dca2

package
v1.61.0 Latest Latest
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 Go to latest Published: Dec 23, 2024 License: AGPL-3.0 Imports: 20 Imported by: 0

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Index

Constants

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const (
	ID = "dca2"
)

Variables

This section is empty.

Functions

This section is empty.

Types

type Collector added in v1.59.0 

type Collector struct {
	// contains filtered or unexported fields
}

func NewCollector added in v1.59.0 

func NewCollector(logger *logrus.Entry, symbol string, groupID uint32, filterGroupID bool, ex types.Exchange) *Collector

func (Collector) CollectCurrentRound added in v1.59.0 

func (rc Collector) CollectCurrentRound(ctx context.Context) (Round, error)

func (*Collector) CollectFinishRounds added in v1.59.0 

func (rc *Collector) CollectFinishRounds(ctx context.Context, fromOrderID uint64) ([]Round, error)

func (*Collector) CollectRoundTrades added in v1.59.0 

func (rc *Collector) CollectRoundTrades(ctx context.Context, round Round) ([]types.Trade, error)

CollectRoundTrades collect the trades of the orders in the given round. The trades' fee are processed (feeProcessing = false)

type ProfitStats added in v1.56.0 

type ProfitStats struct {
	Symbol string       `json:"symbol"`
	Market types.Market `json:"market,omitempty"`

	FromOrderID     uint64           `json:"fromOrderID,omitempty"`
	Round           int64            `json:"round,omitempty"`
	QuoteInvestment fixedpoint.Value `json:"quoteInvestment,omitempty"`

	CurrentRoundProfit fixedpoint.Value            `json:"currentRoundProfit,omitempty"`
	CurrentRoundFee    map[string]fixedpoint.Value `json:"currentRoundFee,omitempty"`
	TotalProfit        fixedpoint.Value            `json:"totalProfit,omitempty"`
	TotalFee           map[string]fixedpoint.Value `json:"totalFee,omitempty"`

	// used to flexible recovery
	OpenPositionPVs []types.PriceVolume `json:"openPositionPVs,omitempty"`

	types.PersistenceTTL
}

func (*ProfitStats) AddTrade added in v1.56.0 

func (s *ProfitStats) AddTrade(trade types.Trade)

func (*ProfitStats) NewRound added in v1.56.0 

func (s *ProfitStats) NewRound()

func (*ProfitStats) String added in v1.56.0 

func (s *ProfitStats) String() string

type Round added in v1.56.0 

type Round struct {
	OpenPositionOrders []types.Order
	TakeProfitOrders   []types.Order
}

Round contains the open-position orders and the take-profit orders 1. len(OpenPositionOrders) == 0 -> not open position 2. len(TakeProfitOrders) == 0 -> not in the take-profit stage 3. There are take-profit orders only when open-position orders are cancelled 4. We need to make sure the order: open-position (BUY) -> take-profit (SELL) -> open-position (BUY) -> take-profit (SELL) -> ... 5. When there is one filled take-profit order, this round must be finished. We need to verify all take-profit orders are not active

type State added in v1.56.0 

type State int64
const (
	None State = iota
	WaitToOpenPosition
	PositionOpening
	OpenPositionReady
	OpenPositionOrderFilled
	OpenPositionOrdersCancelling
	OpenPositionOrdersCancelled
	TakeProfitReady
)

type Strategy 

type Strategy struct {
	Position       *types.Position `json:"position,omitempty" persistence:"position"`
	ProfitStats    *ProfitStats    `json:"profitStats,omitempty" persistence:"profit_stats"`
	PersistenceTTL types.Duration  `json:"persistenceTTL"`

	Environment     *bbgo.Environment
	ExchangeSession *bbgo.ExchangeSession
	OrderExecutor   *bbgo.GeneralOrderExecutor
	Market          types.Market

	Symbol string `json:"symbol"`

	// setting
	QuoteInvestment  fixedpoint.Value `json:"quoteInvestment"`
	MaxOrderCount    int64            `json:"maxOrderCount"`
	PriceDeviation   fixedpoint.Value `json:"priceDeviation"`
	TakeProfitRatio  fixedpoint.Value `json:"takeProfitRatio"`
	CoolDownInterval types.Duration   `json:"coolDownInterval"`

	// OrderGroupID is the group ID used for the strategy instance for canceling orders
	OrderGroupID              uint32 `json:"orderGroupID"`
	DisableOrderGroupIDFilter bool   `json:"disableOrderGroupIDFilter"`

	// RecoverWhenStart option is used for recovering dca states
	RecoverWhenStart          bool `json:"recoverWhenStart"`
	DisableProfitStatsRecover bool `json:"disableProfitStatsRecover"`
	DisablePositionRecover    bool `json:"disablePositionRecover"`

	// EnableQuoteInvestmentReallocate set to true, the quote investment will be reallocated when the notional or quantity is under minimum.
	EnableQuoteInvestmentReallocate bool `json:"enableQuoteInvestmentReallocate"`

	// KeepOrdersWhenShutdown option is used for keeping the grid orders when shutting down bbgo
	KeepOrdersWhenShutdown bool `json:"keepOrdersWhenShutdown"`

	// UniversalCancelAllOrdersWhenClose close all orders even though the orders don't belong to this strategy
	UniversalCancelAllOrdersWhenClose bool `json:"universalCancelAllOrdersWhenClose"`

	LogFields logrus.Fields `json:"logFields"`

	// PrometheusLabels will be used as the base prometheus labels
	PrometheusLabels prometheus.Labels `json:"prometheusLabels"`

	// callbacks
	common.StatusCallbacks
	// contains filtered or unexported fields
}

func (*Strategy) CleanUp added in v1.56.0 

func (s *Strategy) CleanUp(ctx context.Context) error

func (*Strategy) Close added in v1.56.0 

func (s *Strategy) Close(ctx context.Context) error

func (*Strategy) ContinueNextRound added in v1.58.0 

func (s *Strategy) ContinueNextRound()

func (*Strategy) Defaults 

func (s *Strategy) Defaults() error

func (*Strategy) EmitPositionUpdate added in v1.59.0 

func (s *Strategy) EmitPositionUpdate(position *types.Position)

func (*Strategy) EmitProfit added in v1.56.0 

func (s *Strategy) EmitProfit(profitStats *ProfitStats)

func (*Strategy) ID 

func (s *Strategy) ID() string

func (*Strategy) Initialize 

func (s *Strategy) Initialize() error

func (*Strategy) InstanceID 

func (s *Strategy) InstanceID() string

func (*Strategy) OnPositionUpdate added in v1.59.0 

func (s *Strategy) OnPositionUpdate(cb func(*types.Position))

func (*Strategy) OnProfit added in v1.56.0 

func (s *Strategy) OnProfit(cb func(*ProfitStats))

func (*Strategy) PauseNextRound added in v1.58.0 

func (s *Strategy) PauseNextRound()

PauseNextRound will stop openning open-position orders at the next round

func (*Strategy) Run 

func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error

func (*Strategy) Subscribe 

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)

func (*Strategy) UpdateProfitStats added in v1.58.0 

func (s *Strategy) UpdateProfitStats(ctx context.Context) (bool, error)

UpdateProfitStats will collect round from closed orders and emit update profit stats return true, nil -> there is at least one finished round and all the finished rounds we collect update profit stats successfully return false, nil -> there is no finished round! return true, error -> At least one round update profit stats successfully but there is error when collecting other rounds

func (*Strategy) UpdateProfitStatsUntilSuccessful added in v1.58.0 

func (s *Strategy) UpdateProfitStatsUntilSuccessful(ctx context.Context) error

func (*Strategy) Validate 

func (s *Strategy) Validate() error

Source Files

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