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Merge pull request #1586 from c9s/kbearXD/dca2/round-collector
dca2: new struct RoundCollector for testing and use flag to decide re…
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,125 @@ | ||
| package dca2 | ||
|
|
||
| import ( | ||
| "context" | ||
| "strconv" | ||
| "time" | ||
|
|
||
| "github.com/c9s/bbgo/pkg/exchange" | ||
| maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi" | ||
| "github.com/c9s/bbgo/pkg/exchange/retry" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| "github.com/sirupsen/logrus" | ||
| ) | ||
|
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| type RoundCollector struct { | ||
| logger *logrus.Entry | ||
| symbol string | ||
| groupID uint32 | ||
| isMax bool | ||
|
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| // service | ||
| historyService types.ExchangeTradeHistoryService | ||
| queryService types.ExchangeOrderQueryService | ||
| } | ||
|
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| func NewRoundCollector(logger *logrus.Entry, symbol string, groupID uint32, ex types.Exchange) *RoundCollector { | ||
| isMax := exchange.IsMaxExchange(ex) | ||
| historyService, ok := ex.(types.ExchangeTradeHistoryService) | ||
| if !ok { | ||
| logger.Errorf("exchange %s doesn't support ExchangeTradeHistoryService", ex.Name()) | ||
| return nil | ||
| } | ||
|
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| queryService, ok := ex.(types.ExchangeOrderQueryService) | ||
| if !ok { | ||
| logger.Errorf("exchange %s doesn't support ExchangeOrderQueryService", ex.Name()) | ||
| return nil | ||
| } | ||
|
|
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| return &RoundCollector{ | ||
| logger: logger, | ||
| symbol: symbol, | ||
| groupID: groupID, | ||
| isMax: isMax, | ||
| historyService: historyService, | ||
| queryService: queryService, | ||
| } | ||
| } | ||
|
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| func (rc *RoundCollector) CollectFinishRounds(ctx context.Context, fromOrderID uint64) ([]Round, error) { | ||
| // TODO: pagination for it | ||
| // query the orders | ||
| rc.logger.Infof("query %s closed orders from order id #%d", rc.symbol, fromOrderID) | ||
| orders, err := retry.QueryClosedOrdersUntilSuccessfulLite(ctx, rc.historyService, rc.symbol, time.Time{}, time.Time{}, fromOrderID) | ||
| if err != nil { | ||
| return nil, err | ||
| } | ||
| rc.logger.Infof("there are %d closed orders from order id #%d", len(orders), fromOrderID) | ||
|
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| var rounds []Round | ||
| var round Round | ||
| for _, order := range orders { | ||
| // skip not this strategy order | ||
| if order.GroupID != rc.groupID { | ||
| continue | ||
| } | ||
|
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| switch order.Side { | ||
| case types.SideTypeBuy: | ||
| round.OpenPositionOrders = append(round.OpenPositionOrders, order) | ||
| case types.SideTypeSell: | ||
| if !rc.isMax { | ||
| if order.Status != types.OrderStatusFilled { | ||
| rc.logger.Infof("take-profit order is %s not filled, so this round is not finished. Skip it", order.Status) | ||
| continue | ||
| } | ||
| } else { | ||
| if !maxapi.IsFilledOrderState(maxapi.OrderState(order.OriginalStatus)) { | ||
| rc.logger.Infof("isMax and take-profit order is %s not done or finalizing, so this round is not finished. Skip it", order.OriginalStatus) | ||
| continue | ||
| } | ||
| } | ||
|
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| round.TakeProfitOrder = order | ||
| rounds = append(rounds, round) | ||
| round = Round{} | ||
| default: | ||
| rc.logger.Errorf("there is order with unsupported side") | ||
| } | ||
| } | ||
|
|
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| return rounds, nil | ||
| } | ||
|
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| func (rc *RoundCollector) CollectRoundTrades(ctx context.Context, round Round) ([]types.Trade, error) { | ||
| debugRoundOrders(rc.logger, "collect round trades", round) | ||
|
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| var roundTrades []types.Trade | ||
|
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| var roundOrders []types.Order = round.OpenPositionOrders | ||
| roundOrders = append(roundOrders, round.TakeProfitOrder) | ||
|
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| for _, order := range roundOrders { | ||
| rc.logger.Infof("collect trades from order: %s", order.String()) | ||
| if order.ExecutedQuantity.Sign() == 0 { | ||
| rc.logger.Info("collect trads from order but no executed quantity ", order.String()) | ||
| continue | ||
| } else { | ||
| rc.logger.Info("collect trades from order ", order.String()) | ||
| } | ||
|
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| trades, err := retry.QueryOrderTradesUntilSuccessfulLite(ctx, rc.queryService, types.OrderQuery{ | ||
| Symbol: order.Symbol, | ||
| OrderID: strconv.FormatUint(order.OrderID, 10), | ||
| }) | ||
|
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| if err != nil { | ||
| return nil, err | ||
| } | ||
|
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| roundTrades = append(roundTrades, trades...) | ||
| } | ||
|
|
||
| return roundTrades, nil | ||
| } |
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