bbgo_origin/pkg/strategy/support/strategy.go

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package support
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import (
"context"
"fmt"
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"sync"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
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const ID = "support"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
var zeroiw = types.IntervalWindow{}
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func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
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type State struct {
Position *types.Position `json:"position,omitempty"`
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}
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type Target struct {
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ProfitPercentage float64 `json:"profitPercentage"`
QuantityPercentage float64 `json:"quantityPercentage"`
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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// PercentageTargetStop is a kind of stop order by setting fixed percentage target
type PercentageTargetStop struct {
Targets []Target `json:"targets"`
}
// GenerateOrders generates the orders from the given targets
func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *types.Position) []types.SubmitOrder {
var price = pos.AverageCost
var quantity = pos.GetBase()
// submit target orders
var targetOrders []types.SubmitOrder
for _, target := range stop.Targets {
targetPrice := price.Float64() * (1.0 + target.ProfitPercentage)
targetQuantity := quantity.Float64() * target.QuantityPercentage
targetQuoteQuantity := targetPrice * targetQuantity
if targetQuoteQuantity <= market.MinNotional {
continue
}
if targetQuantity <= market.MinQuantity {
continue
}
targetOrders = append(targetOrders, types.SubmitOrder{
Symbol: market.Symbol,
Market: market,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: targetPrice,
Quantity: targetQuantity,
MarginSideEffect: target.MarginOrderSideEffect,
TimeInForce: "GTC",
})
}
return targetOrders
}
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// ResistanceStop is a kind of stop order by detecting resistance
type ResistanceStop struct {
Interval types.Interval `json:"interval"`
sensitivity fixedpoint.Value `json:"sensitivity"`
MinVolume fixedpoint.Value `json:"minVolume"`
TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
}
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type Strategy struct {
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*bbgo.Notifiability `json:"-"`
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*bbgo.Persistence
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*bbgo.Graceful `json:"-"`
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Symbol string `json:"symbol"`
Market types.Market `json:"-"`
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// Interval for checking support
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Interval types.Interval `json:"interval"`
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// moving average window for checking support (support should be under the moving average line)
TriggerMovingAverage types.IntervalWindow `json:"triggerMovingAverage"`
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// LongTermMovingAverage is the second moving average line for checking support position
LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
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Quantity fixedpoint.Value `json:"quantity"`
MinVolume fixedpoint.Value `json:"minVolume"`
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Sensitivity fixedpoint.Value `json:"sensitivity"`
TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
Targets []Target `json:"targets"`
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ResistanceStop *ResistanceStop `json:"resistanceStop"`
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ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
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// Min BaseAsset balance to keep
MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
// Max BaseAsset balance to buy
MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
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tradeCollector *bbgo.TradeCollector
orderStore *bbgo.OrderStore
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state *State
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triggerEMA *indicator.EWMA
longTermEMA *indicator.EWMA
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}
func (s *Strategy) ID() string {
return ID
}
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func (s *Strategy) Validate() error {
if s.Quantity == 0 && s.ScaleQuantity == nil {
return fmt.Errorf("quantity or scaleQuantity can not be zero")
}
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if s.MinVolume == 0 && s.Sensitivity == 0 {
return fmt.Errorf("either minVolume nor sensitivity can not be zero")
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}
return nil
}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
if s.TriggerMovingAverage != zeroiw {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.TriggerMovingAverage.Interval)})
}
if s.LongTermMovingAverage != zeroiw {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.LongTermMovingAverage.Interval)})
}
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}
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func (s *Strategy) SaveState() error {
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
return err
} else {
log.Infof("state is saved => %+v", s.state)
}
return nil
}
func (s *Strategy) LoadState() error {
var state State
// load position
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
if err != service.ErrPersistenceNotExists {
return err
}
s.state = &State{}
} else {
s.state = &state
log.Infof("state is restored: %+v", s.state)
}
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if s.state.Position == nil {
s.state.Position = types.NewPositionFromMarket(s.Market)
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}
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return nil
}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) error {
for _, o := range orderForms {
s.Notifiability.Notify(o)
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForms...)
if err != nil {
return err
}
s.orderStore.Add(createdOrders...)
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s.tradeCollector.Emit()
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return nil
}
func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.SideType, closePrice fixedpoint.Value, volume float64) (fixedpoint.Value, error) {
var quantity fixedpoint.Value
if s.Quantity > 0 {
quantity = s.Quantity
} else if s.ScaleQuantity != nil {
qf, err := s.ScaleQuantity.Scale(closePrice.Float64(), volume)
if err != nil {
return 0, err
}
quantity = fixedpoint.NewFromFloat(qf)
}
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baseBalance, _ := session.Account.Balance(s.Market.BaseCurrency)
if side == types.SideTypeSell {
// quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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if s.MinBaseAssetBalance > 0 && (baseBalance.Total()-quantity) < s.MinBaseAssetBalance {
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quota := baseBalance.Available - s.MinBaseAssetBalance
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
}
} else if side == types.SideTypeBuy {
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if s.MaxBaseAssetBalance > 0 && baseBalance.Total()+quantity > s.MaxBaseAssetBalance {
quota := s.MaxBaseAssetBalance - baseBalance.Total()
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
}
quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
if !ok {
return 0, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
}
// for spot, we need to modify the quantity according to the quote balance
if !session.Margin {
// add 0.3% for price slippage
notional := closePrice.Mul(quantity).MulFloat64(1.003)
if s.MinQuoteAssetBalance > 0 && quoteBalance.Available-notional < s.MinQuoteAssetBalance {
log.Warnf("modifying quantity %f according to the min quote asset balance %f %s",
quantity.Float64(),
quoteBalance.Available.Float64(),
s.Market.QuoteCurrency)
quota := quoteBalance.Available - s.MinQuoteAssetBalance
quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
} else if notional > quoteBalance.Available {
log.Warnf("modifying quantity %f according to the quote asset balance %f %s",
quantity.Float64(),
quoteBalance.Available.Float64(),
s.Market.QuoteCurrency)
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
}
}
}
return quantity, nil
}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// set default values
if s.Interval == "" {
s.Interval = types.Interval5m
}
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if s.Sensitivity > 0 {
volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
if err != nil {
return err
}
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s.MinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1]-volRange[0]).Mul(fixedpoint.NewFromFloat(1.0)-s.Sensitivity)
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log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
}
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market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s is not defined", s.Symbol)
}
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s.Market = market
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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
}
if s.TriggerMovingAverage != zeroiw {
s.triggerEMA = standardIndicatorSet.EWMA(s.TriggerMovingAverage)
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} else {
s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: s.Interval,
Window: 99, // default window
})
}
if s.LongTermMovingAverage != zeroiw {
s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
}
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
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if err := s.LoadState(); err != nil {
return err
} else {
s.Notify("%s state is restored => %+v", s.Symbol, s.state)
}
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
s.tradeCollector.BindStream(session.UserDataStream)
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// s.tradeCollector.BindStreamForBackground(session.UserDataStream)
// go s.tradeCollector.Run(ctx)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
return
}
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if kline.Interval != s.Interval {
return
}
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closePriceF := kline.GetClose()
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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// check support volume
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if kline.Volume < s.MinVolume.Float64() {
return
}
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// check taker buy ratio, we need strong buy taker
if s.TakerBuyRatio > 0 {
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takerBuyRatio := kline.TakerBuyBaseAssetVolume / kline.Volume
takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
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if takerBuyRatio < s.TakerBuyRatio.Float64() {
s.Notify("%s: taker buy base volume %f (volume ratio %f) is less than %f (volume ratio %f)",
s.Symbol,
kline.TakerBuyBaseAssetVolume,
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takerBuyRatio,
takerBuyBaseVolumeThreshold,
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kline.Volume,
s.TakerBuyRatio.Float64(),
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kline,
)
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return
}
}
if s.longTermEMA != nil && closePriceF < s.longTermEMA.Last() {
s.Notify("%s: closed price is below the long term moving average line %f, skipping this support",
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s.Symbol,
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s.longTermEMA.Last(),
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kline,
)
return
}
if s.triggerEMA != nil && closePriceF > s.triggerEMA.Last() {
s.Notify("%s: closed price is above the trigger moving average line %f, skipping this support",
s.Symbol,
s.triggerEMA.Last(),
kline,
)
return
}
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if s.triggerEMA != nil && s.longTermEMA != nil {
s.Notify("Found %s support: the close price %f is below trigger EMA %f and above long term EMA %f and volume %f > minimum volume %f",
s.Symbol,
closePrice.Float64(),
s.triggerEMA.Last(),
s.longTermEMA.Last(),
kline.Volume,
s.MinVolume.Float64(),
kline)
} else {
s.Notify("Found %s support: the close price %f and volume %f > minimum volume %f",
s.Symbol,
closePrice.Float64(),
kline.Volume,
s.MinVolume.Float64(),
kline)
}
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quantity, err := s.calculateQuantity(session, types.SideTypeBuy, closePrice, kline.Volume)
if err != nil {
log.WithError(err).Errorf("%s quantity calculation error", s.Symbol)
return
}
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orderForm := types.SubmitOrder{
Symbol: s.Symbol,
Market: market,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: quantity.Float64(),
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MarginSideEffect: s.MarginOrderSideEffect,
}
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s.Notify("Submitting %s market order buy with quantity %f according to the base volume %f, taker buy base volume %f",
s.Symbol,
quantity.Float64(),
kline.Volume,
kline.TakerBuyBaseAssetVolume,
orderForm)
if err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
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log.WithError(err).Error("submit order error")
return
}
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// submit target orders
var targetOrders []types.SubmitOrder
for _, target := range s.Targets {
targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
targetQuantity := quantity.Float64() * target.QuantityPercentage
targetQuoteQuantity := targetPrice * targetQuantity
if targetQuoteQuantity <= market.MinNotional {
continue
}
if targetQuantity <= market.MinQuantity {
continue
}
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targetOrders = append(targetOrders, types.SubmitOrder{
Symbol: kline.Symbol,
Market: market,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: targetPrice,
Quantity: targetQuantity,
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MarginSideEffect: target.MarginOrderSideEffect,
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TimeInForce: "GTC",
})
}
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if err := s.submitOrders(ctx, orderExecutor, targetOrders...); err != nil {
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log.WithError(err).Error("submit profit target order error")
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return
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}
})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
if err := s.SaveState(); err != nil {
log.WithError(err).Errorf("can not save state: %+v", s.state)
} else {
s.Notify("%s position is saved", s.Symbol, s.state.Position)
}
})
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return nil
}