bbgo

package
v1.11.1 Latest Latest
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 Go to latest Published: Feb 19, 2021 License: MIT Imports: 35 Imported by: 97

Documentation

Index

Constants

View Source 
const TemplateOrderReport = `:handshake: {{ .Symbol }} {{ .Side }} Order Update @ {{ .Price  }}`
View Source 
const TemplateTradeReport = `:handshake: {{ .Symbol }} {{ .Side }} Trade Execution @ {{ .Price  }}`

Variables

View Source 
var (
	ErrQuoteBalanceLevelTooLow  = errors.New("quote balance level is too low")
	ErrInsufficientQuoteBalance = errors.New("insufficient quote balance")

	ErrAssetBalanceLevelTooLow  = errors.New("asset balance level too low")
	ErrInsufficientAssetBalance = errors.New("insufficient asset balance")
	ErrAssetBalanceLevelTooHigh = errors.New("asset balance level too high")
)
View Source 
var ErrPersistenceNotExists = errors.New("persistent data does not exists")
View Source 
var ErrSessionAlreadyInitialized = errors.New("session is already initialized")
View Source 
var IsWrapperBinary = false
View Source 
var LoadedCrossExchangeStrategies = make(map[string]CrossExchangeStrategy)
View Source 
var LoadedExchangeStrategies = make(map[string]SingleExchangeStrategy)
View Source 
var SupportedExchanges = []types.ExchangeName{"binance", "max"}

Functions

func Build added in v1.9.0 

func Build(ctx context.Context, userConfig *Config, targetConfig BuildTargetConfig) (string, error)

func BuildTarget added in v1.9.0 

func BuildTarget(ctx context.Context, userConfig *Config, target BuildTargetConfig) (string, error)

func CacheDir 

func CacheDir() string

func HomeDir 

func HomeDir() string

func LoadExchangeMarketsWithCache 

func LoadExchangeMarketsWithCache(ctx context.Context, ex types.Exchange) (markets types.MarketMap, err error)

func RegisterStrategy 

func RegisterStrategy(key string, s interface{})

func SetWrapperBinary added in v1.9.0 

func SetWrapperBinary()

func SourceDir 

func SourceDir() string

func WithCache 

func WithCache(key string, obj interface{}, fetcher DataFetcher) error

WithCache let you use the cache with the given cache key, variable reference and your data fetcher, The key must be an unique ID. obj is the pointer of your local variable fetcher is the closure that will fetch your remote data or some slow operation.

Types

type AverageCostPnLReporter 

type AverageCostPnLReporter struct {
	Sessions []string
	Symbols  []string
	// contains filtered or unexported fields
}

func (*AverageCostPnLReporter) Of 

func (reporter *AverageCostPnLReporter) Of(sessions ...string) *AverageCostPnLReporter

func (*AverageCostPnLReporter) Run 

func (reporter *AverageCostPnLReporter) Run()

func (*AverageCostPnLReporter) When 

func (reporter *AverageCostPnLReporter) When(specs ...string) *AverageCostPnLReporter

type Backtest 

type Backtest struct {
	StartTime string `json:"startTime" yaml:"startTime"`
	EndTime   string `json:"endTime" yaml:"endTime"`

	Account BacktestAccount `json:"account" yaml:"account"`
	Symbols []string        `json:"symbols" yaml:"symbols"`
}

func (Backtest) ParseEndTime 

func (t Backtest) ParseEndTime() (time.Time, error)

func (Backtest) ParseStartTime 

func (t Backtest) ParseStartTime() (time.Time, error)

type BacktestAccount 

type BacktestAccount struct {
	MakerCommission  int                       `json:"makerCommission"`
	TakerCommission  int                       `json:"takerCommission"`
	BuyerCommission  int                       `json:"buyerCommission"`
	SellerCommission int                       `json:"sellerCommission"`
	Balances         BacktestAccountBalanceMap `json:"balances" yaml:"balances"`
}

type BacktestAccountBalanceMap 

type BacktestAccountBalanceMap map[string]fixedpoint.Value

func (BacktestAccountBalanceMap) BalanceMap 

func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap

type BasicRiskController 

type BasicRiskController struct {
	Logger *log.Logger

	MaxOrderAmount      fixedpoint.Value `json:"maxOrderAmount,omitempty"`
	MinQuoteBalance     fixedpoint.Value `json:"minQuoteBalance,omitempty"`
	MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance,omitempty"`
	MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance,omitempty"`
}

func (*BasicRiskController) ProcessOrders 

func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...types.SubmitOrder) (outOrders []types.SubmitOrder, errs []error)

ProcessOrders filters and modifies the submit order objects by: 1. Increase the quantity by the minimal requirement 2. Decrease the quantity by risk controls 3. If the quantity does not meet minimal requirement, we should ignore the submit order.

type BuildConfig added in v1.9.0 

type BuildConfig struct {
	BuildDir string              `json:"buildDir,omitempty" yaml:"buildDir,omitempty"`
	Imports  []string            `json:"imports,omitempty" yaml:"imports,omitempty"`
	Targets  []BuildTargetConfig `json:"targets,omitempty" yaml:"targets,omitempty"`
}

type BuildTargetConfig added in v1.9.0 

type BuildTargetConfig struct {
	Name    string               `json:"name" yaml:"name"`
	Arch    string               `json:"arch" yaml:"arch"`
	OS      string               `json:"os" yaml:"os"`
	LDFlags datatype.StringSlice `json:"ldflags,omitempty" yaml:"ldflags,omitempty"`
	GCFlags datatype.StringSlice `json:"gcflags,omitempty" yaml:"gcflags,omitempty"`
	Imports []string             `json:"imports,omitempty" yaml:"imports,omitempty"`
}

func GetNativeBuildTargetConfig added in v1.9.0 

func GetNativeBuildTargetConfig() BuildTargetConfig

type Config 

type Config struct {
	Build *BuildConfig `json:"build,omitempty" yaml:"build,omitempty"`

	// Imports is deprecated
	// Deprecated: use BuildConfig instead
	Imports []string `json:"imports,omitempty" yaml:"imports,omitempty"`

	Backtest *Backtest `json:"backtest,omitempty" yaml:"backtest,omitempty"`

	Notifications *NotificationConfig `json:"notifications,omitempty" yaml:"notifications,omitempty"`

	Persistence *PersistenceConfig `json:"persistence,omitempty" yaml:"persistence,omitempty"`

	Sessions map[string]*ExchangeSession `json:"sessions,omitempty" yaml:"sessions,omitempty"`

	RiskControls *RiskControls `json:"riskControls,omitempty" yaml:"riskControls,omitempty"`

	ExchangeStrategies      []ExchangeStrategyMount `json:"-" yaml:"-"`
	CrossExchangeStrategies []CrossExchangeStrategy `json:"-" yaml:"-"`

	PnLReporters []PnLReporterConfig `json:"reportPnL,omitempty" yaml:"reportPnL,omitempty"`
}

func Load 

func Load(configFile string, loadStrategies bool) (*Config, error)

Load parses the config

func LoadBuildConfig added in v1.3.1 

func LoadBuildConfig(configFile string) (*Config, error)

func (*Config) Map added in v1.11.0 

func (c *Config) Map() (map[string]interface{}, error)

func (*Config) YAML added in v1.11.0 

func (c *Config) YAML() ([]byte, error)

type Context 

type Context struct {
	sync.Mutex
}

deprecated: legacy context struct

type CrossExchangeSessionSubscriber added in v1.2.0 

type CrossExchangeSessionSubscriber interface {
	CrossSubscribe(sessions map[string]*ExchangeSession)
}

type CrossExchangeStrategy 

type CrossExchangeStrategy interface {
	ID() string
	CrossRun(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error
}

type DataFetcher 

type DataFetcher func() (interface{}, error)

type Environment 

type Environment struct {
	// Notifiability here for environment is for the streaming data notification
	// note that, for back tests, we don't need notification.
	Notifiability

	PersistenceServiceFacade *PersistenceServiceFacade

	DatabaseService *service.DatabaseService
	OrderService    *service.OrderService
	TradeService    *service.TradeService
	TradeSync       *service.SyncService
	// contains filtered or unexported fields
}

Environment presents the real exchange data layer

func NewEnvironment 

func NewEnvironment() *Environment

func (*Environment) AddExchange 

func (environ *Environment) AddExchange(name string, exchange types.Exchange) (session *ExchangeSession)

AddExchange adds the given exchange with the session name, this is the default

func (*Environment) AddExchangeSession added in v1.8.0 

func (environ *Environment) AddExchangeSession(name string, session *ExchangeSession) *ExchangeSession

AddExchangeSession adds the existing exchange session or pre-created exchange session

func (*Environment) AddExchangesByViperKeys added in v1.5.0 

func (environ *Environment) AddExchangesByViperKeys() error

func (*Environment) AddExchangesFromConfig added in v1.5.0 

func (environ *Environment) AddExchangesFromConfig(userConfig *Config) error

func (*Environment) AddExchangesFromSessionConfig added in v1.5.0 

func (environ *Environment) AddExchangesFromSessionConfig(sessions map[string]*ExchangeSession) error

func (*Environment) ConfigureDatabase added in v1.7.0 

func (environ *Environment) ConfigureDatabase(ctx context.Context, driver string, dsn string) error

func (*Environment) ConfigureNotification 

func (environ *Environment) ConfigureNotification(conf *NotificationConfig) error

configure notification rules for symbol-based routes, we should register the same symbol rules for each session. for session-based routes, we should set the fixed callbacks for each session

func (*Environment) ConfigurePersistence added in v1.3.1 

func (environ *Environment) ConfigurePersistence(conf *PersistenceConfig) error

func (*Environment) Connect 

func (environ *Environment) Connect(ctx context.Context) error

func (*Environment) Init 

func (environ *Environment) Init(ctx context.Context) (err error)

Init prepares the data that will be used by the strategies

func (*Environment) SelectSessions added in v1.11.1 

func (environ *Environment) SelectSessions(names ...string) map[string]*ExchangeSession

func (*Environment) Session added in v1.8.0 

func (environ *Environment) Session(name string) (*ExchangeSession, bool)

func (*Environment) Sessions 

func (environ *Environment) Sessions() map[string]*ExchangeSession

func (*Environment) SetStartTime 

func (environ *Environment) SetStartTime(t time.Time) *Environment

func (*Environment) SyncSession added in v1.11.1 

func (environ *Environment) SyncSession(ctx context.Context, session *ExchangeSession, startTime time.Time, defaultSymbols ...string) error

func (*Environment) SyncTradesFrom 

func (environ *Environment) SyncTradesFrom(t time.Time) *Environment

SyncTradesFrom overrides the default trade scan time (-7 days)

type ExchangeOrderExecutionRouter 

type ExchangeOrderExecutionRouter struct {
	Notifiability
	// contains filtered or unexported fields
}

func (*ExchangeOrderExecutionRouter) SubmitOrdersTo 

func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (types.OrderSlice, error)

type ExchangeOrderExecutor 

type ExchangeOrderExecutor struct {
	Notifiability `json:"-"`

	Session *ExchangeSession
	// contains filtered or unexported fields
}

ExchangeOrderExecutor is an order executor wrapper for single exchange instance.

func (*ExchangeOrderExecutor) EmitOrderUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) EmitOrderUpdate(order types.Order)

func (*ExchangeOrderExecutor) EmitTradeUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) EmitTradeUpdate(trade types.Trade)

func (*ExchangeOrderExecutor) OnOrderUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) OnOrderUpdate(cb func(order types.Order))

func (*ExchangeOrderExecutor) OnTradeUpdate added in v1.5.0 

func (e *ExchangeOrderExecutor) OnTradeUpdate(cb func(trade types.Trade))

func (*ExchangeOrderExecutor) SubmitOrders 

func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (types.OrderSlice, error)

type ExchangeSession 

type ExchangeSession struct {
	// exchange Session based notification system
	// we make it as a value field so that we can configure it separately
	Notifiability `json:"-" yaml:"-"`

	// Exchange Session name
	Name         string `json:"name,omitempty" yaml:"name,omitempty"`
	ExchangeName string `json:"exchange" yaml:"exchange"`
	EnvVarPrefix string `json:"envVarPrefix" yaml:"envVarPrefix"`
	Key          string `json:"key,omitempty" yaml:"key,omitempty"`
	Secret       string `json:"secret,omitempty" yaml:"secret,omitempty"`

	PublicOnly           bool   `json:"publicOnly,omitempty" yaml:"publicOnly"`
	Margin               bool   `json:"margin,omitempty" yaml:"margin"`
	IsolatedMargin       bool   `json:"isolatedMargin,omitempty" yaml:"isolatedMargin,omitempty"`
	IsolatedMarginSymbol string `json:"isolatedMarginSymbol,omitempty" yaml:"isolatedMarginSymbol,omitempty"`

	// The exchange account states
	Account *types.Account `json:"-" yaml:"-"`

	IsInitialized bool `json:"-" yaml:"-"`

	// Stream is the connection stream of the exchange
	Stream types.Stream `json:"-" yaml:"-"`

	Subscriptions map[types.Subscription]types.Subscription `json:"-" yaml:"-"`

	Exchange types.Exchange `json:"-" yaml:"-"`

	// Trades collects the executed trades from the exchange
	// map: symbol -> []trade
	Trades map[string]*types.TradeSlice `json:"-" yaml:"-"`
	// contains filtered or unexported fields
}

ExchangeSession presents the exchange connection Session It also maintains and collects the data returned from the stream.

func NewExchangeSession 

func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession

func NewExchangeSessionFromConfig added in v1.11.0 

func NewExchangeSessionFromConfig(name string, sessionConfig *ExchangeSession) (*ExchangeSession, error)

func (*ExchangeSession) FindPossibleSymbols added in v1.11.1 

func (session *ExchangeSession) FindPossibleSymbols() (symbols []string, err error)

func (*ExchangeSession) FormatOrder added in v1.5.0 

func (session *ExchangeSession) FormatOrder(order types.SubmitOrder) (types.SubmitOrder, error)

func (*ExchangeSession) Init added in v1.11.0 

func (session *ExchangeSession) Init(ctx context.Context, environ *Environment) error

func (*ExchangeSession) InitSymbol added in v1.11.0 

func (session *ExchangeSession) InitSymbol(ctx context.Context, environ *Environment, symbol string) error

InitSymbol loads trades for the symbol, bind stream callbacks, init positions, market data store. please note, InitSymbol can not be called for the same symbol for twice

func (*ExchangeSession) InitSymbols added in v1.11.0 

func (session *ExchangeSession) InitSymbols(ctx context.Context, environ *Environment) error

InitSymbols uses usedSymbols to initialize the related data structure

func (*ExchangeSession) LastPrice 

func (session *ExchangeSession) LastPrice(symbol string) (price float64, ok bool)

func (*ExchangeSession) LastPrices added in v1.11.0 

func (session *ExchangeSession) LastPrices() map[string]float64

func (*ExchangeSession) Market 

func (session *ExchangeSession) Market(symbol string) (market types.Market, ok bool)

func (*ExchangeSession) MarketDataStore 

func (session *ExchangeSession) MarketDataStore(symbol string) (s *MarketDataStore, ok bool)

MarketDataStore returns the market data store of a symbol

func (*ExchangeSession) Markets added in v1.11.0 

func (session *ExchangeSession) Markets() map[string]types.Market

func (*ExchangeSession) OrderStore added in v1.11.0 

func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool)

func (*ExchangeSession) OrderStores added in v1.11.0 

func (session *ExchangeSession) OrderStores() map[string]*OrderStore

func (*ExchangeSession) Position added in v1.9.0 

func (session *ExchangeSession) Position(symbol string) (pos *Position, ok bool)

func (*ExchangeSession) Positions added in v1.11.0 

func (session *ExchangeSession) Positions() map[string]*Position

func (*ExchangeSession) StandardIndicatorSet 

func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIndicatorSet, bool)

func (*ExchangeSession) StartPrice 

func (session *ExchangeSession) StartPrice(symbol string) (price float64, ok bool)

func (*ExchangeSession) Subscribe 

func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession

Subscribe save the subscription info, later it will be assigned to the stream

func (*ExchangeSession) UpdatePrices added in v1.11.0 

func (session *ExchangeSession) UpdatePrices(ctx context.Context) (err error)

type ExchangeSessionSubscriber 

type ExchangeSessionSubscriber interface {
	Subscribe(session *ExchangeSession)
}

type ExchangeStrategyMount 

type ExchangeStrategyMount struct {
	// Mounts contains the ExchangeSession name to mount
	Mounts []string `json:"mounts"`

	// Strategy is the strategy we loaded from config
	Strategy SingleExchangeStrategy `json:"strategy"`
}

ExchangeStrategyMount wraps the SingleExchangeStrategy with the ExchangeSession name for mounting

func (*ExchangeStrategyMount) Map added in v1.11.0 

func (m *ExchangeStrategyMount) Map() (map[string]interface{}, error)

type Graceful added in v1.1.0 

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

func (*Graceful) EmitShutdown added in v1.1.0 

func (g *Graceful) EmitShutdown(ctx context.Context, wg *sync.WaitGroup)

func (*Graceful) OnShutdown added in v1.1.0 

func (g *Graceful) OnShutdown(cb func(ctx context.Context, wg *sync.WaitGroup))

func (*Graceful) Shutdown added in v1.1.0 

func (g *Graceful) Shutdown(ctx context.Context)

type JsonPersistenceConfig added in v1.3.1 

type JsonPersistenceConfig struct {
	Directory string `json:"directory"`
}

type JsonPersistenceService added in v1.3.1 

type JsonPersistenceService struct {
	Directory string
}

func (*JsonPersistenceService) NewStore added in v1.3.1 

func (s *JsonPersistenceService) NewStore(id string, subIDs ...string) Store

type JsonStore added in v1.3.1 

type JsonStore struct {
	ID        string
	Directory string
}

func (JsonStore) Load added in v1.3.1 

func (store JsonStore) Load(val interface{}) error

func (JsonStore) Reset added in v1.3.1 

func (store JsonStore) Reset() error

func (JsonStore) Save added in v1.3.1 

func (store JsonStore) Save(val interface{}) error

type LocalActiveOrderBook 

type LocalActiveOrderBook struct {
	Bids *types.SyncOrderMap
	Asks *types.SyncOrderMap
	// contains filtered or unexported fields
}

LocalActiveOrderBook manages the local active order books.

func NewLocalActiveOrderBook 

func NewLocalActiveOrderBook() *LocalActiveOrderBook

func (*LocalActiveOrderBook) Add 

func (b *LocalActiveOrderBook) Add(orders ...types.Order)

func (*LocalActiveOrderBook) BindStream added in v1.1.0 

func (b *LocalActiveOrderBook) BindStream(stream types.Stream)

func (*LocalActiveOrderBook) EmitFilled added in v1.1.0 

func (b *LocalActiveOrderBook) EmitFilled(o types.Order)

func (*LocalActiveOrderBook) NumOfAsks 

func (b *LocalActiveOrderBook) NumOfAsks() int

func (*LocalActiveOrderBook) NumOfBids 

func (b *LocalActiveOrderBook) NumOfBids() int

func (*LocalActiveOrderBook) OnFilled added in v1.1.0 

func (b *LocalActiveOrderBook) OnFilled(cb func(o types.Order))

func (*LocalActiveOrderBook) Orders 

func (b *LocalActiveOrderBook) Orders() types.OrderSlice

func (*LocalActiveOrderBook) Print 

func (b *LocalActiveOrderBook) Print()

func (*LocalActiveOrderBook) Remove added in v1.1.0 

func (b *LocalActiveOrderBook) Remove(order types.Order) bool

func (*LocalActiveOrderBook) Update 

func (b *LocalActiveOrderBook) Update(orders ...types.Order)

func (*LocalActiveOrderBook) WriteOff 

func (b *LocalActiveOrderBook) WriteOff(order types.Order) bool

WriteOff writes off the filled order on the opposite side. This method does not write off order by order amount or order quantity.

type Logger 

type Logger interface {
	Warnf(message string, args ...interface{})
	Errorf(message string, args ...interface{})
	Infof(message string, args ...interface{})
}

type Logging 

type Logging interface {
	EnableLogging()
	DisableLogging()
}

type MarketDataStore 

type MarketDataStore struct {
	Symbol string

	// KLineWindows stores all loaded klines per interval
	KLineWindows map[types.Interval]types.KLineWindow `json:"-"`
	// contains filtered or unexported fields
}

MarketDataStore receives and maintain the public market data

func NewMarketDataStore 

func NewMarketDataStore(symbol string) *MarketDataStore

func (*MarketDataStore) AddKLine 

func (store *MarketDataStore) AddKLine(kline types.KLine)

func (*MarketDataStore) BindStream 

func (store *MarketDataStore) BindStream(stream types.Stream)

func (*MarketDataStore) EmitKLineWindowUpdate 

func (store *MarketDataStore) EmitKLineWindowUpdate(interval types.Interval, kline types.KLineWindow)

func (*MarketDataStore) EmitOrderBookUpdate 

func (store *MarketDataStore) EmitOrderBookUpdate(orderBook *types.StreamOrderBook)

func (*MarketDataStore) KLinesOfInterval 

func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines types.KLineWindow, ok bool)

KLinesOfInterval returns the kline window of the given interval

func (*MarketDataStore) OnKLineWindowUpdate 

func (store *MarketDataStore) OnKLineWindowUpdate(cb func(interval types.Interval, kline types.KLineWindow))

func (*MarketDataStore) OnOrderBookUpdate 

func (store *MarketDataStore) OnOrderBookUpdate(cb func(orderBook *types.StreamOrderBook))

func (*MarketDataStore) OrderBook 

func (store *MarketDataStore) OrderBook() types.OrderBook

func (*MarketDataStore) SetKLineWindows 

func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]types.KLineWindow)

type MemoryService added in v1.3.1 

type MemoryService struct {
	Slots map[string]interface{}
}

func NewMemoryService added in v1.3.1 

func NewMemoryService() *MemoryService

func (*MemoryService) NewStore added in v1.3.1 

func (s *MemoryService) NewStore(id string, subIDs ...string) Store

type MemoryStore added in v1.3.1 

type MemoryStore struct {
	Key string
	// contains filtered or unexported fields
}

func (*MemoryStore) Load added in v1.3.1 

func (store *MemoryStore) Load(val interface{}) error

func (*MemoryStore) Reset added in v1.3.1 

func (store *MemoryStore) Reset() error

func (*MemoryStore) Save added in v1.3.1 

func (store *MemoryStore) Save(val interface{}) error

type Notifiability 

type Notifiability struct {
	SessionChannelRouter *PatternChannelRouter
	SymbolChannelRouter  *PatternChannelRouter
	ObjectChannelRouter  *ObjectChannelRouter
	// contains filtered or unexported fields
}

func (*Notifiability) AddNotifier 

func (m *Notifiability) AddNotifier(notifier Notifier)

AddNotifier adds the notifier that implements the Notifier interface.

func (*Notifiability) Notify 

func (m *Notifiability) Notify(format string, args ...interface{})

func (*Notifiability) NotifyTo 

func (m *Notifiability) NotifyTo(channel, format string, args ...interface{})

func (*Notifiability) RouteObject 

func (m *Notifiability) RouteObject(obj interface{}) (channel string, ok bool)

RouteObject routes object to channel

func (*Notifiability) RouteSession 

func (m *Notifiability) RouteSession(session string) (channel string, ok bool)

RouteSession routes Session name to channel

func (*Notifiability) RouteSymbol 

func (m *Notifiability) RouteSymbol(symbol string) (channel string, ok bool)

RouteSession routes symbol name to channel

type NotificationConfig 

type NotificationConfig struct {
	Slack *SlackNotification `json:"slack,omitempty" yaml:"slack,omitempty"`

	SymbolChannels  map[string]string `json:"symbolChannels,omitempty" yaml:"symbolChannels,omitempty"`
	SessionChannels map[string]string `json:"sessionChannels,omitempty" yaml:"sessionChannels,omitempty"`

	Routing *NotificationRouting `json:"routing,omitempty" yaml:"routing,omitempty"`
}

type NotificationRouting 

type NotificationRouting struct {
	Trade       string `json:"trade,omitempty" yaml:"trade,omitempty"`
	Order       string `json:"order,omitempty" yaml:"order,omitempty"`
	SubmitOrder string `json:"submitOrder,omitempty" yaml:"submitOrder,omitempty"`
	PnL         string `json:"pnL,omitempty" yaml:"pnL,omitempty"`
}

type Notifier 

type Notifier interface {
	NotifyTo(channel, format string, args ...interface{})
	Notify(format string, args ...interface{})
}

type NullNotifier 

type NullNotifier struct{}

func (*NullNotifier) Notify 

func (n *NullNotifier) Notify(format string, args ...interface{})

func (*NullNotifier) NotifyTo 

func (n *NullNotifier) NotifyTo(channel, format string, args ...interface{})

type ObjectChannelHandler 

type ObjectChannelHandler func(obj interface{}) (channel string, ok bool)

type ObjectChannelRouter 

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

func NewObjectChannelRouter 

func NewObjectChannelRouter() *ObjectChannelRouter

func (*ObjectChannelRouter) AddRoute 

func (router *ObjectChannelRouter) AddRoute(f ObjectChannelHandler)

func (*ObjectChannelRouter) Route 

func (router *ObjectChannelRouter) Route(obj interface{}) (channel string, ok bool)

type OrderExecutionRouter 

type OrderExecutionRouter interface {
	// SubmitOrderTo submit order to a specific exchange Session
	SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
}

type OrderExecutor 

type OrderExecutor interface {
	SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)

	OnTradeUpdate(cb func(trade types.Trade))
	OnOrderUpdate(cb func(order types.Order))
}

type OrderStore added in v1.1.0 

type OrderStore struct {
	Symbol          string
	RemoveCancelled bool
	AddOrderUpdate  bool
	// contains filtered or unexported fields
}

func NewOrderStore added in v1.1.0 

func NewOrderStore(symbol string) *OrderStore

func (*OrderStore) Add added in v1.1.0 

func (s *OrderStore) Add(orders ...types.Order)

func (*OrderStore) BindStream added in v1.1.0 

func (s *OrderStore) BindStream(stream types.Stream)

func (*OrderStore) Exists added in v1.1.0 

func (s *OrderStore) Exists(oID uint64) (ok bool)

func (*OrderStore) Orders added in v1.11.0 

func (s *OrderStore) Orders() (orders []types.Order)

func (*OrderStore) Remove added in v1.1.0 

func (s *OrderStore) Remove(o types.Order)

func (*OrderStore) Update added in v1.1.0 

func (s *OrderStore) Update(o types.Order) bool

type PatternChannelRouter 

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

func NewPatternChannelRouter 

func NewPatternChannelRouter(routes map[string]string) *PatternChannelRouter

func (*PatternChannelRouter) AddRoute 

func (router *PatternChannelRouter) AddRoute(routes map[string]string)

func (*PatternChannelRouter) Route 

func (router *PatternChannelRouter) Route(text string) (channel string, ok bool)

type Persistence added in v1.3.1 

type Persistence struct {
	PersistenceSelector *PersistenceSelector `json:"persistence,omitempty" yaml:"persistence,omitempty"`

	Facade *PersistenceServiceFacade `json:"-" yaml:"-"`
}

Persistence is used for strategy to inject the persistence.

func (*Persistence) Load added in v1.3.1 

func (p *Persistence) Load(val interface{}, subIDs ...string) error

func (*Persistence) Save added in v1.3.1 

func (p *Persistence) Save(val interface{}, subIDs ...string) error

type PersistenceConfig added in v1.3.1 

type PersistenceConfig struct {
	Redis *RedisPersistenceConfig `json:"redis,omitempty" yaml:"redis,omitempty"`
	Json  *JsonPersistenceConfig  `json:"json,omitempty" yaml:"json,omitempty"`
}

type PersistenceSelector added in v1.3.1 

type PersistenceSelector struct {
	// StoreID is the store you want to use.
	StoreID string `json:"store" yaml:"store"`

	// Type is the persistence type
	Type string `json:"type" yaml:"type"`
}

type PersistenceService added in v1.3.1 

type PersistenceService interface {
	NewStore(id string, subIDs ...string) Store
}

type PersistenceServiceFacade added in v1.3.1 

type PersistenceServiceFacade struct {
	Redis  *RedisPersistenceService
	Json   *JsonPersistenceService
	Memory *MemoryService
}

type PnLReporter 

type PnLReporter interface {
	Run()
}

type PnLReporterConfig 

type PnLReporterConfig struct {
	AverageCostBySymbols datatype.StringSlice `json:"averageCostBySymbols" yaml:"averageCostBySymbols"`
	Of                   datatype.StringSlice `json:"of" yaml:"of"`
	When                 datatype.StringSlice `json:"when" yaml:"when"`
}

type PnLReporterManager 

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

func NewPnLReporter 

func NewPnLReporter(notifier Notifier) *PnLReporterManager

func (*PnLReporterManager) AverageCostBySymbols 

func (manager *PnLReporterManager) AverageCostBySymbols(symbols ...string) *AverageCostPnLReporter

type Position added in v1.9.0 

type Position struct {
	Symbol        string `json:"symbol"`
	BaseCurrency  string `json:"baseCurrency"`
	QuoteCurrency string `json:"quoteCurrency"`

	Base        fixedpoint.Value `json:"base"`
	Quote       fixedpoint.Value `json:"quote"`
	AverageCost fixedpoint.Value `json:"averageCost"`
}

func (*Position) AddTrade added in v1.9.0 

func (p *Position) AddTrade(t types.Trade) (fixedpoint.Value, bool)

func (*Position) AddTrades added in v1.9.0 

func (p *Position) AddTrades(trades []types.Trade) (fixedpoint.Value, bool)

func (*Position) BindStream added in v1.9.0 

func (p *Position) BindStream(stream types.Stream)

func (Position) String added in v1.11.1 

func (p Position) String() string

type Quota added in v1.2.0 

type Quota struct {
	Available fixedpoint.Value
	Locked    fixedpoint.Value
	// contains filtered or unexported fields
}

func (*Quota) Add added in v1.2.0 

func (q *Quota) Add(fund fixedpoint.Value)

func (*Quota) Commit added in v1.2.0 

func (q *Quota) Commit()

func (*Quota) Lock added in v1.2.0 

func (q *Quota) Lock(fund fixedpoint.Value) bool

func (*Quota) Rollback added in v1.2.0 

func (q *Quota) Rollback()

type QuotaTransaction added in v1.2.0 

type QuotaTransaction struct {
	BaseAsset  Quota
	QuoteAsset Quota
	// contains filtered or unexported fields
}

func (*QuotaTransaction) Commit added in v1.2.0 

func (m *QuotaTransaction) Commit() bool

func (*QuotaTransaction) Rollback added in v1.2.0 

func (m *QuotaTransaction) Rollback() bool

type RedisPersistenceConfig added in v1.3.1 

type RedisPersistenceConfig struct {
	Host     string `json:"host" env:"REDIS_HOST"`
	Port     string `json:"port" env:"REDIS_PORT"`
	Password string `json:"password" env:"REDIS_PASSWORD"`
	DB       int    `json:"db" env:"REDIS_DB"`
}

type RedisPersistenceService added in v1.3.1 

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

func NewRedisPersistenceService added in v1.3.1 

func NewRedisPersistenceService(config *RedisPersistenceConfig) *RedisPersistenceService

func (*RedisPersistenceService) NewStore added in v1.3.1 

func (s *RedisPersistenceService) NewStore(id string, subIDs ...string) Store

type RedisStore added in v1.3.1 

type RedisStore struct {
	ID string
	// contains filtered or unexported fields
}

func (*RedisStore) Load added in v1.3.1 

func (store *RedisStore) Load(val interface{}) error

func (*RedisStore) Reset added in v1.3.1 

func (store *RedisStore) Reset() error

func (*RedisStore) Save added in v1.3.1 

func (store *RedisStore) Save(val interface{}) error

type RiskControlOrderExecutor 

type RiskControlOrderExecutor struct {
	*ExchangeOrderExecutor

	// Symbol => Executor config
	BySymbol map[string]*SymbolBasedRiskController `json:"bySymbol,omitempty" yaml:"bySymbol,omitempty"`
}

func (*RiskControlOrderExecutor) SubmitOrders 

func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (retOrders types.OrderSlice, err error)

type RiskControls 

type RiskControls struct {
	SessionBasedRiskControl map[string]*SessionBasedRiskControl `json:"sessionBased,omitempty" yaml:"sessionBased,omitempty"`
}

type Session 

type Session struct {
	Name         string `json:"name,omitempty" yaml:"name,omitempty"`
	ExchangeName string `json:"exchange" yaml:"exchange"`
	EnvVarPrefix string `json:"envVarPrefix" yaml:"envVarPrefix"`

	Key    string `json:"key,omitempty" yaml:"key,omitempty"`
	Secret string `json:"secret,omitempty" yaml:"secret,omitempty"`

	PublicOnly           bool   `json:"publicOnly,omitempty" yaml:"publicOnly"`
	Margin               bool   `json:"margin,omitempty" yaml:"margin,omitempty"`
	IsolatedMargin       bool   `json:"isolatedMargin,omitempty" yaml:"isolatedMargin,omitempty"`
	IsolatedMarginSymbol string `json:"isolatedMarginSymbol,omitempty" yaml:"isolatedMarginSymbol,omitempty"`
}

type SessionBasedRiskControl 

type SessionBasedRiskControl struct {
	OrderExecutor *RiskControlOrderExecutor `json:"orderExecutor,omitempty" yaml:"orderExecutor"`
}

func (*SessionBasedRiskControl) SetBaseOrderExecutor 

func (control *SessionBasedRiskControl) SetBaseOrderExecutor(executor *ExchangeOrderExecutor)

type SilentLogger 

type SilentLogger struct{}

func (*SilentLogger) Errorf 

func (logger *SilentLogger) Errorf(message string, args ...interface{})

func (*SilentLogger) Infof 

func (logger *SilentLogger) Infof(message string, args ...interface{})

func (*SilentLogger) Warnf 

func (logger *SilentLogger) Warnf(message string, args ...interface{})

type SingleExchangeStrategy 

type SingleExchangeStrategy interface {
	ID() string
	Run(ctx context.Context, orderExecutor OrderExecutor, session *ExchangeSession) error
}

SingleExchangeStrategy represents the single Exchange strategy

func NewStrategyFromMap added in v1.11.0 

func NewStrategyFromMap(id string, conf interface{}) (SingleExchangeStrategy, error)

type SlackNotification 

type SlackNotification struct {
	DefaultChannel string `json:"defaultChannel,omitempty"  yaml:"defaultChannel,omitempty"`
	ErrorChannel   string `json:"errorChannel,omitempty"  yaml:"errorChannel,omitempty"`
}

type StandardIndicatorSet 

type StandardIndicatorSet struct {
	Symbol string
	// contains filtered or unexported fields
}

func NewStandardIndicatorSet 

func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardIndicatorSet

func (*StandardIndicatorSet) BOLL 

func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL

BOLL returns the bollinger band indicator of the given interval and the window, Please note that the K for std dev is fixed and defaults to 2.0

func (*StandardIndicatorSet) EWMA 

func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA

GetEWMA returns the exponential weighed moving average indicator of the given interval and the window size.

func (*StandardIndicatorSet) SMA 

func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA

SMA returns the simple moving average indicator of the given interval and the window size.

type Stash 

type Stash map[string]interface{}

type Store added in v1.3.1 

type Store interface {
	Load(val interface{}) error
	Save(val interface{}) error
	Reset() error
}

type SymbolBasedRiskController 

type SymbolBasedRiskController struct {
	BasicRiskController *BasicRiskController `json:"basic,omitempty" yaml:"basic,omitempty"`
}

type TradeReporter 

type TradeReporter struct {
	*Notifiability
}

type Trader 

type Trader struct {
	Graceful Graceful
	// contains filtered or unexported fields
}

func NewTrader 

func NewTrader(environ *Environment) *Trader

func (*Trader) AttachCrossExchangeStrategy 

func (trader *Trader) AttachCrossExchangeStrategy(strategy CrossExchangeStrategy) *Trader

AttachCrossExchangeStrategy attaches the cross exchange strategy

func (*Trader) AttachStrategyOn 

func (trader *Trader) AttachStrategyOn(session string, strategies ...SingleExchangeStrategy) error

AttachStrategyOn attaches the single exchange strategy on an exchange Session. Single exchange strategy is the default behavior.

func (*Trader) DisableLogging 

func (trader *Trader) DisableLogging()

func (*Trader) EnableLogging 

func (trader *Trader) EnableLogging()

func (*Trader) ReportPnL 

func (trader *Trader) ReportPnL() *PnLReporterManager

ReportPnL configure and set the PnLReporter with the given notifier

func (*Trader) Run 

func (trader *Trader) Run(ctx context.Context) error

func (*Trader) RunAllSingleExchangeStrategy added in v1.11.1 

func (trader *Trader) RunAllSingleExchangeStrategy(ctx context.Context) error

func (*Trader) RunSingleExchangeStrategy added in v1.11.1 

func (trader *Trader) RunSingleExchangeStrategy(ctx context.Context, strategy SingleExchangeStrategy, session *ExchangeSession, orderExecutor OrderExecutor) error

func (*Trader) SetRiskControls 

func (trader *Trader) SetRiskControls(riskControls *RiskControls)

TODO: provide a more DSL way to configure risk controls

func (*Trader) Subscribe added in v1.11.0 

func (trader *Trader) Subscribe()

Source Files

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