bollmaker: clean up position stack

config/bollmaker.yaml

@@ -16,7 +16,7 @@ backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2022-05-01"
+  startTime: "2022-01-01"
   endTime: "2022-05-31"
   sessions:
   - binance
@@ -26,7 +26,7 @@ backtest:
     binance:
       balances:
         ETH: 0.0
-        USDT: 100_000.0
+        USDT: 10_000.0
 
 exchangeStrategies:
 
@@ -44,13 +44,15 @@ exchangeStrategies:
     # Position Stack, with longer stack length, may need more capital.
     # Push position in stack is initiating a position to calculate base, average cost, etc.
     # Pop position in stack is loading a previous position back.
-    pushThreshold: 10%
+    positionStack:
-    # popThreshold : 1%
+      enabled: true
+      pushThreshold: 25%
+      popThreshold: 5%
 
     # useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
     # The back-test engine is kline-based, so the ticker price api is not supported.
     # Turn this on if you want to do real trading.
-    useTickerPrice: true
+    useTickerPrice: false
 
     # spread is the price spread from the middle price.
     # For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
@@ -110,7 +112,7 @@ exchangeStrategies:
           domain: [ -1, 1 ]
           # when in down band, holds 1.0 by maximum
           # when in up band, holds 0.05 by maximum
-          range: [10.0, 1.0 ]
+          range: [ 3.0, 0.5]
 
     # DisableShort means you can don't want short position during the market making
     # THe short here means you might sell some of your existing inventory.

pkg/bbgo/smart_stops.go

@@ -62,7 +62,7 @@ func (c *TrailingStopController) Run(ctx context.Context, session *ExchangeSessi
 	c.averageCost = c.position.AverageCost
 
 	// Use trade collector to get the position update event
-	tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		// update average cost if we have it.
 		c.averageCost = position.(*types.Position).AverageCost
 	})

pkg/bbgo/tradecollector.go

@@ -18,17 +18,17 @@ type TradeCollector struct {
 
 	tradeStore *TradeStore
 	tradeC     chan types.Trade
-	position   types.PositionInterface
+	position   types.AnyPosition
 	orderStore *OrderStore
 	doneTrades map[types.TradeKey]struct{}
 
 	recoverCallbacks        []func(trade types.Trade)
 	tradeCallbacks          []func(trade types.Trade, profit, netProfit fixedpoint.Value)
-	positionUpdateCallbacks []func(position types.PositionInterface)
+	positionUpdateCallbacks []func(position types.AnyPosition)
 	profitCallbacks         []func(trade types.Trade, profit, netProfit fixedpoint.Value)
 }
 
-func NewTradeCollector(symbol string, position types.PositionInterface, orderStore *OrderStore) *TradeCollector {
+func NewTradeCollector(symbol string, position types.AnyPosition, orderStore *OrderStore) *TradeCollector {
 	return &TradeCollector{
 		Symbol:   symbol,
 		orderSig: sigchan.New(1),
@@ -47,7 +47,7 @@ func (c *TradeCollector) OrderStore() *OrderStore {
 }
 
 // Position returns the position used by the trade collector
-func (c *TradeCollector) Position() types.PositionInterface {
+func (c *TradeCollector) Position() types.AnyPosition {
 	return c.position
 }
 

pkg/bbgo/tradecollector_callbacks.go

@@ -27,11 +27,11 @@ func (c *TradeCollector) EmitTrade(trade types.Trade, profit fixedpoint.Value, n
 	}
 }
 
-func (c *TradeCollector) OnPositionUpdate(cb func(position types.PositionInterface)) {
+func (c *TradeCollector) OnPositionUpdate(cb func(position types.AnyPosition)) {
 	c.positionUpdateCallbacks = append(c.positionUpdateCallbacks, cb)
 }
 
-func (c *TradeCollector) EmitPositionUpdate(position types.PositionInterface) {
+func (c *TradeCollector) EmitPositionUpdate(position types.AnyPosition) {
 	for _, cb := range c.positionUpdateCallbacks {
 		cb(position)
 	}

pkg/strategy/bollmaker/strategy.go

@@ -44,6 +44,12 @@ type State struct {
 	ProfitStats types.ProfitStats `json:"profitStats,omitempty"`
 }
 
+type PositionStack struct {
+	Enabled       bool             `json:"enabled,omitempty"`
+	PushThreshold fixedpoint.Value `json:"pushThreshold,omitempty"`
+	PopThreshold  fixedpoint.Value `json:"popThreshold,omitempty"`
+}
+
 type BollingerSetting struct {
 	types.IntervalWindow
 	BandWidth float64 `json:"bandWidth"`
@@ -225,15 +231,13 @@ type Strategy struct {
 	session *bbgo.ExchangeSession
 	book    *types.StreamOrderBook
 
-	state *State
+	state         *State
+	PositionStack PositionStack
 
 	// persistence fields
 	Position    *types.PositionStack `json:"position,omitempty" persistence:"position"`
 	ProfitStats *types.ProfitStats   `json:"profitStats,omitempty" persistence:"profit_stats"`
 
-	PushThreshold fixedpoint.Value `json:"pushThreshold,omitempty"`
-	PopThreshold  fixedpoint.Value `json:"popThreshold,omitempty"`
-
 	activeMakerOrders *bbgo.LocalActiveOrderBook
 	orderStore        *bbgo.OrderStore
 	tradeCollector    *bbgo.TradeCollector
@@ -717,7 +721,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		log.Infof("position changed: %s", s.Position)
 		s.Notify(s.Position)
 	})
@@ -775,19 +779,27 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
 			log.WithError(err).Errorf("graceful cancel order error")
 		}
-		//log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
 
-		if s.Position.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Add(s.PushThreshold)) > 0 {
+		//log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
-			log.Errorf("push")
+		if s.Position.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Add(s.PositionStack.PushThreshold)) > 0 {
-			log.Error(s.Position)
+			log.Infof("push position %s", s.Position)
 			s.Position = s.Position.Push(types.NewPositionFromMarket(s.Market))
 		}
-		//  &&
+		// make it dust naturally by bollmaker
-		if len(s.Position.Stack) > 1 && s.Position.Stack[len(s.Position.Stack)-2].AverageCost.Compare(kline.Close) < 0 && s.Market.IsDustQuantity(s.Position.Position.GetBase(), kline.Close) {
+		if len(s.Position.Stack) > 1 && s.Position.Stack[len(s.Position.Stack)-2].AverageCost.Compare(kline.Close) < 0 && s.Market.IsDustQuantity(s.Position.GetBase(), kline.Close) {
-			log.Errorf("pop")
+			log.Infof("pop position %s", s.Position)
-			log.Error(s.Position)
 			s.Position = s.Position.Pop()
 		}
+		// make it dust by TP
+		if !s.PositionStack.PopThreshold.IsZero() {
+			if len(s.Position.Stack) > 1 && s.Position.Stack[len(s.Position.Stack)-2].AverageCost.Compare(kline.Close) < 0 && s.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Sub(s.PositionStack.PopThreshold)) < 0 {
+				s.ClosePosition(ctx, fixedpoint.One)
+				log.Infof("pop position %s", s.Position)
+				log.Error("pop position")
+				s.Position = s.Position.Pop()
+			}
+		}
+
 		//if s.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Sub(s.PopThreshold)) < 0 && && !s.Position.AverageCost.IsZero() {
 		//	//log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
 		//	log.Errorf("pop")

pkg/strategy/ewoDgtrd/strategy.go

@@ -834,7 +834,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		log.Infof("position changed: %s", position)
 		s.Notify(s.Position)
 	})

pkg/strategy/grid/strategy.go

@@ -620,7 +620,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	*/
 
-	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		s.Notifiability.Notify(position)
 	})
 	s.tradeCollector.BindStream(session.UserDataStream)

pkg/strategy/pivotshort/strategy.go

@@ -179,7 +179,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		log.Infof("position changed: %s", s.Position)
 		s.Notify(s.Position)
 	})

pkg/strategy/support/strategy.go

@@ -499,7 +499,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	if !s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() {
 		// Update trailing stop when the position changes
-		s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+		s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 			// StrategyController
 			if s.Status != types.StrategyStatusRunning {
 				return

pkg/strategy/wall/strategy.go

@@ -302,7 +302,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		log.Infof("position changed: %s", s.Position)
 		s.Notify(s.Position)
 	})

pkg/strategy/xmaker/strategy.go

@@ -781,7 +781,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
 		}
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
+	s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
 		s.Notifiability.Notify(position)
 	})
 	s.tradeCollector.OnRecover(func(trade types.Trade) {

pkg/types/position.go

@@ -29,8 +29,9 @@ type PositionRisk struct {
 	LiquidationPrice fixedpoint.Value `json:"liquidationPrice"`
 }
 
-type PositionInterface interface {
+type AnyPosition interface {
 	AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool)
+	GetBase() (base fixedpoint.Value)
 }
 
 type Position struct {
@@ -480,140 +481,9 @@ func (stack *PositionStack) Pop() *PositionStack {
 }
 
 func NewPositionStackFromMarket(market Market) *PositionStack {
-	pos := &Position{
+	pos := NewPositionFromMarket(market)
-		Symbol:        market.Symbol,
-		BaseCurrency:  market.BaseCurrency,
-		QuoteCurrency: market.QuoteCurrency,
-		Market:        market,
-		TotalFee:      make(map[string]fixedpoint.Value),
-	}
 	return &PositionStack{
 		Position: pos,
 		Stack:    []*Position{pos},
 	}
 }
-
-func (p *PositionStack) AddTrade(td Trade) (profit fixedpoint.Value, netProfit fixedpoint.Value, madeProfit bool) {
-	price := td.Price
-	quantity := td.Quantity
-	quoteQuantity := td.QuoteQuantity
-	fee := td.Fee
-
-	// calculated fee in quote (some exchange accounts may enable platform currency fee discount, like BNB)
-	// convert platform fee token into USD values
-	var feeInQuote fixedpoint.Value = fixedpoint.Zero
-
-	switch td.FeeCurrency {
-
-	case p.BaseCurrency:
-		quantity = quantity.Sub(fee)
-
-	case p.QuoteCurrency:
-		quoteQuantity = quoteQuantity.Sub(fee)
-
-	default:
-		if p.ExchangeFeeRates != nil {
-			if exchangeFee, ok := p.ExchangeFeeRates[td.Exchange]; ok {
-				if td.IsMaker {
-					feeInQuote = feeInQuote.Add(exchangeFee.MakerFeeRate.Mul(quoteQuantity))
-				} else {
-					feeInQuote = feeInQuote.Add(exchangeFee.TakerFeeRate.Mul(quoteQuantity))
-				}
-			}
-		} else if p.FeeRate != nil {
-			if td.IsMaker {
-				feeInQuote = feeInQuote.Add(p.FeeRate.MakerFeeRate.Mul(quoteQuantity))
-			} else {
-				feeInQuote = feeInQuote.Add(p.FeeRate.TakerFeeRate.Mul(quoteQuantity))
-			}
-		}
-	}
-
-	p.Lock()
-	defer p.Unlock()
-
-	// update changedAt field before we unlock in the defer func
-	defer func() {
-		p.ChangedAt = td.Time.Time()
-	}()
-
-	p.addTradeFee(td)
-
-	// Base > 0 means we're in long position
-	// Base < 0  means we're in short position
-	switch td.Side {
-
-	case SideTypeBuy:
-		if p.Base.Sign() < 0 {
-			// convert short position to long position
-			if p.Base.Add(quantity).Sign() > 0 {
-				profit = p.AverageCost.Sub(price).Mul(p.Base.Neg())
-				netProfit = p.ApproximateAverageCost.Sub(price).Mul(p.Base.Neg()).Sub(feeInQuote)
-				p.Base = p.Base.Add(quantity)
-				p.Quote = p.Quote.Sub(quoteQuantity)
-				p.AverageCost = price
-				p.ApproximateAverageCost = price
-				p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
-				return profit, netProfit, true
-			} else {
-				// covering short position
-				p.Base = p.Base.Add(quantity)
-				p.Quote = p.Quote.Sub(quoteQuantity)
-				profit = p.AverageCost.Sub(price).Mul(quantity)
-				netProfit = p.ApproximateAverageCost.Sub(price).Mul(quantity).Sub(feeInQuote)
-				p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
-				return profit, netProfit, true
-			}
-		}
-
-		divisor := p.Base.Add(quantity)
-		p.ApproximateAverageCost = p.ApproximateAverageCost.Mul(p.Base).
-			Add(quoteQuantity).
-			Add(feeInQuote).
-			Div(divisor)
-		p.AverageCost = p.AverageCost.Mul(p.Base).Add(quoteQuantity).Div(divisor)
-		p.Base = p.Base.Add(quantity)
-		p.Quote = p.Quote.Sub(quoteQuantity)
-
-		return fixedpoint.Zero, fixedpoint.Zero, false
-
-	case SideTypeSell:
-		if p.Base.Sign() > 0 {
-			// convert long position to short position
-			if p.Base.Compare(quantity) < 0 {
-				profit = price.Sub(p.AverageCost).Mul(p.Base)
-				netProfit = price.Sub(p.ApproximateAverageCost).Mul(p.Base).Sub(feeInQuote)
-				p.Base = p.Base.Sub(quantity)
-				p.Quote = p.Quote.Add(quoteQuantity)
-				p.AverageCost = price
-				p.ApproximateAverageCost = price
-				p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
-				return profit, netProfit, true
-			} else {
-				p.Base = p.Base.Sub(quantity)
-				p.Quote = p.Quote.Add(quoteQuantity)
-				profit = price.Sub(p.AverageCost).Mul(quantity)
-				netProfit = price.Sub(p.ApproximateAverageCost).Mul(quantity).Sub(feeInQuote)
-				p.AccumulatedProfit = p.AccumulatedProfit.Add(profit)
-				return profit, netProfit, true
-			}
-		}
-
-		// handling short position, since Base here is negative we need to reverse the sign
-		divisor := quantity.Sub(p.Base)
-		p.ApproximateAverageCost = p.ApproximateAverageCost.Mul(p.Base.Neg()).
-			Add(quoteQuantity).
-			Sub(feeInQuote).
-			Div(divisor)
-
-		p.AverageCost = p.AverageCost.Mul(p.Base.Neg()).
-			Add(quoteQuantity).
-			Div(divisor)
-		p.Base = p.Base.Sub(quantity)
-		p.Quote = p.Quote.Add(quoteQuantity)
-
-		return fixedpoint.Zero, fixedpoint.Zero, false
-	}
-
-	return fixedpoint.Zero, fixedpoint.Zero, false
-}