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liquiditymaker: implement order generator
This commit is contained in:
c9s
parent
dda2cfb73d
commit
533907894e
95
pkg/strategy/liquiditymaker/generator.go
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95
pkg/strategy/liquiditymaker/generator.go
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package liquiditymaker
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import (
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log "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/types"
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)
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// input: liquidityOrderGenerator(
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//
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// totalLiquidityAmount,
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// startPrice,
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// endPrice,
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// numLayers,
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// quantityScale)
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//
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// when side == sell
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//
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// priceAsk1 * scale(1) * f = amount1
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// priceAsk2 * scale(2) * f = amount2
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// priceAsk3 * scale(3) * f = amount3
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//
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// totalLiquidityAmount = priceAsk1 * scale(1) * f + priceAsk2 * scale(2) * f + priceAsk3 * scale(3) * f + ....
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// totalLiquidityAmount = f * (priceAsk1 * scale(1) + priceAsk2 * scale(2) + priceAsk3 * scale(3) + ....)
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//
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// when side == buy
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//
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// priceBid1 * scale(1) * f = amount1
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type LiquidityOrderGenerator struct {
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Symbol string
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Market types.Market
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logger log.FieldLogger
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}
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func (g *LiquidityOrderGenerator) Generate(
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side types.SideType, totalAmount, startPrice, endPrice fixedpoint.Value, numLayers int, scale bbgo.Scale,
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) (orders []types.SubmitOrder) {
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if g.logger == nil {
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logger := log.New()
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logger.SetLevel(log.ErrorLevel)
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g.logger = logger
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}
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layerSpread := endPrice.Sub(startPrice).Div(fixedpoint.NewFromInt(int64(numLayers - 1)))
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switch side {
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case types.SideTypeSell:
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if layerSpread.Compare(g.Market.TickSize) < 0 {
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layerSpread = g.Market.TickSize
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}
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case types.SideTypeBuy:
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if layerSpread.Compare(g.Market.TickSize.Neg()) > 0 {
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layerSpread = g.Market.TickSize.Neg()
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}
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}
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quantityBase := 0.0
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var layerPrices []fixedpoint.Value
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var layerScales []float64
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for i := 0; i < numLayers; i++ {
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fi := fixedpoint.NewFromInt(int64(i))
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layerPrice := g.Market.TruncatePrice(startPrice.Add(layerSpread.Mul(fi)))
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layerPrices = append(layerPrices, layerPrice)
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layerScale := scale.Call(float64(i + 1))
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layerScales = append(layerScales, layerScale)
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quantityBase += layerPrice.Float64() * layerScale
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}
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factor := totalAmount.Float64() / quantityBase
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g.logger.Infof("liquidity amount base: %f, factor: %f", quantityBase, factor)
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for i := 0; i < numLayers; i++ {
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price := layerPrices[i]
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s := layerScales[i]
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quantity := factor * s
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orders = append(orders, types.SubmitOrder{
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Symbol: g.Symbol,
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Price: price,
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Type: types.OrderTypeLimitMaker,
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Quantity: g.Market.TruncateQuantity(fixedpoint.NewFromFloat(quantity)),
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Side: side,
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Market: g.Market,
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})
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}
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return orders
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}
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114
pkg/strategy/liquiditymaker/generator_test.go
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114
pkg/strategy/liquiditymaker/generator_test.go
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@ -0,0 +1,114 @@
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//go:build !dnum
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package liquiditymaker
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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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/testing/testhelper"
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"github.com/c9s/bbgo/pkg/types"
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)
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func newTestMarket() types.Market {
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return types.Market{
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BaseCurrency: "XML",
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QuoteCurrency: "USDT",
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TickSize: Number(0.0001),
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StepSize: Number(0.01),
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PricePrecision: 4,
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VolumePrecision: 8,
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MinNotional: Number(8.0),
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MinQuantity: Number(40.0),
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}
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}
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func TestLiquidityOrderGenerator(t *testing.T) {
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g := &LiquidityOrderGenerator{
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Symbol: "XMLUSDT",
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Market: newTestMarket(),
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}
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scale := &bbgo.ExponentialScale{
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Domain: [2]float64{1.0, 30.0},
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Range: [2]float64{1.0, 4.0},
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}
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err := scale.Solve()
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assert.NoError(t, err)
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assert.InDelta(t, 1.0, scale.Call(1.0), 0.00001)
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assert.InDelta(t, 4.0, scale.Call(30.0), 0.00001)
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totalAmount := Number(200_000.0)
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t.Run("ask orders", func(t *testing.T) {
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orders := g.Generate(types.SideTypeSell, totalAmount, Number(2.0), Number(2.04), 30, scale)
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assert.Len(t, orders, 30)
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totalQuoteQuantity := fixedpoint.NewFromInt(0)
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for _, o := range orders {
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totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
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}
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assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("1513.40")},
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{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("1587.50")},
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{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("1665.23")},
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{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("1746.77")},
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{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("1832.30")},
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{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("1922.02")},
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{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("2016.13")},
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{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("2114.85")},
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{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("2218.40")},
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{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("2327.02")},
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{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("2440.96")},
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{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("2560.48")},
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{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("2685.86")},
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{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("2817.37")},
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{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("2955.32")},
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}, orders[0:15])
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("5771.04")},
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{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("6053.62")},
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}, orders[28:30])
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})
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t.Run("bid orders", func(t *testing.T) {
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orders := g.Generate(types.SideTypeBuy, totalAmount, Number(2.0), Number(1.96), 30, scale)
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assert.Len(t, orders, 30)
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totalQuoteQuantity := fixedpoint.NewFromInt(0)
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for _, o := range orders {
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totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
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}
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assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("1551.37")},
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{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("1627.33")},
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{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("1707.01")},
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{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("1790.59")},
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{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("1878.27")},
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{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("1970.24")},
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{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("2066.71")},
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{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("2167.91")},
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{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("2274.06")},
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{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("2385.40")},
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{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("2502.20")},
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{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("2624.72")},
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{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("2753.24")},
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{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("2888.05")},
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{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("3029.46")},
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}, orders[0:15])
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("5915.83")},
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{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("6205.49")},
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}, orders[28:30])
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})
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}
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@ -50,6 +50,9 @@ type Strategy struct {
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LiquiditySkew fixedpoint.Value `json:"liquiditySkew"`
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LiquidityPriceRange fixedpoint.Value `json:"liquidityPriceRange"`
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AskLiquidityAmount fixedpoint.Value `json:"askLiquidityAmount"`
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BidLiquidityAmount fixedpoint.Value `json:"bidLiquidityAmount"`
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Spread fixedpoint.Value `json:"spread"`
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MaxPrice fixedpoint.Value `json:"maxPrice"`
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MinPrice fixedpoint.Value `json:"minPrice"`
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58
pkg/testing/testhelper/assert_priceside.go
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58
pkg/testing/testhelper/assert_priceside.go
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package testhelper
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type PriceSideAssert struct {
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Price fixedpoint.Value
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Side types.SideType
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}
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// AssertOrdersPriceSide asserts the orders with the given price and side (slice)
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func AssertOrdersPriceSide(t *testing.T, asserts []PriceSideAssert, orders []types.SubmitOrder) {
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for i, a := range asserts {
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assert.Equalf(t, a.Price, orders[i].Price, "order #%d price should be %f", i+1, a.Price.Float64())
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assert.Equalf(t, a.Side, orders[i].Side, "order at price %f should be %s", a.Price.Float64(), a.Side)
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}
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}
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type PriceSideQuantityAssert struct {
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Price fixedpoint.Value
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Side types.SideType
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Quantity fixedpoint.Value
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}
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// AssertOrdersPriceSide asserts the orders with the given price and side (slice)
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func AssertOrdersPriceSideQuantity(
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t *testing.T, asserts []PriceSideQuantityAssert, orders []types.SubmitOrder,
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) {
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assert.Equalf(t, len(orders), len(asserts), "expecting %d orders", len(asserts))
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var assertPrices, orderPrices fixedpoint.Slice
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var assertPricesFloat, orderPricesFloat []float64
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for _, a := range asserts {
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assertPrices = append(assertPrices, a.Price)
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assertPricesFloat = append(assertPricesFloat, a.Price.Float64())
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}
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for _, o := range orders {
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orderPrices = append(orderPrices, o.Price)
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orderPricesFloat = append(orderPricesFloat, o.Price.Float64())
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}
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if !assert.Equalf(t, assertPricesFloat, orderPricesFloat, "assert prices") {
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return
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}
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for i, a := range asserts {
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assert.Equalf(t, a.Price.Float64(), orders[i].Price.Float64(), "order #%d price should be %f", i+1, a.Price.Float64())
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assert.Equalf(t, a.Quantity.Float64(), orders[i].Quantity.Float64(), "order #%d quantity should be %f", i+1, a.Quantity.Float64())
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assert.Equalf(t, a.Side, orders[i].Side, "order at price %f should be %s", a.Price.Float64(), a.Side)
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}
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}
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18
pkg/testing/testhelper/number.go
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18
pkg/testing/testhelper/number.go
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@ -0,0 +1,18 @@
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package testhelper
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import "github.com/c9s/bbgo/pkg/fixedpoint"
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func Number(a interface{}) fixedpoint.Value {
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switch v := a.(type) {
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case string:
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return fixedpoint.MustNewFromString(v)
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case int:
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return fixedpoint.NewFromInt(int64(v))
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case int64:
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return fixedpoint.NewFromInt(int64(v))
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case float64:
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return fixedpoint.NewFromFloat(v)
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}
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return fixedpoint.Zero
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}
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