Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Use new circuitbreaker in common strategy #1749

Open
wants to merge 1 commit into
base: main
Choose a base branch
from
+10 −8
Open

Use new circuitbreaker in common strategy #1749

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
18 changes: 10 additions & 8 deletions pkg/strategy/common/strategy.go
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,7 @@ import (

"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
"github.com/c9s/bbgo/pkg/risk/riskcontrol"
"github.com/c9s/bbgo/pkg/types"
)
Expand All @@ -19,7 +20,7 @@ type RiskController struct {
CircuitBreakEMA types.IntervalWindow `json:"circuitBreakEMA"`

positionRiskControl *riskcontrol.PositionRiskControl
circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
circuitBreakRiskControl *circuitbreaker.BasicCircuitBreaker
}

// Strategy provides the core functionality that is required by a long/short strategy.
Expand Down Expand Up @@ -78,18 +79,19 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se

if !s.CircuitBreakLossThreshold.IsZero() {
log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
s.Position,
session.Indicators(market.Symbol).EWMA(s.CircuitBreakEMA),
s.CircuitBreakLossThreshold,
s.ProfitStats,
24*time.Hour)
s.circuitBreakRiskControl = circuitbreaker.NewBasicCircuitBreaker(strategyID, instanceID)
s.OrderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
if profit != nil && s.circuitBreakRiskControl != nil {
s.circuitBreakRiskControl.RecordProfit(profit.Profit, trade.Time.Time())
}
})
}
}

func (s *Strategy) IsHalted(t time.Time) bool {
if s.circuitBreakRiskControl == nil {
return false
}
return s.circuitBreakRiskControl.IsHalted(t)
_, isHalted := s.circuitBreakRiskControl.IsHalted(t)
return isHalted
}
Loading