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133 lines
3.0 KiB
Go
133 lines
3.0 KiB
Go
package factorzoo
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import (
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"context"
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"fmt"
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"os"
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"sync"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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)
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const ID = "factorzoo"
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var one = fixedpoint.One
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var zero = fixedpoint.Zero
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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types.IntervalWindow
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// persistence fields
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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activeOrders *bbgo.ActiveOrderBook
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Linear *Linear `json:"linear"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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// StrategyController
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bbgo.StrategyController
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Linear.Interval})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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var instanceID = s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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//_ = s.ClosePosition(ctx, fixedpoint.One)
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})
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// initial required information
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s.session = session
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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for _, method := range s.ExitMethods {
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method.Bind(session, s.orderExecutor)
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}
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if s.Linear != nil {
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s.Linear.Bind(session, s.orderExecutor)
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}
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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return nil
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}
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