bbgo_origin/pkg/strategy/rebalance/strategy.go

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package rebalance
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import (
"context"
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"fmt"
"math"
"sort"
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"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "rebalance"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Notifiability *bbgo.Notifiability
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Interval types.Interval `json:"interval"`
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BaseCurrency string `json:"baseCurrency"`
TargetWeights map[string]fixedpoint.Value `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"`
IgnoreLocked bool `json:"ignoreLocked"`
Verbose bool `json:"verbose"`
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DryRun bool `json:"dryRun"`
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// max amount to buy or sell per order
MaxAmount fixedpoint.Value `json:"maxAmount"`
currencies []string
}
func (s *Strategy) Initialize() error {
for currency := range s.TargetWeights {
s.currencies = append(s.currencies, currency)
}
sort.Strings(s.currencies)
return nil
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}
func (s *Strategy) ID() string {
return ID
}
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func (s *Strategy) Validate() error {
if len(s.TargetWeights) == 0 {
return fmt.Errorf("targetWeights should not be empty")
}
for currency, weight := range s.TargetWeights {
if weight.Float64() < 0 {
return fmt.Errorf("%s weight: %f should not less than 0", currency, weight.Float64())
}
}
if s.Threshold.Sign() < 0 {
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return fmt.Errorf("threshold should not less than 0")
}
if s.MaxAmount.Sign() < 0 {
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return fmt.Errorf("maxAmount shoud not less than 0")
}
return nil
}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
for _, symbol := range s.getSymbols() {
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}
}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
s.rebalance(ctx, orderExecutor, session)
})
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return nil
}
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func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
prices, err := s.getPrices(ctx, session)
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if err != nil {
return
}
balances := session.Account.Balances()
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quantities := s.getQuantities(balances)
marketValues := prices.Mul(quantities)
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orders := s.generateSubmitOrders(prices, marketValues)
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for _, order := range orders {
log.Infof("generated submit order: %s", order.String())
}
if s.DryRun {
return
}
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_, err = orderExecutor.SubmitOrders(ctx, orders...)
if err != nil {
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log.WithError(err).Error("submit order error")
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return
}
}
func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession) (prices types.Float64Slice, err error) {
for _, currency := range s.currencies {
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if currency == s.BaseCurrency {
prices = append(prices, 1.0)
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continue
}
symbol := currency + s.BaseCurrency
ticker, err := session.Exchange.QueryTicker(ctx, symbol)
if err != nil {
s.Notifiability.Notify("query ticker error: %s", err.Error())
log.WithError(err).Error("query ticker error")
return prices, err
}
prices = append(prices, ticker.Last.Float64())
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}
return prices, nil
}
func (s *Strategy) getQuantities(balances types.BalanceMap) (quantities types.Float64Slice) {
for _, currency := range s.currencies {
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if s.IgnoreLocked {
quantities = append(quantities, balances[currency].Total().Float64())
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} else {
quantities = append(quantities, balances[currency].Available.Float64())
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}
}
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return quantities
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}
func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice) (submitOrders []types.SubmitOrder) {
currentWeights := marketValues.Normalize()
totalValue := marketValues.Sum()
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log.Infof("total value: %f", totalValue)
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for i, currency := range s.currencies {
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if currency == s.BaseCurrency {
continue
}
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symbol := currency + s.BaseCurrency
currentWeight := currentWeights[i]
currentPrice := prices[i]
targetWeight := s.TargetWeights[currency].Float64()
log.Infof("%s price: %v, current weight: %v, target weight: %v",
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symbol,
currentPrice,
currentWeight,
targetWeight)
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// calculate the difference between current weight and target weight
// if the difference is less than threshold, then we will not create the order
weightDifference := targetWeight - currentWeight
if math.Abs(weightDifference) < s.Threshold.Float64() {
log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
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symbol,
currentWeight,
targetWeight,
weightDifference,
s.Threshold)
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continue
}
quantity := fixedpoint.NewFromFloat((weightDifference * totalValue) / currentPrice)
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side := types.SideTypeBuy
if quantity.Sign() < 0 {
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side = types.SideTypeSell
quantity = quantity.Abs()
}
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if s.MaxAmount.Sign() > 0 {
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, fixedpoint.NewFromFloat(currentPrice), s.MaxAmount)
log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
quantity,
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symbol,
side.String(),
currentPrice,
s.MaxAmount)
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}
log.Debugf("symbol: %v, quantity: %v", symbol, quantity)
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order := types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity}
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submitOrders = append(submitOrders, order)
}
return submitOrders
}
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func (s *Strategy) getSymbols() (symbols []string) {
for _, currency := range s.currencies {
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if currency == s.BaseCurrency {
continue
}
symbols = append(symbols, currency+s.BaseCurrency)
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}
return symbols
}