mirror of
https://github.com/c9s/bbgo.git
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support strategy improvements:
- add taker buy base volume ratio option - add max base asset balance config - add min quote asset balance config - record orders and trades
This commit is contained in:
c9s
parent
6a999b2906
commit
40c3a5870f
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@ -33,10 +33,19 @@ type Strategy struct {
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MovingAverageWindow int `json:"movingAverageWindow"`
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Quantity fixedpoint.Value `json:"quantity"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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Targets []Target `json:"targets"`
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// Max BaseAsset balance to buy
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MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
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MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
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ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
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orderStore *bbgo.OrderStore
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tradeStore *bbgo.TradeStore
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tradeC chan types.Trade
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}
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func (s *Strategy) ID() string {
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@ -59,7 +68,28 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
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}
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func (s *Strategy) handleTradeUpdate(trade types.Trade) {
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s.tradeC <- trade
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}
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func (s *Strategy) tradeCollector(ctx context.Context) {
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for {
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select {
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case <-ctx.Done():
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return
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case trade := <-s.tradeC:
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s.tradeStore.Add(trade)
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}
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// buffer 100 trades in the channel
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s.tradeC = make(chan types.Trade, 100)
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s.tradeStore = bbgo.NewTradeStore(s.Symbol)
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// set default values
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if s.Interval == "" {
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s.Interval = types.Interval5m
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@ -69,7 +99,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.MovingAverageWindow = 99
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}
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// buy when price drops -8%
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market, ok := session.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("market %s is not defined", s.Symbol)
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@ -80,74 +109,123 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
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}
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
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var ema = standardIndicatorSet.EWMA(iw)
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go s.tradeCollector(ctx)
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session.UserDataStream.OnTradeUpdate(s.handleTradeUpdate)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol {
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return
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}
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closePrice := kline.GetClose()
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if closePrice > ema.Last() {
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closePriceF := kline.GetClose()
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if closePriceF > ema.Last() {
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return
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}
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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if kline.Volume < s.MinVolume.Float64() {
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return
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}
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s.Notify("Found %s support: the close price %f is under EMA %f and volume %f > minimum volume %f", s.Symbol, closePrice, ema.Last(), kline.Volume, s.MinVolume.Float64())
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if s.TakerBuyRatio > 0 {
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takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
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if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold {
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s.Notify("%s: taker buy base volume %f is less than %f (volume ratio %f)",
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s.Symbol,
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kline.TakerBuyBaseAssetVolume,
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takerBuyBaseVolumeThreshold,
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s.TakerBuyRatio.Float64(),
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)
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}
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}
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var quantity float64
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s.Notify("Found %s support: the close price %f is under EMA %f and volume %f > minimum volume %f",
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s.Symbol,
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closePrice.Float64(),
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ema.Last(),
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kline.Volume,
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s.MinVolume.Float64(), kline)
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var quantity fixedpoint.Value
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if s.Quantity > 0 {
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quantity = s.Quantity.Float64()
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quantity = s.Quantity
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} else if s.ScaleQuantity != nil {
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var err error
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quantity, err = s.ScaleQuantity.Scale(closePrice, kline.Volume)
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qf, err := s.ScaleQuantity.Scale(closePrice.Float64(), kline.Volume)
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if err != nil {
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log.WithError(err).Error(err.Error())
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return
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}
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quantity = fixedpoint.NewFromFloat(qf)
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}
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// for spot, we need to modify the quantity
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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if s.MaxBaseAssetBalance > 0 && baseBalance.Total()+quantity > s.MaxBaseAssetBalance {
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quota := s.MaxBaseAssetBalance - baseBalance.Total()
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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log.Errorf("quote balance %s not found", market.QuoteCurrency)
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return
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}
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// for spot, we need to modify the quantity according to the quote balance
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if !session.Margin {
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minNotional := closePrice * 1.003 * quantity
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b, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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log.Errorf("balance %s not found", market.QuoteCurrency)
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return
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}
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// add 0.3% for price slippage
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notional := closePrice.Mul(quantity).MulFloat64(1.003)
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if minNotional > b.Available.Float64() {
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log.Warnf("modifying quantity %f according to the min quote balance %f %s", quantity, b.Available.Float64(), market.QuoteCurrency)
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quantity = bbgo.AdjustFloatQuantityByMaxAmount(quantity, closePrice, b.Available.Float64())
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if s.MinQuoteAssetBalance > 0 && quoteBalance.Available-notional < s.MinQuoteAssetBalance {
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log.Warnf("modifying quantity %f according to the min quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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market.QuoteCurrency)
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quota := quoteBalance.Available - s.MinQuoteAssetBalance
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quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
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} else if notional > quoteBalance.Available {
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log.Warnf("modifying quantity %f according to the quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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market.QuoteCurrency)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
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}
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}
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s.Notify("Submitting %s market order buy with quantity %f according to the support volume %f", s.Symbol, quantity, kline.Volume)
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s.Notify("Submitting %s market order buy with quantity %f according to the base volume %f, taker buy base volume %f",
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s.Symbol,
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quantity,
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kline.Volume,
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kline.TakerBuyBaseAssetVolume)
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orderForm := types.SubmitOrder{
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Symbol: s.Symbol,
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Market: market,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Quantity: quantity.Float64(),
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MarginSideEffect: s.MarginOrderSideEffect,
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}
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_, err := orderExecutor.SubmitOrders(ctx, orderForm)
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createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForm)
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if err != nil {
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log.WithError(err).Error("submit order error")
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return
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}
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s.orderStore.Add(createdOrders...)
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// submit target orders
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var targetOrders []types.SubmitOrder
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for _, target := range s.Targets {
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targetPrice := closePrice * (1.0 + target.ProfitPercentage)
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targetQuantity := quantity * target.QuantityPercentage
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targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
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targetQuantity := quantity.Float64() * target.QuantityPercentage
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targetQuoteQuantity := targetPrice * targetQuantity
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if targetQuoteQuantity <= market.MinNotional {
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