From 545f138760e917233c05ea8e1696384f224a8a55 Mon Sep 17 00:00:00 2001 From: Austin Liu Date: Fri, 24 Mar 2023 15:36:48 +0800 Subject: [PATCH] strategy: add neutral maker --- config/neutralmaker.yaml | 32 +++ pkg/cmd/strategy/builtin.go | 1 + pkg/strategy/neutralmaker/strategy.go | 373 ++++++++++++++++++++++++++ 3 files changed, 406 insertions(+) create mode 100644 config/neutralmaker.yaml create mode 100644 pkg/strategy/neutralmaker/strategy.go diff --git a/config/neutralmaker.yaml b/config/neutralmaker.yaml new file mode 100644 index 000000000..bcda1ed88 --- /dev/null +++ b/config/neutralmaker.yaml @@ -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 \ No newline at end of file diff --git a/pkg/cmd/strategy/builtin.go b/pkg/cmd/strategy/builtin.go index 50e1ec8bb..39e3a2609 100644 --- a/pkg/cmd/strategy/builtin.go +++ b/pkg/cmd/strategy/builtin.go @@ -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" diff --git a/pkg/strategy/neutralmaker/strategy.go b/pkg/strategy/neutralmaker/strategy.go new file mode 100644 index 000000000..a7c410983 --- /dev/null +++ b/pkg/strategy/neutralmaker/strategy.go @@ -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 +}