bbgo_origin/pkg/strategy/funding/strategy.go

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package funding
import (
"context"
"errors"
"fmt"
"strings"
"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "funding"
var log = logrus.WithField("strategy", ID)
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
// Note: built-in strategies need to imported manually in the bbgo cmd package.
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
*bbgo.Notifiability
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
Market types.Market `json:"-"`
Quantity fixedpoint.Value `json:"quantity,omitempty"`
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
//Interval types.Interval `json:"interval"`
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FundingRate *struct {
High fixedpoint.Value `json:"high"`
Neutral fixedpoint.Value `json:"neutral"`
DiffThreshold fixedpoint.Value `json:"diffThreshold"`
} `json:"fundingRate"`
SupportDetection []struct {
Interval types.Interval `json:"interval"`
// MovingAverageType is the moving average indicator type that we want to use,
// it could be SMA or EWMA
MovingAverageType string `json:"movingAverageType"`
// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
// the k-line data we subscribed
//MovingAverageInterval types.Interval `json:"movingAverageInterval"`
//
//// MovingAverageWindow is the number of the window size of the moving average indicator.
//// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
//MovingAverageWindow int `json:"movingAverageWindow"`
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MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
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MinVolume fixedpoint.Value `json:"minVolume"`
MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
} `json:"supportDetection"`
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
// session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
// Interval: string(s.Interval),
//})
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for _, detection := range s.SupportDetection {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: detection.Interval,
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})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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})
}
}
func (s *Strategy) Validate() error {
if len(s.Symbol) == 0 {
return errors.New("symbol is required")
}
return nil
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
}
//binanceExchange, ok := session.Exchange.(*binance.Exchange)
//if !ok {
// log.Error("exchange failed")
//}
if !session.Futures {
log.Error("futures not enabled in config for this strategy")
return nil
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}
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//if s.FundingRate != nil {
// go s.listenToFundingRate(ctx, binanceExchange)
//}
premiumIndex, err := session.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.Error("exchange does not support funding rate api")
}
var ma types.Float64Indicator
for _, detection := range s.SupportDetection {
switch strings.ToLower(detection.MovingAverageType) {
case "sma":
ma = standardIndicatorSet.SMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
case "ema", "ewma":
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
default:
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
}
}
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
return
}
for _, detection := range s.SupportDetection {
var lastMA = ma.Last()
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closePrice := kline.GetClose()
closePriceF := closePrice.Float64()
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// skip if the closed price is under the moving average
if closePriceF < lastMA {
log.Infof("skip %s closed price %v < last ma %f", s.Symbol, closePrice, lastMA)
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return
}
fundingRate := premiumIndex.LastFundingRate
if fundingRate.Compare(s.FundingRate.High) >= 0 {
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s.Notifiability.Notify("%s funding rate %s is too high! threshold %s",
s.Symbol,
fundingRate.Percentage(),
s.FundingRate.High.Percentage(),
)
} else {
log.Infof("skip funding rate is too low")
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return
}
prettyBaseVolume := s.Market.BaseCurrencyFormatter()
prettyQuoteVolume := s.Market.QuoteCurrencyFormatter()
if detection.MinVolume.Sign() > 0 && kline.Volume.Compare(detection.MinVolume) > 0 {
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s.Notifiability.Notify("Detected %s %s resistance base volume %s > min base volume %s, quote volume %s",
s.Symbol, detection.Interval.String(),
prettyBaseVolume.FormatMoney(kline.Volume.Trunc()),
prettyBaseVolume.FormatMoney(detection.MinVolume.Trunc()),
prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()),
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)
s.Notifiability.Notify(kline)
baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
return
}
if baseBalance.Available.Sign() > 0 && baseBalance.Total().Compare(s.MaxExposurePosition) < 0 {
log.Infof("opening a short position")
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: s.Quantity,
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})
if err != nil {
log.WithError(err).Error("submit order error")
}
}
} else if detection.MinQuoteVolume.Sign() > 0 && kline.QuoteVolume.Compare(detection.MinQuoteVolume) > 0 {
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s.Notifiability.Notify("Detected %s %s resistance quote volume %s > min quote volume %s, base volume %s",
s.Symbol, detection.Interval.String(),
prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()),
prettyQuoteVolume.FormatMoney(detection.MinQuoteVolume.Trunc()),
prettyBaseVolume.FormatMoney(kline.Volume.Trunc()),
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)
s.Notifiability.Notify(kline)
}
}
})
return nil
}