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scmaker: add liquiditySkew support

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c9s 2023-07-03 16:22:01 +08:00
parent 532b6f783d
commit 3052dd5add
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2 changed files with 42 additions and 15 deletions
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18
config/scmaker.yaml
View File

@ -1,5 +1,5 @@
sessions:
binance:
max:
exchange: max
envVarPrefix: max
makerFeeRate: 0%
@ -15,6 +15,15 @@ exchangeStrategies:
## liquidityUpdateInterval is the interval for updating liquidity orders
liquidityUpdateInterval: 1h
liquiditySkew: 1.5
numOfLiquidityLayers: 10
liquidityLayerTickSize: 0.0001
liquidityScale:
exp:
domain: [0, 9]
range: [1, 4]
maxExposure: 10_000
midPriceEMA:
interval: 1h
@ -26,18 +35,11 @@ exchangeStrategies:
window: 10
k: 1.0
numOfLiquidityLayers: 10
liquidityLayerTickSize: 0.0001
strengthInterval: 1m
minProfit: 0.01%
liquidityScale:
exp:
domain: [0, 9]
range: [1, 4]
backtest:
sessions:

39
pkg/strategy/scmaker/strategy.go
View File

@ -51,6 +51,7 @@ type Strategy struct {
MidPriceEMA *types.IntervalWindow `json:"midPriceEMA"`
LiquiditySlideRule *bbgo.SlideRule `json:"liquidityScale"`
LiquidityLayerTickSize fixedpoint.Value `json:"liquidityLayerTickSize"`
LiquiditySkew fixedpoint.Value `json:"liquiditySkew"`
MaxExposure fixedpoint.Value `json:"maxExposure"`
@ -292,6 +293,15 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
return
}
if ticker.Buy.IsZero() && ticker.Sell.IsZero() {
ticker.Sell = ticker.Last.Add(s.Market.TickSize)
ticker.Buy = ticker.Last.Sub(s.Market.TickSize)
} else if ticker.Buy.IsZero() {
ticker.Buy = ticker.Sell.Sub(s.Market.TickSize)
} else if ticker.Sell.IsZero() {
ticker.Sell = ticker.Buy.Add(s.Market.TickSize)
}
if _, err := s.session.UpdateAccount(ctx); err != nil {
logErr(err, "unable to update account")
return
@ -310,7 +320,19 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
log.Infof("spread: %f mid price ema: %f boll band width: %f", spread.Float64(), midPriceEMA, bandWidth)
n := s.liquidityScale.Sum(1.0)
sum := s.liquidityScale.Sum(1.0)
askSum := sum
bidSum := sum
log.Infof("liquidity sum: %f / %f", askSum, bidSum)
skew := s.LiquiditySkew.Float64()
useSkew := !s.LiquiditySkew.IsZero()
if useSkew {
askSum = sum / skew
bidSum = sum * skew
log.Infof("adjusted liqudity skew: %f / %f", askSum, bidSum)
}
var bidPrices []fixedpoint.Value
var askPrices []fixedpoint.Value
@ -319,17 +341,19 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
for i := 0; i <= s.NumOfLiquidityLayers; i++ {
fi := fixedpoint.NewFromInt(int64(i))
sp := tickSize.Mul(fi)
spreadBidPrice := midPrice.Sub(sp)
spreadAskPrice := midPrice.Add(sp)
bidPrice := ticker.Buy
askPrice := ticker.Sell
if i == s.NumOfLiquidityLayers {
bwf := fixedpoint.NewFromFloat(bandWidth)
bidPrice = midPrice.Add(bwf.Neg())
askPrice = midPrice.Add(bwf)
bidPrice = fixedpoint.Min(midPrice.Add(bwf.Neg()), spreadBidPrice)
askPrice = fixedpoint.Max(midPrice.Add(bwf), spreadAskPrice)
} else if i > 0 {
bidPrice = midPrice.Sub(sp)
askPrice = midPrice.Add(sp)
bidPrice = spreadBidPrice
askPrice = spreadAskPrice
}
if i > 0 && bidPrice.Compare(ticker.Buy) > 0 {
@ -378,8 +402,8 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
}
}
askX := availableBase.Float64() / n
bidX := availableQuote.Float64() / (n * (fixedpoint.Sum(bidPrices).Float64()))
askX := availableBase.Float64() / askSum
bidX := availableQuote.Float64() / (bidSum * (fixedpoint.Sum(bidPrices).Float64()))
askX = math.Trunc(askX*1e8) / 1e8
bidX = math.Trunc(bidX*1e8) / 1e8
@ -450,6 +474,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
}
s.liquidityOrderBook.Add(createdOrders...)
log.Infof("%d liq orders are placed successfully", len(liqOrders))
}
func profitProtectedPrice(side types.SideType, averageCost, price, feeRate, minProfit fixedpoint.Value) fixedpoint.Value {