xpremium: first version

Author: c9s

pkg/cmd/strategy/builtin.go

@@ -56,4 +56,5 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/xgap"
 	_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/xnav"
+	_ "github.com/c9s/bbgo/pkg/strategy/xpremium"
 )

pkg/strategy/common/strategy.go

@@ -26,6 +26,7 @@ type RiskController struct {
 type Strategy struct {
 	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
 	ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
+	TradeStats  *types.TradeStats  `json:"tradeStats,omitempty" persistence:"trade_stats"`
 
 	parent, ctx context.Context
 	cancel      context.CancelFunc
@@ -54,6 +55,10 @@ func (s *Strategy) Initialize(
 		s.Position = types.NewPositionFromMarket(market)
 	}
 
+	if s.TradeStats == nil {
+		s.TradeStats = types.NewTradeStats(market.Symbol)
+	}
+
 	// Always update the position fields
 	s.Position.Strategy = strategyID
 	s.Position.StrategyInstanceID = instanceID
@@ -70,6 +75,7 @@ func (s *Strategy) Initialize(
 	s.OrderExecutor = bbgo.NewGeneralOrderExecutor(session, market.Symbol, strategyID, instanceID, s.Position)
 	s.OrderExecutor.BindEnvironment(environ)
 	s.OrderExecutor.BindProfitStats(s.ProfitStats)
+	s.OrderExecutor.BindTradeStats(s.TradeStats)
 	s.OrderExecutor.Bind()
 
 	if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {

pkg/strategy/xmaker/strategy.go

@@ -50,10 +50,6 @@ var raiseWarningLevelLimiter = rate.NewLimiter(rate.Every(3*time.Second), 1)
 
 func nopCover(v fixedpoint.Value) {}
 
-type connector interface {
-	Connect(ctx context.Context) error
-}
-
 type cancelOrdersBySymbolSide interface {
 	CancelOrdersBySymbolSide(
 		ctx context.Context, symbol string, side types.SideType,
@@ -299,7 +295,7 @@ type Strategy struct {
 
 	simpleHedgeMode bool
 
-	connectors []connector
+	connectorManager *types.ConnectorManager
 
 	profitChanged int64
 }
@@ -435,6 +431,9 @@ func (s *Strategy) Initialize() error {
 	for _, sig := range s.SignalConfigList.Signals {
 		s.logger.Infof("using signal provider: %s", sig)
 	}
+
+	// initialize connector manager
+	s.connectorManager = types.NewConnectorManager()
 	return nil
 }
 
@@ -2509,7 +2508,7 @@ func (s *Strategy) CrossRun(
 		s.marketTradeStream.OnMarketTrade(func(trade types.Trade) {
 			s.lastPrice.Set(trade.Price)
 		})
-		s.addConnector(s.marketTradeStream)
+		s.connectorManager.Add(s.marketTradeStream)
 	}
 
 	if s.FastCancel != nil && s.FastCancel.Enabled {
@@ -2522,15 +2521,15 @@ func (s *Strategy) CrossRun(
 		s.makerBookStream = bbgo.NewBookStream(s.hedgeSession, s.SourceSymbol)
 		s.makerBook = types.NewStreamBook(s.Symbol, s.makerSession.ExchangeName)
 		s.makerBook.BindStream(s.makerBookStream)
-		s.addConnector(s.makerBookStream)
+		s.connectorManager.Add(s.makerBookStream)
 	}
 
 	// TODO: replace the following stream book with HedgeMarket integration
 	s.sourceBookStream = bbgo.NewBookStream(s.hedgeSession, s.SourceSymbol, types.SubscribeOptions{
 		Depth: types.DepthLevelFull,
 		Speed: types.SpeedLow,
 	})
-	s.addConnector(s.sourceBookStream)
+	s.connectorManager.Add(s.sourceBookStream)
 
 	s.sourceBook = types.NewStreamBook(s.SourceSymbol, s.hedgeSession.ExchangeName)
 	s.sourceBook.BindStream(s.sourceBookStream)
@@ -2730,8 +2729,13 @@ func (s *Strategy) CrossRun(
 	)
 
 	// TODO: use connectivity group to ensure all connections are ready
-	for _, ctr := range s.connectors {
-		if err := ctr.Connect(s.tradingCtx); err != nil {
+	// for _, ctr := range s.connectors {
+	// 	if err := ctr.Connect(s.tradingCtx); err != nil {
+	// 		return err
+	// 	}
+	// }
+	if s.connectorManager != nil {
+		if err := s.connectorManager.Connect(s.tradingCtx); err != nil {
 			return err
 		}
 	}
@@ -2901,7 +2905,3 @@ func parseSymbolSelector(
 	}
 	return session, market, nil
 }
-
-func (s *Strategy) addConnector(ctr connector) {
-	s.connectors = append(s.connectors, ctr)
-}