377 lines
10 KiB
Go
377 lines
10 KiB
Go
package xgap
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import (
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"context"
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"fmt"
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"math"
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"math/rand"
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"sync"
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"time"
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"github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/strategy/common"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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"git.qtrade.icu/lychiyu/bbgo/pkg/util"
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)
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const ID = "xgap"
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var log = logrus.WithField("strategy", ID)
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var maxStepPercentageGap = fixedpoint.NewFromFloat(0.05)
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var Two = fixedpoint.NewFromInt(2)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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type Strategy struct {
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*common.Strategy
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*common.FeeBudget
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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SourceExchange string `json:"sourceExchange"`
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TradingExchange string `json:"tradingExchange"`
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MinSpread fixedpoint.Value `json:"minSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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DryRun bool `json:"dryRun"`
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DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
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DailyTargetVolume fixedpoint.Value `json:"dailyTargetVolume,omitempty"`
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UpdateInterval types.Duration `json:"updateInterval"`
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SimulateVolume bool `json:"simulateVolume"`
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SimulatePrice bool `json:"simulatePrice"`
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sourceSession, tradingSession *bbgo.ExchangeSession
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sourceMarket, tradingMarket types.Market
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mu sync.Mutex
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lastSourceKLine, lastTradingKLine types.KLine
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sourceBook, tradingBook *types.StreamOrderBook
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stopC chan struct{}
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}
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func (s *Strategy) Initialize() error {
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if s.Strategy == nil {
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s.Strategy = &common.Strategy{}
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}
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if s.FeeBudget == nil {
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s.FeeBudget = &common.FeeBudget{}
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}
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return nil
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}
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func (s *Strategy) Validate() error {
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return nil
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}
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func (s *Strategy) Defaults() error {
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if s.UpdateInterval == 0 {
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s.UpdateInterval = types.Duration(time.Second)
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}
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return nil
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
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}
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sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{Depth: types.DepthLevel5})
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tradingSession, ok := sessions[s.TradingExchange]
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if !ok {
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panic(fmt.Errorf("trading session %s is not defined", s.TradingExchange))
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}
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tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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tradingSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{Depth: types.DepthLevel5})
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}
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func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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return fmt.Errorf("source session %s is not defined", s.SourceExchange)
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}
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s.sourceSession = sourceSession
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tradingSession, ok := sessions[s.TradingExchange]
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if !ok {
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return fmt.Errorf("trading session %s is not defined", s.TradingExchange)
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}
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s.tradingSession = tradingSession
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s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("source session market %s is not defined", s.Symbol)
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}
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s.tradingMarket, ok = s.tradingSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("trading session market %s is not defined", s.Symbol)
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}
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s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.tradingMarket, ID, s.InstanceID())
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s.FeeBudget.Initialize()
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s.stopC = make(chan struct{})
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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close(s.stopC)
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bbgo.Sync(ctx, s)
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})
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// from here, set data binding
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s.sourceSession.MarketDataStream.OnKLine(func(kline types.KLine) {
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s.mu.Lock()
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s.lastSourceKLine = kline
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s.mu.Unlock()
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})
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s.tradingSession.MarketDataStream.OnKLine(func(kline types.KLine) {
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s.mu.Lock()
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s.lastTradingKLine = kline
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s.mu.Unlock()
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})
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if s.SourceExchange != "" {
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s.sourceBook = types.NewStreamBook(s.Symbol, sourceSession.ExchangeName)
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s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
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}
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s.tradingBook = types.NewStreamBook(s.Symbol, tradingSession.ExchangeName)
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s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
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s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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if trade.Symbol != s.Symbol {
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return
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}
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s.FeeBudget.HandleTradeUpdate(trade)
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})
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go func() {
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ticker := time.NewTicker(
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util.MillisecondsJitter(s.UpdateInterval.Duration(), 1000),
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)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-s.stopC:
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return
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case <-ticker.C:
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if !s.IsBudgetAllowed() {
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continue
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}
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// < 10 seconds jitter sleep
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delay := util.MillisecondsJitter(s.UpdateInterval.Duration(), 10*1000)
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if delay < s.UpdateInterval.Duration() {
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time.Sleep(delay)
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}
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s.placeOrders(ctx)
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s.cancelOrders(ctx)
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}
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}
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}()
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return nil
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}
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func (s *Strategy) placeOrders(ctx context.Context) {
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bestBid, hasBid := s.tradingBook.BestBid()
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bestAsk, hasAsk := s.tradingBook.BestAsk()
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// try to use the bid/ask price from the trading book
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if hasBid && hasAsk {
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("trading book spread=%s %s",
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spread.String(), spreadPercentage.Percentage())
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// use the source book price if the spread percentage greater than 5%
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if s.SimulatePrice && s.sourceBook != nil && spreadPercentage.Compare(maxStepPercentageGap) > 0 {
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log.Warnf("spread too large (%s %s), using source book",
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spread.String(), spreadPercentage.Percentage())
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if s.MinSpread.Sign() > 0 {
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if spread.Compare(s.MinSpread) < 0 {
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log.Warnf("spread < min spread, spread=%s minSpread=%s bid=%s ask=%s",
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spread.String(), s.MinSpread.String(),
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bestBid.Price.String(), bestAsk.Price.String())
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return
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}
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}
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// if the spread is less than 100 ticks (100 pips), skip
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if spread.Compare(s.tradingMarket.TickSize.MulExp(2)) < 0 {
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log.Warnf("spread too small, we can't place orders: spread=%s bid=%s ask=%s",
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spread.String(), bestBid.Price.String(), bestAsk.Price.String())
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return
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}
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} else if s.sourceBook != nil {
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if !hasBid || !hasAsk {
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log.Warn("no bids or asks on the source book or the trading book")
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return
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}
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if bestBid.Price.IsZero() || bestAsk.Price.IsZero() {
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log.Warn("bid price or ask price is zero")
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return
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}
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("spread:%s %s ask:%s bid:%s",
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spread.String(), spreadPercentage.Percentage(),
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bestAsk.Price.String(), bestBid.Price.String())
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// var spreadPercentage = spread.Float64() / bestBid.Price.Float64()
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var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two)
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var price = midPrice
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log.Infof("mid price %s", midPrice.String())
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var balances = s.tradingSession.GetAccount().Balances()
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baseBalance, ok := balances[s.tradingMarket.BaseCurrency]
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if !ok {
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log.Errorf("base balance %s not found", s.tradingMarket.BaseCurrency)
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return
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}
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quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]
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if !ok {
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log.Errorf("quote balance %s not found", s.tradingMarket.QuoteCurrency)
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return
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}
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minQuantity := s.tradingMarket.AdjustQuantityByMinNotional(s.tradingMarket.MinQuantity, price)
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if baseBalance.Available.Compare(minQuantity) <= 0 {
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log.Infof("base balance: %s %s is not enough, skip", baseBalance.Available.String(), s.tradingMarket.BaseCurrency)
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return
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}
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if quoteBalance.Available.Div(price).Compare(minQuantity) <= 0 {
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log.Infof("quote balance: %s %s is not enough, skip", quoteBalance.Available.String(), s.tradingMarket.QuoteCurrency)
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return
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}
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maxQuantity := baseBalance.Available
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if !quoteBalance.Available.IsZero() {
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maxQuantity = fixedpoint.Min(maxQuantity, quoteBalance.Available.Div(price))
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}
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quantity := minQuantity
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// if we set the fixed quantity, we should use the fixed
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if s.Quantity.Sign() > 0 {
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quantity = fixedpoint.Max(s.Quantity, quantity)
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} else if s.SimulateVolume {
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s.mu.Lock()
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if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 {
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log.Infof("trading exchange %s price: %s volume: %s",
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s.Symbol, s.lastTradingKLine.Close.String(), s.lastTradingKLine.Volume.String())
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log.Infof("source exchange %s price: %s volume: %s",
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s.Symbol, s.lastSourceKLine.Close.String(), s.lastSourceKLine.Volume.String())
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volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume)
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// change the current quantity only diff is positive
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if volumeDiff.Sign() > 0 {
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quantity = volumeDiff
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}
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}
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s.mu.Unlock()
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} else if s.DailyTargetVolume.Sign() > 0 {
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numOfTicks := (24 * time.Hour) / s.UpdateInterval.Duration()
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quantity = fixedpoint.NewFromFloat(s.DailyTargetVolume.Float64() / float64(numOfTicks))
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quantity = quantityJitter(quantity, 0.02)
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} else {
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// plus a 2% quantity jitter
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quantity = quantityJitter(quantity, 0.02)
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}
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log.Infof("%s quantity: %f", s.Symbol, quantity.Float64())
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quantity = fixedpoint.Min(quantity, maxQuantity)
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log.Infof("%s adjusted quantity: %f", s.Symbol, quantity.Float64())
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orderForms := []types.SubmitOrder{
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{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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},
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{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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},
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}
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log.Infof("order forms: %+v", orderForms)
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if s.DryRun {
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log.Infof("dry run, skip")
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return
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}
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_, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
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if err != nil {
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log.WithError(err).Error("order submit error")
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}
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time.Sleep(time.Second)
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}
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func (s *Strategy) cancelOrders(ctx context.Context) {
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if err := s.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Error("cancel order error")
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}
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}
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func quantityJitter(q fixedpoint.Value, rg float64) fixedpoint.Value {
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jitter := 1.0 + math.Max(rg, rand.Float64())
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return q.Mul(fixedpoint.NewFromFloat(jitter))
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}
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