mirror of
https://github.com/c9s/bbgo.git
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first commit of xmaker strategy from mobydick
This commit is contained in:
c9s
parent
cf1262c1a9
commit
4e3f325bb6
457
pkg/strategy/xmaker/strategy.go
Normal file
457
pkg/strategy/xmaker/strategy.go
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@ -0,0 +1,457 @@
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package xmaker
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import (
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"context"
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"fmt"
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"hash/fnv"
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"math"
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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/service"
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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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const ID = "xmaker"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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func (s *Strategy) ID() string {
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return ID
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}
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type State struct {
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HedgePosition fixedpoint.Value `json:"hedgePosition"`
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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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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UpdateInterval types.Duration `json:"updateInterval"`
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HedgeInterval types.Duration `json:"hedgeInterval"`
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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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DisableHedge bool `json:"disableHedge"`
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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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state *State
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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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lastPrice float64
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groupID int64
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stopC chan struct{}
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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(800 * 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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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Error("invalid order book: %v", err)
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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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GroupID: s.groupID,
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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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GroupID: s.groupID,
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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.Mul(s.QuantityMultiplier)
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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 error: %s", err.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) Hedge(ctx context.Context, pos fixedpoint.Value) {
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side := types.SideTypeBuy
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if pos == 0 {
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return
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}
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quantity := pos
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if pos < 0 {
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side = types.SideTypeSell
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quantity = -pos
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}
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lastPrice := s.lastPrice
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sourceBook := s.book.Get()
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switch side {
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case types.SideTypeBuy:
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if len(sourceBook.Asks) > 0 {
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if pv, ok := sourceBook.Asks.First(); ok {
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lastPrice = pv.Price.Float64()
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}
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}
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case types.SideTypeSell:
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if len(sourceBook.Bids) > 0 {
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if pv, ok := sourceBook.Bids.First(); ok {
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lastPrice = pv.Price.Float64()
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}
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}
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}
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notional := quantity.MulFloat64(lastPrice)
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if notional.Float64() <= s.sourceMarket.MinNotional {
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log.Warnf("less than min notional %f, skipping", notional.Float64())
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return
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}
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s.Notifiability.Notify("submitting hedge order: %s %s %f", s.Symbol, side, quantity.Float64())
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orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
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returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeMarket,
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Side: side,
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Quantity: quantity.Float64(),
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})
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if err != nil {
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log.WithError(err).Errorf("market order submit error: %s", err.Error())
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return
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}
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s.orderStore.Add(returnOrders...)
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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 trade.Symbol != s.Symbol {
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return
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}
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if !s.orderStore.Exists(trade.OrderID) {
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return
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}
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q := fixedpoint.NewFromFloat(trade.Quantity)
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switch trade.Side {
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case types.SideTypeSell:
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q = -q
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case types.SideTypeBuy:
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case types.SideTypeSelf:
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// ignore self trades
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default:
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log.Infof("ignore non sell/buy side trades, got: %v", trade.Side)
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return
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}
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log.Infof("identified trade %d with an existing order: %d", trade.ID, trade.OrderID)
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s.Notify("identified %s trade %d with an existing order: %d", trade.Symbol, trade.ID, trade.OrderID)
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s.state.HedgePosition.AtomicAdd(q)
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pos := s.state.HedgePosition.AtomicLoad()
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log.Warnf("position changed: %f", pos.Float64())
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s.Notifiability.Notify("%s position is changed to %f", s.Symbol, pos.Float64())
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s.lastPrice = trade.Price
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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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// configure default values
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if s.UpdateInterval == 0 {
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s.UpdateInterval = types.Duration(time.Second)
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}
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if s.HedgeInterval == 0 {
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s.HedgeInterval = types.Duration(10 * time.Second)
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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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// configure sessions
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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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// restore state
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instanceID := fmt.Sprintf("%s-%s-%s", ID, s.Symbol)
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s.groupID = generateGroupID(instanceID)
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log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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var state State
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// load position
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if err := s.Persistence.Load(&state, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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// loaded successfully
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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s.Notify("position is restored => %f", s.state.HedgePosition.Float64())
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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.sourceSession.Stream.OnTradeUpdate(s.handleTradeUpdate)
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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(s.Symbol)
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s.orderStore.BindStream(s.sourceSession.Stream)
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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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posTicker := time.NewTicker(s.HedgeInterval.Duration())
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defer posTicker.Stop()
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ticker := time.NewTicker(s.UpdateInterval.Duration())
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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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case <-posTicker.C:
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position := s.state.HedgePosition.AtomicLoad()
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abspos := math.Abs(position.Float64())
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if !s.DisableHedge && abspos > s.sourceMarket.MinQuantity {
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log.Infof("found position: %f", position.Float64())
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s.Hedge(ctx, -position)
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}
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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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defer wg.Done()
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close(s.stopC)
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if err := s.Persistence.Save(&s.state, stateKey); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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} else {
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log.Infof("state is saved => %+v", s.state)
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s.Notify("hedge position %f is saved", s.state.HedgePosition.Float64())
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}
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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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func generateGroupID(s string) int64 {
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h := fnv.New32a()
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h.Write([]byte(s))
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return int64(h.Sum32())
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}
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