bbgo_origin/pkg/strategy/bollgrid/strategy.go

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package bollgrid
import (
"context"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
var log = logrus.WithField("strategy", "bollgrid")
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("bollgrid", &Strategy{})
}
type Strategy struct {
// The notification system will be injected into the strategy automatically.
// This field will be injected automatically since it's a single exchange strategy.
*bbgo.Notifiability
// OrderExecutor is an interface for submitting order.
// This field will be injected automatically since it's a single exchange strategy.
bbgo.OrderExecutor
// if Symbol string field is defined, bbgo will know it's a symbol-based strategy
// The following embedded fields will be injected with the corresponding instances.
// MarketDataStore is a pointer only injection field. public trades, k-lines (candlestick)
// and order book updates are maintained in the market data store.
// This field will be injected automatically since we defined the Symbol field.
*bbgo.MarketDataStore
// StandardIndicatorSet contains the standard indicators of a market (symbol)
// This field will be injected automatically since we defined the Symbol field.
*bbgo.StandardIndicatorSet
// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
// This field will be injected automatically since we defined the Symbol field.
types.Market
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
// Interval is the interval used by the BOLLINGER indicator (which uses K-Line as its source price)
Interval types.Interval `json:"interval"`
// RepostInterval is the interval for re-posting maker orders
RepostInterval types.Interval `json:"repostInterval"`
// GridPips is the pips of grid
// e.g., 0.001, so that your orders will be submitted at price like 0.127, 0.128, 0.129, 0.130
GridPips fixedpoint.Value `json:"gridPips"`
ProfitSpread fixedpoint.Value `json:"profitSpread"`
// GridNum is the grid number, how many orders you want to post on the orderbook.
GridNum int `json:"gridNumber"`
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// Quantity is the quantity you want to submit for each order.
Quantity float64 `json:"quantity"`
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// activeOrders is the locally maintained active order book of the maker orders.
activeOrders *bbgo.LocalActiveOrderBook
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orders *bbgo.OrderStore
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// boll is the BOLLINGER indicator we used for predicting the price.
boll *indicator.BOLL
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
// currently we need the 1m kline to update the last close price and indicators
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}
func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
quoteCurrency := s.Market.QuoteCurrency
balances := session.Account.Balances()
balance, ok := balances[quoteCurrency]
if !ok || balance.Available <= 0 {
return
}
var downBand = s.boll.LastDownBand()
if downBand <= 0.0 {
return
}
var startPrice = downBand
var submitOrders []types.SubmitOrder
for i := 0; i < s.GridNum; i++ {
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Market: s.Market,
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Quantity: s.Quantity,
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Price: startPrice,
TimeInForce: "GTC",
})
startPrice -= s.GridPips.Float64()
}
orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
if err != nil {
log.WithError(err).Errorf("can not place orders")
return
}
s.activeOrders.Add(orders...)
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s.orders.Add(orders...)
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}
func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
baseCurrency := s.Market.BaseCurrency
balances := session.Account.Balances()
balance, ok := balances[baseCurrency]
if !ok || balance.Available <= 0 {
return
}
var upBand = s.boll.LastUpBand()
if upBand <= 0.0 {
return
}
var startPrice = upBand
var submitOrders []types.SubmitOrder
for i := 0; i < s.GridNum; i++ {
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Market: s.Market,
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Quantity: s.Quantity,
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Price: startPrice,
TimeInForce: "GTC",
})
startPrice += s.GridPips.Float64()
}
orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
if err != nil {
log.WithError(err).Errorf("can not place orders")
return
}
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s.orders.Add(orders...)
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s.activeOrders.Add(orders...)
}
func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
// skip order updates if up-band - down-band < min profit spread
if (s.boll.LastUpBand() - s.boll.LastDownBand()) <= s.ProfitSpread.Float64() {
log.Infof("boll: down band price == up band price, skipping...")
return
}
if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
_, ok := session.Account.Balance(s.Market.QuoteCurrency)
if ok {
s.updateBidOrders(orderExecutor, session)
}
_, ok = session.Account.Balance(s.Market.BaseCurrency)
// TODO: add base asset quantity check, think about how to reuse the risk control executor
if ok {
s.updateAskOrders(orderExecutor, session)
}
s.activeOrders.Print()
}
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func (s *Strategy) submitReverseOrder(order types.Order) {
var side = order.Side.Reverse()
var price = order.Price
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switch side {
case types.SideTypeSell:
price += s.ProfitSpread.Float64()
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case types.SideTypeBuy:
price -= s.ProfitSpread.Float64()
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}
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submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: side,
Type: types.OrderTypeLimit,
Quantity: order.Quantity,
Price: price,
TimeInForce: "GTC",
}
log.Infof("submitting reverse order: %s against %s", submitOrder.String(), order.String())
createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place orders")
return
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}
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s.orders.Add(createdOrders...)
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}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.GridNum == 0 {
s.GridNum = 2
}
s.boll = s.StandardIndicatorSet.GetBOLL(types.IntervalWindow{
Interval: s.Interval,
Window: 21,
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}, 2.0)
s.orders = bbgo.NewOrderStore()
s.orders.BindStream(session.Stream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
s.activeOrders = bbgo.NewLocalActiveOrderBook()
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s.activeOrders.BindStream(session.Stream)
s.activeOrders.OnFilled(func(o types.Order) {
s.submitReverseOrder(o)
})
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// avoid using time ticker since we will need back testing here
session.Stream.OnKLineClosed(func(kline types.KLine) {
// skip kline events that does not belong to this symbol
if kline.Symbol != s.Symbol {
log.Infof("%s != %s", kline.Symbol, s.Symbol)
return
}
if (s.RepostInterval != "" && (s.RepostInterval == kline.Interval)) || s.Interval == kline.Interval {
// see if we have enough balances and then we create limit orders on the up band and the down band.
s.updateOrders(orderExecutor, session)
}
})
return nil
}