bbgo

package
v0.0.0-...-a7cd9b2 Latest Latest
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 Go to latest Published: Apr 10, 2021 License: MIT Imports: 39 Imported by: 0

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 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", "ftx"}

Functions

func Build 

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

func BuildTarget 

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 

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  fixedpoint.Value          `json:"makerCommission"`
	TakerCommission  fixedpoint.Value          `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" yaml:"maxOrderAmount,omitempty"`
	MinQuoteBalance     fixedpoint.Value `json:"minQuoteBalance,omitempty" yaml:"minQuoteBalance,omitempty"`
	MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance,omitempty" yaml:"maxBaseAssetBalance,omitempty"`
	MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance,omitempty" yaml:"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 

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 

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 

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 

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

func (*Config) Map 

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

func (*Config) YAML 

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

type Context 

type Context struct {
	sync.Mutex
}

deprecated: legacy context struct

type CrossExchangeSessionSubscriber 

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 *service.PersistenceServiceFacade
	DatabaseService          *service.DatabaseService
	OrderService             *service.OrderService
	TradeService             *service.TradeService
	RewardService            *service.RewardService
	SyncService              *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 

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

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

func (*Environment) AddExchangesByViperKeys 

func (environ *Environment) AddExchangesByViperKeys() error

func (*Environment) AddExchangesFromSessionConfig 

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

func (*Environment) ConfigureDatabase 

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

func (*Environment) ConfigureDatabaseDriver 

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

func (*Environment) ConfigureExchangeSessions 

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

func (*Environment) ConfigureNotificationRouting 

func (environ *Environment) ConfigureNotificationRouting(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) ConfigureNotificationSystem 

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

func (*Environment) ConfigurePersistence 

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) IsSyncing 

func (environ *Environment) IsSyncing() (status SyncStatus)

func (*Environment) SelectSessions 

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

func (*Environment) Session 

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) SetSyncStartTime 

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

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

func (*Environment) Sync 

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

Sync syncs all registered exchange sessions

func (*Environment) SyncSession 

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

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 

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

func (*ExchangeOrderExecutor) EmitTradeUpdate 

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

func (*ExchangeOrderExecutor) OnOrderUpdate 

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

func (*ExchangeOrderExecutor) OnTradeUpdate 

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"`
	SubAccount   string `json:"subAccount,omitempty" yaml:"subAccount,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 

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

func (*ExchangeSession) FindPossibleSymbols 

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

func (*ExchangeSession) FormatOrder 

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

func (*ExchangeSession) Init 

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

func (*ExchangeSession) InitSymbol 

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 

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 

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 

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

func (*ExchangeSession) OrderStore 

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

func (*ExchangeSession) OrderStores 

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

func (*ExchangeSession) Position 

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

func (*ExchangeSession) Positions 

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 

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 

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

type ExponentialScale 

type ExponentialScale struct {
	Domain [2]float64 `json:"domain"`
	Range  [2]float64 `json:"range"`
	// contains filtered or unexported fields
}

y := ab^x shift xs[0] to 0 (x - h) a = y1

y := ab^(x-h) y2/a = b^(x2-h) y2/y1 = b^(x2-h)

also posted at https://play.golang.org/p/JlWlwZjoebE

func (*ExponentialScale) Call 

func (s *ExponentialScale) Call(x float64) (y float64)

func (*ExponentialScale) Formula 

func (s *ExponentialScale) Formula() string

func (*ExponentialScale) FormulaOf 

func (s *ExponentialScale) FormulaOf(x float64) string

func (*ExponentialScale) Solve 

func (s *ExponentialScale) Solve() error

func (*ExponentialScale) String 

func (s *ExponentialScale) String() string

type Graceful 

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

func (*Graceful) EmitShutdown 

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

func (*Graceful) OnShutdown 

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

func (*Graceful) Shutdown 

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

type LinearScale 

type LinearScale struct {
	Domain [2]float64 `json:"domain"`
	Range  [2]float64 `json:"range"`
	// contains filtered or unexported fields
}

func (*LinearScale) Call 

func (s *LinearScale) Call(x float64) (y float64)

func (*LinearScale) Formula 

func (s *LinearScale) Formula() string

func (*LinearScale) FormulaOf 

func (s *LinearScale) FormulaOf(x float64) string

func (*LinearScale) Solve 

func (s *LinearScale) Solve() error

func (*LinearScale) String 

func (s *LinearScale) String() string

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) Backup 

func (b *LocalActiveOrderBook) Backup() []types.SubmitOrder

func (*LocalActiveOrderBook) BindStream 

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

func (*LocalActiveOrderBook) EmitFilled 

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

func (*LocalActiveOrderBook) MarshalJSON 

func (b *LocalActiveOrderBook) MarshalJSON() ([]byte, error)

func (*LocalActiveOrderBook) NumOfAsks 

func (b *LocalActiveOrderBook) NumOfAsks() int

func (*LocalActiveOrderBook) NumOfBids 

func (b *LocalActiveOrderBook) NumOfBids() int

func (*LocalActiveOrderBook) OnFilled 

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 

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 LogarithmicScale 

type LogarithmicScale struct {
	Domain [2]float64 `json:"domain"`
	Range  [2]float64 `json:"range"`
	// contains filtered or unexported fields
}

func (*LogarithmicScale) Call 

func (s *LogarithmicScale) Call(x float64) (y float64)

func (*LogarithmicScale) Formula 

func (s *LogarithmicScale) Formula() string

func (*LogarithmicScale) FormulaOf 

func (s *LogarithmicScale) FormulaOf(x float64) string

func (*LogarithmicScale) Solve 

func (s *LogarithmicScale) Solve() error

func (*LogarithmicScale) String 

func (s *LogarithmicScale) String() string

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 Notifiability 

type Notifiability struct {
	SessionChannelRouter *PatternChannelRouter `json:"-"`
	SymbolChannelRouter  *PatternChannelRouter `json:"-"`
	ObjectChannelRouter  *ObjectChannelRouter  `json:"-"`
	// 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 *SlackNotificationRouting `json:"routing,omitempty" yaml:"routing,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 

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

func NewOrderStore 

func NewOrderStore(symbol string) *OrderStore

func (*OrderStore) Add 

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

func (*OrderStore) BindStream 

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

func (*OrderStore) Exists 

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

func (*OrderStore) Orders 

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

func (*OrderStore) Remove 

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

func (*OrderStore) Update 

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 

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

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

Persistence is used for strategy to inject the persistence.

func (*Persistence) Load 

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

func (*Persistence) Save 

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

type PersistenceConfig 

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

type PersistenceSelector 

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 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 

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 

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

func (*Position) AddTrades 

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

func (*Position) BindStream 

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

func (Position) String 

func (p Position) String() string

type PriceVolumeScale 

type PriceVolumeScale struct {
	ByPrice  *SlideRule `json:"byPrice"`
	ByVolume *SlideRule `json:"byVolume"`
}

PriceVolumeScale defines the scale DSL for strategy, e.g.,

scaleQuantity: 

byPrice:
  exp:
    domain: [10_000, 50_000]
    range: [0.01, 1.0]

and

scaleQuantity: 

byVolume:
  linear:
    domain: [10_000, 50_000]
    range: [0.01, 1.0]

func (*PriceVolumeScale) Scale 

func (q *PriceVolumeScale) Scale(price float64, volume float64) (quantity float64, err error)

func (*PriceVolumeScale) ScaleByPrice 

func (q *PriceVolumeScale) ScaleByPrice(price float64) (float64, error)

ScaleByPrice scale quantity by the given price

func (*PriceVolumeScale) ScaleByVolume 

func (q *PriceVolumeScale) ScaleByVolume(volume float64) (float64, error)

ScaleByVolume scale quantity by the given volume

type QuadraticScale 

type QuadraticScale struct {
	Domain [3]float64 `json:"domain"`
	Range  [3]float64 `json:"range"`
	// contains filtered or unexported fields
}

see also: http://www.vb-helper.com/howto_find_quadratic_curve.html

func (*QuadraticScale) Call 

func (s *QuadraticScale) Call(x float64) (y float64)

func (*QuadraticScale) Formula 

func (s *QuadraticScale) Formula() string

func (*QuadraticScale) FormulaOf 

func (s *QuadraticScale) FormulaOf(x float64) string

func (*QuadraticScale) Solve 

func (s *QuadraticScale) Solve() error

func (*QuadraticScale) String 

func (s *QuadraticScale) String() string

type Quota 

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

func (*Quota) Add 

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

func (*Quota) Commit 

func (q *Quota) Commit()

func (*Quota) Lock 

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

func (*Quota) Rollback 

func (q *Quota) Rollback()

type QuotaTransaction 

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

func (*QuotaTransaction) Commit 

func (m *QuotaTransaction) Commit() bool

func (*QuotaTransaction) Rollback 

func (m *QuotaTransaction) Rollback() bool

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 Scale 

type Scale interface {
	Solve() error
	Formula() string
	FormulaOf(x float64) string
	Call(x float64) (y float64)
}

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 

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 SlackNotificationRouting 

type SlackNotificationRouting 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 SlideRule 

type SlideRule struct {
	// Scale type could be one of "log", "exp", "linear", "quadratic"
	// this is similar to the d3.scale
	LinearScale    *LinearScale      `json:"linear"`
	LogScale       *LogarithmicScale `json:"log"`
	ExpScale       *ExponentialScale `json:"exp"`
	QuadraticScale *QuadraticScale   `json:"quadratic"`
}

func (*SlideRule) Scale 

func (rule *SlideRule) Scale() (Scale, error)

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 SymbolBasedRiskController 

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

type SyncStatus 

type SyncStatus int
const (
	SyncNotStarted SyncStatus = iota
	Syncing
	SyncDone
)

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) Configure 

func (trader *Trader) Configure(userConfig *Config) error

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 

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

func (*Trader) RunSingleExchangeStrategy 

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 

func (trader *Trader) Subscribe()

type Validator 

type Validator interface {
	Validate() error
}

Source Files

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