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add mirrormaker
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c9s
parent
9eaf69388c
commit
3aa8d70622
288
pkg/strategy/mirrormaker/main.go
Normal file
288
pkg/strategy/mirrormaker/main.go
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package mirrormaker
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import (
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"context"
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"fmt"
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"sync"
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"time"
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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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var defaultMargin = fixedpoint.NewFromFloat(0.01)
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var defaultQuantity = fixedpoint.NewFromFloat(0.001)
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var log = logrus.WithField("strategy", "mirrormaker")
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func init() {
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bbgo.RegisterStrategy("mirrormaker", &Strategy{})
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}
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type Strategy struct {
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Symbol string `json:"symbol"`
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SourceExchange string `json:"sourceExchange"`
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MakerExchange string `json:"makerExchange"`
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Margin fixedpoint.Value `json:"margin"`
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BidMargin fixedpoint.Value `json:"bidMargin"`
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AskMargin fixedpoint.Value `json:"askMargin"`
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Quantity fixedpoint.Value `json:"quantity"`
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QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`
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NumLayers int `json:"numLayers"`
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Pips int `json:"pips"`
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makerSession *bbgo.ExchangeSession
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sourceSession *bbgo.ExchangeSession
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sourceMarket types.Market
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makerMarket types.Market
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book *types.StreamOrderBook
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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Position fixedpoint.Value
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lastPrice float64
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stopC chan struct{}
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*bbgo.Graceful
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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panic(fmt.Errorf("source exchange %s is not defined", s.SourceExchange))
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}
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log.Infof("subscribing %s from %s", s.Symbol, s.SourceExchange)
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sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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}
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func (s *Strategy) updateQuote(ctx context.Context) {
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if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("can not cancel orders")
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return
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}
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// avoid unlock issue
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time.Sleep(100 * time.Millisecond)
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sourceBook := s.book.Get()
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if len(sourceBook.Bids) == 0 || len(sourceBook.Asks) == 0 {
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return
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}
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bestBidPrice := sourceBook.Bids[0].Price
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bestAskPrice := sourceBook.Asks[0].Price
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log.Infof("best bid price %f, best ask price: %f", bestBidPrice.Float64(), bestAskPrice.Float64())
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bidQuantity := s.Quantity
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bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
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askQuantity := s.Quantity
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askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64())
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log.Infof("quote bid price: %f ask price: %f", bidPrice.Float64(), askPrice.Float64())
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var submitOrders []types.SubmitOrder
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balances := s.makerSession.Account.Balances()
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makerQuota := &bbgo.QuotaTransaction{}
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if b, ok := balances[s.makerMarket.BaseCurrency]; ok {
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makerQuota.BaseAsset.Add(b.Available)
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}
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if b, ok := balances[s.makerMarket.QuoteCurrency]; ok {
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makerQuota.QuoteAsset.Add(b.Available)
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}
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hedgeBalances := s.sourceSession.Account.Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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hedgeQuota.BaseAsset.Add(b.Available)
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}
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if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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hedgeQuota.QuoteAsset.Add(b.Available)
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}
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log.Infof("maker quota: %+v", makerQuota)
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log.Infof("hedge quota: %+v", hedgeQuota)
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for i := 0; i < s.NumLayers; i++ {
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// bid orders
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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// if we bought, then we need to sell the base from the hedge session
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: bidPrice.Float64(),
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Quantity: bidQuantity.Float64(),
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TimeInForce: "GTC",
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})
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makerQuota.Commit()
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hedgeQuota.Commit()
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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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// ask orders
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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// if we bought, then we need to sell the base from the hedge session
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: askPrice.Float64(),
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Quantity: askQuantity.Float64(),
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TimeInForce: "GTC",
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})
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makerQuota.Commit()
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hedgeQuota.Commit()
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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
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askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
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askQuantity = askQuantity.Mul(s.QuantityMultiplier)
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bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
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}
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if len(submitOrders) == 0 {
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return
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}
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makerOrderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.makerSession}
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makerOrders, err := makerOrderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("order submit error")
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return
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}
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s.activeMakerOrders.Add(makerOrders...)
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s.orderStore.Add(makerOrders...)
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}
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func (s *Strategy) handleTradeUpdate(trade types.Trade) {
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log.Infof("received trade %+v", trade)
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if s.orderStore.Exists(trade.OrderID) {
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log.Infof("identified trade %d with an existing order: %d", trade.ID, trade.OrderID)
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q := fixedpoint.NewFromFloat(trade.Quantity)
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if trade.Side == types.SideTypeSell {
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q = -q
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}
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s.Position.AtomicAdd(q)
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pos := s.Position.AtomicLoad()
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log.Warnf("position changed: %f", pos.Float64())
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s.lastPrice = trade.Price
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}
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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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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
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}
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s.sourceSession = sourceSession
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makerSession, ok := sessions[s.MakerExchange]
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if !ok {
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return fmt.Errorf("maker exchange session %s is not defined", s.MakerExchange)
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}
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s.makerSession = makerSession
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s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("source session market %s is not defined", s.Symbol)
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}
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s.makerMarket, ok = s.makerSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("maker session market %s is not defined", s.Symbol)
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}
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if s.NumLayers == 0 {
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s.NumLayers = 1
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}
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if s.BidMargin == 0 {
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if s.Margin != 0 {
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s.BidMargin = s.Margin
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} else {
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s.BidMargin = defaultMargin
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}
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}
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if s.AskMargin == 0 {
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if s.Margin != 0 {
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s.AskMargin = s.Margin
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} else {
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s.AskMargin = defaultMargin
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}
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}
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if s.Quantity == 0 {
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s.Quantity = defaultQuantity
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}
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s.book = types.NewStreamBook(s.Symbol)
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s.book.BindStream(s.sourceSession.Stream)
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s.makerSession.Stream.OnTradeUpdate(s.handleTradeUpdate)
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
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s.activeMakerOrders.BindStream(s.makerSession.Stream)
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s.orderStore = bbgo.NewOrderStore()
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s.orderStore.BindStream(s.makerSession.Stream)
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s.stopC = make(chan struct{})
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go func() {
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ticker := time.NewTicker(500 * time.Millisecond)
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defer ticker.Stop()
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for {
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select {
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case <-s.stopC:
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return
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case <-ctx.Done():
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return
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case <-ticker.C:
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s.updateQuote(ctx)
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}
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}
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}()
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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close(s.stopC)
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defer wg.Done()
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if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("can not cancel orders")
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}
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})
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return nil
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}
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