mirror of
https://github.com/c9s/bbgo.git
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add xatrpin
This commit is contained in:
narumi
parent
b5cd5aa5ef
commit
29ec68e314
49
config/xatrpin.yaml
Normal file
49
config/xatrpin.yaml
Normal file
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@ -0,0 +1,49 @@
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sessions:
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max:
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exchange: max
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envVarPrefix: max
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binance:
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exchange: binance
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envVarPrefix: binance
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publicOnly: true
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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crossExchangeStrategies:
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- xatrpin:
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tradingExchange: max
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symbol: ETHBTC
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interval: 5m
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window: 14
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multiplier: 10.0
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minPriceRange: 5%
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amount: 100
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referenceExchange: binance
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referencePriceEMA:
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interval: 1m
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window: 14
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orderPriceLossThreshold: -10
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backtest:
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startTime: "2018-10-01"
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endTime: "2018-11-01"
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symbols:
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- ETHBTC
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sessions:
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- max
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- binance
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# syncSecKLines: true
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accounts:
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max:
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makerFeeRate: 0.0%
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takerFeeRate: 0.075%
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balances:
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BTC: 1.0
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ETH: 0
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@ -46,6 +46,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/trendtrader"
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_ "github.com/c9s/bbgo/pkg/strategy/wall"
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_ "github.com/c9s/bbgo/pkg/strategy/xalign"
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_ "github.com/c9s/bbgo/pkg/strategy/xatrpin"
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_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
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_ "github.com/c9s/bbgo/pkg/strategy/xdepthmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/xfixedmaker"
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243
pkg/strategy/xatrpin/strategy.go
Normal file
243
pkg/strategy/xatrpin/strategy.go
Normal file
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@ -0,0 +1,243 @@
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package atrpin
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import (
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"context"
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"fmt"
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"sync"
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log "github.com/sirupsen/logrus"
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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/strategy/common"
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"github.com/c9s/bbgo/pkg/strategy/xfixedmaker"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "xatrpin"
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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*common.Strategy
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Environment *bbgo.Environment
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TradingExchange string `json:"tradingExchange"`
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Window int `json:"window"`
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Multiplier float64 `json:"multiplier"`
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MinPriceRange fixedpoint.Value `json:"minPriceRange"`
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ReferenceExchange string `json:"referenceExchange"`
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ReferencePriceEMA types.IntervalWindow `json:"referencePriceEMA"`
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OrderPriceLossThreshold fixedpoint.Value `json:"orderPriceLossThreshold"`
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bbgo.QuantityOrAmount
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market types.Market
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orderPriceRiskControl *xfixedmaker.OrderPriceRiskControl
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}
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func (s *Strategy) Initialize() error {
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s.Strategy = &common.Strategy{}
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return nil
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s:%s:%d", ID, s.Symbol, s.Interval, s.Window)
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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tradingSession, ok := sessions[s.TradingExchange]
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if !ok {
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log.Errorf("trading session %s is not found", s.TradingExchange)
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}
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tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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referenceSession, ok := sessions[s.ReferenceExchange]
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if !ok {
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log.Errorf("reference session %s is not found", s.ReferenceExchange)
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}
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referenceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ReferencePriceEMA.Interval})
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}
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func (s *Strategy) Defaults() error {
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if s.Multiplier == 0.0 {
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s.Multiplier = 10.0
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}
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if s.Interval == "" {
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s.Interval = types.Interval5m
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}
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return nil
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}
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func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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tradingSession, ok := sessions[s.TradingExchange]
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if !ok {
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return fmt.Errorf("trading session %s is not defined", s.TradingExchange)
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}
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referenceSession, ok := sessions[s.ReferenceExchange]
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if !ok {
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return fmt.Errorf("reference session %s is not defined", s.ReferenceExchange)
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}
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market, ok := tradingSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("market %s not found", s.Symbol)
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}
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s.market = market
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s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.market, ID, s.InstanceID())
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s.orderPriceRiskControl = xfixedmaker.NewOrderPriceRiskControl(
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referenceSession.Indicators(s.Symbol).EMA(s.ReferencePriceEMA),
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s.OrderPriceLossThreshold,
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)
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atr := tradingSession.Indicators(s.Symbol).ATR(s.Interval, s.Window)
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tradingSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
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if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Error("unable to cancel open orders...")
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}
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account, err := tradingSession.UpdateAccount(ctx)
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if err != nil {
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log.WithError(err).Error("unable to update account")
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return
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}
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baseBalance, _ := account.Balance(s.market.BaseCurrency)
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quoteBalance, _ := account.Balance(s.market.QuoteCurrency)
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lastAtr := atr.Last(0)
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log.Infof("atr: %f", lastAtr)
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// protection
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if lastAtr <= k.High.Sub(k.Low).Float64() {
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lastAtr = k.High.Sub(k.Low).Float64()
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}
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priceRange := fixedpoint.NewFromFloat(lastAtr * s.Multiplier)
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// if the atr is too small, apply the price range protection with 10%
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// priceRange protection 10%
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priceRange = fixedpoint.Max(priceRange, k.Close.Mul(s.MinPriceRange))
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log.Infof("priceRange: %f", priceRange.Float64())
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ticker, err := tradingSession.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Error("unable to query ticker")
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return
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}
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log.Info(ticker.String())
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bidPrice := fixedpoint.Max(ticker.Buy.Sub(priceRange), s.market.TickSize)
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askPrice := ticker.Sell.Add(priceRange)
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bidQuantity := s.QuantityOrAmount.CalculateQuantity(bidPrice)
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askQuantity := s.QuantityOrAmount.CalculateQuantity(askPrice)
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var orderForms []types.SubmitOrder
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position := s.Strategy.OrderExecutor.Position()
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if !position.IsDust() {
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log.Infof("position: %+v", position)
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side := types.SideTypeSell
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takerPrice := fixedpoint.Zero
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if position.IsShort() {
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side = types.SideTypeBuy
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takerPrice = ticker.Sell
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} else if position.IsLong() {
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side = types.SideTypeSell
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takerPrice = ticker.Buy
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}
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positionQuantity := position.GetQuantity()
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if !s.orderPriceRiskControl.IsSafe(side, takerPrice, positionQuantity) {
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return
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}
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: side,
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Price: takerPrice,
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Quantity: positionQuantity,
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Market: s.market,
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TimeInForce: types.TimeInForceGTC,
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Tag: "takeProfit",
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})
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log.Infof("SUBMIT TAKER ORDER: %+v", orderForms)
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if _, err := s.Strategy.OrderExecutor.SubmitOrders(ctx, orderForms...); err != nil {
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log.WithError(err).Error("unable to submit orders")
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}
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return
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}
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askQuantity = s.market.AdjustQuantityByMinNotional(askQuantity, askPrice)
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if !s.market.IsDustQuantity(askQuantity, askPrice) && askQuantity.Compare(baseBalance.Available) < 0 {
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Quantity: askQuantity,
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Price: askPrice,
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Market: s.market,
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TimeInForce: types.TimeInForceGTC,
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Tag: "pinOrder",
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})
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}
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bidQuantity = s.market.AdjustQuantityByMinNotional(bidQuantity, bidPrice)
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if !s.market.IsDustQuantity(bidQuantity, bidPrice) && bidQuantity.Mul(bidPrice).Compare(quoteBalance.Available) < 0 {
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Price: bidPrice,
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Quantity: bidQuantity,
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Market: s.market,
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Tag: "pinOrder",
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})
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}
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if len(orderForms) == 0 {
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log.Infof("no order to place")
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return
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}
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log.Infof("bid/ask: %f/%f", bidPrice.Float64(), askPrice.Float64())
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if _, err := s.Strategy.OrderExecutor.SubmitOrders(ctx, orderForms...); err != nil {
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log.WithError(err).Error("unable to submit orders")
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}
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}))
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Error("unable to cancel open orders...")
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}
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})
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return nil
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}
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