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https://github.com/c9s/bbgo.git
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strategy: redesign to audacitymaker
This commit is contained in:
austin362667
Austin Liu
parent
833d30ce64
commit
1d727345ee
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@ -14,8 +14,8 @@ sessions:
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exchangeStrategies:
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- on: binance
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ktrade:
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audacitymaker:
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symbol: ETHBUSD
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minute:
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pertrade:
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interval: 1m
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quantity: 0.01
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167
pkg/strategy/audacitymaker/pertrade.go
Normal file
167
pkg/strategy/audacitymaker/pertrade.go
Normal file
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@ -0,0 +1,167 @@
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package audacitymaker
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import (
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"context"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"math"
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)
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type PerTrade struct {
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Symbol string
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Market types.Market `json:"-"`
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types.IntervalWindow
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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Quantity fixedpoint.Value `json:"quantity"`
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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StreamBook *types.StreamOrderBook
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midPrice fixedpoint.Value
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bbgo.QuantityOrAmount
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}
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func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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symbol := position.Symbol
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// ger best bid/ask, not used yet
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s.StreamBook = types.NewStreamBook(symbol)
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s.StreamBook.BindStream(session.MarketDataStream)
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// use queue to do time-series rolling
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buyTradeSize := types.NewQueue(200)
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sellTradeSize := types.NewQueue(200)
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buyTradesNumber := types.NewQueue(200)
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sellTradesNumber := types.NewQueue(200)
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// [WIP] Order Aggressiveness refers to the percentage of orders that are submitted at market prices, as opposed to limit prices.
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// Order flow is the difference between buyer-initiated and seller-initiated trading volume or number of trades.
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var orderFlowSize floats.Slice
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var orderFlowNumber floats.Slice
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var orderFlowSizeMinMaxArcCos floats.Slice
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var orderFlowNumberMinMaxArcCos floats.Slice
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
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ctx := context.Background()
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if trade.Side == types.SideTypeBuy {
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// accumulating trading volume from buyer
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buyTradeSize.Update(trade.Quantity.Float64())
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sellTradeSize.Update(0)
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// counting trades of number from seller
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buyTradesNumber.Update(1)
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sellTradesNumber.Update(0)
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} else if trade.Side == types.SideTypeSell {
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// accumulating trading volume from buyer
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buyTradeSize.Update(0)
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sellTradeSize.Update(trade.Quantity.Float64())
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// counting trades of number from seller
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buyTradesNumber.Update(0)
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sellTradesNumber.Update(1)
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}
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canceled := s.orderExecutor.GracefulCancel(ctx)
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if canceled != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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}
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sizeFraction := buyTradeSize.Sum() / sellTradeSize.Sum()
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numberFraction := buyTradesNumber.Sum() / sellTradesNumber.Sum()
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orderFlowSize.Push(sizeFraction)
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if orderFlowSize.Length() > 100 {
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// min-max scaling
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oaMax := orderFlowSize.Tail(100).Max()
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oaMin := orderFlowSize.Tail(100).Min()
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oaMinMax := (orderFlowSize.Last() - oaMin) / (oaMax - oaMin)
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// preserves temporal dependency via polar encoded angles
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orderFlowSizeMinMaxArcCos.Push(math.Cosh(oaMinMax))
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}
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orderFlowNumber.Push(numberFraction)
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if orderFlowNumber.Length() > 100 {
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// min-max scaling
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ofMax := orderFlowNumber.Tail(100).Max()
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ofMin := orderFlowNumber.Tail(100).Min()
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ofMinMax := (orderFlowNumber.Last() - ofMin) / (ofMax - ofMin)
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// preserves temporal dependency via polar encoded angles
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orderFlowNumberMinMaxArcCos.Push(math.Cosh(ofMinMax))
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}
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if orderFlowSizeMinMaxArcCos.Length() > 100 && orderFlowNumberMinMaxArcCos.Length() > 100 {
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if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 0.2) > 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 0.2) > 0 {
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log.Infof("long!!")
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_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
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_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
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} else if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 0.2) < 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 0.2) < 0 {
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log.Infof("short!!")
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_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
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_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
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}
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}
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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log.Info(kline.NumberOfTrades)
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}))
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if !bbgo.IsBackTesting {
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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})
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}
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}
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func (s *PerTrade) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) error {
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market, _ := s.session.Market(symbol)
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Market: market,
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Side: side,
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Type: types.OrderTypeLimitMaker,
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Quantity: quantity,
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Price: price,
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Tag: "ktrade-limit",
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})
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return err
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}
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func (s *PerTrade) placeTrade(ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string) error {
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market, _ := s.session.Market(symbol)
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Market: market,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Tag: "ktrade-market",
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})
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return err
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}
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func outlier(fs floats.Slice, threshold float64) int {
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if fs.Last() > fs.Mean()*(1+threshold) {
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return 1
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} else if fs.Last() < fs.Mean()*(1-threshold) {
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return -1
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}
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return 0
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}
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@ -1,4 +1,4 @@
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package ktrade
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package audacitymaker
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import (
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"context"
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@ -41,7 +41,7 @@ type Strategy struct {
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activeOrders *bbgo.ActiveOrderBook
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Minute *Minute `json:"minute"`
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PerTrade *PerTrade `json:"pertrade"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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@ -55,7 +55,7 @@ type Strategy struct {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Minute.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.PerTrade.Interval})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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@ -119,8 +119,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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method.Bind(session, s.orderExecutor)
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}
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if s.Minute != nil {
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s.Minute.Bind(session, s.orderExecutor)
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if s.PerTrade != nil {
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s.PerTrade.Bind(session, s.orderExecutor)
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}
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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@ -1,114 +0,0 @@
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package ktrade
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import (
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"context"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type Minute struct {
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Symbol string
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Market types.Market `json:"-"`
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types.IntervalWindow
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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Quantity fixedpoint.Value `json:"quantity"`
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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StreamBook *types.StreamOrderBook
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midPrice fixedpoint.Value
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bbgo.QuantityOrAmount
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}
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func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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symbol := position.Symbol
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s.StreamBook = types.NewStreamBook(symbol)
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s.StreamBook.BindStream(session.MarketDataStream)
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//store, _ := session.MarketDataStore(symbol)
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
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bestBid, bestAsk, hasPrice := s.StreamBook.BestBidAndAsk()
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if !hasPrice {
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return
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}
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s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2))
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ctx := context.Background()
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if trade.Side == types.SideTypeBuy && trade.Price.Div(bestAsk.Price).Compare(fixedpoint.NewFromFloat(1.00005)) > 0 {
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canceled := s.orderExecutor.GracefulCancel(ctx)
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if canceled != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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}
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// update ask price
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//bestAsk, _ = s.StreamBook.BestAsk()
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newAskPrice := bestAsk.Price.Mul(fixedpoint.NewFromFloat(1.001)).Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("short @ %f", newAskPrice.Float64())
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err := s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Round(2, 0), symbol)
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if err != nil {
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newAskPrice = bestAsk.Price.Mul(fixedpoint.NewFromFloat(1.002)).Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("short again @ %f", newAskPrice.Float64())
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_ = s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Round(2, 0), symbol)
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}
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} else if trade.Side == types.SideTypeSell && trade.Price.Div(bestBid.Price).Compare(fixedpoint.NewFromFloat(0.99995)) < 0 {
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canceled := s.orderExecutor.GracefulCancel(ctx)
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if canceled != nil {
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_ = s.orderExecutor.GracefulCancel(ctx)
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}
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// update bid price
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//bestBid, _ = s.StreamBook.BestBid()
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newBidPrice := bestBid.Price.Mul(fixedpoint.NewFromFloat(0.999)).Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("long @ %f", newBidPrice.Float64())
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err := s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Round(2, 2), symbol)
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if err != nil {
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newBidPrice = bestBid.Price.Mul(fixedpoint.NewFromFloat(0.998)).Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
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log.Infof("long again @ %f", newBidPrice.Float64())
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_ = s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Round(2, 2), symbol)
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}
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}
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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log.Info(kline.NumberOfTrades)
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}))
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if !bbgo.IsBackTesting {
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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})
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}
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}
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func (s *Minute) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) error {
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market, _ := s.session.Market(symbol)
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Market: market,
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Side: side,
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Type: types.OrderTypeLimitMaker,
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Quantity: quantity,
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Price: price,
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//TimeInForce: types.TimeInForceGTC,
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Tag: "ktrade",
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})
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if err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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return err
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}
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