/strategy.go
2023-06-07 16:36:38 +08:00

251 lines
6.9 KiB
Go

package schedule
import (
"context"
"fmt"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "schedule"
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Market types.Market
// StandardIndicatorSet contains the standard indicators of a market (symbol)
// This field will be injected automatically since we defined the Symbol field.
*bbgo.StandardIndicatorSet
// Interval is the period that you want to submit order
Interval types.Interval `json:"interval"`
// Symbol is the symbol of the market
Symbol string `json:"symbol"`
// Side is the order side type, which can be buy or sell
Side types.SideType `json:"side,omitempty"`
UseLimitOrder bool `json:"useLimitOrder"`
bbgo.QuantityOrAmount
MinBaseBalance fixedpoint.Value `json:"minBaseBalance"`
MaxBaseBalance fixedpoint.Value `json:"maxBaseBalance"`
BelowMovingAverage *bbgo.MovingAverageSettings `json:"belowMovingAverage,omitempty"`
AboveMovingAverage *bbgo.MovingAverageSettings `json:"aboveMovingAverage,omitempty"`
Position *types.Position `persistence:"position"`
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
if s.BelowMovingAverage != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.BelowMovingAverage.Interval})
}
if s.AboveMovingAverage != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.AboveMovingAverage.Interval})
}
}
func (s *Strategy) Validate() error {
if err := s.QuantityOrAmount.Validate(); err != nil {
return err
}
return nil
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.session = session
if s.StandardIndicatorSet == nil {
return errors.New("StandardIndicatorSet can not be nil, injection failed?")
}
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
instanceID := s.InstanceID()
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
s.orderExecutor.Bind()
var belowMA types.Float64Indicator
var aboveMA types.Float64Indicator
var err error
if s.BelowMovingAverage != nil {
belowMA, err = s.BelowMovingAverage.Indicator(s.StandardIndicatorSet)
if err != nil {
return err
}
}
if s.AboveMovingAverage != nil {
aboveMA, err = s.AboveMovingAverage.Indicator(s.StandardIndicatorSet)
if err != nil {
return err
}
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if kline.Symbol != s.Symbol {
return
}
if kline.Interval != s.Interval {
return
}
closePrice := kline.Close
closePriceF := closePrice.Float64()
quantity := s.QuantityOrAmount.CalculateQuantity(closePrice)
side := s.Side
if s.BelowMovingAverage != nil || s.AboveMovingAverage != nil {
match := false
// if any of the conditions satisfies then we execute order
if belowMA != nil && closePriceF < belowMA.Last(0) {
match = true
if s.BelowMovingAverage != nil {
if s.BelowMovingAverage.Side != nil {
side = *s.BelowMovingAverage.Side
}
// override the default quantity or amount
if s.BelowMovingAverage.QuantityOrAmount.IsSet() {
quantity = s.BelowMovingAverage.QuantityOrAmount.CalculateQuantity(closePrice)
}
}
} else if aboveMA != nil && closePriceF > aboveMA.Last(0) {
match = true
if s.AboveMovingAverage != nil {
if s.AboveMovingAverage.Side != nil {
side = *s.AboveMovingAverage.Side
}
if s.AboveMovingAverage.QuantityOrAmount.IsSet() {
quantity = s.AboveMovingAverage.QuantityOrAmount.CalculateQuantity(closePrice)
}
}
}
if !match {
bbgo.Notify("skip, the %s closed price %v is below or above moving average", s.Symbol, closePrice)
return
}
}
// calculate quote quantity for balance checking
quoteQuantity := quantity.Mul(closePrice)
quoteBalance, ok := session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("can not place scheduled %s order, quote balance %s is empty", s.Symbol, s.Market.QuoteCurrency)
return
}
baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
log.Errorf("can not place scheduled %s order, base balance %s is empty", s.Symbol, s.Market.BaseCurrency)
return
}
totalBase := baseBalance.Total()
// execute orders
switch side {
case types.SideTypeBuy:
if !s.MaxBaseBalance.IsZero() {
if totalBase.Add(quantity).Compare(s.MaxBaseBalance) >= 0 {
quantity = s.MaxBaseBalance.Sub(totalBase)
quoteQuantity = quantity.Mul(closePrice)
}
}
// if min base balance is defined
if !s.MinBaseBalance.IsZero() && s.MinBaseBalance.Compare(totalBase) > 0 {
quantity = fixedpoint.Max(quantity, s.MinBaseBalance.Sub(totalBase))
quantity = fixedpoint.Max(quantity, s.Market.MinQuantity)
}
if quoteBalance.Available.Compare(quoteQuantity) < 0 {
log.Errorf("can not place scheduled %s order: quote balance %s is not enough: %v < %v", s.Symbol, s.Market.QuoteCurrency, quoteBalance.Available, quoteQuantity)
return
}
case types.SideTypeSell:
quantity = fixedpoint.Min(quantity, baseBalance.Available)
// skip sell if we hit the minBaseBalance line
if !s.MinBaseBalance.IsZero() {
if totalBase.Sub(quantity).Compare(s.MinBaseBalance) < 0 {
return
}
}
quoteQuantity = quantity.Mul(closePrice)
}
// truncate quantity by its step size
quantity = s.Market.TruncateQuantity(quantity)
if s.Market.IsDustQuantity(quantity, closePrice) {
log.Warnf("%s: quantity %f is too small, skip order", s.Symbol, quantity.Float64())
return
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity,
Market: s.Market,
}
if s.UseLimitOrder {
submitOrder.Type = types.OrderTypeLimit
submitOrder.Price = closePrice
}
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cancel order error")
}
bbgo.Notify("Submitting scheduled %s order with quantity %s at price %s", s.Symbol, quantity.String(), closePrice.String())
_, err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
bbgo.Notify("Can not place scheduled %s order: submit error %s", s.Symbol, err.Error())
log.WithError(err).Errorf("can not place scheduled %s order error", s.Symbol)
}
})
return nil
}