strategy: add neutral maker

This commit is contained in:
Austin Liu 2023-03-24 15:36:48 +08:00
parent cc74156a7d
commit 545f138760
3 changed files with 406 additions and 0 deletions

32
config/neutralmaker.yaml Normal file
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@ -0,0 +1,32 @@
---
notifications:
switches:
trade: true
orderUpdate: false
submitOrder: false
persistence:
json:
directory: var/data
redis:
host: 127.0.0.1
port: 6379
db: 0
sessions:
binance_future:
exchange: binance
futures: true
binance:
exchange: binance
crossExchangeStrategies:
- neutralmaker:
symbol: BTCUSDT
spotExchange: binance
futureExchange: binance_future
halfSpread: 40
lotSize: 0.01
positionLimit: 0.1
dryRun: true

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@ -23,6 +23,7 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/kline"
_ "github.com/c9s/bbgo/pkg/strategy/linregmaker"
_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
_ "github.com/c9s/bbgo/pkg/strategy/neutralmaker"
_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"

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@ -0,0 +1,373 @@
package neutralmaker
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/sirupsen/logrus"
"math"
"sync"
"time"
)
const ID = "neutralmaker"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
// Fixed spread market making strategy
type Strategy struct {
Environment *bbgo.Environment
Symbol string `json:"symbol"`
LotSize fixedpoint.Value `json:"lotSize"`
PositionLimit fixedpoint.Value `json:"positionLimit"`
HalfSpread fixedpoint.Value `json:"halfSpread"`
OrderType types.OrderType `json:"orderType"`
DryRun bool `json:"dryRun"`
// SourceExchange session name
SpotExchange string `json:"spotExchange"`
// MakerExchange session name
FutureExchange string `json:"futureExchange"`
SpotSession *bbgo.ExchangeSession
FutureSession *bbgo.ExchangeSession
SpotMarket types.Market
FutureMarket types.Market
BestBidPrice fixedpoint.Value
BestAskPrice fixedpoint.Value
activeMakerOrders *bbgo.ActiveOrderBook
// persistence fields
SpotPosition *types.Position `json:"position,omitempty" persistence:"position"`
SpotProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
FuturePosition *types.Position `json:"position,omitempty" persistence:"future_position"`
FutureProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"future_profit_stats"`
spotStreamBook *types.StreamOrderBook
spot2StreamBook *types.StreamOrderBook
futureStreamBook *types.StreamOrderBook
SpotOrderExecutor *bbgo.GeneralOrderExecutor
FutureOrderExecutor *bbgo.GeneralOrderExecutor
}
func (s *Strategy) Defaults() error {
if s.OrderType == "" {
s.OrderType = types.OrderTypeLimitMaker
}
return nil
}
func (s *Strategy) Initialize() error {
return nil
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
func (s *Strategy) Validate() error {
if s.LotSize.Float64() <= 0 {
return fmt.Errorf("quantity should be positive")
}
return nil
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
log.Warnf("%+v\t%+v", s.SpotExchange, s.FutureExchange)
s.SpotSession = sessions[s.SpotExchange]
//if !sok {
// fmt.Errorf("spot session %s is not defined", s.SpotExchange)
//}
s.SpotSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
s.SpotSession.Subscribe(types.BookChannel, "BTCBUSD", types.SubscribeOptions{})
s.FutureSession = sessions[s.FutureExchange]
//if !fok {
// fmt.Errorf("future session %s is not defined", s.FutureExchange)
//}
s.FutureSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
}
func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
// configure sessions
spotSession, ok := sessions[s.SpotExchange]
if !ok {
return fmt.Errorf("spot exchange session %s is not defined", s.SpotExchange)
}
s.SpotSession = spotSession
//futureSession, ok := sessions[s.FutureExchange]
//if !ok {
// return fmt.Errorf("future exchange session %s is not defined", s.FutureExchange)
//}
//
//s.futureSession = futureSessionspotMarket
log.Errorf("%+v", s.FutureSession.Futures)
s.SpotMarket, ok = s.SpotSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("spot session market %s is not defined", s.Symbol)
}
s.FutureMarket, ok = s.FutureSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("future session market %s is not defined", s.Symbol)
}
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.SpotMarket.Symbol)
s.activeMakerOrders.BindStream(s.SpotSession.UserDataStream)
instanceID := s.InstanceID()
if s.SpotPosition == nil {
s.SpotPosition = types.NewPositionFromMarket(s.SpotMarket)
}
if s.FuturePosition == nil {
s.FuturePosition = types.NewPositionFromMarket(s.FutureMarket)
}
// Always update the position fields
s.SpotPosition.Strategy = ID
s.SpotPosition.StrategyInstanceID = instanceID
s.FuturePosition.Strategy = ID
s.FuturePosition.StrategyInstanceID = instanceID
if s.SpotProfitStats == nil {
s.SpotProfitStats = types.NewProfitStats(s.SpotMarket)
}
if s.SpotOrderExecutor == nil {
s.SpotOrderExecutor = bbgo.NewGeneralOrderExecutor(s.SpotSession, s.SpotMarket.Symbol, s.ID(), s.InstanceID(), s.SpotPosition)
}
s.SpotOrderExecutor.BindProfitStats(s.SpotProfitStats)
s.SpotOrderExecutor.Bind()
s.SpotOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
if s.FutureOrderExecutor == nil {
s.FutureOrderExecutor = bbgo.NewGeneralOrderExecutor(s.FutureSession, s.FutureMarket.Symbol, s.ID(), s.InstanceID(), s.FuturePosition)
}
//s.FutureOrderExecutor.BindProfitStats(s.FutureProfitStats)
s.FutureOrderExecutor.Bind()
s.FutureOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
s.activeMakerOrders.OnFilled(func(order types.Order) {
log.Infof("active orders filled, hedge")
if order.Side == types.SideTypeBuy {
s.hedge(ctx, orderExecutionRouter, order.ExecutedQuantity, types.SideTypeSell)
} else if order.Side == types.SideTypeSell {
s.hedge(ctx, orderExecutionRouter, order.ExecutedQuantity, types.SideTypeBuy)
}
})
s.futureStreamBook = types.NewStreamBook(s.FutureMarket.Symbol)
s.futureStreamBook.BindStream(s.FutureSession.MarketDataStream)
s.spotStreamBook = types.NewStreamBook(s.SpotMarket.Symbol)
s.spotStreamBook.BindStream(s.SpotSession.MarketDataStream)
s.spot2StreamBook = types.NewStreamBook("BTCBUSD")
s.spot2StreamBook.BindStream(s.SpotSession.MarketDataStream)
go func() {
posTicker := time.NewTicker(util.MillisecondsJitter(types.Interval("1000ms").Duration(), 200))
defer posTicker.Stop()
for {
select {
case <-ctx.Done():
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
return
case <-posTicker.C:
s.cancelOrders(ctx)
sbid, sbok := s.spotStreamBook.OrderBook.BestBid()
sask, saok := s.spotStreamBook.OrderBook.BestAsk()
s2bid, s2bok := s.spot2StreamBook.OrderBook.BestBid()
s2ask, s2aok := s.spot2StreamBook.OrderBook.BestAsk()
fbid, fbok := s.futureStreamBook.BestBid()
fask, faok := s.futureStreamBook.BestAsk()
log.Infof("Futures Bid Price: %f, Future Ask Price: %f\n Spot Bid Price: %f, Spot Ask Price: %f", fbid.Price.Float64(), fask.Price.Float64(), sbid.Price.Float64(), sask.Price.Float64())
if fbok && faok && sbok && saok && s2bok && s2aok {
s.replenish(ctx, orderExecutionRouter, fbid.Price, fask.Price, sbid.Price, sask.Price, s2bid.Price, s2ask.Price)
}
}
}
}()
// the shutdown handler, you can cancel all orders
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
_ = orderExecutionRouter.CancelOrdersTo(ctx, s.SpotExchange) //.GracefulCancel(ctx)
_ = orderExecutionRouter.CancelOrdersTo(ctx, s.FutureExchange)
})
return nil
}
func (s *Strategy) cancelOrders(ctx context.Context) {
if err := s.SpotOrderExecutor.GracefulCancel(ctx); err != nil { //orderExecutionRouter.CancelOrdersTo(ctx, s.SpotExchange, s.activeMakerOrders.Orders()...); err != nil {
log.WithError(err).Errorf("failed to cancel orders")
}
}
func (s *Strategy) replenish(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, futBidPrice, futAskPrice, spotBidPrice, spotAskPrice, spot2BidPrice, spot2AskPrice fixedpoint.Value) {
submitOrders, err := s.generateSubmitOrders(ctx, futBidPrice, futAskPrice, spotBidPrice, spotAskPrice, spot2BidPrice, spot2AskPrice)
if err != nil {
log.WithError(err).Error("failed to generate submit orders")
return
}
log.Infof("submit orders: %+v", submitOrders)
if s.DryRun {
log.Infof("dry run, not submitting orders")
return
}
createdOrders, err := s.SpotOrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Error("failed to submit orders")
return
}
log.Infof("created orders: %+v", createdOrders)
s.activeMakerOrders.Add(createdOrders...)
}
func (s *Strategy) generateSubmitOrders(ctx context.Context, futBidPrice, futAskPrice, spotBidPrice, spotAskPrice, spot2BidPrice, spot2AskPrice fixedpoint.Value) ([]types.SubmitOrder, error) {
baseBalance, ok := s.SpotSession.GetAccount().Balance(s.SpotMarket.BaseCurrency)
if !ok {
return nil, fmt.Errorf("base currency %s balance not found", s.SpotMarket.BaseCurrency)
}
log.Infof("base balance: %+v", baseBalance)
quoteBalance, ok := s.SpotSession.GetAccount().Balance(s.SpotMarket.QuoteCurrency)
if !ok {
return nil, fmt.Errorf("quote currency %s balance not found", s.SpotMarket.QuoteCurrency)
}
log.Infof("quote balance: %+v", quoteBalance)
orders := []types.SubmitOrder{}
// calculate buy and sell price
buyPrice := futBidPrice.Sub(s.HalfSpread) //.Sub(fixedpoint.NewFromInt(2)) //.Mul(fixedpoint.One.Sub(s.HalfSpreadRatio))
log.Infof("buy price: %+v", buyPrice)
sellPrice := futAskPrice.Add(s.HalfSpread) //.Mul(fixedpoint.One.Add(s.HalfSpreadRatio))
log.Infof("sell price: %+v", sellPrice)
// check balance and generate orders
position := s.SpotOrderExecutor.Position()
buySize := fixedpoint.NewFromFloat(s.LotSize.Float64() * (1 - math.Min(position.Base.Float64(), s.PositionLimit.Float64())/s.PositionLimit.Float64()))
sellSize := fixedpoint.NewFromFloat(s.LotSize.Float64() * (1 + math.Min(position.Base.Float64(), s.PositionLimit.Float64())/s.PositionLimit.Float64()))
log.Info(s.LotSize, buySize, position.Base, s.PositionLimit)
if buyPrice.Compare(spotAskPrice) < 0 && quoteBalance.Available.Compare(buySize.Mul(buyPrice)) > 0 && position.Base.Compare(s.PositionLimit) < 0 {
orders = append(orders, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: s.OrderType,
Price: buyPrice,
Quantity: buySize, //.Div(buyPrice),
Tag: "NeedHedge",
})
} else {
log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, buySize.Mul(buyPrice))
}
if sellPrice.Compare(spotBidPrice) > 0 && baseBalance.Available.Compare(sellSize) > 0 && position.Base.Compare(s.PositionLimit.Neg()) > 0 {
orders = append(orders, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: s.OrderType,
Price: sellPrice,
Quantity: sellSize, //.Div(sellPrice),
Tag: "NeedHedge",
})
} else {
log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, sellSize)
}
return orders, nil
}
func (s *Strategy) hedge(ctx context.Context, orderExecutionRoute bbgo.OrderExecutionRouter, volume fixedpoint.Value, side types.SideType) {
submitOrders, err := s.generateHedgeOrders(ctx, volume, side)
if err != nil {
log.WithError(err).Error("failed to generate submit orders")
return
}
log.Infof("submit orders: %+v", submitOrders)
if s.DryRun {
log.Infof("dry run, not submitting orders")
return
}
createdOrders, err := s.FutureOrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Error("failed to submit orders")
return
}
log.Infof("created orders: %+v", createdOrders)
//s.activeMakerOrders.Add(createdOrders...)
}
func (s *Strategy) generateHedgeOrders(ctx context.Context, volume fixedpoint.Value, side types.SideType) ([]types.SubmitOrder, error) {
baseBalance, ok := s.FutureSession.GetAccount().Balance(s.FutureMarket.BaseCurrency)
if !ok {
return nil, fmt.Errorf("base currency %s balance not found", s.FutureMarket.BaseCurrency)
}
log.Infof("base balance: %+v", baseBalance)
quoteBalance, ok := s.FutureSession.GetAccount().Balance(s.FutureMarket.QuoteCurrency)
if !ok {
return nil, fmt.Errorf("quote currency %s balance not found", s.FutureMarket.QuoteCurrency)
}
log.Infof("quote balance: %+v", quoteBalance)
orders := []types.SubmitOrder{}
if side == types.SideTypeBuy {
orders = append(orders, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: volume,
Tag: "Neutralization",
})
} else {
log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, volume)
}
if side == types.SideTypeSell {
orders = append(orders, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: volume,
Tag: "Neutralization",
})
} else {
log.Infof("not enough base balance to sell, available: %s, amount: %s", baseBalance.Available, volume)
}
return orders, nil
}