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https://github.com/c9s/bbgo.git
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fix fmaker
This commit is contained in:
c9s
parent
46a008bea5
commit
32837d85a0
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@ -3,13 +3,15 @@ package fmaker
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import (
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"context"
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"fmt"
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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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"math"
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"github.com/sajari/regression"
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"github.com/sirupsen/logrus"
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"gonum.org/v1/gonum/floats"
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"math"
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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 = "fmaker"
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@ -45,8 +47,9 @@ type Strategy struct {
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Spread fixedpoint.Value `json:"spread" persistence:"spread"`
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activeMakerOrders *bbgo.LocalActiveOrderBook
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//closePositionOrders *bbgo.LocalActiveOrderBook
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activeMakerOrders *bbgo.ActiveOrderBook
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// closePositionOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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@ -99,7 +102,7 @@ func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty f
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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//s.tradeCollector.Process()
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// s.tradeCollector.Process()
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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@ -124,11 +127,11 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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//Price: closePrice,
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// Price: closePrice,
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Market: s.Market,
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}
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//s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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// s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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if err != nil {
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@ -146,16 +149,16 @@ func (s *Strategy) InstanceID() string {
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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//s.prevClose = fixedpoint.Zero
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// s.prevClose = fixedpoint.Zero
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// first we need to get market data store(cached market data) from the exchange session
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//st, _ := session.MarketDataStore(s.Symbol)
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// st, _ := session.MarketDataStore(s.Symbol)
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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//s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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//s.closePositionOrders.BindStream(session.UserDataStream)
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// s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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// s.closePositionOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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@ -166,7 +169,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// calculate group id for orders
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instanceID := s.InstanceID()
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//s.groupID = util.FNV32(instanceID)
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// s.groupID = util.FNV32(instanceID)
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// Always update the position fields
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s.Position.Strategy = ID
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@ -263,19 +266,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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outlook := 1
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//futuresMode := s.session.Futures || s.session.IsolatedFutures
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// futuresMode := s.session.Futures || s.session.IsolatedFutures
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cnt := 0
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//var prevEr float64
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// var prevEr float64
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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//if kline.Interval == types.Interval15m && kline.Symbol == s.Symbol && !s.Market.IsDustQuantity(s.Position.GetBase(), kline.Close) {
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// if kline.Interval == types.Interval15m && kline.Symbol == s.Symbol && !s.Market.IsDustQuantity(s.Position.GetBase(), kline.Close) {
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// if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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// log.WithError(err).Errorf("graceful cancel order error")
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// }
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// s.ClosePosition(ctx, fixedpoint.One)
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// s.tradeCollector.Process()
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//}
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// }
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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@ -294,7 +297,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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r.SetVar(0, "S0")
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r.SetVar(1, "S1")
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r.SetVar(2, "S2")
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//r.SetVar(2, "S3")
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// r.SetVar(2, "S3")
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r.SetVar(3, "S4")
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r.SetVar(4, "S5")
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r.SetVar(5, "S6")
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@ -310,7 +313,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s0 := s.S0.Values[len(s.S0.Values)-i-outlook]
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s1 := s.S1.Values[len(s.S1.Values)-i-outlook]
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s2 := s.S2.Values[len(s.S2.Values)-i-outlook]
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//s3 := s.S3.Values[len(s.S3.Values)-i-1]
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// s3 := s.S3.Values[len(s.S3.Values)-i-1]
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s4 := s.S4.Values[len(s.S4.Values)-i-outlook]
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s5 := s.S5.Values[len(s.S5.Values)-i-outlook]
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s6 := s.S6.Values[len(s.S6.Values)-i-outlook]
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@ -323,7 +326,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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ret := s.R.Values[len(s.R.Values)-i]
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rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
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}
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//for i := 40; i > 20; i-- {
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// for i := 40; i > 20; i-- {
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// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
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// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook])
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// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook])
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@ -337,7 +340,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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//
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// ret := s.R.Values[len(s.R.Values)-i]
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// rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}))
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//}
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// }
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r.Train(rdps...)
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r.Run()
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er, _ := r.Predict(types.Float64Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last()})
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@ -348,7 +351,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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q.SetVar(0, "S0")
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q.SetVar(1, "S1")
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q.SetVar(2, "S2")
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//q.SetVar(2, "S3")
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// q.SetVar(2, "S3")
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q.SetVar(3, "S4")
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q.SetVar(4, "S5")
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q.SetVar(5, "S6")
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@ -364,7 +367,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s0 := math.Pow(s.S0.Values[len(s.S0.Values)-i-outlook], 1)
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s1 := math.Pow(s.S1.Values[len(s.S1.Values)-i-outlook], 1)
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s2 := math.Pow(s.S2.Values[len(s.S2.Values)-i-outlook], 1)
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//s3 := s.S3.Values[len(s.S3.Values)-i-1]
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// s3 := s.S3.Values[len(s.S3.Values)-i-1]
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s4 := math.Pow(s.S4.Values[len(s.S4.Values)-i-outlook], 1)
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s5 := math.Pow(s.S5.Values[len(s.S5.Values)-i-outlook], 1)
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s6 := s.S6.Values[len(s.S6.Values)-i-outlook]
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@ -378,7 +381,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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qty := math.Abs(ret)
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qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
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}
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//for i := 40; i > 20; i-- {
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// for i := 40; i > 20; i-- {
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// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
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// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook])
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// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook])
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@ -393,7 +396,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// ret := s.R.Values[len(s.R.Values)-i]
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// qty := math.Abs(ret)
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// qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}))
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//}
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// }
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q.Train(qdps...)
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q.Run()
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@ -403,27 +406,27 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.Infof("Return Rate Regression formula:\n%v", r.Formula)
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log.Infof("Order Quantity Regression formula:\n%v", q.Formula)
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//s0 := preprocessing(s.S0.Values[len(s.S0.Values)-20 : len(s.S0.Values)-1])
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//s1 := preprocessing(s.S1.Values[len(s.S1.Values)-20 : len(s.S1.Values)-1-outlook])
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//s2 := preprocessing(s.S2.Values[len(s.S2.Values)-20 : len(s.S2.Values)-1-outlook])
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////s3 := s.S3.Values[len(s.S3.Values)-i-1]
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//s4 := preprocessing(s.S4.Values[len(s.S4.Values)-20 : len(s.S4.Values)-1-outlook])
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//s5 := preprocessing(s.S5.Values[len(s.S5.Values)-20 : len(s.S5.Values)-1-outlook])
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//a2 := preprocessing(s.A2.Values[len(s.A2.Values)-20 : len(s.A2.Values)-1-outlook])
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//a3 := preprocessing(s.A3.Values[len(s.A3.Values)-20 : len(s.A3.Values)-1-outlook])
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//a18 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
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//a34 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
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//er, _ := r.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
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//eq, _ := q.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
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// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-20 : len(s.S0.Values)-1])
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// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-20 : len(s.S1.Values)-1-outlook])
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// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-20 : len(s.S2.Values)-1-outlook])
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// //s3 := s.S3.Values[len(s.S3.Values)-i-1]
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// s4 := preprocessing(s.S4.Values[len(s.S4.Values)-20 : len(s.S4.Values)-1-outlook])
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// s5 := preprocessing(s.S5.Values[len(s.S5.Values)-20 : len(s.S5.Values)-1-outlook])
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// a2 := preprocessing(s.A2.Values[len(s.A2.Values)-20 : len(s.A2.Values)-1-outlook])
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// a3 := preprocessing(s.A3.Values[len(s.A3.Values)-20 : len(s.A3.Values)-1-outlook])
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// a18 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
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// a34 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
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// er, _ := r.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
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// eq, _ := q.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
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eq, _ := q.Predict(types.Float64Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last(), er})
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log.Infof("Expected Order Quantity: %f", eq)
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//if float64(s.Position.GetBase().Sign())*er < 0 {
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// if float64(s.Position.GetBase().Sign())*er < 0 {
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// s.ClosePosition(ctx, fixedpoint.One, kline.Close)
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// s.tradeCollector.Process()
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//}
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//prevEr = er
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// }
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// prevEr = er
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//spd := s.Spread.Float64()
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// spd := s.Spread.Float64()
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// inventory = m * alpha + spread
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AskAlphaBoundary := (s.Position.GetBase().Mul(kline.Close).Float64() - 100) / 10000
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@ -433,11 +436,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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BidPrice := kline.Close.Mul(fixedpoint.One.Sub(s.Spread))
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BidQty := s.QuantityOrAmount.CalculateQuantity(BidPrice)
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BidQty = BidQty //.Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq)))
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BidQty = BidQty // .Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq)))
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AskPrice := kline.Close.Mul(fixedpoint.One.Add(s.Spread))
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AskQty := s.QuantityOrAmount.CalculateQuantity(AskPrice)
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AskQty = AskQty //.Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq)))
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AskQty = AskQty // .Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq)))
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if er > 0 || (er < 0 && er > AskAlphaBoundary/kline.Close.Float64()) {
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submitOrder := types.SubmitOrder{
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@ -445,7 +448,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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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: BidQty, //0.0005
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Quantity: BidQty, // 0.0005
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
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if err != nil {
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@ -455,20 +458,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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//submitOrder = types.SubmitOrder{
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// submitOrder = 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: kline.Close.Mul(fixedpoint.One.Add(s.Spread)),
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// Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005
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//}
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//createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
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//if err != nil {
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// }
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// createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
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// if err != nil {
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// log.WithError(err).Errorf("can not place orders")
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//}
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//s.orderStore.Add(createdOrders...)
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//s.activeMakerOrders.Add(createdOrders...)
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//s.tradeCollector.Process()
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// }
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// s.orderStore.Add(createdOrders...)
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// s.activeMakerOrders.Add(createdOrders...)
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// s.tradeCollector.Process()
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}
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if er < 0 || (er > 0 && er < BidAlphaBoundary/kline.Close.Float64()) {
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submitOrder := types.SubmitOrder{
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@ -476,7 +479,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Price: AskPrice,
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Quantity: AskQty, //0.0005
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Quantity: AskQty, // 0.0005
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
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if err != nil {
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@ -486,20 +489,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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//submitOrder = types.SubmitOrder{
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// submitOrder = 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: kline.Close.Mul(fixedpoint.One.Sub(s.Spread)),
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// Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005
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//}
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//createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
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//if err != nil {
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// }
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// createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
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// if err != nil {
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// log.WithError(err).Errorf("can not place orders")
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//}
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//s.orderStore.Add(createdOrders...)
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//s.activeMakerOrders.Add(createdOrders...)
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//s.tradeCollector.Process()
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// }
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// s.orderStore.Add(createdOrders...)
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// s.activeMakerOrders.Add(createdOrders...)
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// s.tradeCollector.Process()
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}
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})
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@ -526,7 +529,7 @@ func stddev(xs []float64) float64 {
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}
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func preprocessing(xs []float64) float64 {
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//return 0.5 * tanh(0.01*((xs[len(xs)-1]-mean(xs))/stddev(xs))) // tanh estimator
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// return 0.5 * tanh(0.01*((xs[len(xs)-1]-mean(xs))/stddev(xs))) // tanh estimator
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return tanh((xs[len(xs)-1] - mean(xs)) / stddev(xs)) // tanh z-score
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return (xs[len(xs)-1] - mean(xs)) / stddev(xs) // z-score
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}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user