xdepthmaker: add tests to the generateMakerOrders

config/xdepthmaker.yaml

@@ -0,0 +1,67 @@
+---
+notifications:
+  slack:
+    defaultChannel: "dev-bbgo"
+    errorChannel: "bbgo-error"
+
+  switches:
+    trade: true
+    orderUpdate: false
+    submitOrder: false
+
+persistence:
+  json:
+    directory: var/data
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+logging:
+  trade: true
+  order: true
+  fields:
+    env: staging
+
+sessions:
+  max:
+    exchange: max
+    envVarPrefix: max
+
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+crossExchangeStrategies:
+
+- xdepthmaker:
+    symbol: "BTCUSDT"
+    makerExchange: max
+    hedgeExchange: binance
+
+    # disableHedge disables the hedge orders on the source exchange
+    # disableHedge: true
+
+    hedgeInterval: 10s
+    notifyTrade: true
+
+    margin: 0.004
+    askMargin: 0.4%
+    bidMargin: 0.4%
+
+    depthScale:
+      byLayer:
+        linear:
+          domain: [1, 30]
+          range: [50, 20_000]
+
+    # numLayers means how many order we want to place on each side. 3 means we want 3 bid orders and 3 ask orders
+    numLayers: 30
+
+    # pips is the fraction numbers between each order. for BTC, 1 pip is 0.1,
+    # 0.1 pip is 0.01, here we use 10, so we will get 18000.00, 18001.00 and
+    # 18002.00
+    pips: 10
+    persistence:
+      type: redis
+

pkg/strategy/xdepthmaker/strategy.go

@@ -202,6 +202,9 @@ type Strategy struct {
 	// QuantityScale helps user to define the quantity by layer scale
 	QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
 
+	// DepthScale helps user to define the depth by layer scale
+	DepthScale *bbgo.LayerScale `json:"depthScale,omitempty"`
+
 	// MaxExposurePosition defines the unhedged quantity of stop
 	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
 
@@ -266,8 +269,8 @@ func (s *Strategy) Validate() error {
 		return errors.New("maker exchange is not configured")
 	}
 
-	if s.Quantity.IsZero() || s.QuantityScale == nil {
-		return errors.New("quantity or quantityScale can not be empty")
+	if s.DepthScale == nil {
+		return errors.New("depthScale can not be empty")
 	}
 
 	if len(s.Symbol) == 0 {
@@ -576,7 +579,106 @@ func (s *Strategy) runTradeRecover(ctx context.Context) {
 	}
 }
 
-func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter) {
+func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook) ([]types.SubmitOrder, error) {
+	bestBid, bestAsk, hasPrice := pricingBook.BestBidAndAsk()
+	if !hasPrice {
+		return nil, nil
+	}
+
+	bestBidPrice := bestBid.Price
+	bestAskPrice := bestAsk.Price
+	log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
+
+	lastMidPrice := bestBidPrice.Add(bestAskPrice).Div(Two)
+	_ = lastMidPrice
+
+	var submitOrders []types.SubmitOrder
+	var accumulatedBidQuantity = fixedpoint.Zero
+	var accumulatedAskQuantity = fixedpoint.Zero
+	var accumulatedBidQuoteQuantity = fixedpoint.Zero
+
+	dupPricingBook := pricingBook.CopyDepth(0)
+
+	for _, side := range []types.SideType{types.SideTypeBuy, types.SideTypeSell} {
+		for i := 1; i <= s.NumLayers; i++ {
+			requiredDepthFloat, err := s.DepthScale.Scale(i)
+			if err != nil {
+				return nil, errors.Wrapf(err, "depthScale scale error")
+			}
+
+			// requiredDepth is the required depth in quote currency
+			requiredDepth := fixedpoint.NewFromFloat(requiredDepthFloat)
+
+			sideBook := dupPricingBook.SideBook(side)
+			index := sideBook.IndexByQuoteVolumeDepth(requiredDepth)
+
+			pvs := types.PriceVolumeSlice{}
+			if index == -1 {
+				pvs = sideBook[:]
+			} else {
+				pvs = sideBook[0 : index+1]
+			}
+
+			log.Infof("required depth: %f, pvs: %+v", requiredDepth.Float64(), pvs)
+
+			depthPrice, err := averageDepthPrice(pvs)
+			if err != nil {
+				log.WithError(err).Errorf("error aggregating depth price")
+				continue
+			}
+
+			switch side {
+			case types.SideTypeBuy:
+				if s.BidMargin.Sign() > 0 {
+					depthPrice = depthPrice.Mul(fixedpoint.One.Sub(s.BidMargin))
+				}
+
+				depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Down)
+
+			case types.SideTypeSell:
+				if s.AskMargin.Sign() > 0 {
+					depthPrice = depthPrice.Mul(fixedpoint.One.Add(s.AskMargin))
+				}
+
+				depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Up)
+			}
+
+			depthPrice = s.makerMarket.TruncatePrice(depthPrice)
+
+			quantity := requiredDepth.Div(depthPrice)
+			quantity = s.makerMarket.TruncateQuantity(quantity)
+			log.Infof("side: %s required depth: %f price: %f quantity: %f", side, requiredDepth.Float64(), depthPrice.Float64(), quantity.Float64())
+
+			switch side {
+			case types.SideTypeBuy:
+				quantity = quantity.Sub(accumulatedBidQuantity)
+
+				accumulatedBidQuantity = accumulatedBidQuantity.Add(quantity)
+				quoteQuantity := fixedpoint.Mul(quantity, depthPrice)
+				quoteQuantity = quoteQuantity.Round(s.makerMarket.PricePrecision, fixedpoint.Up)
+				accumulatedBidQuoteQuantity = accumulatedBidQuoteQuantity.Add(quoteQuantity)
+
+			case types.SideTypeSell:
+				quantity = quantity.Sub(accumulatedAskQuantity)
+				accumulatedAskQuantity = accumulatedAskQuantity.Add(quantity)
+
+			}
+
+			submitOrders = append(submitOrders, types.SubmitOrder{
+				Symbol:   s.Symbol,
+				Type:     types.OrderTypeLimitMaker,
+				Market:   s.makerMarket,
+				Side:     side,
+				Price:    depthPrice,
+				Quantity: quantity,
+			})
+		}
+	}
+
+	return submitOrders, nil
+}
+
+func (s *Strategy) updateQuote(ctx context.Context) {
 	if err := s.MakerOrderExecutor.GracefulCancel(ctx); err != nil {
 		log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
 		s.MakerOrderExecutor.ActiveMakerOrders().Print()
@@ -844,3 +946,22 @@ func selectSessions2(
 	s2 = sessions[n2]
 	return s1, s2, nil
 }
+
+func averageDepthPrice(pvs types.PriceVolumeSlice) (price fixedpoint.Value, err error) {
+	if len(pvs) == 0 {
+		return fixedpoint.Zero, fmt.Errorf("empty pv slice")
+	}
+
+	totalQuoteAmount := fixedpoint.Zero
+	totalQuantity := fixedpoint.Zero
+
+	for i := 0; i < len(pvs); i++ {
+		pv := pvs[i]
+		quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
+		totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
+		totalQuantity = totalQuantity.Add(pv.Volume)
+	}
+
+	price = totalQuoteAmount.Div(totalQuantity)
+	return price, nil
+}

pkg/strategy/xdepthmaker/strategy_test.go

@@ -0,0 +1,72 @@
+package xdepthmaker
+
+import (
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	. "github.com/c9s/bbgo/pkg/testing/testhelper"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func newTestBTCUSDTMarket() types.Market {
+	return types.Market{
+		BaseCurrency:    "BTC",
+		QuoteCurrency:   "USDT",
+		TickSize:        Number(0.01),
+		StepSize:        Number(0.000001),
+		PricePrecision:  2,
+		VolumePrecision: 8,
+		MinNotional:     Number(8.0),
+		MinQuantity:     Number(0.0003),
+	}
+}
+
+func TestStrategy_generateMakerOrders(t *testing.T) {
+	s := &Strategy{
+		Symbol:    "BTCUSDT",
+		NumLayers: 3,
+		DepthScale: &bbgo.LayerScale{
+			LayerRule: &bbgo.SlideRule{
+				LinearScale: &bbgo.LinearScale{
+					Domain: [2]float64{1.0, 3.0},
+					Range:  [2]float64{1000.0, 15000.0},
+				},
+			},
+		},
+		CrossExchangeMarketMakingStrategy: &CrossExchangeMarketMakingStrategy{
+			makerMarket: newTestBTCUSDTMarket(),
+		},
+	}
+
+	pricingBook := types.NewStreamBook("BTCUSDT")
+	pricingBook.OrderBook.Load(types.SliceOrderBook{
+		Symbol: "BTCUSDT",
+		Bids: types.PriceVolumeSlice{
+			{Price: Number("25000.00"), Volume: Number("0.1")},
+			{Price: Number("24900.00"), Volume: Number("0.2")},
+			{Price: Number("24800.00"), Volume: Number("0.3")},
+			{Price: Number("24700.00"), Volume: Number("0.4")},
+		},
+		Asks: types.PriceVolumeSlice{
+			{Price: Number("25100.00"), Volume: Number("0.1")},
+			{Price: Number("25200.00"), Volume: Number("0.2")},
+			{Price: Number("25300.00"), Volume: Number("0.3")},
+			{Price: Number("25400.00"), Volume: Number("0.4")},
+		},
+		Time: time.Now(),
+	})
+
+	orders, err := s.generateMakerOrders(pricingBook)
+	assert.NoError(t, err)
+	AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
+		{Side: types.SideTypeBuy, Price: Number("25000"), Quantity: Number("0.04")},        // =~ $1000.00
+		{Side: types.SideTypeBuy, Price: Number("24866.66"), Quantity: Number("0.281715")}, // =~ $7005.3111219, accumulated amount =~ $1000.00 + $7005.3111219 = $8005.3111219
+		{Side: types.SideTypeBuy, Price: Number("24800"), Quantity: Number("0.283123")},    // =~ $7021.4504, accumulated amount =~ $1000.00 + $7005.3111219 + $7021.4504 = $8005.3111219 + $7021.4504 =~ $15026.7615219
+		{Side: types.SideTypeSell, Price: Number("25100"), Quantity: Number("0.03984")},
+		{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.2772")},
+		{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.277411")},
+	}, orders)
+}

pkg/testing/testhelper/assert_priceside.go

@@ -32,7 +32,7 @@ type PriceSideQuantityAssert struct {
 func AssertOrdersPriceSideQuantity(
 	t *testing.T, asserts []PriceSideQuantityAssert, orders []types.SubmitOrder,
 ) {
-	assert.Equalf(t, len(orders), len(asserts), "expecting %d orders", len(asserts))
+	assert.Equalf(t, len(asserts), len(orders), "expecting %d orders", len(asserts))
 
 	var assertPrices, orderPrices fixedpoint.Slice
 	var assertPricesFloat, orderPricesFloat []float64

pkg/types/price_volume_slice.go

@@ -38,7 +38,7 @@ func (slice PriceVolumeSlice) Trim() (pvs PriceVolumeSlice) {
 }
 
 func (slice PriceVolumeSlice) CopyDepth(depth int) PriceVolumeSlice {
-	if depth > len(slice) {
+	if depth == 0 || depth > len(slice) {
 		return slice.Copy()
 	}
 
@@ -67,8 +67,23 @@ func (slice PriceVolumeSlice) First() (PriceVolume, bool) {
 	return PriceVolume{}, false
 }
 
+func (slice PriceVolumeSlice) IndexByQuoteVolumeDepth(requiredQuoteVolume fixedpoint.Value) int {
+	var totalQuoteVolume = fixedpoint.Zero
+	for x, pv := range slice {
+		// this should use float64 multiply
+		quoteVolume := fixedpoint.Mul(pv.Volume, pv.Price)
+		totalQuoteVolume = totalQuoteVolume.Add(quoteVolume)
+		if totalQuoteVolume.Compare(requiredQuoteVolume) >= 0 {
+			return x
+		}
+	}
+
+	// depth not enough
+	return -1
+}
+
 func (slice PriceVolumeSlice) IndexByVolumeDepth(requiredVolume fixedpoint.Value) int {
-	var tv fixedpoint.Value = fixedpoint.Zero
+	var tv = fixedpoint.Zero
 	for x, el := range slice {
 		tv = tv.Add(el.Volume)
 		if tv.Compare(requiredVolume) >= 0 {
@@ -76,7 +91,7 @@ func (slice PriceVolumeSlice) IndexByVolumeDepth(requiredVolume fixedpoint.Value
 		}
 	}
 
-	// not deep enough
+	// depth not enough
 	return -1
 }