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ninjabot.go
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package ninjabot
import (
"bytes"
"context"
"fmt"
"strconv"
"github.com/rodrigo-brito/ninjabot/exchange"
"github.com/rodrigo-brito/ninjabot/model"
"github.com/rodrigo-brito/ninjabot/notification"
"github.com/rodrigo-b
8000
rito/ninjabot/order"
"github.com/rodrigo-brito/ninjabot/service"
"github.com/rodrigo-brito/ninjabot/storage"
"github.com/rodrigo-brito/ninjabot/strategy"
"github.com/olekukonko/tablewriter"
"github.com/schollz/progressbar/v3"
log "github.com/sirupsen/logrus"
)
const defaultDatabase = "ninjabot.db"
func init() {
log.SetFormatter(&log.TextFormatter{
FullTimestamp: true,
TimestampFormat: "2006-01-02 15:04",
})
}
type OrderSubscriber interface {
OnOrder(model.Order)
}
type CandleSubscriber interface {
OnCandle(model.Candle)
}
type NinjaBot struct {
storage storage.Storage
settings model.Settings
exchange service.Exchange
strategy strategy.Strategy
notifier service.Notifier
telegram service.Telegram
orderController *order.Controller
priorityQueueCandle *model.PriorityQueue
strategiesControllers map[string]*strategy.Controller
orderFeed *order.Feed
dataFeed *exchange.DataFeedSubscription
paperWallet *exchange.PaperWallet
backtest bool
}
type Option func(*NinjaBot)
func NewBot(ctx context.Context, settings model.Settings, exch service.Exchange, str strategy.Strategy,
options ...Option) (*NinjaBot, error) {
bot := &NinjaBot{
settings: settings,
exchange: exch,
strategy: str,
orderFeed: order.NewOrderFeed(),
dataFeed: exchange.NewDataFeed(exch),
strategiesControllers: make(map[string]*strategy.Controller),
priorityQueueCandle: model.NewPriorityQueue(nil),
}
for _, pair := range settings.Pairs {
asset, quote := exchange.SplitAssetQuote(pair)
if asset == "" || quote == "" {
return nil, fmt.Errorf("invalid pair: %s", pair)
}
}
for _, option := range options {
option(bot)
}
var err error
if bot.storage == nil {
bot.storage, err = storage.FromFile(defaultDatabase)
if err != nil {
return nil, err
}
}
bot.orderController = order.NewController(ctx, exch, bot.storage, bot.orderFeed)
if settings.Telegram.Enabled {
bot.telegram, err = notification.NewTelegram(bot.orderController, settings)
if err != nil {
return nil, err
}
// register telegram as notifier
WithNotifier(bot.telegram)(bot)
}
return bot, nil
}
// WithBacktest sets the bot to run in backtest mode, it is required for backtesting environments
// Backtest mode optimize the input read for CSV and deal with race conditions
func WithBacktest(wallet *exchange.PaperWallet) Option {
return func(bot *NinjaBot) {
bot.backtest = true
opt := WithPaperWallet(wallet)
opt(bot)
}
}
// WithStorage sets the storage for the bot, by default it uses a local file called ninjabot.db
func WithStorage(storage storage.Storage) Option {
return func(bot *NinjaBot) {
bot.storage = storage
}
}
// WithLogLevel sets the log level. eg: log.DebugLevel, log.InfoLevel, log.WarnLevel, log.ErrorLevel, log.FatalLevel
func WithLogLevel(level log.Level) Option {
return func(bot *NinjaBot) {
log.SetLevel(level)
}
}
// WithNotifier registers a notifier to the bot, currently only email and telegram are supported
func WithNotifier(notifier service.Notifier) Option {
return func(bot *NinjaBot) {
bot.notifier = notifier
bot.orderController.SetNotifier(notifier)
bot.SubscribeOrder(notifier)
}
}
// WithCandleSubscription subscribes a given struct to the candle feed
func WithCandleSubscription(subscriber CandleSubscriber) Option {
return func(bot *NinjaBot) {
bot.SubscribeCandle(subscriber)
}
}
// WithPaperWallet sets the paper wallet for the bot (used for backtesting and live simulation)
func WithPaperWallet(wallet *exchange.PaperWallet) Option {
return func(bot *NinjaBot) {
bot.paperWallet = wallet
}
}
func (n *NinjaBot) SubscribeCandle(subscriptions ...CandleSubscriber) {
for _, pair := range n.settings.Pairs {
for _, subscription := range subscriptions {
n.dataFeed.Subscribe(pair, n.strategy.Timeframe(), subscription.OnCandle, false)
}
}
}
func WithOrderSubscription(subscriber OrderSubscriber) Option {
return func(bot *NinjaBot) {
bot.SubscribeOrder(subscriber)
}
}
func (n *NinjaBot) SubscribeOrder(subscriptions ...OrderSubscriber) {
for _, pair := range n.settings.Pairs {
for _, subscription := range subscriptions {
n.orderFeed.Subscribe(pair, subscription.OnOrder, false)
}
}
}
func (n *NinjaBot) Controller() *order.Controller {
return n.orderController
}
// Summary function displays all trades, accuracy and some bot metrics in stdout
// To access the raw data, you may access `bot.Controller().Results`
func (n *NinjaBot) Summary() {
var (
total float64
wins int
loses int
volume float64
sqn float64
)
buffer := bytes.NewBuffer(nil)
table := tablewriter.NewWriter(buffer)
table.SetHeader([]string{"Pair", "Trades", "Win", "Loss", "% Win", "Payoff", "SQN", "Profit", "Volume"})
table.SetFooterAlignment(tablewriter.ALIGN_RIGHT)
avgPayoff := 0.0
for _, summary := range n.orderController.Results {
avgPayoff += summary.Payoff() * float64(len(summary.Win)+len(summary.Lose))
table.Append([]string{
summary.Pair,
strconv.Itoa(len(summary.Win) + len(summary.Lose)),
strconv.Itoa(len(summary.Win)),
strconv.Itoa(len(summary.Lose)),
fmt.Sprintf("%.1f %%", float64(len(summary.Win))/float64(len(summary.Win)+len(summary.Lose))*100),
fmt.Sprintf("%.3f", summary.Payoff()),
fmt.Sprintf("%.1f", summary.SQN()),
fmt.Sprintf("%.2f", summary.Profit()),
fmt.Sprintf("%.2f", summary.Volume),
})
total += summary.Profit()
sqn += summary.SQN()
wins += len(summary.Win)
loses += len(summary.Lose)
volume += summary.Volume
}
table.SetFooter([]string{
"TOTAL",
strconv.Itoa(wins + loses),
strconv.Itoa(wins),
strconv.Itoa(loses),
fmt.Sprintf("%.1f %%", float64(wins)/float64(wins+loses)*100),
fmt.Sprintf("%.3f", avgPayoff/float64(wins+loses)),
fmt.Sprintf("%.1f", sqn/float64(len(n.orderController.Results))),
fmt.Sprintf("%.2f", total),
fmt.Sprintf("%.2f", volume),
})
table.Render()
fmt.Println(buffer.String())
if n.paperWallet != nil {
n.paperWallet.Summary()
}
}
func (n *NinjaBot) onCandle(candle model.Candle) {
n.priorityQueueCandle.Push(candle)
}
func (n *NinjaBot) processCandle(candle model.Candle) {
if n.paperWallet != nil {
n.paperWallet.OnCandle(candle)
}
n.strategiesControllers[candle.Pair].OnPartialCandle(candle)
if candle.Complete {
n.strategiesControllers[candle.Pair].OnCandle(candle)
n.orderController.OnCandle(candle)
}
}
// Process pending candles in buffer
func (n *NinjaBot) processCandles() {
for item := range n.priorityQueueCandle.PopLock() {
n.processCandle(item.(model.Candle))
}
}
// Start the backtest process and create a progress bar
// backtestCandles will process candles from a prirority queue in chronological order
func (n *NinjaBot) backtestCandles() {
log.Info("[SETUP] Starting backtesting")
progressBar := progressbar.Default(int64(n.priorityQueueCandle.Len()))
for n.priorityQueueCandle.Len() > 0 {
item := n.priorityQueueCandle.Pop()
candle := item.(model.Candle)
if n.paperWallet != nil {
n.paperWallet.OnCandle(candle)
}
n.strategiesControllers[candle.Pair].OnPartialCandle(candle)
if candle.Complete {
n.strategiesControllers[candle.Pair].OnCandle(candle)
}
if err := progressBar.Add(1); err != nil {
log.Warningf("update progresbar fail: %v", err)
}
}
}
// Before Ninjabot start, we need to load the necessary data to fill strategy indicators
// Then, we need to get the time frame and warmup period to fetch the necessary candles
func (n *NinjaBot) preload(ctx context.Context, pair string) error {
if n.backtest {
return nil
}
candles, err := n.exchange.CandlesByLimit(ctx, pair, n.strategy.Timeframe(), n.strategy.WarmupPeriod())
if err != nil {
return err
}
for _, candle := range candles {
n.processCandle(candle)
}
n.dataFeed.Preload(pair, n.strategy.Timeframe(), candles)
return nil
}
// Run will initialize the strategy controller, order controller, preload data and start the bot
func (n *NinjaBot) Run(ctx context.Context) error {
for _, pair := range n.settings.Pairs {
// setup and subscribe strategy to data feed (candles)
n.strategiesControllers[pair] = strategy.NewStrategyController(pair, n.strategy, n.orderController)
// preload candles for warmup period
err := n.preload(ctx, pair)
if err != nil {
return err
}
// link to ninja bot controller
n.dataFeed.Subscribe(pair, n.strategy.Timeframe(), n.onCandle, false)
// start strategy controller
n.strategiesControllers[pair].Start()
}
// start order feed and controller
n.orderFeed.Start()
n.orderController.Start()
defer n.orderController.Stop()
if n.telegram != nil {
n.telegram.Start()
}
// start data feed and receives new candles
n.dataFeed.Start(n.backtest)
// start processing new candles for production or backtesting environment
if n.backtest {
n.backtestCandles()
} else {
n.processCandles()
}
return nil
}