Merge pull request #617 from andycheng123/improve/bollmaker-dynamic-spread

feature: bollmaker dynamic spread

config/bollmaker.yaml

@@ -56,6 +56,33 @@ exchangeStrategies:
     # For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
     minProfitSpread: 0.1%
 
+    # EXPERIMENTAL
+    #   Dynamic spread is an experimental feature. Use at your own risk!
+    #
+    #   dynamicSpread enables the automatic adjustment to bid and ask spread.
+    # dynamicSpread:
+    #   enabled: true
+    #   # window is the window of the SMAs of spreads
+    #   window: 1
+    #   askSpreadScale:
+    #     byPercentage:
+    #       # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
+    #       exp:
+    #         # from down to up
+    #         domain: [ 0.0001, 0.005 ]
+    #         # when in down band, holds 1.0 by maximum
+    #         # when in up band, holds 0.05 by maximum
+    #         range: [ 0.001, 0.002 ]
+    #   bidSpreadScale:
+    #     byPercentage:
+    #       # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
+    #       exp:
+    #         # from down to up
+    #         domain: [ 0.0001, 0.005 ]
+    #         # when in down band, holds 1.0 by maximum
+    #         # when in up band, holds 0.05 by maximum
+    #         range: [ 0.001, 0.002 ]
+
     # maxExposurePosition is the maximum position you can hold
     # +10 means you can hold 10 ETH long position by maximum
     # -10 means you can hold -10 ETH short position by maximum

pkg/strategy/bollmaker/strategy.go

@@ -49,6 +49,81 @@ type BollingerSetting struct {
 	BandWidth float64 `json:"bandWidth"`
 }
 
+type DynamicSpreadSettings struct {
+	Enabled bool `json:"enabled"`
+
+	// Window is the window of the SMAs of spreads
+	Window int `json:"window"`
+
+	// AskSpreadScale is used to define the ask spread range with the given percentage.
+	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
+
+	// BidSpreadScale is used to define the bid spread range with the given percentage.
+	BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
+
+	DynamicAskSpread *indicator.SMA
+	DynamicBidSpread *indicator.SMA
+}
+
+// Update dynamic spreads
+func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
+	if !ds.Enabled {
+		return
+	}
+
+	ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
+
+	switch kline.Direction() {
+	case types.DirectionUp:
+		ds.DynamicAskSpread.Update(ampl)
+		ds.DynamicBidSpread.Update(0)
+	case types.DirectionDown:
+		ds.DynamicBidSpread.Update(ampl)
+		ds.DynamicAskSpread.Update(0)
+	default:
+		ds.DynamicAskSpread.Update(0)
+		ds.DynamicBidSpread.Update(0)
+	}
+}
+
+// GetAskSpread returns current ask spread
+func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
+	if !ds.Enabled {
+		return 0, errors.New("dynamic spread is not enabled")
+	}
+
+	if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
+		askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
+		if err != nil {
+			log.WithError(err).Errorf("can not calculate dynamicAskSpread")
+			return 0, err
+		}
+
+		return askSpread, nil
+	}
+
+	return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
+}
+
+// GetBidSpread returns current dynamic bid spread
+func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
+	if !ds.Enabled {
+		return 0, errors.New("dynamic spread is not enabled")
+	}
+
+	if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
+		bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
+		if err != nil {
+			log.WithError(err).Errorf("can not calculate dynamicBidSpread")
+			return 0, err
+		}
+
+		return bidSpread, nil
+	}
+
+	return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
+}
+
 type Strategy struct {
 	*bbgo.Graceful
 	*bbgo.Notifiability
@@ -78,6 +153,9 @@ type Strategy struct {
 	// AskSpread overrides the spread setting, this spread will be used for the sell order
 	AskSpread fixedpoint.Value `json:"askSpread,omitempty"`
 
+	// DynamicSpread enables the automatic adjustment to bid and ask spread.
+	DynamicSpread DynamicSpreadSettings `json:"dynamicSpread,omitempty"`
+
 	// MinProfitSpread is the minimal order price spread from the current average cost.
 	// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
 	// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
@@ -507,6 +585,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	// StrategyController
 	s.Status = types.StrategyStatusRunning
 
+	// Setup dynamic spread
+	if s.DynamicSpread.Enabled {
+		s.DynamicSpread.DynamicBidSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.DynamicSpread.Window}}
+		s.DynamicSpread.DynamicAskSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.DynamicSpread.Window}}
+	}
+
 	s.OnSuspend(func() {
 		s.Status = types.StrategyStatusStopped
 
@@ -670,6 +754,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			return
 		}
 
+		// Update spreads with dynamic spread
+		if s.DynamicSpread.Enabled {
+			s.DynamicSpread.Update(kline)
+			dynamicBidSpread, err := s.DynamicSpread.GetBidSpread()
+			if err == nil && dynamicBidSpread > 0 {
+				s.BidSpread = fixedpoint.NewFromFloat(dynamicBidSpread)
+				log.Infof("new bid spread: %v", s.BidSpread.Percentage())
+			}
+			dynamicAskSpread, err := s.DynamicSpread.GetAskSpread()
+			if err == nil && dynamicAskSpread > 0 {
+				s.AskSpread = fixedpoint.NewFromFloat(dynamicAskSpread)
+				log.Infof("new ask spread: %v", s.AskSpread.Percentage())
+			}
+		}
+
 		if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
 			log.WithError(err).Errorf("graceful cancel order error")
 		}