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Merge pull request #726 from narumiruna/rebalance/valuemap

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rebalance: replace float slice by string-value map
This commit is contained in:
Yo-An Lin 2022-06-16 11:59:32 +08:00 committed by GitHub
commit 026910bbd7
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4 changed files with 316 additions and 63 deletions
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1
config/rebalance.yaml
View File

@ -18,5 +18,4 @@ exchangeStrategies:
threshold: 2%
# max amount to buy or sell per order
maxAmount: 10_000
verbose: true
dryRun: false

135
pkg/fixedpoint/value_map.go Normal file
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@ -0,0 +1,135 @@
package fixedpoint
type ValueMap map[string]Value
func (m ValueMap) Eq(n ValueMap) bool {
if len(m) != len(n) {
return false
}
for m_k, m_v := range m {
n_v, ok := n[m_k]
if !ok {
return false
}
if !m_v.Eq(n_v) {
return false
}
}
return true
}
func (m ValueMap) Add(n ValueMap) ValueMap {
if len(m) != len(n) {
panic("unequal length")
}
o := ValueMap{}
for k, v := range m {
o[k] = v.Add(n[k])
}
return o
}
func (m ValueMap) Sub(n ValueMap) ValueMap {
if len(m) != len(n) {
panic("unequal length")
}
o := ValueMap{}
for k, v := range m {
o[k] = v.Sub(n[k])
}
return o
}
func (m ValueMap) Mul(n ValueMap) ValueMap {
if len(m) != len(n) {
panic("unequal length")
}
o := ValueMap{}
for k, v := range m {
o[k] = v.Mul(n[k])
}
return o
}
func (m ValueMap) Div(n ValueMap) ValueMap {
if len(m) != len(n) {
panic("unequal length")
}
o := ValueMap{}
for k, v := range m {
o[k] = v.Div(n[k])
}
return o
}
func (m ValueMap) AddScalar(x Value) ValueMap {
o := ValueMap{}
for k, v := range m {
o[k] = v.Add(x)
}
return o
}
func (m ValueMap) SubScalar(x Value) ValueMap {
o := ValueMap{}
for k, v := range m {
o[k] = v.Sub(x)
}
return o
}
func (m ValueMap) MulScalar(x Value) ValueMap {
o := ValueMap{}
for k, v := range m {
o[k] = v.Mul(x)
}
return o
}
func (m ValueMap) DivScalar(x Value) ValueMap {
o := ValueMap{}
for k, v := range m {
o[k] = v.Div(x)
}
return o
}
func (m ValueMap) Sum() Value {
var sum Value
for _, v := range m {
sum = sum.Add(v)
}
return sum
}
func (m ValueMap) Normalize() ValueMap {
sum := m.Sum()
if sum.Eq(Zero) {
panic("zero sum")
}
return m.DivScalar(sum)
}

123
pkg/fixedpoint/value_map_test.go Normal file
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@ -0,0 +1,123 @@
package fixedpoint
import (
"testing"
"github.com/stretchr/testify/assert"
)
func Test_ValueMap_Eq(t *testing.T) {
m1 := ValueMap{
"A": NewFromFloat(3.0),
"B": NewFromFloat(4.0),
}
m2 := ValueMap{}
m3 := ValueMap{"A": NewFromFloat(5.0)}
m4 := ValueMap{
"A": NewFromFloat(6.0),
"B": NewFromFloat(7.0),
}
m5 := ValueMap{
"A": NewFromFloat(3.0),
"B": NewFromFloat(4.0),
}
assert.True(t, m1.Eq(m1))
assert.False(t, m1.Eq(m2))
assert.False(t, m1.Eq(m3))
assert.False(t, m1.Eq(m4))
assert.True(t, m1.Eq(m5))
}
func Test_ValueMap_Add(t *testing.T) {
m1 := ValueMap{
"A": NewFromFloat(3.0),
"B": NewFromFloat(4.0),
}
m2 := ValueMap{
"A": NewFromFloat(5.0),
"B": NewFromFloat(6.0),
}
m3 := ValueMap{
"A": NewFromFloat(8.0),
"B": NewFromFloat(10.0),
}
m4 := ValueMap{"A": NewFromFloat(8.0)}
assert.Equal(t, m3, m1.Add(m2))
assert.Panics(t, func() { m1.Add(m4) })
}
func Test_ValueMap_AddScalar(t *testing.T) {
x := NewFromFloat(5.0)
m1 := ValueMap{
"A": NewFromFloat(3.0),
"B": NewFromFloat(4.0),
}
m2 := ValueMap{
"A": NewFromFloat(3.0).Add(x),
"B": NewFromFloat(4.0).Add(x),
}
assert.Equal(t, m2, m1.AddScalar(x))
}
func Test_ValueMap_DivScalar(t *testing.T) {
x := NewFromFloat(5.0)
m1 := ValueMap{
"A": NewFromFloat(3.0),
"B": NewFromFloat(4.0),
}
m2 := ValueMap{
"A": NewFromFloat(3.0).Div(x),
"B": NewFromFloat(4.0).Div(x),
}
assert.Equal(t, m2, m1.DivScalar(x))
}
func Test_ValueMap_Sum(t *testing.T) {
m := ValueMap{
"A": NewFromFloat(3.0),
"B": NewFromFloat(4.0),
}
assert.Equal(t, NewFromFloat(7.0), m.Sum())
}
func Test_ValueMap_Normalize(t *testing.T) {
a := NewFromFloat(3.0)
b := NewFromFloat(4.0)
m := ValueMap{
"A": a,
"B": b,
}
n := ValueMap{
"A": a.Div(a.Add(b)),
"B": b.Div(a.Add(b)),
}
assert.True(t, m.Normalize().Eq(n))
}
func Test_ValueMap_Normalize_zero_sum(t *testing.T) {
m := ValueMap{
"A": Zero,
"B": Zero,
}
assert.Panics(t, func() { m.Normalize() })
}

120
pkg/strategy/rebalance/strategy.go
View File

@ -3,8 +3,6 @@ package rebalance
import (
"context"
"fmt"
"math"
"sort"
"github.com/sirupsen/logrus"
@ -24,33 +22,18 @@ func init() {
type Strategy struct {
Notifiability *bbgo.Notifiability
Interval types.Interval `json:"interval"`
BaseCurrency string `json:"baseCurrency"`
TargetWeights map[string]fixedpoint.Value `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"`
Verbose bool `json:"verbose"`
DryRun bool `json:"dryRun"`
Interval types.Interval `json:"interval"`
BaseCurrency string `json:"baseCurrency"`
TargetWeights fixedpoint.ValueMap `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"`
DryRun bool `json:"dryRun"`
// max amount to buy or sell per order
MaxAmount fixedpoint.Value `json:"maxAmount"`
// sorted currencies
currencies []string
// symbol for subscribing kline
symbol string
activeOrderBook *bbgo.ActiveOrderBook
}
func (s *Strategy) Initialize() error {
for currency := range s.TargetWeights {
s.currencies = append(s.currencies, currency)
}
sort.Strings(s.currencies)
s.symbol = s.currencies[0] + s.BaseCurrency
return nil
}
@ -63,6 +46,10 @@ func (s *Strategy) Validate() error {
return fmt.Errorf("targetWeights should not be empty")
}
if !s.TargetWeights.Sum().Eq(fixedpoint.One) {
return fmt.Errorf("the sum of targetWeights should be 1")
}
for currency, weight := range s.TargetWeights {
if weight.Float64() < 0 {
return fmt.Errorf("%s weight: %f should not less than 0", currency, weight.Float64())
@ -81,33 +68,33 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.symbols()[0], types.SubscribeOptions{Interval: s.Interval})
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.activeOrderBook = bbgo.NewActiveOrderBook("")
s.activeOrderBook.BindStream(session.UserDataStream)
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// cancel active orders before rebalance
if err := session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
log.WithError(err).Errorf("failed to cancel orders")
markets := session.Markets()
for _, symbol := range s.symbols() {
if _, ok := markets[symbol]; !ok {
return fmt.Errorf("exchange: %s does not supoort matket: %s", session.Exchange.Name(), symbol)
}
s.rebalance(ctx, orderExecutor, session)
})
return nil
}
func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
prices, err := s.prices(ctx, session)
if err != nil {
return
}
marketValues := prices.Mul(s.quantities(session))
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
s.rebalance(ctx, orderExecutor, session)
})
submitOrders := s.generateSubmitOrders(prices, marketValues)
return nil
}
func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
// cancel active orders before rebalance
if err := session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
log.WithError(err).Errorf("failed to cancel orders")
}
submitOrders := s.generateSubmitOrders(ctx, session)
for _, order := range submitOrders {
log.Infof("generated submit order: %s", order.String())
}
@ -125,44 +112,50 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
s.activeOrderBook.Add(createdOrders...)
}
func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) (prices types.Float64Slice, err error) {
func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) fixedpoint.ValueMap {
m := make(fixedpoint.ValueMap)
tickers, err := session.Exchange.QueryTickers(ctx, s.symbols()...)
if err != nil {
return nil, err
log.WithError(err).Error("failed to query tickers")
return nil
}
for _, currency := range s.currencies {
for currency := range s.TargetWeights {
if currency == s.BaseCurrency {
prices = append(prices, 1.0)
m[s.BaseCurrency] = fixedpoint.One
continue
}
symbol := currency + s.BaseCurrency
prices = append(prices, tickers[symbol].Last.Float64())
m[currency] = tickers[currency+s.BaseCurrency].Last
}
return prices, nil
return m
}
func (s *Strategy) quantities(session *bbgo.ExchangeSession) (quantities types.Float64Slice) {
func (s *Strategy) quantities(session *bbgo.ExchangeSession) fixedpoint.ValueMap {
m := make(fixedpoint.ValueMap)
balances := session.GetAccount().Balances()
for _, currency := range s.currencies {
quantities = append(quantities, balances[currency].Total().Float64())
for currency := range s.TargetWeights {
m[currency] = balances[currency].Total()
}
return quantities
return m
}
func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice) (submitOrders []types.SubmitOrder) {
func (s *Strategy) generateSubmitOrders(ctx context.Context, session *bbgo.ExchangeSession) (submitOrders []types.SubmitOrder) {
prices := s.prices(ctx, session)
marketValues := prices.Mul(s.quantities(session))
currentWeights := marketValues.Normalize()
for i, currency := range s.currencies {
for currency, targetWeight := range s.TargetWeights {
if currency == s.BaseCurrency {
continue
}
symbol := currency + s.BaseCurrency
currentWeight := currentWeights[i]
currentPrice := prices[i]
targetWeight := s.TargetWeights[currency].Float64()
currentWeight := currentWeights[currency]
currentPrice := prices[currency]
log.Infof("%s price: %v, current weight: %v, target weight: %v",
symbol,
@ -172,8 +165,8 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice)
// 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() {
weightDifference := targetWeight.Sub(currentWeight)
if weightDifference.Abs().Compare(s.Threshold) < 0 {
log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
symbol,
currentWeight,
@ -183,7 +176,7 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice)
continue
}
quantity := fixedpoint.NewFromFloat((weightDifference * marketValues.Sum()) / currentPrice)
quantity := weightDifference.Mul(marketValues.Sum()).Div(currentPrice)
side := types.SideTypeBuy
if quantity.Sign() < 0 {
@ -192,7 +185,7 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice)
}
if s.MaxAmount.Sign() > 0 {
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, fixedpoint.NewFromFloat(currentPrice), s.MaxAmount)
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
quantity,
symbol,
@ -200,22 +193,25 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice)
currentPrice,
s.MaxAmount)
}
log.Debugf("symbol: %v, quantity: %v", symbol, quantity)
order := types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: fixedpoint.NewFromFloat(currentPrice),
Price: currentPrice,
}
submitOrders = append(submitOrders, order)
}
return submitOrders
}
func (s *Strategy) symbols() (symbols []string) {
for _, currency := range s.currencies {
for currency := range s.TargetWeights {
if currency == s.BaseCurrency {
continue
}