bbgo_origin/pkg/strategy/mirrormaker/main.go

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package mirrormaker
import (
"context"
"fmt"
"sync"
"time"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
var defaultMargin = fixedpoint.NewFromFloat(0.01)
var defaultQuantity = fixedpoint.NewFromFloat(0.001)
var log = logrus.WithField("strategy", "mirrormaker")
func init() {
bbgo.RegisterStrategy("mirrormaker", &Strategy{})
}
type Strategy struct {
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*bbgo.Graceful
*bbgo.Persistence
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Symbol string `json:"symbol"`
SourceExchange string `json:"sourceExchange"`
MakerExchange string `json:"makerExchange"`
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UpdateInterval time.Duration `json:"updateInterval"`
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Margin fixedpoint.Value `json:"margin"`
BidMargin fixedpoint.Value `json:"bidMargin"`
AskMargin fixedpoint.Value `json:"askMargin"`
Quantity fixedpoint.Value `json:"quantity"`
QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`
NumLayers int `json:"numLayers"`
Pips int `json:"pips"`
makerSession *bbgo.ExchangeSession
sourceSession *bbgo.ExchangeSession
sourceMarket types.Market
makerMarket types.Market
book *types.StreamOrderBook
activeMakerOrders *bbgo.LocalActiveOrderBook
orderStore *bbgo.OrderStore
Position fixedpoint.Value
lastPrice float64
stopC chan struct{}
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
sourceSession, ok := sessions[s.SourceExchange]
if !ok {
panic(fmt.Errorf("source exchange %s is not defined", s.SourceExchange))
}
log.Infof("subscribing %s from %s", s.Symbol, s.SourceExchange)
sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
}
func (s *Strategy) updateQuote(ctx context.Context) {
if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
log.WithError(err).Errorf("can not cancel orders")
return
}
// avoid unlock issue
time.Sleep(100 * time.Millisecond)
sourceBook := s.book.Get()
if len(sourceBook.Bids) == 0 || len(sourceBook.Asks) == 0 {
return
}
bestBidPrice := sourceBook.Bids[0].Price
bestAskPrice := sourceBook.Asks[0].Price
log.Infof("best bid price %f, best ask price: %f", bestBidPrice.Float64(), bestAskPrice.Float64())
bidQuantity := s.Quantity
bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
askQuantity := s.Quantity
askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64())
log.Infof("quote bid price: %f ask price: %f", bidPrice.Float64(), askPrice.Float64())
var submitOrders []types.SubmitOrder
balances := s.makerSession.Account.Balances()
makerQuota := &bbgo.QuotaTransaction{}
if b, ok := balances[s.makerMarket.BaseCurrency]; ok {
makerQuota.BaseAsset.Add(b.Available)
}
if b, ok := balances[s.makerMarket.QuoteCurrency]; ok {
makerQuota.QuoteAsset.Add(b.Available)
}
hedgeBalances := s.sourceSession.Account.Balances()
hedgeQuota := &bbgo.QuotaTransaction{}
if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
hedgeQuota.BaseAsset.Add(b.Available)
}
if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
hedgeQuota.QuoteAsset.Add(b.Available)
}
log.Infof("maker quota: %+v", makerQuota)
log.Infof("hedge quota: %+v", hedgeQuota)
for i := 0; i < s.NumLayers; i++ {
// bid orders
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeBuy,
Price: bidPrice.Float64(),
Quantity: bidQuantity.Float64(),
TimeInForce: "GTC",
})
makerQuota.Commit()
hedgeQuota.Commit()
} else {
makerQuota.Rollback()
hedgeQuota.Rollback()
}
// ask orders
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: askPrice.Float64(),
Quantity: askQuantity.Float64(),
TimeInForce: "GTC",
})
makerQuota.Commit()
hedgeQuota.Commit()
} else {
makerQuota.Rollback()
hedgeQuota.Rollback()
}
bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
askQuantity = askQuantity.Mul(s.QuantityMultiplier)
bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
}
if len(submitOrders) == 0 {
return
}
makerOrderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.makerSession}
makerOrders, err := makerOrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Errorf("order submit error")
return
}
s.activeMakerOrders.Add(makerOrders...)
s.orderStore.Add(makerOrders...)
}
func (s *Strategy) handleTradeUpdate(trade types.Trade) {
log.Infof("received trade %+v", trade)
if s.orderStore.Exists(trade.OrderID) {
log.Infof("identified trade %d with an existing order: %d", trade.ID, trade.OrderID)
q := fixedpoint.NewFromFloat(trade.Quantity)
if trade.Side == types.SideTypeSell {
q = -q
}
s.Position.AtomicAdd(q)
pos := s.Position.AtomicLoad()
log.Warnf("position changed: %f", pos.Float64())
s.lastPrice = trade.Price
}
}
func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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if s.UpdateInterval == 0 {
s.UpdateInterval = time.Second
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}
if s.NumLayers == 0 {
s.NumLayers = 1
}
if s.BidMargin == 0 {
if s.Margin != 0 {
s.BidMargin = s.Margin
} else {
s.BidMargin = defaultMargin
}
}
if s.AskMargin == 0 {
if s.Margin != 0 {
s.AskMargin = s.Margin
} else {
s.AskMargin = defaultMargin
}
}
if s.Quantity == 0 {
s.Quantity = defaultQuantity
}
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sourceSession, ok := sessions[s.SourceExchange]
if !ok {
return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
}
s.sourceSession = sourceSession
makerSession, ok := sessions[s.MakerExchange]
if !ok {
return fmt.Errorf("maker exchange session %s is not defined", s.MakerExchange)
}
s.makerSession = makerSession
s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("source session market %s is not defined", s.Symbol)
}
s.makerMarket, ok = s.makerSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
}
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s.book = types.NewStreamBook(s.Symbol)
s.book.BindStream(s.sourceSession.Stream)
s.makerSession.Stream.OnTradeUpdate(s.handleTradeUpdate)
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
s.activeMakerOrders.BindStream(s.makerSession.Stream)
s.orderStore = bbgo.NewOrderStore()
s.orderStore.BindStream(s.makerSession.Stream)
s.stopC = make(chan struct{})
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if err := s.Persistence.Load(&s.Position, "position"); err != nil {
log.WithError(err).Warnf("can not load position")
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} else {
log.Infof("position is loaded successfully, position=%f", s.Position.Float64())
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}
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go func() {
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ticker := time.NewTicker(s.UpdateInterval)
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defer ticker.Stop()
for {
select {
case <-s.stopC:
return
case <-ctx.Done():
return
case <-ticker.C:
s.updateQuote(ctx)
}
}
}()
s.Graceful.OnShutdown(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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if err := s.Persistence.Save(&s.Position, "position"); err != nil {
log.WithError(err).Error("persistence save error")
}
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if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
log.WithError(err).Errorf("can not cancel orders")
}
})
return nil
}