Merge pull request #1331 from c9s/narumi/fixedmaker/x

FEATURE: add xfixedmaker strategy

config/xfixedmaker.yaml

@@ -0,0 +1,24 @@
+---
+sessions:
+  max:
+    exchange: max
+    envVarPrefix: max
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+crossExchangeStrategies:
+  - xfixedmaker:
+      tradingExchange: max
+      symbol: BTCUSDT
+      interval: 5m
+      halfSpread: 0.05%
+      quantity: 0.005
+      orderType: LIMIT_MAKER
+      dryRun: true
+
+      referenceExchange: binance
+      referencePriceEMA:
+        interval: 1m
+        window: 14
+      orderPriceLossThreshold: -10

pkg/cmd/strategy/builtin.go

@@ -44,6 +44,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/wall"
 	_ "github.com/c9s/bbgo/pkg/strategy/xalign"
 	_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
+	_ "github.com/c9s/bbgo/pkg/strategy/xfixedmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/xfunding"
 	_ "github.com/c9s/bbgo/pkg/strategy/xgap"
 	_ "github.com/c9s/bbgo/pkg/strategy/xmaker"

pkg/strategy/fixedmaker/strategy.go

@@ -4,7 +4,6 @@ import (
 	"context"
 	"fmt"
 	"sync"
-	"time"
 
 	"github.com/sirupsen/logrus"
 
@@ -71,6 +70,10 @@ func (s *Strategy) Validate() error {
 
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+
+	if !s.CircuitBreakLossThreshold.IsZero() {
+		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.CircuitBreakEMA.Interval})
+	}
 }
 
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
@@ -81,15 +84,29 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 	s.activeOrderBook.BindStream(session.UserDataStream)
 
 	s.activeOrderBook.OnFilled(func(order types.Order) {
+		if s.IsHalted(order.UpdateTime.Time()) {
+			log.Infof("circuit break halted")
+			return
+		}
+
 		if s.activeOrderBook.NumOfOrders() == 0 {
-			log.Infof("no active orders, replenish")
+			log.Infof("no active orders, placing orders...")
-			s.replenish(ctx, order.UpdateTime.Time())
+			s.placeOrders(ctx)
 		}
 	})
 
 	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
 		log.Infof("%s", kline.String())
-		s.replenish(ctx, kline.EndTime.Time())
+
+		if s.IsHalted(kline.EndTime.Time()) {
+			log.Infof("circuit break halted")
+			return
+		}
+
+		if kline.Interval == s.Interval {
+			s.cancelOrders(ctx)
+			s.placeOrders(ctx)
+		}
 	})
 
 	// the shutdown handler, you can cancel all orders
@@ -97,32 +114,30 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 		defer wg.Done()
 		_ = s.OrderExecutor.GracefulCancel(ctx)
 	})
+
 	return nil
 }
 
-func (s *Strategy) replenish(ctx context.Context, t time.Time) {
+func (s *Strategy) cancelOrders(ctx context.Context) {
 	if err := s.Session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
 		log.WithError(err).Errorf("failed to cancel orders")
 	}
+}
 
-	if s.IsHalted(t) {
+func (s *Strategy) placeOrders(ctx context.Context) {
-		log.Infof("circuit break halted, not replenishing")
+	orders, err := s.generateOrders(ctx)
-		return
-	}
-
-	submitOrders, err := s.generateSubmitOrders(ctx)
 	if err != nil {
-		log.WithError(err).Error("failed to generate submit orders")
+		log.WithError(err).Error("failed to generate orders")
 		return
 	}
-	log.Infof("submit orders: %+v", submitOrders)
+	log.Infof("orders: %+v", orders)
 
 	if s.DryRun {
 		log.Infof("dry run, not submitting orders")
 		return
 	}
 
-	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, submitOrders...)
+	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orders...)
 	if err != nil {
 		log.WithError(err).Error("failed to submit orders")
 		return
@@ -132,7 +147,7 @@ func (s *Strategy) replenish(ctx context.Context, t time.Time) {
 	s.activeOrderBook.Add(createdOrders...)
 }
 
-func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrder, error) {
+func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, error) {
 	orders := []types.SubmitOrder{}
 
 	baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)

pkg/strategy/xfixedmaker/order_price_risk.go

@@ -0,0 +1,34 @@
+package xfixedmaker
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type OrderPriceRiskControl struct {
+	referencePrice *indicatorv2.EWMAStream
+	lossThreshold  fixedpoint.Value
+}
+
+func NewOrderPriceRiskControl(referencePrice *indicatorv2.EWMAStream, threshold fixedpoint.Value) *OrderPriceRiskControl {
+	return &OrderPriceRiskControl{
+		referencePrice: referencePrice,
+		lossThreshold:  threshold,
+	}
+}
+
+func (r *OrderPriceRiskControl) IsSafe(side types.SideType, price fixedpoint.Value, quantity fixedpoint.Value) bool {
+	refPrice := fixedpoint.NewFromFloat(r.referencePrice.Last(0))
+	// calculate profit
+	var profit fixedpoint.Value
+	if side == types.SideTypeBuy {
+		profit = refPrice.Sub(price).Mul(quantity)
+	} else if side == types.SideTypeSell {
+		profit = price.Sub(refPrice).Mul(quantity)
+	} else {
+		log.Warnf("OrderPriceRiskControl: unsupported side type: %s", side)
+		return false
+	}
+	return profit.Compare(r.lossThreshold) > 0
+}

pkg/strategy/xfixedmaker/order_price_risk_test.go

@@ -0,0 +1,63 @@
+package xfixedmaker
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_OrderPriceRiskControl_IsSafe(t *testing.T) {
+	refPrice := 30000.00
+	lossThreshold := fixedpoint.NewFromFloat(-100)
+
+	window := types.IntervalWindow{Window: 30, Interval: types.Interval1m}
+	refPriceEWMA := indicatorv2.EWMA2(nil, window.Window)
+	refPriceEWMA.PushAndEmit(refPrice)
+
+	cases := []struct {
+		name     string
+		side     types.SideType
+		price    fixedpoint.Value
+		quantity fixedpoint.Value
+		isSafe   bool
+	}{
+		{
+			name:     "BuyingHighSafe",
+			side:     types.SideTypeBuy,
+			price:    fixedpoint.NewFromFloat(30040.0),
+			quantity: fixedpoint.NewFromFloat(1.0),
+			isSafe:   true,
+		},
+		{
+			name:     "SellingLowSafe",
+			side:     types.SideTypeSell,
+			price:    fixedpoint.NewFromFloat(29960.0),
+			quantity: fixedpoint.NewFromFloat(1.0),
+			isSafe:   true,
+		},
+		{
+			name:     "BuyingHighLoss",
+			side:     types.SideTypeBuy,
+			price:    fixedpoint.NewFromFloat(30040.0),
+			quantity: fixedpoint.NewFromFloat(10.0),
+			isSafe:   false,
+		},
+		{
+			name:     "SellingLowLoss",
+			side:     types.SideTypeSell,
+			price:    fixedpoint.NewFromFloat(29960.0),
+			quantity: fixedpoint.NewFromFloat(10.0),
+			isSafe:   false,
+		},
+	}
+	for _, tc := range cases {
+		t.Run(tc.name, func(t *testing.T) {
+			var riskControl = NewOrderPriceRiskControl(refPriceEWMA, lossThreshold)
+			assert.Equal(t, tc.isSafe, riskControl.IsSafe(tc.side, tc.price, tc.quantity))
+		})
+	}
+}

pkg/strategy/xfixedmaker/strategy.go

@@ -0,0 +1,250 @@
+package xfixedmaker
+
+import (
+	"context"
+	"fmt"
+	"sync"
+
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/strategy/common"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const ID = "xfixedmaker"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+// Fixed spread market making strategy
+type Strategy struct {
+	*common.Strategy
+
+	Environment *bbgo.Environment
+
+	TradingExchange string           `json:"tradingExchange"`
+	Symbol          string           `json:"symbol"`
+	Interval        types.Interval   `json:"interval"`
+	Quantity        fixedpoint.Value `json:"quantity"`
+	HalfSpread      fixedpoint.Value `json:"halfSpread"`
+	OrderType       types.OrderType  `json:"orderType"`
+	DryRun          bool             `json:"dryRun"`
+
+	ReferenceExchange       string               `json:"referenceExchange"`
+	ReferencePriceEMA       types.IntervalWindow `json:"referencePriceEMA"`
+	OrderPriceLossThreshold fixedpoint.Value     `json:"orderPriceLossThreshold"`
+
+	market                types.Market
+	activeOrderBook       *bbgo.ActiveOrderBook
+	orderPriceRiskControl *OrderPriceRiskControl
+}
+
+func (s *Strategy) Defaults() error {
+	if s.OrderType == "" {
+		log.Infof("order type is not set, using limit maker order type")
+		s.OrderType = types.OrderTypeLimitMaker
+	}
+	return nil
+}
+func (s *Strategy) Initialize() error {
+	return nil
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s:%s", ID, s.Symbol)
+}
+
+func (s *Strategy) Validate() error {
+	if s.Quantity.Float64() <= 0 {
+		return fmt.Errorf("quantity should be positive")
+	}
+
+	if s.HalfSpread.Float64() <= 0 {
+		return fmt.Errorf("halfSpread should be positive")
+	}
+	return nil
+}
+
+func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
+	tradingSession, ok := sessions[s.TradingExchange]
+	if !ok {
+		log.Errorf("trading session %s is not defined", s.TradingExchange)
+		return
+	}
+	tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+	if !s.CircuitBreakLossThreshold.IsZero() {
+		tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.CircuitBreakEMA.Interval})
+	}
+
+	referenceSession, ok := sessions[s.ReferenceExchange]
+	if !ok {
+		log.Errorf("reference session %s is not defined", s.ReferenceExchange)
+	}
+	referenceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ReferencePriceEMA.Interval})
+}
+
+func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
+	tradingSession, ok := sessions[s.TradingExchange]
+	if !ok {
+		return fmt.Errorf("trading session %s is not defined", s.TradingExchange)
+	}
+
+	referenceSession, ok := sessions[s.ReferenceExchange]
+	if !ok {
+		return fmt.Errorf("reference session %s is not defined", s.ReferenceExchange)
+	}
+
+	market, ok := tradingSession.Market(s.Symbol)
+	if !ok {
+		return fmt.Errorf("market %s not found", s.Symbol)
+	}
+	s.market = market
+
+	s.Strategy = &common.Strategy{}
+	s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.market, ID, s.InstanceID())
+
+	s.orderPriceRiskControl = NewOrderPriceRiskControl(
+		referenceSession.Indicators(s.Symbol).EMA(s.ReferencePriceEMA),
+		s.OrderPriceLossThreshold,
+	)
+
+	s.activeOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
+	s.activeOrderBook.BindStream(tradingSession.UserDataStream)
+	s.activeOrderBook.OnFilled(func(order types.Order) {
+		if s.IsHalted(order.UpdateTime.Time()) {
+			log.Infof("circuit break halted")
+			return
+		}
+
+		if s.activeOrderBook.NumOfOrders() == 0 {
+			log.Infof("no active orders, placing orders...")
+			s.placeOrders(ctx)
+		}
+	})
+
+	tradingSession.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		log.Infof("kline: %s", kline.String())
+
+		if s.IsHalted(kline.EndTime.Time()) {
+			log.Infof("circuit break halted")
+			return
+		}
+
+		if kline.Interval == s.Interval {
+			s.cancelOrders(ctx)
+			s.placeOrders(ctx)
+		}
+	})
+
+	// the shutdown handler, you can cancel all orders
+	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+		_ = s.OrderExecutor.GracefulCancel(ctx)
+	})
+	return nil
+}
+
+func (s *Strategy) cancelOrders(ctx context.Context) {
+	if err := s.Session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
+		log.WithError(err).Errorf("failed to cancel orders")
+	}
+}
+
+func (s *Strategy) placeOrders(ctx context.Context) {
+	submitOrders, err := s.generateOrders(ctx)
+	if err != nil {
+		log.WithError(err).Error("failed to generate orders")
+		return
+	}
+	log.Infof("submit orders: %+v", submitOrders)
+
+	if s.DryRun {
+		log.Infof("dry run, not submitting orders")
+		return
+	}
+
+	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, submitOrders...)
+	if err != nil {
+		log.WithError(err).Error("failed to submit orders")
+		return
+	}
+	log.Infof("created orders: %+v", createdOrders)
+
+	s.activeOrderBook.Add(createdOrders...)
+}
+
+func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, error) {
+	orders := []types.SubmitOrder{}
+
+	baseBalance, ok := s.Session.GetAccount().Balance(s.market.BaseCurrency)
+	if !ok {
+		return nil, fmt.Errorf("base currency %s balance not found", s.market.BaseCurrency)
+	}
+	log.Infof("base balance: %s", baseBalance.String())
+
+	quoteBalance, ok := s.Session.GetAccount().Balance(s.market.QuoteCurrency)
+	if !ok {
+		return nil, fmt.Errorf("quote currency %s balance not found", s.market.QuoteCurrency)
+	}
+	log.Infof("quote balance: %s", quoteBalance.String())
+
+	ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
+	if err != nil {
+		return nil, err
+	}
+	midPrice := ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromFloat(2.0))
+	log.Infof("mid price: %s", midPrice.String())
+
+	// calculate bid and ask price
+	// sell price = mid price * (1 + r))
+	// buy price = mid price * (1 - r))
+	sellPrice := midPrice.Mul(fixedpoint.One.Add(s.HalfSpread)).Round(s.market.PricePrecision, fixedpoint.Up)
+	buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.HalfSpread)).Round(s.market.PricePrecision, fixedpoint.Down)
+	log.Infof("sell price: %s, buy price: %s", sellPrice.String(), buyPrice.String())
+
+	// check balance and generate orders
+	amount := s.Quantity.Mul(buyPrice)
+	if quoteBalance.Available.Compare(amount) > 0 {
+		if s.orderPriceRiskControl.IsSafe(types.SideTypeBuy, buyPrice, s.Quantity) {
+			orders = append(orders, types.SubmitOrder{
+				Symbol:   s.Symbol,
+				Side:     types.SideTypeBuy,
+				Type:     s.OrderType,
+				Price:    buyPrice,
+				Quantity: s.Quantity,
+			})
+
+		} else {
+			log.Infof("ref price risk control triggered, not placing buy order")
+		}
+	} else {
+		log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, amount)
+	}
+
+	if baseBalance.Available.Compare(s.Quantity) > 0 {
+		if s.orderPriceRiskControl.IsSafe(types.SideTypeSell, sellPrice, s.Quantity) {
+			orders = append(orders, types.SubmitOrder{
+				Symbol:   s.Symbol,
+				Side:     types.SideTypeSell,
+				Type:     s.OrderType,
+				Price:    sellPrice,
+				Quantity: s.Quantity,
+			})
+		} else {
+			log.Infof("ref price risk control triggered, not placing sell order")
+		}
+	} else {
+		log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, s.Quantity)
+	}
+
+	return orders, nil
+}