ormo

package
v0.1.33 Latest Latest
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 Go to latest Published: Jan 24, 2025 License: AGPL-3.0 Imports: 23 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	InOutStatusInit = iota
	InOutStatusPartEnter
	InOutStatusFullEnter
	InOutStatusPartExit
	InOutStatusFullExit
	InOutStatusDelete
)
View Source 
const (
	OdStatusInit = iota
	OdStatusPartOK
	OdStatusClosed
)
View Source 
const (
	OdInfoLegalCost  = "LegalCost"
	OdInfoStopAfter  = "StopAfter"
	OdInfoStopLoss   = "StopLoss"
	OdInfoTakeProfit = "TakeProfit"
)
View Source 
const (
	OdActionEnter      = "Enter"
	OdActionExit       = "Exit"
	OdActionLimitEnter = "LimitEnter"
	OdActionLimitExit  = "LimitExit"
	OdActionStopLoss   = "StopLoss"
	OdActionTakeProfit = "TakeProfit"
)
View Source 
const (
	KeyStatusMsg = "status_msg"
)

Variables

View Source 
var (
	HistODs []*InOutOrder // Historical orders, used as storage for backtesting. 历史订单，回测时作为存储用

	FakeOdId = int64(1) // Virtual order ID, used for temporary maintenance during backtesting. 虚拟订单ID，用于回测时临时维护
)

Functions

func AddTriggerOd 

func AddTriggerOd(account string, od *InOutOrder)

func CalcUnitReturns added in v0.1.31 

func CalcUnitReturns(odList []*InOutOrder, closes []float64, startMS, endMS, tfMSecs int64) ([]float64, int, int)

CalcUnitReturns 计算单位每日回报金额

odList 订单列表，可无序 closes 对应tfMSecs的每个单位收盘价，可为空 startMS 区间开始时间，13位时间戳 endMS 区间结束时间，13位时间戳 tfMSecs 单位的毫秒间隔

func DumpOrdersGob 

func DumpOrdersGob(path string) *errs.Error

func GetOpenODs 

func GetOpenODs(account string) (map[int64]*InOutOrder, *sync.Mutex)

func GetTaskAcc 

func GetTaskAcc(id int64) string

func GetTaskID 

func GetTaskID(account string) int64

func GetTriggerODs 

func GetTriggerODs(account string) (map[string]map[int64]*InOutOrder, *sync.Mutex)

func InitTask 

func InitTask(showLog bool, outDir string) *errs.Error

func LegalDoneProfits 

func LegalDoneProfits(off int) float64

LegalDoneProfits Calculate the fiat value of realized profits 计算已实现利润的法币价值

func OpenNum 

func OpenNum(account string, status int64) int

OpenNum Returns the number of open orders that match the specified status 返回符合指定状态的尚未平仓订单的数量

func ResetVars 

func ResetVars()

func RestoreVars added in v0.1.29 

func RestoreVars(backup *VarsBackup)

RestoreVars 从备份中恢复所有全局变量

func SaveDirtyODs 

func SaveDirtyODs(path string, account string) *errs.Error

SaveDirtyODs Find unsaved orders from open orders and save them all to the database 从打开的订单中查找未保存的订单，全部保存到数据库

Types

type AddExOrderParams 

type AddExOrderParams struct {
	TaskID    int64   `json:"task_id"`
	InoutID   int64   `json:"inout_id"`
	Symbol    string  `json:"symbol"`
	Enter     bool    `json:"enter"`
	OrderType string  `json:"order_type"`
	OrderID   string  `json:"order_id"`
	Side      string  `json:"side"`
	CreateAt  int64   `json:"create_at"`
	Price     float64 `json:"price"`
	Average   float64 `json:"average"`
	Amount    float64 `json:"amount"`
	Filled    float64 `json:"filled"`
	Status    int64   `json:"status"`
	Fee       float64 `json:"fee"`
	FeeType   string  `json:"fee_type"`
	UpdateAt  int64   `json:"update_at"`
}

type AddIOrderParams 

type AddIOrderParams struct {
	TaskID      int64   `json:"task_id"`
	Symbol      string  `json:"symbol"`
	Sid         int64   `json:"sid"`
	Timeframe   string  `json:"timeframe"`
	Short       bool    `json:"short"`
	Status      int64   `json:"status"`
	EnterTag    string  `json:"enter_tag"`
	InitPrice   float64 `json:"init_price"`
	QuoteCost   float64 `json:"quote_cost"`
	ExitTag     string  `json:"exit_tag"`
	Leverage    float64 `json:"leverage"`
	EnterAt     int64   `json:"enter_at"`
	ExitAt      int64   `json:"exit_at"`
	Strategy    string  `json:"strategy"`
	StgVer      int64   `json:"stg_ver"`
	MaxPftRate  float64 `json:"max_pft_rate"`
	MaxDrawDown float64 `json:"max_draw_down"`
	ProfitRate  float64 `json:"profit_rate"`
	Profit      float64 `json:"profit"`
	Info        string  `json:"info"`
}

type AddTaskParams 

type AddTaskParams struct {
	Mode     string `json:"mode"`
	Name     string `json:"name"`
	CreateAt int64  `json:"create_at"`
	StartAt  int64  `json:"start_at"`
	StopAt   int64  `json:"stop_at"`
	Info     string `json:"info"`
}

type BotTask 

type BotTask struct {
	ID       int64  `json:"id"`
	Mode     string `json:"mode"`
	Name     string `json:"name"`
	CreateAt int64  `json:"create_at"`
	StartAt  int64  `json:"start_at"`
	StopAt   int64  `json:"stop_at"`
	Info     string `json:"info"`
}

func GetTask 

func GetTask(account string) *BotTask

type DBTX 

type DBTX interface {
	ExecContext(context.Context, string, ...interface{}) (sql.Result, error)
	PrepareContext(context.Context, string) (*sql.Stmt, error)
	QueryContext(context.Context, string, ...interface{}) (*sql.Rows, error)
	QueryRowContext(context.Context, string, ...interface{}) *sql.Row
}

type ExOrder 

type ExOrder struct {
	ID        int64   `json:"id"`
	TaskID    int64   `json:"task_id"`
	InoutID   int64   `json:"inout_id"`
	Symbol    string  `json:"symbol"`
	Enter     bool    `json:"enter"`
	OrderType string  `json:"order_type"`
	OrderID   string  `json:"order_id"`
	Side      string  `json:"side"`
	CreateAt  int64   `json:"create_at"`
	Price     float64 `json:"price"`
	Average   float64 `json:"average"`
	Amount    float64 `json:"amount"`
	Filled    float64 `json:"filled"`
	Status    int64   `json:"status"`
	Fee       float64 `json:"fee"`
	FeeType   string  `json:"fee_type"`
	UpdateAt  int64   `json:"update_at"`
}

func (*ExOrder) CutPart 

func (i *ExOrder) CutPart(rate float64, fill bool) *ExOrder

func (*ExOrder) NanInfTo 

func (i *ExOrder) NanInfTo(v float64)

type ExitTrigger 

type ExitTrigger struct {
	Price float64 `json:"price"` // Trigger Price 触发价格
	Limit float64 `json:"limit"` // Submit limit order price after triggering, otherwise market order. 触发后提交限价单价格，否则市价单
	Rate  float64 `json:"rate"`  // Stop-profit and stop-loss ratio, (0,1], 0 means all. 止盈止损比例，(0,1]，0表示全部
	Tag   string  `json:"tag"`   // Reason, used for ExitTag. 原因，用于ExitTag
}

func (*ExitTrigger) Clone 

func (t *ExitTrigger) Clone() *ExitTrigger

func (*ExitTrigger) Equal 

func (t *ExitTrigger) Equal(o *ExitTrigger) bool

type FindTaskParams 

type FindTaskParams struct {
	Mode string `json:"mode"`
	Name string `json:"name"`
}

type GetOrdersArgs 

type GetOrdersArgs struct {
	Strategy    string
	Pairs       []string
	TimeFrame   string
	Status      int   // 0 represents all, 1 represents open interest, 2 represents historical orders 0表示所有，1表示未平仓，2表示历史订单
	TaskID      int64 // 0 represents all,>0 represents specified task 0表示所有，>0表示指定任务
	EnterTag    string
	ExitTag     string
	CloseAfter  int64 // Start timestamp 开始时间戳
	CloseBefore int64 // End timestamp 结束时间戳
	Limit       int
	AfterID     int
	OrderBy     string
}

type GetTaskPairsParams 

type GetTaskPairsParams struct {
	TaskID    int64 `json:"task_id"`
	EnterAt   int64 `json:"enter_at"`
	EnterAt_2 int64 `json:"enter_at_2"`
}

type IOrder 

type IOrder struct {
	ID          int64   `json:"id"`
	TaskID      int64   `json:"task_id"`
	Symbol      string  `json:"symbol"`
	Sid         int64   `json:"sid"`
	Timeframe   string  `json:"timeframe"`
	Short       bool    `json:"short"`
	Status      int64   `json:"status"`
	EnterTag    string  `json:"enter_tag"`
	InitPrice   float64 `json:"init_price"`
	QuoteCost   float64 `json:"quote_cost"`
	ExitTag     string  `json:"exit_tag"`
	Leverage    float64 `json:"leverage"`
	EnterAt     int64   `json:"enter_at"`
	ExitAt      int64   `json:"exit_at"`
	Strategy    string  `json:"strategy"`
	StgVer      int64   `json:"stg_ver"`
	MaxPftRate  float64 `json:"max_pft_rate"`
	MaxDrawDown float64 `json:"max_draw_down"`
	ProfitRate  float64 `json:"profit_rate"`
	Profit      float64 `json:"profit"`
	Info        string  `json:"info"`
}

func (*IOrder) NanInfTo 

func (i *IOrder) NanInfTo(v float64)

type InOutEdit 

type InOutEdit struct {
	Order  *InOutOrder
	Action string
}

type InOutOrder 

type InOutOrder struct {
	*IOrder
	Enter      *ExOrder               `json:"enter"`
	Exit       *ExOrder               `json:"exit"`
	Info       map[string]interface{} `json:"info"`
	DirtyMain  bool                   `json:"-"` // IOrder has unsaved temporary changes 有未保存的临时修改
	DirtyEnter bool                   `json:"-"` // Enter has unsaved temporary changes 有未保存的临时修改
	DirtyExit  bool                   `json:"-"` // Exit has unsaved temporary changes 有未保存的临时修改
	DirtyInfo  bool                   `json:"-"` // Info has unsaved temporary changes 有未保存的临时修改
	// contains filtered or unexported fields
}

func LoadOrdersGob 

func LoadOrdersGob(path string) ([]*InOutOrder, *errs.Error)

func (*InOutOrder) CalcProfit 

func (i *InOutOrder) CalcProfit(price float64) float64

CalcProfit Return profit (before deducting commission) 返回利润（未扣除手续费）

func (*InOutOrder) CanClose 

func (i *InOutOrder) CanClose() bool

func (*InOutOrder) ClientId 

func (i *InOutOrder) ClientId(random bool) string

ClientId Generate the exchange's ClientOrderId 生成交易所的ClientOrderId

func (*InOutOrder) CutPart 

func (i *InOutOrder) CutPart(enterAmt, exitAmt float64) *InOutOrder

CutPart Split a small InOutOrder from the current order to solve the problem of one buy and multiple sell 从当前订单分割出一个小的InOutOrder，解决一次买入，多次卖出问题

func (*InOutOrder) EnterCost 

func (i *InOutOrder) EnterCost() float64

func (*InOutOrder) ForceExit 

func (i *InOutOrder) ForceExit(tag string, msg string)

ForceExit Force exit order, if already purchased, exit at market price. If the purchase is not executed, cancel the pending order. If it has not been submitted, delete the order directly 

Generation mode: Submit a request to the exchange.
Simulation mode: Exit after the next bar appears

强制退出订单，如已买入，则以市价单退出。如买入未成交，则取消挂单，如尚未提交，则直接删除订单 

生成模式：提交请求到交易所。
模拟模式：在下一个bar出现后完成退出

func (*InOutOrder) GetExitTrigger 

func (i *InOutOrder) GetExitTrigger(key string) *TriggerState

func (*InOutOrder) GetInfoFloat64 

func (i *InOutOrder) GetInfoFloat64(key string) float64

func (*InOutOrder) GetInfoInt64 

func (i *InOutOrder) GetInfoInt64(key string) int64

func (*InOutOrder) GetInfoString 

func (i *InOutOrder) GetInfoString(key string) string

func (*InOutOrder) GetInfoText 

func (i *InOutOrder) GetInfoText() (string, *errs.Error)

func (*InOutOrder) GetStopLoss 

func (i *InOutOrder) GetStopLoss() *TriggerState

func (*InOutOrder) GetTakeProfit 

func (i *InOutOrder) GetTakeProfit() *TriggerState

func (*InOutOrder) HoldAmount 

func (i *InOutOrder) HoldAmount() float64

func (*InOutOrder) HoldCost 

func (i *InOutOrder) HoldCost() float64

func (*InOutOrder) IsDirty 

func (i *InOutOrder) IsDirty() bool

func (*InOutOrder) Key 

func (i *InOutOrder) Key() string

func (*InOutOrder) KeyAlign added in v0.1.29 

func (i *InOutOrder) KeyAlign() string

KeyAlign 开单时间戳按时间周期对齐，方便回测和实盘订单对比

func (*InOutOrder) LocalExit 

func (i *InOutOrder) LocalExit(tag string, price float64, msg, odType string) *errs.Error

LocalExit Forcefully exiting the order locally takes effect immediately, without waiting for the next bar. This does not involve wallet updates, the wallet needs to be updated on its own. When calling this function on a real drive, it will be saved to the database 在本地强制退出订单，立刻生效，无需等到下一个bar。这里不涉及钱包更新，钱包需要自行更新。 实盘时调用此函数会保存到数据库

func (*InOutOrder) Lock 

func (i *InOutOrder) Lock() *sync.Mutex

Return to modify the lock of the current order. A successful return indicates that the lock has been obtained 返回修改当前订单的锁，返回成功表示已获取锁

func (*InOutOrder) NanInfTo 

func (i *InOutOrder) NanInfTo(v float64)

func (*InOutOrder) Save 

func (i *InOutOrder) Save(sess *Queries) *errs.Error

func (*InOutOrder) SetEnterLimit 

func (i *InOutOrder) SetEnterLimit(price float64) *errs.Error

func (*InOutOrder) SetExit 

func (i *InOutOrder) SetExit(tag, orderType string, limit float64)

func (*InOutOrder) SetExitTrigger 

func (i *InOutOrder) SetExitTrigger(key string, args *ExitTrigger)

func (*InOutOrder) SetInfo 

func (i *InOutOrder) SetInfo(key string, val interface{})

func (*InOutOrder) SetStopLoss 

func (i *InOutOrder) SetStopLoss(args *ExitTrigger)

func (*InOutOrder) SetTakeProfit 

func (i *InOutOrder) SetTakeProfit(args *ExitTrigger)

func (*InOutOrder) TakeSnap 

func (i *InOutOrder) TakeSnap() *InOutSnap

func (*InOutOrder) UpdateFee 

func (i *InOutOrder) UpdateFee(price float64, forEnter bool, isHistory bool) *errs.Error

UpdateFee Calculates commission for entry/exit orders. Must be called after Filled is assigned a value, otherwise the calculation is empty 为入场/出场订单计算手续费，必须在Filled赋值后调用，否则计算为空

func (*InOutOrder) UpdateProfits 

func (i *InOutOrder) UpdateProfits(price float64)

type InOutSnap 

type InOutSnap struct {
	EnterLimit      float64
	ExitLimit       float64
	StopLoss        float64
	TakeProfit      float64
	StopLossLimit   float64
	TakeProfitLimit float64
}

type ListTaskPairsParams 

type ListTaskPairsParams struct {
	TaskID    int64 `json:"task_id"`
	EnterAt   int64 `json:"enter_at"`
	EnterAt_2 int64 `json:"enter_at_2"`
}

type Querier 

type Querier interface {
	AddExOrder(ctx context.Context, arg AddExOrderParams) (int64, error)
	AddIOrder(ctx context.Context, arg AddIOrderParams) (int64, error)
	AddTask(ctx context.Context, arg AddTaskParams) (*BotTask, error)
	FindTask(ctx context.Context, arg FindTaskParams) (*BotTask, error)
	GetExOrders(ctx context.Context, inoutID int64) ([]*ExOrder, error)
	GetIOrder(ctx context.Context, id int64) (*IOrder, error)
	GetTask(ctx context.Context, id int64) (*BotTask, error)
	GetTaskPairs(ctx context.Context, arg GetTaskPairsParams) ([]string, error)
	ListTaskPairs(ctx context.Context, arg ListTaskPairsParams) ([]string, error)
	ListTasks(ctx context.Context) ([]*BotTask, error)
	SetExOrder(ctx context.Context, arg SetExOrderParams) error
	SetIOrder(ctx context.Context, arg SetIOrderParams) error
}

type Queries 

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

func Conn 

func Conn(path string, write bool) (*Queries, *errs.Error)

func New 

func New(db DBTX) *Queries

func (*Queries) AddExOrder 

func (q *Queries) AddExOrder(ctx context.Context, arg AddExOrderParams) (int64, error)

func (*Queries) AddIOrder 

func (q *Queries) AddIOrder(ctx context.Context, arg AddIOrderParams) (int64, error)

func (*Queries) AddTask 

func (q *Queries) AddTask(ctx context.Context, arg AddTaskParams) (*BotTask, error)

func (*Queries) DelOrder 

func (q *Queries) DelOrder(od *InOutOrder) *errs.Error

func (*Queries) FindTask 

func (q *Queries) FindTask(ctx context.Context, arg FindTaskParams) (*BotTask, error)

func (*Queries) GetAccTask 

func (q *Queries) GetAccTask(account string) (*BotTask, *errs.Error)

func (*Queries) GetExOrders 

func (q *Queries) GetExOrders(ctx context.Context, inoutID int64) ([]*ExOrder, error)

func (*Queries) GetHistOrderTfs 

func (q *Queries) GetHistOrderTfs(taskId int64, stagy string) (map[string]string, *errs.Error)

GetHistOrderTfs Retrieve the specified task and the latest usage time period of the specified policy 获取指定任务，指定策略的最新使用的时间周期

func (*Queries) GetIOrder 

func (q *Queries) GetIOrder(ctx context.Context, id int64) (*IOrder, error)

func (*Queries) GetOrders 

func (q *Queries) GetOrders(args GetOrdersArgs) ([]*InOutOrder, *errs.Error)

func (*Queries) GetTask 

func (q *Queries) GetTask(ctx context.Context, id int64) (*BotTask, error)

func (*Queries) GetTaskPairs 

func (q *Queries) GetTaskPairs(ctx context.Context, arg GetTaskPairsParams) ([]string, error)

func (*Queries) ListTaskPairs 

func (q *Queries) ListTaskPairs(ctx context.Context, arg ListTaskPairsParams) ([]string, error)

func (*Queries) ListTasks 

func (q *Queries) ListTasks(ctx context.Context) ([]*BotTask, error)

func (*Queries) SetExOrder 

func (q *Queries) SetExOrder(ctx context.Context, arg SetExOrderParams) error

func (*Queries) SetIOrder 

func (q *Queries) SetIOrder(ctx context.Context, arg SetIOrderParams) error

func (*Queries) WithTx 

func (q *Queries) WithTx(tx *sql.Tx) *Queries

type SetExOrderParams 

type SetExOrderParams struct {
	TaskID    int64   `json:"task_id"`
	InoutID   int64   `json:"inout_id"`
	Symbol    string  `json:"symbol"`
	Enter     bool    `json:"enter"`
	OrderType string  `json:"order_type"`
	OrderID   string  `json:"order_id"`
	Side      string  `json:"side"`
	CreateAt  int64   `json:"create_at"`
	Price     float64 `json:"price"`
	Average   float64 `json:"average"`
	Amount    float64 `json:"amount"`
	Filled    float64 `json:"filled"`
	Status    int64   `json:"status"`
	Fee       float64 `json:"fee"`
	FeeType   string  `json:"fee_type"`
	UpdateAt  int64   `json:"update_at"`
	ID        int64   `json:"id"`
}

type SetIOrderParams 

type SetIOrderParams struct {
	TaskID      int64   `json:"task_id"`
	Symbol      string  `json:"symbol"`
	Sid         int64   `json:"sid"`
	Timeframe   string  `json:"timeframe"`
	Short       bool    `json:"short"`
	Status      int64   `json:"status"`
	EnterTag    string  `json:"enter_tag"`
	InitPrice   float64 `json:"init_price"`
	QuoteCost   float64 `json:"quote_cost"`
	ExitTag     string  `json:"exit_tag"`
	Leverage    float64 `json:"leverage"`
	EnterAt     int64   `json:"enter_at"`
	ExitAt      int64   `json:"exit_at"`
	Strategy    string  `json:"strategy"`
	StgVer      int64   `json:"stg_ver"`
	MaxPftRate  float64 `json:"max_pft_rate"`
	MaxDrawDown float64 `json:"max_draw_down"`
	ProfitRate  float64 `json:"profit_rate"`
	Profit      float64 `json:"profit"`
	Info        string  `json:"info"`
	ID          int64   `json:"id"`
}

type TriggerState 

type TriggerState struct {
	*ExitTrigger
	Range   float64 `json:"range"` // The stop-profit and stop-loss range is the range from the entry price to the exit price. 止盈止损区间，入场价格到离场价格的区间
	Hit     bool    `json:"hit"`   // whether trigger price has been triggered? 是否已触发
	OrderId string  `json:"order_id"`
	Old     *ExitTrigger
}

func (*TriggerState) Clone 

func (s *TriggerState) Clone() *TriggerState

func (*TriggerState) SaveOld 

func (s *TriggerState) SaveOld()

type VarsBackup added in v0.1.29 

type VarsBackup struct {
	AccOpenODs    map[string]map[int64]*InOutOrder
	AccTriggerODs map[string]map[string]map[int64]*InOutOrder
	AccTasks      map[string]*BotTask
	TaskIdAccMap  map[int64]string
}

VarsBackup 存储 ormo 包相关全局变量的备份

func BackupVars added in v0.1.29 

func BackupVars() *VarsBackup

BackupVars 备份所有全局变量

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