Merge pull request #1666 from c9s/c9s/liqmaker-profit-fixer

FEATURE: [liqmaker] add profit fixer support

Author: c9s

pkg/strategy/common/profit_fixer.go

@@ -2,12 +2,14 @@ package common
 
 import (
 	"context"
+	"fmt"
 	"sync"
 	"time"
 
 	log "github.com/sirupsen/logrus"
 	"golang.org/x/sync/errgroup"
 
+	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/batch"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -101,3 +103,38 @@ func (f *ProfitFixer) FixFromTrades(allTrades []types.Trade, stats *types.Profit
 	log.Infof("profitFixer fix finished: profitStats and position are updated from %d trades", len(allTrades))
 	return nil
 }
+
+type ProfitFixerBundle struct {
+	ProfitFixerConfig *ProfitFixerConfig `json:"profitFixer,omitempty"`
+}
+
+func (f *ProfitFixerBundle) Fix(
+	ctx context.Context,
+	symbol string,
+	position *types.Position,
+	profitStats *types.ProfitStats,
+	sessions ...*bbgo.ExchangeSession,
+) error {
+	bbgo.Notify("Fixing %s profitStats and position...", symbol)
+
+	log.Infof("profitFixer is enabled, checking checkpoint: %+v", f.ProfitFixerConfig.TradesSince)
+
+	if f.ProfitFixerConfig.TradesSince.Time().IsZero() {
+		return fmt.Errorf("tradesSince time can not be zero")
+	}
+
+	fixer := NewProfitFixer()
+	for _, session := range sessions {
+		if ss, ok := session.Exchange.(types.ExchangeTradeHistoryService); ok {
+			log.Infof("adding makerSession %s to profitFixer", session.Name)
+			fixer.AddExchange(session.Name, ss)
+		}
+	}
+
+	return fixer.Fix(ctx,
+		symbol,
+		f.ProfitFixerConfig.TradesSince.Time(),
+		time.Now(),
+		profitStats,
+		position)
+}

pkg/strategy/liquiditymaker/strategy.go

@@ -63,6 +63,8 @@ type Strategy struct {
 
 	MinProfit fixedpoint.Value `json:"minProfit"`
 
+	common.ProfitFixerBundle
+
 	liquidityOrderBook, adjustmentOrderBook *bbgo.ActiveOrderBook
 
 	liquidityScale bbgo.Scale
@@ -91,6 +93,19 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 }
 
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	if s.ProfitFixerBundle.ProfitFixerConfig != nil {
+		market, _ := session.Market(s.Symbol)
+		s.Position = types.NewPositionFromMarket(market)
+		s.ProfitStats = types.NewProfitStats(market)
+
+		if err := s.ProfitFixerBundle.Fix(ctx, s.Symbol, s.Position, s.ProfitStats, session); err != nil {
+			return err
+		}
+
+		bbgo.Notify("Fixed %s position", s.Symbol, s.Position)
+		bbgo.Notify("Fixed %s profitStats", s.Symbol, s.ProfitStats)
+	}
+
 	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
 
 	s.orderGenerator = &LiquidityOrderGenerator{

pkg/strategy/xdepthmaker/strategy.go

@@ -196,7 +196,7 @@ type Strategy struct {
 	// Pips is the pips of the layer prices
 	Pips fixedpoint.Value `json:"pips"`
 
-	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`
+	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
 
 	// --------------------------------
 	// private fields