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Merge pull request #1101 from c9s/narumi/fixedmaker
strategy: add fixedmaker
This commit is contained in:
Yo-An Lin
GitHub
commit
31e299baf2
21
config/fixedmaker.yaml
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21
config/fixedmaker.yaml
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---
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exchangeStrategies:
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- on: max
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fixedmm:
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interval: 5m
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symbol: BTCUSDT
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halfSpreadRatio: 0.05%
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quantity: 0.005
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dryRun: false
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- on: max
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rebalance:
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interval: 1h
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quoteCurrency: USDT
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targetWeights:
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BTC: 50%
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USDT: 50%
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threshold: 2%
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maxAmount: 200 # max amount to buy or sell per order
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orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
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dryRun: false
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214
pkg/strategy/fixedmaker/strategy.go
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214
pkg/strategy/fixedmaker/strategy.go
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package fixedmaker
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import (
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"context"
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"fmt"
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"sync"
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"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/types"
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)
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const ID = "fixedmaker"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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// Fixed spread market making strategy
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type Strategy struct {
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Environment *bbgo.Environment
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StandardIndicatorSet *bbgo.StandardIndicatorSet
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Market types.Market
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Interval types.Interval `json:"interval"`
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Symbol string `json:"symbol"`
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Quantity fixedpoint.Value `json:"quantity"`
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halfSpread fixedpoint.Value `json:"halfSpreadRatio"`
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DryRun bool `json:"dryRun"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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activeOrderBook *bbgo.ActiveOrderBook
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}
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func (s *Strategy) Initialize() error {
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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", ID, s.Symbol)
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}
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func (s *Strategy) Validate() error {
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if s.Quantity.Float64() <= 0 {
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return fmt.Errorf("quantity should be positive")
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}
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if s.halfSpread.Float64() <= 0 {
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return fmt.Errorf("halfSpreadRatio should be positive")
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}
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return nil
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.session = session
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s.activeOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeOrderBook.BindStream(session.UserDataStream)
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instanceID := s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.Bind()
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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})
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session.UserDataStream.OnStart(func() {
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// you can place orders here when bbgo is started, this will be called only once.
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})
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s.activeOrderBook.OnFilled(func(order types.Order) {
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if s.activeOrderBook.NumOfOrders() == 0 {
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log.Infof("no active orders, replenish")
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s.replenish(ctx)
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}
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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log.Infof("%+v", kline)
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s.cancelOrders(ctx)
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s.replenish(ctx)
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})
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// the shutdown handler, you can cancel all orders
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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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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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return nil
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}
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func (s *Strategy) cancelOrders(ctx context.Context) {
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if err := s.session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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}
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func (s *Strategy) replenish(ctx context.Context) {
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submitOrders, err := s.generateSubmitOrders(ctx)
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if err != nil {
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log.WithError(err).Error("failed to generate submit orders")
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return
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}
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log.Infof("submit orders: %+v", submitOrders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders")
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return
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}
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Error("failed to submit orders")
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return
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}
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log.Infof("created orders: %+v", createdOrders)
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s.activeOrderBook.Add(createdOrders...)
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}
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func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrder, error) {
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baseBalance, ok := s.session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
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return nil, fmt.Errorf("base currency %s balance not found", s.Market.BaseCurrency)
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}
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log.Infof("base balance: %+v", baseBalance)
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quoteBalance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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return nil, fmt.Errorf("quote currency %s balance not found", s.Market.QuoteCurrency)
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}
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log.Infof("quote balance: %+v", quoteBalance)
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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return nil, err
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}
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midPrice := ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromFloat(2.0))
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log.Infof("mid price: %+v", midPrice)
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orders := []types.SubmitOrder{}
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// calculate buy and sell price
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// buy price = mid price * (1 - r)
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buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.halfSpread))
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log.Infof("buy price: %+v", buyPrice)
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// sell price = mid price * (1 + r)
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sellPrice := midPrice.Mul(fixedpoint.One.Add(s.halfSpread))
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log.Infof("sell price: %+v", sellPrice)
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// check balance and generate orders
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amount := s.Quantity.Mul(buyPrice)
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if quoteBalance.Available.Compare(amount) > 0 {
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orders = append(orders, 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: buyPrice,
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Quantity: s.Quantity,
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})
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} else {
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log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, amount)
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}
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if baseBalance.Available.Compare(s.Quantity) > 0 {
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orders = append(orders, 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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Price: sellPrice,
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Quantity: s.Quantity,
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})
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} else {
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log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, s.Quantity)
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}
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return orders, nil
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}
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