Merge pull request #1864 from c9s/c9s/session-price-solver

FEATURE: [core] integrate priceSolver into the session struct

pkg/bbgo/config_test.go

@@ -75,25 +75,16 @@ func TestLoadConfig(t *testing.T) {
 				assert.Equal(t, map[string]interface{}{
 					"sessions": map[string]interface{}{
 						"max": map[string]interface{}{
-							"exchange":                "max",
-							"envVarPrefix":            "MAX",
-							"takerFeeRate":            0.,
-							"makerFeeRate":            0.,
-							"modifyOrderAmountForFee": false,
+							"exchange":     "max",
+							"envVarPrefix": "MAX",
+							"takerFeeRate": 0.,
+							"makerFeeRate": 0.,
 						},
 						"binance": map[string]interface{}{
-							"exchange":                "binance",
-							"envVarPrefix":            "BINANCE",
-							"takerFeeRate":            0.,
-							"makerFeeRate":            0.,
-							"modifyOrderAmountForFee": false,
-						},
-						"ftx": map[string]interface{}{
-							"exchange":                "ftx",
-							"envVarPrefix":            "FTX",
-							"takerFeeRate":            0.,
-							"makerFeeRate":            0.,
-							"modifyOrderAmountForFee": true,
+							"exchange":     "binance",
+							"envVarPrefix": "BINANCE",
+							"takerFeeRate": 0.,
+							"makerFeeRate": 0.,
 						},
 					},
 					"build": map[string]interface{}{
@@ -155,43 +146,16 @@ func TestLoadConfig(t *testing.T) {
 				assert.NotNil(t, config.Persistence.Json)
 			},
 		},
-
-		{
-			name:    "order_executor",
-			args:    args{configFile: "testdata/order_executor.yaml"},
-			wantErr: false,
-			f: func(t *testing.T, config *Config) {
-				assert.Len(t, config.Sessions, 2)
-
-				session, ok := config.Sessions["max"]
-				assert.True(t, ok)
-				assert.NotNil(t, session)
-
-				riskControls := config.RiskControls
-				assert.NotNil(t, riskControls)
-				assert.NotNil(t, riskControls.SessionBasedRiskControl)
-
-				conf, ok := riskControls.SessionBasedRiskControl["max"]
-				assert.True(t, ok)
-				assert.NotNil(t, conf)
-				assert.NotNil(t, conf.OrderExecutor)
-				assert.NotNil(t, conf.OrderExecutor.BySymbol)
-
-				executorConf, ok := conf.OrderExecutor.BySymbol["BTCUSDT"]
-				assert.True(t, ok)
-				assert.NotNil(t, executorConf)
-			},
-		},
 		{
 			name:    "backtest",
 			args:    args{configFile: "testdata/backtest.yaml"},
 			wantErr: false,
 			f: func(t *testing.T, config *Config) {
 				assert.Len(t, config.ExchangeStrategies, 1)
 				assert.NotNil(t, config.Backtest)
-				assert.NotNil(t, config.Backtest.Account)
-				assert.NotNil(t, config.Backtest.Account["binance"].Balances)
-				assert.Len(t, config.Backtest.Account["binance"].Balances, 2)
+				assert.NotNil(t, config.Backtest.Accounts)
+				assert.NotNil(t, config.Backtest.Accounts["binance"].Balances)
+				assert.Len(t, config.Backtest.Accounts["binance"].Balances, 2)
 			},
 		},
 	}

pkg/bbgo/session.go

@@ -18,6 +18,7 @@ import (
 	"github.com/c9s/bbgo/pkg/envvar"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/metrics"
+	"github.com/c9s/bbgo/pkg/pricesolver"
 	"github.com/c9s/bbgo/pkg/util/templateutil"
 
 	exchange2 "github.com/c9s/bbgo/pkg/exchange"
@@ -47,10 +48,9 @@ type ExchangeSession struct {
 	SubAccount   string             `json:"subAccount,omitempty" yaml:"subAccount,omitempty"`
 
 	// Withdrawal is used for enabling withdrawal functions
-	Withdrawal              bool             `json:"withdrawal,omitempty" yaml:"withdrawal,omitempty"`
-	MakerFeeRate            fixedpoint.Value `json:"makerFeeRate" yaml:"makerFeeRate"`
-	TakerFeeRate            fixedpoint.Value `json:"takerFeeRate" yaml:"takerFeeRate"`
-	ModifyOrderAmountForFee bool             `json:"modifyOrderAmountForFee" yaml:"modifyOrderAmountForFee"`
+	Withdrawal   bool             `json:"withdrawal,omitempty" yaml:"withdrawal,omitempty"`
+	MakerFeeRate fixedpoint.Value `json:"makerFeeRate" yaml:"makerFeeRate"`
+	TakerFeeRate fixedpoint.Value `json:"takerFeeRate" yaml:"takerFeeRate"`
 
 	// PublicOnly is used for setting the session to public only (without authentication, no private user data)
 	PublicOnly bool `json:"publicOnly,omitempty" yaml:"publicOnly"`
@@ -126,9 +126,6 @@ type ExchangeSession struct {
 	// markets defines market configuration of a symbol
 	markets map[string]types.Market
 
-	// orderBooks stores the streaming order book
-	orderBooks map[string]*types.StreamOrderBook
-
 	// startPrices is used for backtest
 	startPrices map[string]fixedpoint.Value
 
@@ -150,6 +147,8 @@ type ExchangeSession struct {
 	initializedSymbols map[string]struct{}
 
 	logger log.FieldLogger
+
+	priceSolver *pricesolver.SimplePriceSolver
 }
 
 func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
@@ -182,17 +181,17 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
 		Account:       &types.Account{},
 		Trades:        make(map[string]*types.TradeSlice),
 
-		orderBooks:            make(map[string]*types.StreamOrderBook),
-		markets:               make(map[string]types.Market),
-		startPrices:           make(map[string]fixedpoint.Value),
-		lastPrices:            make(map[string]fixedpoint.Value),
+		markets:               make(map[string]types.Market, 100),
+		startPrices:           make(map[string]fixedpoint.Value, 30),
+		lastPrices:            make(map[string]fixedpoint.Value, 30),
 		positions:             make(map[string]*types.Position),
 		marketDataStores:      make(map[string]*MarketDataStore),
 		standardIndicatorSets: make(map[string]*StandardIndicatorSet),
 		indicators:            make(map[string]*IndicatorSet),
 		usedSymbols:           make(map[string]struct{}),
 		initializedSymbols:    make(map[string]struct{}),
 		logger:                log.WithField("session", name),
+		priceSolver:           pricesolver.NewSimplePriceResolver(nil),
 	}
 
 	session.OrderExecutor = &ExchangeOrderExecutor{
@@ -304,8 +303,11 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 		return ErrEmptyMarketInfo
 	}
 
+	logger.Infof("%d markets loaded", len(markets))
 	session.markets = markets
 
+	session.priceSolver = pricesolver.NewSimplePriceResolver(markets)
+
 	if feeRateProvider, ok := session.Exchange.(types.ExchangeDefaultFeeRates); ok {
 		defaultFeeRates := feeRateProvider.DefaultFeeRates()
 		if session.MakerFeeRate.IsZero() {
@@ -316,22 +318,16 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 		}
 	}
 
-	if session.ModifyOrderAmountForFee {
-		amountProtectExchange, ok := session.Exchange.(types.ExchangeAmountFeeProtect)
-		if !ok {
-			return fmt.Errorf("exchange %s does not support order amount protection", session.ExchangeName.String())
-		}
-
-		fees := types.ExchangeFee{MakerFeeRate: session.MakerFeeRate, TakerFeeRate: session.TakerFeeRate}
-		amountProtectExchange.SetModifyOrderAmountForFee(fees)
-	}
-
 	if session.UseHeikinAshi {
+		// replace the existing market data stream
 		session.MarketDataStream = &types.HeikinAshiStream{
 			StandardStreamEmitter: session.MarketDataStream.(types.StandardStreamEmitter),
 		}
 	}
 
+	session.priceSolver.BindStream(session.UserDataStream)
+	session.priceSolver.BindStream(session.MarketDataStream)
+
 	// query and initialize the balances
 	if !session.PublicOnly {
 		if len(session.PrivateChannels) > 0 {
@@ -358,8 +354,10 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
 			}
 
 			session.setAccount(account)
-			session.metricsBalancesUpdater(account.Balances())
-			logger.Infof("account %s balances:\n%s", session.Name, account.Balances().String())
+
+			balances := account.Balances()
+			session.metricsBalancesUpdater(balances)
+			logger.Infof("session %s account balances:\n%s", session.Name, balances.NotZero().String())
 		}
 
 		// forward trade updates and order updates to the order executor
@@ -545,9 +543,6 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 	for _, sub := range session.Subscriptions {
 		switch sub.Channel {
 		case types.BookChannel:
-			book := types.NewStreamBook(sub.Symbol, session.ExchangeName)
-			book.BindStream(session.MarketDataStream)
-			session.orderBooks[sub.Symbol] = book
 
 		case types.KLineChannel:
 			if sub.Options.Interval == "" {
@@ -707,12 +702,6 @@ func (session *ExchangeSession) SerialMarketDataStore(
 	return store, true
 }
 
-// OrderBook returns the personal orderbook of a symbol
-func (session *ExchangeSession) OrderBook(symbol string) (s *types.StreamOrderBook, ok bool) {
-	s, ok = session.orderBooks[symbol]
-	return s, ok
-}
-
 func (session *ExchangeSession) StartPrice(symbol string) (price fixedpoint.Value, ok bool) {
 	price, ok = session.startPrices[symbol]
 	return price, ok
@@ -946,7 +935,6 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
 	session.Account = &types.Account{}
 	session.Trades = make(map[string]*types.TradeSlice)
 
-	session.orderBooks = make(map[string]*types.StreamOrderBook)
 	session.markets = make(map[string]types.Market)
 	session.lastPrices = make(map[string]fixedpoint.Value)
 	session.startPrices = make(map[string]fixedpoint.Value)

pkg/bbgo/testdata/backtest.yaml

@@ -13,7 +13,7 @@ backtest:
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
   startTime: "2020-01-01"
-  account:
+  accounts:
     binance:
       makerFeeRate: 15
       takerFeeRate: 15

pkg/bbgo/testdata/strategy.yaml

@@ -5,19 +5,11 @@ sessions:
     envVarPrefix: MAX
     takerFeeRate: 0
     makerFeeRate: 0
-    modifyOrderAmountForFee: false
   binance:
     exchange: binance
     envVarPrefix: BINANCE
     takerFeeRate: 0
     makerFeeRate: 0
-    modifyOrderAmountForFee: false
-  ftx:
-    exchange: ftx
-    envVarPrefix: FTX
-    takerFeeRate: 0
-    makerFeeRate: 0
-    modifyOrderAmountForFee: true
 
 exchangeStrategies:
 - on: ["binance"]

pkg/pricesolver/simple.go

@@ -30,6 +30,10 @@ type SimplePriceSolver struct {
 }
 
 func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceSolver {
+	if markets == nil {
+		markets = make(types.MarketMap)
+	}
+
 	return &SimplePriceSolver{
 		markets:       markets,
 		symbolPrices:  make(map[string]fixedpoint.Value),

pkg/strategy/tri/strategy.go

@@ -820,7 +820,9 @@ func (s *Strategy) buildArbMarkets(
 			m.book = book
 			m.stream = stream
 		} else {
-			book, _ := session.OrderBook(symbol)
+
+			book := types.NewStreamBook(symbol, session.ExchangeName)
+			book.BindStream(session.MarketDataStream)
 			priceUpdater := func(_ types.SliceOrderBook) {
 				bestAsk, bestBid, _ := book.BestBidAndAsk()
 				if bestAsk.Equals(m.bestAsk) && bestBid.Equals(m.bestBid) {

pkg/strategy/xnav/strategy.go

@@ -83,7 +83,7 @@ func (s *Strategy) Validate() error {
 	return nil
 }
 
-var Ten = fixedpoint.NewFromInt(10)
+var ten = fixedpoint.NewFromInt(10)
 
 func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {}
 
@@ -134,7 +134,7 @@ func (s *Strategy) recordNetAssetValue(ctx context.Context, sessions map[string]
 
 	for currency, asset := range totalAssets {
 		// calculated if it's dust only when InUSD (usd value) is defined.
-		if s.IgnoreDusts && !asset.InUSD.IsZero() && asset.InUSD.Compare(Ten) < 0 && asset.InUSD.Compare(Ten.Neg()) > 0 {
+		if s.IgnoreDusts && !asset.InUSD.IsZero() && asset.InUSD.Compare(ten) < 0 && asset.InUSD.Compare(ten.Neg()) > 0 {
 			continue
 		}
 

pkg/types/exchange.go

@@ -122,10 +122,6 @@ type ExchangeDefaultFeeRates interface {
 	DefaultFeeRates() ExchangeFee
 }
 
-type ExchangeAmountFeeProtect interface {
-	SetModifyOrderAmountForFee(ExchangeFee)
-}
-
 //go:generate mockgen -destination=mocks/mock_exchange_trade_history.go -package=mocks . ExchangeTradeHistoryService
 type ExchangeTradeHistoryService interface {
 	QueryTrades(ctx context.Context, symbol string, options *TradeQueryOptions) ([]Trade, error)