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Merge pull request #27 from c9s/feature/maker-strategy

Browse Source 
strategy: add exponential quantity maker strategy
This commit is contained in:
Yo-An Lin 2020-10-26 10:50:00 +08:00 committed by GitHub
commit 27aa65aa13
33 changed files with 1212 additions and 344 deletions
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10
config/bbgo.yaml
View File

@ -1,6 +1,8 @@
---
imports:
- github.com/c9s/bbgo/pkg/strategy/buyandhold
- github.com/c9s/bbgo/pkg/strategy/xpuremaker
notifications:
slack:
defaultChannel: "bbgo"
@ -39,3 +41,11 @@ exchangeStrategies:
interval: "1m"
baseQuantity: 0.01
minDropPercentage: -0.02
- on: max
xpuremaker:
symbol: MAXUSDT
numOrders: 2
side: both
behindVolume: 1000.0
priceTick: 0.01
baseQuantity: 100.0

42
config/xpuremaker.yaml Normal file
View File

@ -0,0 +1,42 @@
---
notifications:
slack:
defaultChannel: "bbgo"
errorChannel: "bbgo-error"
reportTrades:
channelBySymbol:
"btcusdt": "bbgo-btcusdt"
"ethusdt": "bbgo-ethusdt"
"bnbusdt": "bbgo-bnbusdt"
"sxpusdt": "bbgo-sxpusdt"
"maxusdt": "max-maxusdt"
reportPnL:
- averageCostBySymbols:
- "BTCUSDT"
- "BNBUSDT"
of: binance
when:
- "@daily"
- "@hourly"
sessions:
max:
exchange: max
keyVar: MAX_API_KEY
secretVar: MAX_API_SECRET
binance:
exchange: binance
keyVar: BINANCE_API_KEY
secretVar: BINANCE_API_SECRET
exchangeStrategies:
- on: max
xpuremaker:
symbol: MAXUSDT
numOrders: 2
side: both
behindVolume: 1000.0
priceTick: 0.001
baseQuantity: 100.0

2
examples/max-eqmaker/main.go
View File

@ -216,7 +216,7 @@ func generateOrders(symbol, side string, price, priceTick, baseVolume fixedpoint
orders = append(orders, maxapi.Order{
Side: side,
OrderType: string(maxapi.OrderTypeLimit),
OrderType: maxapi.OrderTypeLimit,
Market: symbol,
Price: util.FormatFloat(price.Float64(), 3),
Volume: util.FormatFloat(volume, 2),

2
go.mod
View File

@ -4,7 +4,7 @@ go 1.13
require (
github.com/DATA-DOG/go-sqlmock v1.5.0
github.com/adshao/go-binance v0.0.0-20200604145522-bf563a35f17f
github.com/adshao/go-binance v0.0.0-20201015231210-37cee298310e
github.com/c9s/goose v0.0.0-20200415105707-8da682162a5b
github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239 // indirect
github.com/fsnotify/fsnotify v1.4.7

2
go.sum
View File

@ -19,6 +19,8 @@ github.com/DATA-DOG/go-sqlmock v1.5.0/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q
github.com/OneOfOne/xxhash v1.2.2/go.mod h1:HSdplMjZKSmBqAxg5vPj2TmRDmfkzw+cTzAElWljhcU=
github.com/adshao/go-binance v0.0.0-20200604145522-bf563a35f17f h1:lVxx5HSt/imprfR8v577N3gCQmKmRgkGNz30FlHISO4=
github.com/adshao/go-binance v0.0.0-20200604145522-bf563a35f17f/go.mod h1:XlIpE7brbCEQxp6VRouG/ZgjLjygQWE1xnc1DtQNp6I=
github.com/adshao/go-binance v0.0.0-20201015231210-37cee298310e h1:+fOwsQnvjCIVXuiVbyfuzNbubHvUrx1saeRa9pd7Df8=
github.com/adshao/go-binance v0.0.0-20201015231210-37cee298310e/go.mod h1:XlIpE7brbCEQxp6VRouG/ZgjLjygQWE1xnc1DtQNp6I=
github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc h1:cAKDfWh5VpdgMhJosfJnn5/FoN2SRZ4p7fJNX58YPaU=
github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
github.com/alecthomas/units v0.0.0-20151022065526-2efee857e7cf h1:qet1QNfXsQxTZqLG4oE62mJzwPIB8+Tee4RNCL9ulrY=

2
pkg/bbgo/environment.go
View File

@ -73,7 +73,7 @@ func (reporter *TradeReporter) Report(trade types.Trade) {
var text = util.Render(`:handshake: {{ .Symbol }} {{ .Side }} Trade Execution @ {{ .Price }}`, trade)
if err := reporter.notifier.NotifyTo(channel, text, trade); err != nil {
log.WithError(err).Error("notifier error")
log.WithError(err).Errorf("notifier error, channel=%s", channel)
}
}

2
pkg/bbgo/loader.go
View File

@ -1,2 +0,0 @@
package bbgo

2
pkg/bbgo/loader_test.go
View File

@ -1,2 +0,0 @@
package bbgo

69
pkg/bbgo/order_execution.go Normal file
View File

@ -0,0 +1,69 @@
package bbgo
import (
"context"
"github.com/pkg/errors"
"github.com/c9s/bbgo/pkg/types"
)
type ExchangeOrderExecutionRouter struct {
Notifiability
sessions map[string]*ExchangeSession
}
func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) ([]types.Order, error) {
es, ok := e.sessions[session]
if !ok {
return nil, errors.Errorf("exchange session %s not found", session)
}
var formattedOrders []types.SubmitOrder
for _, order := range orders {
market, ok := es.Market(order.Symbol)
if !ok {
return nil, errors.Errorf("market is not defined: %s", order.Symbol)
}
order.Market = market
order.PriceString = market.FormatPrice(order.Price)
order.QuantityString = market.FormatVolume(order.Quantity)
formattedOrders = append(formattedOrders, order)
}
// e.Notify(":memo: Submitting order to %s %s %s %s with quantity: %s", session, order.Symbol, order.Type, order.Side, order.QuantityString, order)
return es.Exchange.SubmitOrders(ctx, formattedOrders...)
}
// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
type ExchangeOrderExecutor struct {
Notifiability
session *ExchangeSession
}
func (e *ExchangeOrderExecutor) Session() *ExchangeSession {
return e.session
}
func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) ([]types.Order, error) {
var formattedOrders []types.SubmitOrder
for _, order := range orders {
market, ok := e.session.Market(order.Symbol)
if !ok {
return nil, errors.Errorf("market is not defined: %s", order.Symbol)
}
order.Market = market
order.PriceString = market.FormatPrice(order.Price)
order.QuantityString = market.FormatVolume(order.Quantity)
formattedOrders = append(formattedOrders, order)
// e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)
}
return e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
}

4
pkg/bbgo/order_processor.go
View File

@ -126,7 +126,9 @@ func (p *OrderProcessor) Submit(ctx context.Context, order types.SubmitOrder) er
order.QuantityString = market.FormatVolume(quantity)
*/
return p.Exchange.SubmitOrder(ctx, order)
createdOrders, err := p.Exchange.SubmitOrders(ctx, order)
_ = createdOrders
return err
}
func adjustQuantityByMinAmount(quantity float64, currentPrice float64, minAmount float64) float64 {

46
pkg/bbgo/trader.go
View File

@ -3,7 +3,6 @@ package bbgo
import (
"context"
"github.com/pkg/errors"
"github.com/robfig/cron/v3"
log "github.com/sirupsen/logrus"
@ -26,11 +25,11 @@ func PersistentFlags(flags *flag.FlagSet) {
// SingleExchangeStrategy represents the single Exchange strategy
type SingleExchangeStrategy interface {
Run(ctx context.Context, orderExecutor types.OrderExecutor, session *ExchangeSession) error
Run(ctx context.Context, orderExecutor OrderExecutor, session *ExchangeSession) error
}
type CrossExchangeStrategy interface {
Run(ctx context.Context, orderExecutionRouter types.OrderExecutionRouter, sessions map[string]*ExchangeSession) error
Run(ctx context.Context, orderExecutionRouter OrderExecutionRouter, sessions map[string]*ExchangeSession) error
}
type PnLReporter interface {
@ -152,15 +151,16 @@ func (trader *Trader) Run(ctx context.Context) error {
// load and run session strategies
for sessionName, strategies := range trader.exchangeStrategies {
session := trader.environment.sessions[sessionName]
// we can move this to the exchange session,
// that way we can mount the notification on the exchange with DSL
orderExecutor := &ExchangeOrderExecutor{
Notifiability: trader.Notifiability,
Exchange: nil,
session: session,
}
for _, strategy := range strategies {
err := strategy.Run(ctx, orderExecutor, trader.environment.sessions[sessionName])
err := strategy.Run(ctx, orderExecutor, session)
if err != nil {
return err
}
@ -319,36 +319,12 @@ func (trader *Trader) SubmitOrder(ctx context.Context, order types.SubmitOrder)
}
}
type ExchangeOrderExecutionRouter struct {
Notifiability
sessions map[string]*ExchangeSession
type OrderExecutor interface {
Session() *ExchangeSession
SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders []types.Order, err error)
}
func (e *ExchangeOrderExecutionRouter) SubmitOrderTo(ctx context.Context, session string, order types.SubmitOrder) error {
es, ok := e.sessions[session]
if !ok {
return errors.Errorf("exchange session %s not found", session)
}
e.Notify(":memo: Submitting order to %s %s %s %s with quantity: %s", session, order.Symbol, order.Type, order.Side, order.QuantityString, order)
order.PriceString = order.Market.FormatVolume(order.Price)
order.QuantityString = order.Market.FormatVolume(order.Quantity)
return es.Exchange.SubmitOrder(ctx, order)
}
// ExchangeOrderExecutor is an order executor wrapper for single exchange instance.
type ExchangeOrderExecutor struct {
Notifiability
Exchange types.Exchange
}
func (e *ExchangeOrderExecutor) SubmitOrder(ctx context.Context, order types.SubmitOrder) error {
e.Notify(":memo: Submitting %s %s %s order with quantity: %s", order.Symbol, order.Type, order.Side, order.QuantityString, order)
order.PriceString = order.Market.FormatVolume(order.Price)
order.QuantityString = order.Market.FormatVolume(order.Quantity)
return e.Exchange.SubmitOrder(ctx, order)
type OrderExecutionRouter interface {
// SubmitOrderTo submit order to a specific exchange session
SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders []types.Order, err error)
}

1
pkg/cmd/run.go
View File

@ -25,6 +25,7 @@ import (
// import built-in strategies
_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
)
var errSlackTokenUndefined = errors.New("slack token is not defined.")

151
pkg/exchange/binance/convert.go Normal file
View File

@ -0,0 +1,151 @@
package binance
import (
"fmt"
"strconv"
"time"
"github.com/adshao/go-binance"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
switch orderType {
case types.OrderTypeLimit:
return binance.OrderTypeLimit, nil
case types.OrderTypeStopLimit:
return binance.OrderTypeStopLossLimit, nil
case types.OrderTypeStopMarket:
return binance.OrderTypeStopLoss, nil
case types.OrderTypeMarket:
return binance.OrderTypeMarket, nil
}
return "", fmt.Errorf("order type %s not supported", orderType)
}
func toGlobalOrder(binanceOrder *binance.Order) (*types.Order, error) {
return &types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: binanceOrder.ClientOrderID,
Symbol: binanceOrder.Symbol,
Side: toGlobalSideType(binanceOrder.Side),
Type: toGlobalOrderType(binanceOrder.Type),
Quantity: util.MustParseFloat(binanceOrder.OrigQuantity),
Price: util.MustParseFloat(binanceOrder.Price),
TimeInForce: string(binanceOrder.TimeInForce),
},
OrderID: uint64(binanceOrder.OrderID),
Status: toGlobalOrderStatus(binanceOrder.Status),
ExecutedQuantity: util.MustParseFloat(binanceOrder.ExecutedQuantity),
}, nil
}
func toGlobalTrade(t binance.TradeV3) (*types.Trade, error) {
// skip trade ID that is the same. however this should not happen
var side types.SideType
if t.IsBuyer {
side = types.SideTypeBuy
} else {
side = types.SideTypeSell
}
// trade time
mts := time.Unix(0, t.Time*int64(time.Millisecond))
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
return nil, err
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
return nil, err
}
quoteQuantity, err := strconv.ParseFloat(t.QuoteQuantity, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
return nil, err
}
return &types.Trade{
ID: t.ID,
Price: price,
Symbol: t.Symbol,
Exchange: "binance",
Quantity: quantity,
Side: side,
IsBuyer: t.IsBuyer,
IsMaker: t.IsMaker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
QuoteQuantity: quoteQuantity,
Time: mts,
}, nil
}
func toGlobalSideType(side binance.SideType) types.SideType {
switch side {
case binance.SideTypeBuy:
return types.SideTypeBuy
case binance.SideTypeSell:
return types.SideTypeSell
default:
log.Errorf("unknown side type: %v", side)
return ""
}
}
func toGlobalOrderType(orderType binance.OrderType) types.OrderType {
switch orderType {
case binance.OrderTypeLimit:
return types.OrderTypeLimit
case binance.OrderTypeMarket:
return types.OrderTypeMarket
case binance.OrderTypeStopLossLimit:
return types.OrderTypeStopLimit
case binance.OrderTypeStopLoss:
return types.OrderTypeStopMarket
default:
log.Errorf("unsupported order type: %v", orderType)
return ""
}
}
func toGlobalOrderStatus(orderStatus binance.OrderStatusType) types.OrderStatus {
switch orderStatus {
case binance.OrderStatusTypeNew:
return types.OrderStatusNew
case binance.OrderStatusTypeRejected:
return types.OrderStatusRejected
case binance.OrderStatusTypeCanceled:
return types.OrderStatusCanceled
case binance.OrderStatusTypePartiallyFilled:
return types.OrderStatusPartiallyFilled
case binance.OrderStatusTypeFilled:
return types.OrderStatusFilled
}
return types.OrderStatus(orderStatus)
}

167
pkg/exchange/binance/exchange.go
View File

@ -3,10 +3,11 @@ package binance
import (
"context"
"fmt"
"strconv"
"time"
"github.com/adshao/go-binance"
"github.com/google/uuid"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
@ -268,53 +269,115 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
return a, nil
}
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) error {
/*
limit order example
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
remoteOrders, err := e.Client.NewListOpenOrdersService().Symbol(symbol).Do(ctx)
if err != nil {
return orders, err
}
order, err := Client.NewCreateOrderService().
Symbol(Symbol).
Side(side).
Type(binance.OrderTypeLimit).
TimeInForce(binance.TimeInForceTypeGTC).
Quantity(volumeString).
Price(priceString).
Do(ctx)
*/
for _, binanceOrder := range remoteOrders {
order, err := toGlobalOrder(binanceOrder)
if err != nil {
return orders, err
}
orders = append(orders, *order)
}
return orders, err
}
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
for _, o := range orders {
var req = e.Client.NewCancelOrderService()
// Mandatory
req.Symbol(o.Symbol)
if o.OrderID > 0 {
req.OrderID(int64(o.OrderID))
} else if len(o.ClientOrderID) > 0 {
req.NewClientOrderID(o.ClientOrderID)
}
_, err := req.Do(ctx)
if err != nil {
log.WithError(err).Errorf("order cancel error")
err2 = err
}
}
return err2
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders []types.Order, err error) {
for _, order := range orders {
orderType, err := toLocalOrderType(order.Type)
if err != nil {
return err
return createdOrders, err
}
clientOrderID := uuid.New().String()
if len(order.ClientOrderID) > 0 {
clientOrderID = order.ClientOrderID
}
req := e.Client.NewCreateOrderService().
Symbol(order.Symbol).
Side(binance.SideType(order.Side)).
Type(orderType).
Quantity(order.QuantityString)
NewClientOrderID(clientOrderID).
Type(orderType)
req.Quantity(order.QuantityString)
if len(order.PriceString) > 0 {
req.Price(order.PriceString)
}
if len(order.TimeInForce) > 0 {
req.TimeInForce(order.TimeInForce)
// TODO: check the TimeInForce value
req.TimeInForce(binance.TimeInForceType(order.TimeInForce))
}
retOrder, err := req.Do(ctx)
log.Infof("order created: %+v", retOrder)
return err
response, err := req.Do(ctx)
if err != nil {
return createdOrders, err
}
func toLocalOrderType(orderType types.OrderType) (binance.OrderType, error) {
switch orderType {
case types.OrderTypeLimit:
return binance.OrderTypeLimit, nil
log.Infof("order creation response: %+v", response)
case types.OrderTypeMarket:
return binance.OrderTypeMarket, nil
retOrder := binance.Order{
Symbol: response.Symbol,
OrderID: response.OrderID,
ClientOrderID: response.ClientOrderID,
Price: response.Price,
OrigQuantity: response.OrigQuantity,
ExecutedQuantity: response.ExecutedQuantity,
CummulativeQuoteQuantity: response.CummulativeQuoteQuantity,
Status: response.Status,
TimeInForce: response.TimeInForce,
Type: response.Type,
Side: response.Side,
// StopPrice:
// IcebergQuantity:
Time: response.TransactTime,
// UpdateTime:
// IsWorking: ,
}
return "", fmt.Errorf("order type %s not supported", orderType)
createdOrder, err := toGlobalOrder(&retOrder)
if err != nil {
return createdOrders, err
}
if createdOrder == nil {
return createdOrders, errors.New("nil converted order")
}
createdOrders = append(createdOrders, *createdOrder)
}
return createdOrders, err
}
func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, options types.KLineQueryOptions) ([]types.KLine, error) {
@ -393,7 +456,7 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
}
for _, t := range remoteTrades {
localTrade, err := convertRemoteTrade(*t)
localTrade, err := toGlobalTrade(*t)
if err != nil {
log.WithError(err).Errorf("can not convert binance trade: %+v", t)
continue
@ -406,54 +469,6 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
return trades, nil
}
func convertRemoteTrade(t binance.TradeV3) (*types.Trade, error) {
// skip trade ID that is the same. however this should not happen
var side string
if t.IsBuyer {
side = "BUY"
} else {
side = "SELL"
}
// trade time
mts := time.Unix(0, t.Time*int64(time.Millisecond))
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
return nil, err
}
quantity, err := strconv.ParseFloat(t.Quantity, 64)
if err != nil {
return nil, err
}
quoteQuantity, err := strconv.ParseFloat(t.QuoteQuantity, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Commission, 64)
if err != nil {
return nil, err
}
return &types.Trade{
ID: t.ID,
Price: price,
Symbol: t.Symbol,
Exchange: "binance",
Quantity: quantity,
Side: side,
IsBuyer: t.IsBuyer,
IsMaker: t.IsMaker,
Fee: fee,
FeeCurrency: t.CommissionAsset,
QuoteQuantity: quoteQuantity,
Time: mts,
}, nil
}
func (e *Exchange) BatchQueryKLines(ctx context.Context, symbol, interval string, startTime, endTime time.Time) ([]types.KLine, error) {
var allKLines []types.KLine

36
pkg/exchange/binance/parse.go
View File

@ -6,6 +6,7 @@ import (
"fmt"
"time"
"github.com/adshao/go-binance"
"github.com/valyala/fastjson"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -74,7 +75,7 @@ type ExecutionReportEvent struct {
CurrentExecutionType string `json:"x"`
CurrentOrderStatus string `json:"X"`
OrderID int `json:"i"`
OrderID uint64 `json:"i"`
TradeID int64 `json:"t"`
TransactionTime int64 `json:"T"`
@ -84,7 +85,34 @@ type ExecutionReportEvent struct {
LastExecutedPrice string `json:"L"`
LastQuoteAssetTransactedQuantity string `json:"Y"`
OrderCreationTime int `json:"O"`
OrderCreationTime int64 `json:"O"`
}
func (e *ExecutionReportEvent) Order() (*types.Order, error) {
switch e.CurrentExecutionType {
case "NEW", "CANCELED", "REJECTED", "EXPIRED":
case "REPLACED":
default:
return nil, errors.New("execution report type is not for order")
}
orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond))
return &types.Order{
SubmitOrder: types.SubmitOrder{
Symbol: e.Symbol,
ClientOrderID: e.ClientOrderID,
Side: toGlobalSideType(binance.SideType(e.Side)),
Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
Quantity: util.MustParseFloat(e.OrderQuantity),
Price: util.MustParseFloat(e.OrderPrice),
TimeInForce: e.TimeInForce,
},
OrderID: e.OrderID,
Status: toGlobalOrderStatus(binance.OrderStatusType(e.CurrentOrderStatus)),
ExecutedQuantity: util.MustParseFloat(e.CumulativeFilledQuantity),
CreationTime: orderCreationTime,
}, nil
}
func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
@ -92,14 +120,14 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
return nil, errors.New("execution report is not a trade")
}
tt := time.Unix(0, e.TransactionTime/1000000)
tt := time.Unix(0, e.TransactionTime*int64(time.Millisecond))
return &types.Trade{
ID: e.TradeID,
Symbol: e.Symbol,
Side: toGlobalSideType(binance.SideType(e.Side)),
Price: util.MustParseFloat(e.LastExecutedPrice),
Quantity: util.MustParseFloat(e.LastExecutedQuantity),
QuoteQuantity: util.MustParseFloat(e.LastQuoteAssetTransactedQuantity),
Side: e.Side,
IsBuyer: e.Side == "BUY",
IsMaker: e.IsMaker,
Time: tt,

61
pkg/exchange/binance/parse_test.go Normal file
View File

@ -0,0 +1,61 @@
package binance
import (
"regexp"
"testing"
"github.com/stretchr/testify/assert"
)
var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
func TestParseOrderUpdate(t *testing.T) {
payload := `{
"e": "executionReport", // Event type
"E": 1499405658658, // Event time
"s": "ETHBTC", // Symbol
"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
"S": "BUY", // Side
"o": "LIMIT", // Order type
"f": "GTC", // Time in force
"q": "1.00000000", // Order quantity
"p": "0.10264410", // Order price
"P": "0.00000000", // Stop price
"F": "0.00000000", // Iceberg quantity
"g": -1, // OrderListId
"C": null, // Original client order ID; This is the ID of the order being canceled
"x": "NEW", // Current execution type
"X": "NEW", // Current order status
"r": "NONE", // Order reject reason; will be an error code.
"i": 4293153, // Order ID
"l": "0.00000000", // Last executed quantity
"z": "0.00000000", // Cumulative filled quantity
"L": "0.00000000", // Last executed price
"n": "0", // Commission amount
"N": null, // Commission asset
"T": 1499405658657, // Transaction time
"t": -1, // Trade ID
"I": 8641984, // Ignore
"w": true, // Is the order on the book?
"m": false, // Is this trade the maker side?
"M": false, // Ignore
"O": 1499405658657, // Order creation time
"Z": "0.00000000", // Cumulative quote asset transacted quantity
"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
"Q": "0.00000000" // Quote Order Qty
}`
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
executionReport, ok := event.(*ExecutionReportEvent)
assert.True(t, ok)
assert.NotNil(t, executionReport)
orderUpdate, err := executionReport.Order()
assert.NoError(t, err)
assert.NotNil(t, orderUpdate)
}

218
pkg/exchange/max/convert.go Normal file
View File

@ -0,0 +1,218 @@
package max
import (
"fmt"
"strconv"
"strings"
"time"
"github.com/c9s/bbgo/pkg/exchange/max/maxapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
func toGlobalCurrency(currency string) string {
return strings.ToUpper(currency)
}
func toLocalCurrency(currency string) string {
return strings.ToLower(currency)
}
func toLocalSymbol(symbol string) string {
return strings.ToLower(symbol)
}
func toGlobalSymbol(symbol string) string {
return strings.ToUpper(symbol)
}
func toLocalSideType(side types.SideType) string {
return strings.ToLower(string(side))
}
func toGlobalSideType(v string) types.SideType {
switch strings.ToLower(v) {
case "bid", "buy":
return types.SideTypeBuy
case "ask", "sell":
return types.SideTypeSell
case "self-trade":
return types.SideTypeSelf
}
return types.SideType(v)
}
func toGlobalOrderStatus(orderStatus max.OrderState, executedVolume, remainingVolume fixedpoint.Value) types.OrderStatus {
switch orderStatus {
case max.OrderStateCancel:
return types.OrderStatusCanceled
case max.OrderStateFinalizing, max.OrderStateDone:
if executedVolume > 0 && remainingVolume > 0 {
return types.OrderStatusPartiallyFilled
} else if remainingVolume == 0 {
return types.OrderStatusFilled
}
return types.OrderStatusFilled
case max.OrderStateWait:
if executedVolume > 0 && remainingVolume > 0 {
return types.OrderStatusPartiallyFilled
}
return types.OrderStatusNew
case max.OrderStateConvert:
if executedVolume > 0 && remainingVolume > 0 {
return types.OrderStatusPartiallyFilled
}
return types.OrderStatusNew
case max.OrderStateFailed:
return types.OrderStatusRejected
}
logger.Errorf("unknown order status: %v", orderStatus)
return types.OrderStatus(orderStatus)
}
func toGlobalOrderType(orderType max.OrderType) types.OrderType {
switch orderType {
case max.OrderTypeLimit:
return types.OrderTypeLimit
case max.OrderTypeMarket:
return types.OrderTypeMarket
case max.OrderTypeStopLimit:
return types.OrderTypeStopLimit
case max.OrderTypeStopMarket:
return types.OrderTypeStopMarket
}
logger.Errorf("unknown order type: %v", orderType)
return types.OrderType(orderType)
}
func toLocalOrderType(orderType types.OrderType) (max.OrderType, error) {
switch orderType {
case types.OrderTypeStopLimit:
return max.OrderTypeStopLimit, nil
case types.OrderTypeStopMarket:
return max.OrderTypeStopMarket, nil
case types.OrderTypeLimit:
return max.OrderTypeLimit, nil
case types.OrderTypeMarket:
return max.OrderTypeMarket, nil
}
return "", fmt.Errorf("order type %s not supported", orderType)
}
func toGlobalOrder(maxOrder max.Order) (*types.Order, error) {
executedVolume, err := fixedpoint.NewFromString(maxOrder.ExecutedVolume)
if err != nil {
return nil, err
}
remainingVolume, err := fixedpoint.NewFromString(maxOrder.RemainingVolume)
if err != nil {
return nil, err
}
return &types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: maxOrder.ClientOID,
Symbol: toGlobalSymbol(maxOrder.Market),
Side: toGlobalSideType(maxOrder.Side),
Type: toGlobalOrderType(maxOrder.OrderType),
Quantity: util.MustParseFloat(maxOrder.Volume),
Price: util.MustParseFloat(maxOrder.Price),
TimeInForce: "GTC", // MAX only supports GTC
},
OrderID: maxOrder.ID,
Status: toGlobalOrderStatus(maxOrder.State, executedVolume, remainingVolume),
ExecutedQuantity: executedVolume.Float64(),
}, nil
}
func toGlobalTrade(t max.Trade) (*types.Trade, error) {
// skip trade ID that is the same. however this should not happen
var side = toGlobalSideType(t.Side)
// trade time
mts := time.Unix(0, t.CreatedAtMilliSeconds*int64(time.Millisecond))
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
return nil, err
}
quantity, err := strconv.ParseFloat(t.Volume, 64)
if err != nil {
return nil, err
}
quoteQuantity, err := strconv.ParseFloat(t.Funds, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Fee, 64)
if err != nil {
return nil, err
}
return &types.Trade{
ID: int64(t.ID),
Price: price,
Symbol: toGlobalSymbol(t.Market),
Exchange: "max",
Quantity: quantity,
Side: side,
IsBuyer: t.IsBuyer(),
IsMaker: t.IsMaker(),
Fee: fee,
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
QuoteQuantity: quoteQuantity,
Time: mts,
}, nil
}
func toGlobalDepositStatus(a string) types.DepositStatus {
switch a {
case "submitting", "submitted", "checking":
return types.DepositPending
case "accepted":
return types.DepositSuccess
case "rejected":
return types.DepositRejected
case "canceled":
return types.DepositCancelled
case "suspect", "refunded":
}
return types.DepositStatus(a)
}

198
pkg/exchange/max/exchange.go
View File

@ -2,11 +2,9 @@ package max
import (
"context"
"fmt"
"strconv"
"strings"
"time"
"github.com/google/uuid"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
@ -46,8 +44,10 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
markets := types.MarketMap{}
for _, m := range remoteMarkets {
symbol := toGlobalSymbol(m.ID)
market := types.Market{
Symbol: toGlobalSymbol(m.ID),
Symbol: symbol,
PricePrecision: m.QuoteUnitPrecision,
VolumePrecision: m.BaseUnitPrecision,
QuoteCurrency: toGlobalCurrency(m.QuoteUnit),
@ -62,7 +62,7 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
TickSize: 0.001,
}
markets[m.ID] = market
markets[symbol] = market
}
return markets, nil
@ -72,26 +72,86 @@ func (e *Exchange) NewStream() types.Stream {
return NewStream(e.key, e.secret)
}
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) error {
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
maxOrders, err := e.client.OrderService.Open(toLocalSymbol(symbol), maxapi.QueryOrderOptions{})
if err != nil {
return orders, err
}
for _, maxOrder := range maxOrders {
order, err := toGlobalOrder(maxOrder)
if err != nil {
return orders, err
}
orders = append(orders, *order)
}
return orders, err
}
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) {
for _, o := range orders {
var req = e.client.OrderService.NewOrderCancelRequest()
if o.OrderID > 0 {
req.ID(o.OrderID)
} else if len(o.ClientOrderID) > 0 {
req.ClientOrderID(o.ClientOrderID)
} else {
return errors.Errorf("order id or client order id is not defined, order=%+v", o)
}
if err := req.Do(ctx); err != nil {
log.WithError(err).Errorf("order cancel error")
err2 = err
}
}
return err2
}
func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders []types.Order, err error) {
for _, order := range orders {
orderType, err := toLocalOrderType(order.Type)
if err != nil {
return err
return createdOrders, err
}
req := e.client.OrderService.NewCreateOrderRequest().
Market(toLocalSymbol(order.Symbol)).
OrderType(string(orderType)).
Side(toLocalSideType(order.Side)).
Volume(order.QuantityString).
Price(order.PriceString)
Volume(order.QuantityString)
if len(order.ClientOrderID) > 0 {
req.ClientOrderID(order.ClientOrderID)
} else {
clientOrderID := uuid.New().String()
req.ClientOrderID(clientOrderID)
}
if len(order.PriceString) > 0 {
req.Price(order.PriceString)
}
retOrder, err := req.Do(ctx)
if err != nil {
return err
return createdOrders, err
}
if retOrder == nil {
return createdOrders, errors.New("returned nil order")
}
logger.Infof("order created: %+v", retOrder)
return err
createdOrder, err := toGlobalOrder(*retOrder)
if err != nil {
return createdOrders, err
}
createdOrders = append(createdOrders, *createdOrder)
}
return createdOrders, err
}
// PlatformFeeCurrency
@ -230,7 +290,7 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
Address: "", // not supported
AddressTag: "", // not supported
TransactionID: d.TxID,
Status: convertDepositState(d.State),
Status: toGlobalDepositStatus(d.State),
})
}
@ -240,27 +300,6 @@ func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since,
return allDeposits, err
}
func convertDepositState(a string) types.DepositStatus {
switch a {
case "submitting", "submitted", "checking":
return types.DepositPending
case "accepted":
return types.DepositSuccess
case "rejected":
return types.DepositRejected
case "canceled":
return types.DepositCancelled
case "suspect", "refunded":
}
return types.DepositStatus(a)
}
func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
accounts, err := e.client.AccountService.Accounts()
if err != nil {
@ -301,7 +340,7 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
}
for _, t := range remoteTrades {
localTrade, err := convertRemoteTrade(t)
localTrade, err := toGlobalTrade(t)
if err != nil {
logger.WithError(err).Errorf("can not convert trade: %+v", t)
continue
@ -356,94 +395,3 @@ func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float6
return (util.MustParseFloat(ticker.Sell) + util.MustParseFloat(ticker.Buy)) / 2, nil
}
func toGlobalCurrency(currency string) string {
return strings.ToUpper(currency)
}
func toLocalCurrency(currency string) string {
return strings.ToLower(currency)
}
func toLocalSymbol(symbol string) string {
return strings.ToLower(symbol)
}
func toGlobalSymbol(symbol string) string {
return strings.ToUpper(symbol)
}
func toLocalSideType(side types.SideType) string {
return strings.ToLower(string(side))
}
func toGlobalSideType(v string) string {
switch strings.ToLower(v) {
case "bid":
return "BUY"
case "ask":
return "SELL"
case "self-trade":
return "SELF"
}
return strings.ToUpper(v)
}
func toLocalOrderType(orderType types.OrderType) (maxapi.OrderType, error) {
switch orderType {
case types.OrderTypeLimit:
return maxapi.OrderTypeLimit, nil
case types.OrderTypeMarket:
return maxapi.OrderTypeMarket, nil
}
return "", fmt.Errorf("order type %s not supported", orderType)
}
func convertRemoteTrade(t maxapi.Trade) (*types.Trade, error) {
// skip trade ID that is the same. however this should not happen
var side = toGlobalSideType(t.Side)
// trade time
mts := time.Unix(0, t.CreatedAtMilliSeconds*int64(time.Millisecond))
price, err := strconv.ParseFloat(t.Price, 64)
if err != nil {
return nil, err
}
quantity, err := strconv.ParseFloat(t.Volume, 64)
if err != nil {
return nil, err
}
quoteQuantity, err := strconv.ParseFloat(t.Funds, 64)
if err != nil {
return nil, err
}
fee, err := strconv.ParseFloat(t.Fee, 64)
if err != nil {
return nil, err
}
return &types.Trade{
ID: int64(t.ID),
Price: price,
Symbol: toGlobalSymbol(t.Market),
Exchange: "max",
Quantity: quantity,
Side: side,
IsBuyer: t.IsBuyer(),
IsMaker: t.IsMaker(),
Fee: fee,
FeeCurrency: toGlobalCurrency(t.FeeCurrency),
QuoteQuantity: quoteQuantity,
Time: mts,
}, nil
}

88
pkg/exchange/max/maxapi/order.go
View File

@ -23,6 +23,8 @@ const (
OrderStateCancel = OrderState("cancel")
OrderStateWait = OrderState("wait")
OrderStateConvert = OrderState("convert")
OrderStateFinalizing = OrderState("finalizing")
OrderStateFailed = OrderState("failed")
)
type OrderType string
@ -31,8 +33,14 @@ type OrderType string
const (
OrderTypeMarket = OrderType("market")
OrderTypeLimit = OrderType("limit")
OrderTypeStopLimit = OrderType("stop_limit")
OrderTypeStopMarket = OrderType("stop_market")
)
type QueryOrderOptions struct {
GroupID int
}
// OrderService manages the Order endpoint.
type OrderService struct {
client *RestClient
@ -42,10 +50,10 @@ type OrderService struct {
type Order struct {
ID uint64 `json:"id,omitempty" db:"exchange_id"`
Side string `json:"side" db:"side"`
OrderType string `json:"ord_type,omitempty" db:"order_type"`
OrderType OrderType `json:"ord_type,omitempty" db:"order_type"`
Price string `json:"price" db:"price"`
AveragePrice string `json:"avg_price,omitempty" db:"average_price"`
State string `json:"state,omitempty" db:"state"`
State OrderState `json:"state,omitempty" db:"state"`
Market string `json:"market,omitempty" db:"market"`
Volume string `json:"volume" db:"volume"`
RemainingVolume string `json:"remaining_volume,omitempty" db:"remaining_volume"`
@ -58,6 +66,36 @@ type Order struct {
InsertedAt time.Time `json:"-" db:"inserted_at"`
}
// Open returns open orders
func (s *OrderService) Open(market string, options QueryOrderOptions) ([]Order, error) {
payload := map[string]interface{}{
"market": market,
// "state": []OrderState{OrderStateWait, OrderStateConvert},
"order_by": "desc",
}
if options.GroupID > 0 {
payload["group_id"] = options.GroupID
}
req, err := s.client.newAuthenticatedRequest("GET", "v2/orders", payload)
if err != nil {
return nil, err
}
response, err := s.client.sendRequest(req)
if err != nil {
return nil, err
}
var orders []Order
if err := response.DecodeJSON(&orders); err != nil {
return nil, err
}
return orders, nil
}
// All returns all orders for the authenticated account.
func (s *OrderService) All(market string, limit, page int, states ...OrderState) ([]Order, error) {
payload := map[string]interface{}{
@ -154,22 +192,10 @@ func (s *OrderService) Cancel(orderID uint64, clientOrderID string) error {
}
type OrderCancelRequestParams struct {
ID uint64 `json:"id"`
ClientOrderID string `json:"client_oid"`
}
*PrivateRequestParams
func (p OrderCancelRequestParams) Map() map[string]interface{} {
payload := make(map[string]interface{})
if p.ID > 0 {
payload["id"] = p.ID
}
if len(p.ClientOrderID) > 0 {
payload["client_oid"] = p.ClientOrderID
}
return payload
ID uint64 `json:"id,omitempty"`
ClientOrderID string `json:"client_oid,omitempty"`
}
type OrderCancelRequest struct {
@ -189,13 +215,21 @@ func (r *OrderCancelRequest) ClientOrderID(id string) *OrderCancelRequest {
}
func (r *OrderCancelRequest) Do(ctx context.Context) error {
payload := r.params.Map()
req, err := r.client.newAuthenticatedRequest("POST", "v2/order/delete", payload)
req, err := r.client.newAuthenticatedRequest("POST", "v2/order/delete", &r.params)
if err != nil {
return err
}
_, err = r.client.sendRequest(req)
response, err := r.client.sendRequest(req)
if err != nil {
return err
}
var order = Order{}
if err := response.DecodeJSON(&order); err != nil {
return err
}
return err
}
@ -230,7 +264,7 @@ func (s *OrderService) Get(orderID uint64) (*Order, error) {
}
type MultiOrderRequestParams struct {
PrivateRequestParams
*PrivateRequestParams
Market string `json:"market"`
Orders []Order `json:"orders"`
@ -281,12 +315,12 @@ func (s *OrderService) NewCreateMultiOrderRequest() *CreateMultiOrderRequest {
}
type CreateOrderRequestParams struct {
PrivateRequestParams
*PrivateRequestParams
Market string `json:"market"`
Volume string `json:"volume"`
Price string `json:"price"`
StopPrice string `json:"stop_price"`
Price string `json:"price,omitempty"`
StopPrice string `json:"stop_price,omitempty"`
Side string `json:"side"`
OrderType string `json:"ord_type"`
ClientOrderID string `json:"client_oid,omitempty"`
@ -335,7 +369,7 @@ func (r *CreateOrderRequest) ClientOrderID(clientOrderID string) *CreateOrderReq
}
func (r *CreateOrderRequest) Do(ctx context.Context) (order *Order, err error) {
req, err := r.client.newAuthenticatedRequest("POST", "v2/orders", r.params)
req, err := r.client.newAuthenticatedRequest("POST", "v2/orders", &r.params)
if err != nil {
return order, errors.Wrapf(err, "order create error")
}
@ -346,8 +380,8 @@ func (r *CreateOrderRequest) Do(ctx context.Context) (order *Order, err error) {
}
order = &Order{}
if errJson := response.DecodeJSON(order); errJson != nil {
return order, errJson
if err := response.DecodeJSON(order); err != nil {
return nil, err
}
return order, err

2
pkg/exchange/max/maxapi/public_parser.go
View File

@ -174,6 +174,8 @@ func (e *BookEvent) Time() time.Time {
}
func (e *BookEvent) OrderBook() (snapshot types.OrderBook, err error) {
snapshot.Symbol = strings.ToUpper(e.Market)
for _, bid := range e.Bids {
pv, err := bid.PriceVolumePair()
if err != nil {

1
pkg/exchange/max/maxapi/restapi.go
View File

@ -250,7 +250,6 @@ func getPrivateRequestParamsObject(v interface{}) (*PrivateRequestParams, error)
vt = vt.Elem()
}
if vt.Kind() != reflect.Struct {
return nil, errors.New("reflect error: given object is not a struct" + vt.Kind().String())
}

4
pkg/exchange/max/stream.go
View File

@ -49,6 +49,8 @@ func NewStream(key, secret string) *Stream {
return
}
newbook.Symbol = toGlobalSymbol(e.Market)
switch e.Event {
case "snapshot":
stream.EmitBookSnapshot(newbook)
@ -89,7 +91,7 @@ func NewStream(key, secret string) *Stream {
}
func (s *Stream) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) {
s.websocketService.Subscribe(string(channel), symbol)
s.websocketService.Subscribe(string(channel), toLocalSymbol(symbol))
}
func (s *Stream) Connect(ctx context.Context) error {

34
pkg/fixedpoint/convert.go
View File

@ -1,8 +1,11 @@
package fixedpoint
import (
"encoding/json"
"math"
"strconv"
"github.com/pkg/errors"
)
const DefaultPrecision = 8
@ -39,6 +42,33 @@ func (v Value) Add(v2 Value) Value {
return Value(int64(v) + int64(v2))
}
func (v *Value) UnmarshalJSON(data []byte) error {
var a interface{}
var err = json.Unmarshal(data, &a)
if err != nil {
return err
}
switch d := a.(type) {
case float64:
*v = NewFromFloat(d)
case float32:
*v = NewFromFloat32(d)
case int:
*v = NewFromInt(d)
case int64:
*v = NewFromInt64(d)
default:
return errors.Errorf("unsupported type: %T %v", d, d)
}
return nil
}
func NewFromString(input string) (Value, error) {
v, err := strconv.ParseFloat(input, 64)
if err != nil {
@ -52,6 +82,10 @@ func NewFromFloat(val float64) Value {
return Value(int64(math.Round(val * DefaultPow)))
}
func NewFromFloat32(val float32) Value {
return Value(int64(math.Round(float64(val) * DefaultPow)))
}
func NewFromInt(val int) Value {
return Value(int64(val * DefaultPow))
}

4
pkg/strategy/buyandhold/strategy.go
View File

@ -42,7 +42,7 @@ func (s *Strategy) SetMaxAssetQuantity(q float64) *Strategy {
return s
}
func (s *Strategy) Run(ctx context.Context, orderExecutor types.OrderExecutor, session *bbgo.ExchangeSession) error {
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Stream.OnKLineClosed(func(kline types.KLine) {
@ -63,7 +63,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor types.OrderExecutor, s
}
}
err := orderExecutor.SubmitOrder(ctx, types.SubmitOrder{
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,

53
pkg/strategy/skeleton/strategy.go Normal file
View File

@ -0,0 +1,53 @@
package skeleton
import (
"context"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
)
func init() {
bbgo.RegisterExchangeStrategy("skeleton", &Strategy{})
}
type Strategy struct {
Symbol string `json:"symbol"`
}
func New(symbol string) *Strategy {
return &Strategy{
Symbol: symbol,
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
session.Stream.OnKLineClosed(func(kline types.KLine) {
market, ok := session.Market(s.Symbol)
if !ok {
return
}
quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
if !ok {
return
}
_ = quoteBalance
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: 0.01,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
})
return nil
}

182
pkg/strategy/xpuremaker/strategy.go Normal file
View File

@ -0,0 +1,182 @@
package xpuremaker
import (
"context"
"math"
"time"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func init() {
bbgo.RegisterExchangeStrategy("xpuremaker", &Strategy{})
}
type Strategy struct {
Symbol string `json:"symbol"`
Side string `json:"side"`
NumOrders int `json:"numOrders"`
BehindVolume fixedpoint.Value `json:"behindVolume"`
PriceTick fixedpoint.Value `json:"priceTick"`
BaseQuantity fixedpoint.Value `json:"baseQuantity"`
BuySellRatio float64 `json:"buySellRatio"`
book *types.StreamOrderBook
activeOrders map[string]types.Order
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
s.book = types.NewStreamBook(s.Symbol)
s.book.BindStream(session.Stream)
s.activeOrders = make(map[string]types.Order)
// We can move the go routine to the parent level.
go func() {
ticker := time.NewTicker(1 * time.Minute)
defer ticker.Stop()
s.update(orderExecutor, session)
for {
select {
case <-ctx.Done():
return
case <-s.book.C:
s.update(orderExecutor, session)
case <-ticker.C:
s.update(orderExecutor, session)
}
}
}()
return nil
}
func (s *Strategy) cancelOrders(session *bbgo.ExchangeSession) {
var deletedIDs []string
for clientOrderID, o := range s.activeOrders {
log.Infof("canceling order: %+v", o)
if err := session.Exchange.CancelOrders(context.Background(), o); err != nil {
log.WithError(err).Error("cancel order error")
continue
}
deletedIDs = append(deletedIDs, clientOrderID)
}
s.book.C.Drain(1*time.Second, 3*time.Second)
for _, id := range deletedIDs {
delete(s.activeOrders, id)
}
}
func (s *Strategy) update(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
s.cancelOrders(session)
switch s.Side {
case "buy":
s.updateOrders(orderExecutor, session, types.SideTypeBuy)
case "sell":
s.updateOrders(orderExecutor, session, types.SideTypeSell)
case "both":
s.updateOrders(orderExecutor, session, types.SideTypeBuy)
s.updateOrders(orderExecutor, session, types.SideTypeSell)
default:
log.Panicf("undefined side: %s", s.Side)
}
s.book.C.Drain(1*time.Second, 3*time.Second)
}
func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession, side types.SideType) {
var book = s.book.Copy()
var pvs = book.PriceVolumesBySide(side)
if pvs == nil || len(pvs) == 0 {
log.Warnf("empty side: %s", side)
return
}
log.Infof("placing order behind volume: %f", s.BehindVolume.Float64())
idx := pvs.IndexByVolumeDepth(s.BehindVolume)
if idx == -1 || idx > len(pvs)-1 {
// do not place orders
log.Warn("depth is not enough")
return
}
var depthPrice = pvs[idx].Price
var orders = s.generateOrders(s.Symbol, side, depthPrice, s.PriceTick, s.BaseQuantity, s.NumOrders)
if len(orders) == 0 {
log.Warn("empty orders")
return
}
createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orders...)
if err != nil {
log.WithError(err).Errorf("order submit error")
return
}
// add created orders to the list
for i, o := range createdOrders {
s.activeOrders[o.ClientOrderID] = createdOrders[i]
}
}
func (s *Strategy) generateOrders(symbol string, side types.SideType, price, priceTick, baseQuantity fixedpoint.Value, numOrders int) (orders []types.SubmitOrder) {
var expBase = fixedpoint.NewFromFloat(0.0)
switch side {
case types.SideTypeBuy:
if priceTick > 0 {
priceTick = -priceTick
}
case types.SideTypeSell:
if priceTick < 0 {
priceTick = -priceTick
}
}
for i := 0; i < numOrders; i++ {
volume := math.Exp(expBase.Float64()) * baseQuantity.Float64()
// skip order less than 10usd
if volume*price.Float64() < 10.0 {
log.Warnf("amount too small (< 10usd). price=%f volume=%f amount=%f", price.Float64(), volume, volume*price.Float64())
continue
}
orders = append(orders, types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeLimit,
Price: price.Float64(),
Quantity: volume,
})
log.Infof("%s order: %.2f @ %f", side, volume, price.Float64())
if len(orders) >= numOrders {
break
}
price = price + priceTick
declog := math.Log10(math.Abs(priceTick.Float64()))
expBase += fixedpoint.NewFromFloat(math.Pow10(-int(declog)) * math.Abs(priceTick.Float64()))
}
return orders
}

6
pkg/types/exchange.go
View File

@ -54,7 +54,11 @@ type Exchange interface {
QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []Withdraw, err error)
SubmitOrder(ctx context.Context, order SubmitOrder) error
SubmitOrders(ctx context.Context, orders ...SubmitOrder) (createdOrders []Order, err error)
QueryOpenOrders(ctx context.Context, symbol string) (orders []Order, err error)
CancelOrders(ctx context.Context, orders ...Order) error
}
type TradeQueryOptions struct {

12
pkg/types/market.go
View File

@ -26,8 +26,7 @@ type Market struct {
TickSize float64
}
func (m Market) FormatPrice(val float64) string {
func (m Market) FormatPriceCurrency(val float64) string {
switch m.QuoteCurrency {
case "USD", "USDT":
@ -41,10 +40,19 @@ func (m Market) FormatPrice(val float64) string {
}
return m.FormatPrice(val)
}
func (m Market) FormatPrice(val float64) string {
p := math.Pow10(m.PricePrecision)
val = math.Trunc(val*p) / p
return strconv.FormatFloat(val, 'f', m.PricePrecision, 64)
}
func (m Market) FormatVolume(val float64) string {
p := math.Pow10(m.PricePrecision)
val = math.Trunc(val*p) / p
return strconv.FormatFloat(val, 'f', m.VolumePrecision, 64)
}

32
pkg/types/order.go
View File

@ -1,7 +1,8 @@
package types
import (
"github.com/adshao/go-binance"
"time"
"github.com/slack-go/slack"
)
@ -11,21 +12,48 @@ type OrderType string
const (
OrderTypeLimit OrderType = "LIMIT"
OrderTypeMarket OrderType = "MARKET"
OrderTypeStopLimit OrderType = "STOP_LIMIT"
OrderTypeStopMarket OrderType = "STOP_MARKET"
)
type OrderStatus string
const (
OrderStatusNew OrderStatus = "NEW"
OrderStatusFilled OrderStatus = "FILLED"
OrderStatusPartiallyFilled OrderStatus = "PARTIALLY_FILLED"
OrderStatusCanceled OrderStatus = "CANCELED"
OrderStatusRejected OrderStatus = "REJECTED"
)
type Order struct {
SubmitOrder
OrderID uint64 `json:"orderID"` // order id
Status OrderStatus `json:"status"`
ExecutedQuantity float64 `json:"executedQuantity"`
CreationTime time.Time
}
type SubmitOrder struct {
ClientOrderID string `json:"clientOrderID"`
Symbol string
Side SideType
Type OrderType
Quantity float64
Price float64
StopPrice float64
Market Market
// TODO: we can probably remove these field
StopPriceString string
PriceString string
QuantityString string
TimeInForce binance.TimeInForceType
TimeInForce string `json:"timeInForce"` // GTC, IOC, FOK
}
func (o *SubmitOrder) SlackAttachment() slack.Attachment {

13
pkg/types/orderbook.go
View File

@ -116,6 +116,19 @@ type OrderBook struct {
asksChangeCallbacks []func(pvs PriceVolumeSlice)
}
func (b *OrderBook) PriceVolumesBySide(side SideType) PriceVolumeSlice {
switch side {
case SideTypeBuy:
return b.Bids
case SideTypeSell:
return b.Asks
}
return nil
}
func (b *OrderBook) Copy() (book OrderBook) {
book = *b
book.Bids = b.Bids.Copy()

2
pkg/types/side.go
View File

@ -6,12 +6,14 @@ type SideType string
const (
SideTypeBuy = SideType("BUY")
SideTypeSell = SideType("SELL")
SideTypeSelf = SideType("SELF")
)
func (side SideType) Color() string {
if side == SideTypeBuy {
return Green
}
if side == SideTypeSell {
return Red
}

2
pkg/types/trade.go
View File

@ -21,7 +21,7 @@ type Trade struct {
QuoteQuantity float64 `json:"quoteQuantity" db:"quote_quantity"`
Symbol string `json:"symbol" db:"symbol"`
Side string `json:"side" db:"side"`
Side SideType `json:"side" db:"side"`
IsBuyer bool `json:"isBuyer" db:"is_buyer"`
IsMaker bool `json:"isMaker" db:"is_maker"`
Time time.Time `json:"tradedAt" db:"traded_at"`

12
pkg/types/trader.go
View File

@ -1,12 +0,0 @@
package types
import "context"
type OrderExecutor interface {
SubmitOrder(ctx context.Context, order SubmitOrder) error
}
type OrderExecutionRouter interface {
// SubmitOrderTo submit order to a specific exchange session
SubmitOrderTo(ctx context.Context, session string, order SubmitOrder) error
}