qbtrade/pkg/strategy/audacitymaker/strategy.go

package audacitymaker

import (
	"context"
	"fmt"
	"os"
	"sync"

	"github.com/sirupsen/logrus"

	"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
	"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
	"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
)

const ID = "audacitymaker"

var one = fixedpoint.One
var zero = fixedpoint.Zero

var log = logrus.WithField("strategy", ID)

func init() {
	qbtrade.RegisterStrategy(ID, &Strategy{})
}

type IntervalWindowSetting struct {
	types.IntervalWindow
}

type Strategy struct {
	Environment *qbtrade.Environment
	Symbol      string `json:"symbol"`
	Market      types.Market

	types.IntervalWindow

	// persistence fields
	Position    *types.Position    `persistence:"position"`
	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
	TradeStats  *types.TradeStats  `persistence:"trade_stats"`

	activeOrders *qbtrade.ActiveOrderBook

	OrderFlow *PerTrade `json:"orderFlow"`

	ExitMethods qbtrade.ExitMethodSet `json:"exits"`

	session       *qbtrade.ExchangeSession
	orderExecutor *qbtrade.GeneralOrderExecutor

	// StrategyController
	qbtrade.StrategyController
}

func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
	session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
	session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.OrderFlow.Interval})

	if !qbtrade.IsBackTesting {
		session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
	}

	s.ExitMethods.SetAndSubscribe(session, s)
}

func (s *Strategy) ID() string {
	return ID
}

func (s *Strategy) InstanceID() string {
	return fmt.Sprintf("%s:%s", ID, s.Symbol)
}

func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
	var instanceID = s.InstanceID()

	if s.Position == nil {
		s.Position = types.NewPositionFromMarket(s.Market)
	}

	if s.ProfitStats == nil {
		s.ProfitStats = types.NewProfitStats(s.Market)
	}

	if s.TradeStats == nil {
		s.TradeStats = types.NewTradeStats(s.Symbol)
	}

	// StrategyController
	s.Status = types.StrategyStatusRunning

	s.OnSuspend(func() {
		// Cancel active orders
		_ = s.orderExecutor.GracefulCancel(ctx)
	})

	s.OnEmergencyStop(func() {
		// Cancel active orders
		_ = s.orderExecutor.GracefulCancel(ctx)
		// Close 100% position
		// _ = s.ClosePosition(ctx, fixedpoint.One)
	})

	// initial required information
	s.session = session

	s.orderExecutor = qbtrade.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
	s.orderExecutor.BindEnvironment(s.Environment)
	s.orderExecutor.BindProfitStats(s.ProfitStats)
	s.orderExecutor.BindTradeStats(s.TradeStats)
	s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
		qbtrade.Sync(ctx, s)
	})
	s.orderExecutor.Bind()
	s.activeOrders = qbtrade.NewActiveOrderBook(s.Symbol)

	for _, method := range s.ExitMethods {
		method.Bind(session, s.orderExecutor)
	}

	if s.OrderFlow != nil {
		s.OrderFlow.Bind(session, s.orderExecutor)
	}

	qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
		defer wg.Done()

		_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
		_ = s.orderExecutor.GracefulCancel(ctx)
	})

	return nil
}