mirror of
https://github.com/c9s/bbgo.git
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strategy:irr redesign trigger
This commit is contained in:
austin362667
parent
a3dd93dd9a
commit
150c37995e
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@ -15,25 +15,11 @@ exchangeStrategies:
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- on: binance
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irr:
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symbol: BTCBUSD
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interval: 1s
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window: 120
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# in milliseconds(ms)
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hftInterval: 1000
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# maxima position in USD
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amount: 500.0
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humpThreshold: 0.000025
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# Draw pnl
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drawGraph: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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backtest:
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sessions:
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- binance
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startTime: "2022-10-09"
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endTime: "2022-10-11"
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# syncSecKLines: true
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symbols:
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- BTCBUSD
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accounts:
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binance:
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takerFeeRate: 0.0
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balances:
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BUSD: 5_000.0
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@ -11,26 +11,41 @@ import (
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"github.com/wcharczuk/go-chart/v2"
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)
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func (s *Strategy) InitDrawCommands(profit, cumProfit types.Series) {
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bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
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func (s *Strategy) InitDrawCommands(profit, cumProfit, cumProfitDollar types.Series) {
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bbgo.RegisterCommand("/rt", "Draw Return Rate(%) Per Trade", func(reply interact.Reply) {
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canvas := DrawPNL(s.InstanceID(), profit)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render pnl in drift")
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reply.Message(fmt.Sprintf("[error] cannot render pnl in ewo: %v", err))
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log.WithError(err).Errorf("cannot render return in irr")
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reply.Message(fmt.Sprintf("[error] cannot render return in irr: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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go bbgo.SendPhoto(&buffer)
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})
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bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL(Quote)", func(reply interact.Reply) {
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bbgo.RegisterCommand("/nav", "Draw Net Assets Value", func(reply interact.Reply) {
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canvas := DrawCumPNL(s.InstanceID(), cumProfit)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render cumpnl in drift")
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reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
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log.WithError(err).Errorf("cannot render nav in irr")
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reply.Message(fmt.Sprintf("[error] canot render nav in irr: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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go bbgo.SendPhoto(&buffer)
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})
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bbgo.RegisterCommand("/pnl", "Draw Cumulative Profit & Loss", func(reply interact.Reply) {
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canvas := DrawCumPNL(s.InstanceID(), cumProfitDollar)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render pnl in irr")
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reply.Message(fmt.Sprintf("[error] canot render pnl in irr: %v", err))
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return
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}
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go bbgo.SendPhoto(&buffer)
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})
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}
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@ -77,7 +92,7 @@ func DrawPNL(instanceID string, profit types.Series) *types.Canvas {
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func DrawCumPNL(instanceID string, cumProfit types.Series) *types.Canvas {
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canvas := types.NewCanvas(instanceID)
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canvas.PlotRaw("cummulative pnl", cumProfit, cumProfit.Length())
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canvas.PlotRaw("cumulative pnl", cumProfit, cumProfit.Length())
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canvas.YAxis = chart.YAxis{
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ValueFormatter: func(v interface{}) string {
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if vf, isFloat := v.(float64); isFloat {
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@ -30,18 +30,21 @@ type NRR struct {
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var _ types.SeriesExtend = &NRR{}
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func (inc *NRR) Update(price float64) {
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func (inc *NRR) Update(openPrice, closePrice float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.Prices = types.NewQueue(inc.Window)
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}
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inc.Prices.Update(price)
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inc.Prices.Update(closePrice)
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if inc.Prices.Length() < inc.Window {
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return
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}
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irr := (inc.Prices.Last() / inc.Prices.Index(inc.Window-1)) - 1
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// D0
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irr := openPrice - closePrice
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// D1
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// -1*((inc.Prices.Last() / inc.Prices.Index(inc.Window-1)) - 1)
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inc.Values.Push(-irr) // neg ret here
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inc.Values.Push(irr) // neg ret here
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inc.RankedValues.Push(inc.Rank(inc.RankingWindow).Last() / float64(inc.RankingWindow)) // ranked neg ret here
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}
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@ -75,7 +78,7 @@ func (inc *NRR) PushK(k types.KLine) {
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return
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}
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inc.Update(indicator.KLineClosePriceMapper(k))
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inc.Update(indicator.KLineOpenPriceMapper(k), indicator.KLineClosePriceMapper(k))
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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@ -86,14 +89,3 @@ func (inc *NRR) LoadK(allKLines []types.KLine) {
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}
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inc.EmitUpdate(inc.Last())
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}
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//func calculateReturn(klines []types.KLine, window int, val KLineValueMapper) (float64, error) {
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// length := len(klines)
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// if length == 0 || length < window {
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// return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
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// }
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//
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// rate := val(klines[length-1])/val(klines[length-2]) - 1
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//
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// return rate, nil
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//}
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@ -9,12 +9,10 @@ import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/sirupsen/logrus"
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"math"
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"go.uber.org/atomic"
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"os"
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"sync"
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"time"
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)
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const ID = "irr"
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@ -50,14 +48,25 @@ type Strategy struct {
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bbgo.QuantityOrAmount
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HumpThreshold float64 `json:"humpThreshold"`
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Interval int `json:"hftInterval"`
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lastTwoPrices *types.Queue
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// for back-test
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Nrr *NRR
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// for realtime book ticker
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lastPrice fixedpoint.Value
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rtNrr *types.Queue
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Ma *indicator.SMA
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// realtime book ticker to submit order
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obBuyPrice *atomic.Float64
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obSellPrice *atomic.Float64
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// for negative return rate
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openPrice float64
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closePrice float64
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rtNr *types.Queue
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// for moving average reversion
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rtMaFast *types.Queue
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rtMaSlow *types.Queue
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rtMr *types.Queue
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// for final alpha (Nr+Mr)/2
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rtWeight *types.Queue
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stopC chan struct{}
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// StrategyController
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@ -206,12 +215,10 @@ func (r *AccumulatedProfitReport) Output(symbol string) {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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if !bbgo.IsBackTesting {
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session.Subscribe(types.AggTradeChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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} else {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) ID() string {
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@ -249,7 +256,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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// _ = s.ClosePosition(ctx, fixedpoint.One)
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_ = s.orderExecutor.ClosePosition(ctx, fixedpoint.One)
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})
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// initial required information
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@ -294,6 +301,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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price, _ := session.LastPrice(s.Symbol)
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initAsset := s.CalcAssetValue(price).Float64()
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cumProfitSlice := floats.Slice{initAsset, initAsset}
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profitDollarSlice := floats.Slice{0, 0}
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cumProfitDollarSlice := floats.Slice{0, 0}
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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if bbgo.IsBackTesting {
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@ -309,6 +318,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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profitSlice.Update(s.sellPrice / price)
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cumProfitSlice.Update(s.CalcAssetValue(trade.Price).Float64())
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}
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profitDollarSlice.Update(profit.Float64())
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cumProfitDollarSlice.Update(profitDollarSlice.Sum())
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if s.Position.IsDust(trade.Price) {
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s.buyPrice = 0
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s.sellPrice = 0
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@ -327,7 +338,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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})
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s.InitDrawCommands(&profitSlice, &cumProfitSlice)
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s.InitDrawCommands(&profitSlice, &cumProfitSlice, &cumProfitDollarSlice)
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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@ -336,45 +347,81 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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//back-test only, because 1s delayed a lot
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kLineStore, _ := s.session.MarketDataStore(s.Symbol)
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s.Nrr = &NRR{IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval}, RankingWindow: s.Window}
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s.Nrr.BindK(s.session.MarketDataStream, s.Symbol, s.Interval)
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if klines, ok := kLineStore.KLinesOfInterval(s.Nrr.Interval); ok {
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s.Nrr.LoadK((*klines)[0:])
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}
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//kLineStore, _ := s.session.MarketDataStore(s.Symbol)
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//s.Nrr = &NRR{IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval}, RankingWindow: s.Window}
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//s.Nrr.BindK(s.session.MarketDataStream, s.Symbol, s.Interval)
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//if klines, ok := kLineStore.KLinesOfInterval(s.Nrr.Interval); ok {
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// s.Nrr.LoadK((*klines)[0:])
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//}
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//s.Ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}}
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//s.Ma.BindK(s.session.MarketDataStream, s.Symbol, s.Interval)
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//if klines, ok := kLineStore.KLinesOfInterval(s.Ma.Interval); ok {
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// s.Ma.LoadK((*klines)[0:])
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//}
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s.rtNr = types.NewQueue(100)
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s.rtMaFast = types.NewQueue(1)
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s.rtMaSlow = types.NewQueue(5)
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s.rtMr = types.NewQueue(100)
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s.rtWeight = types.NewQueue(100)
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currentRoundTime := int64(0)
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previousRoundTime := int64(0)
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currentTradePrice := 0.
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previousTradePrice := 0.
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s.lastTwoPrices = types.NewQueue(2) // current price & previous price
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s.rtNrr = types.NewQueue(s.Window)
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if !bbgo.IsBackTesting {
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s.stopC = make(chan struct{})
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go func() {
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secondTicker := time.NewTicker(util.MillisecondsJitter(s.Interval.Duration(), 200))
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defer secondTicker.Stop()
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for {
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select {
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case <-secondTicker.C:
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s.rebalancePosition(true)
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case <-s.stopC:
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log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol)
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return
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case <-ctx.Done():
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log.Warnf("%s goroutine stopped, due to the cancelled context", s.Symbol)
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return
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}
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}
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}()
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s.session.MarketDataStream.OnBookTickerUpdate(func(bt types.BookTicker) {
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s.lastPrice = bt.Buy.Add(bt.Sell).Div(fixedpoint.Two)
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// quote order book price
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s.obBuyPrice = atomic.NewFloat64(bt.Buy.Float64())
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s.obSellPrice = atomic.NewFloat64(bt.Sell.Float64())
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})
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} else {
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s.session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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s.lastPrice = kline.Close
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s.rebalancePosition(false)
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s.session.MarketDataStream.OnAggTrade(func(trade types.Trade) {
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// rounding to 1000 milliseconds if hftInterval is set to 1000
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currentRoundTime = trade.Time.UnixMilli() % int64(s.Interval)
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currentTradePrice = trade.Price.Float64()
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if currentRoundTime < previousRoundTime {
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s.openPrice = s.closePrice
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// D0 strategy can use now data
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// D1 strategy only use previous data (we're here)
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s.closePrice = previousTradePrice
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//log.Infof("Previous Close Price: %f", s.closePrice)
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//log.Infof("Previous Open Price: %f", s.openPrice)
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log.Infof("Now Open Price: %f", currentTradePrice)
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s.orderExecutor.CancelNoWait(ctx)
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// calculate real-time Negative Return
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s.rtNr.Update(s.openPrice - s.closePrice)
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// calculate real-time Negative Return Rank
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rtNrRank := 0.
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if s.rtNr.Length() >= 100 {
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rtNrRank = s.rtNr.Rank(s.rtNr.Length()).Last() / float64(s.rtNr.Length())
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}
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// calculate real-time Mean Reversion
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s.rtMaFast.Update(s.closePrice)
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s.rtMaSlow.Update(s.closePrice)
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s.rtMr.Update((s.rtMaSlow.Mean() - s.rtMaFast.Mean()) / s.rtMaSlow.Mean())
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// calculate real-time Mean Reversion Rank
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rtMrRank := 0.
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if s.rtMr.Length() >= 100 {
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rtMrRank = s.rtMr.Rank(s.rtMr.Length()).Last() / float64(s.rtMr.Length())
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}
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s.rtWeight.Update((rtNrRank + rtMrRank) / 2)
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rtWeightRank := 0.
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if s.rtWeight.Length() >= 100 {
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rtWeightRank = s.rtWeight.Rank(s.rtWeight.Length()).Last() / float64(s.rtWeight.Length())
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}
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log.Infof("Alpha: %f/1.0", rtWeightRank)
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s.rebalancePosition(s.obBuyPrice.Load(), s.obSellPrice.Load(), rtWeightRank)
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}
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previousRoundTime = currentRoundTime
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previousTradePrice = currentTradePrice
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})
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}
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@ -404,56 +451,29 @@ func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
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return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
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}
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func (s *Strategy) rebalancePosition(rt bool) {
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s.lastTwoPrices.Update(s.lastPrice.Float64())
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if s.lastTwoPrices.Length() >= 2 {
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log.Infof("Interval Closed Price: %f", s.lastTwoPrices.Last())
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// main idea: negative return
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nr := -1 * (s.lastTwoPrices.Last()/s.lastTwoPrices.Index(1) - 1)
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if rt {
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// hump operation to reduce noise
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// update nirr indicator when above threshold
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if math.Abs(s.rtNrr.Last()-nr) < s.HumpThreshold {
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s.rtNrr.Update(s.rtNrr.Last())
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} else {
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s.rtNrr.Update(nr)
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return
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}
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} else {
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if math.Abs(s.Nrr.Last()-s.Nrr.Index(1)) < s.HumpThreshold {
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return
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}
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}
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// when have enough Nrr to do ts_rank()
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if (s.rtNrr.Length() >= s.Window && rt) || (s.Nrr.Length() >= s.Window && !rt) {
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func (s *Strategy) rebalancePosition(bestBid, bestAsk float64, w float64) {
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// alpha-weighted assets (inventory and capital)
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position := s.orderExecutor.Position()
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// weight: 0~1, since it's a long only strategy
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weight := fixedpoint.NewFromFloat(s.rtNrr.Rank(s.Window).Last() / float64(s.Window))
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if !rt {
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weight = fixedpoint.NewFromFloat(s.Nrr.Rank(s.Window).Last() / float64(s.Window))
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}
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targetBase := s.QuantityOrAmount.CalculateQuantity(fixedpoint.NewFromFloat(s.lastTwoPrices.Mean(2))).Mul(weight)
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p := fixedpoint.NewFromFloat((bestBid + bestAsk) / 2)
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targetBase := s.QuantityOrAmount.CalculateQuantity(p).Mul(fixedpoint.NewFromFloat(w))
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// to buy/sell quantity
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diffQty := targetBase.Sub(position.Base)
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log.Infof("Alpha: %f/1.0, Target Position Diff: %f", weight.Float64(), diffQty.Float64())
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log.Infof("Target Position Diff: %f", diffQty.Float64())
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// ignore small changes
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if diffQty.Abs().Float64() < 0.001 {
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if diffQty.Abs().Float64() < 0.0005 {
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return
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}
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// re-balance position
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if diffQty.Sign() > 0 {
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_, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: diffQty.Abs(),
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Type: types.OrderTypeMarket,
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//Price: bt.Sell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: fixedpoint.NewFromFloat(bestBid),
|
||||
Tag: "irr re-balance: buy",
|
||||
})
|
||||
if err != nil {
|
||||
|
|
@ -464,14 +484,12 @@ func (s *Strategy) rebalancePosition(rt bool) {
|
|||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Quantity: diffQty.Abs(),
|
||||
Type: types.OrderTypeMarket,
|
||||
//Price: bt.Buy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: fixedpoint.NewFromFloat(bestAsk),
|
||||
Tag: "irr re-balance: sell",
|
||||
})
|
||||
if err != nil {
|
||||
log.WithError(err)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user