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strategy: add neutral maker
This commit is contained in:
Austin Liu
parent
cc74156a7d
commit
545f138760
32
config/neutralmaker.yaml
Normal file
32
config/neutralmaker.yaml
Normal file
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@ -0,0 +1,32 @@
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---
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notifications:
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switches:
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trade: true
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orderUpdate: false
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submitOrder: false
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance_future:
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exchange: binance
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futures: true
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binance:
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exchange: binance
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crossExchangeStrategies:
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- neutralmaker:
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symbol: BTCUSDT
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spotExchange: binance
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futureExchange: binance_future
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halfSpread: 40
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lotSize: 0.01
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positionLimit: 0.1
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dryRun: true
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@ -23,6 +23,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/linregmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
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_ "github.com/c9s/bbgo/pkg/strategy/neutralmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
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373
pkg/strategy/neutralmaker/strategy.go
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373
pkg/strategy/neutralmaker/strategy.go
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@ -0,0 +1,373 @@
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package neutralmaker
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import (
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"context"
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"fmt"
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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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"github.com/c9s/bbgo/pkg/util"
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"github.com/sirupsen/logrus"
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"math"
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"sync"
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"time"
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)
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const ID = "neutralmaker"
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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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// Fixed spread market making strategy
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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LotSize fixedpoint.Value `json:"lotSize"`
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PositionLimit fixedpoint.Value `json:"positionLimit"`
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HalfSpread fixedpoint.Value `json:"halfSpread"`
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OrderType types.OrderType `json:"orderType"`
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DryRun bool `json:"dryRun"`
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// SourceExchange session name
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SpotExchange string `json:"spotExchange"`
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// MakerExchange session name
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FutureExchange string `json:"futureExchange"`
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SpotSession *bbgo.ExchangeSession
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FutureSession *bbgo.ExchangeSession
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SpotMarket types.Market
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FutureMarket types.Market
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BestBidPrice fixedpoint.Value
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BestAskPrice fixedpoint.Value
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activeMakerOrders *bbgo.ActiveOrderBook
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// persistence fields
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SpotPosition *types.Position `json:"position,omitempty" persistence:"position"`
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SpotProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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FuturePosition *types.Position `json:"position,omitempty" persistence:"future_position"`
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FutureProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"future_profit_stats"`
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spotStreamBook *types.StreamOrderBook
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spot2StreamBook *types.StreamOrderBook
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futureStreamBook *types.StreamOrderBook
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SpotOrderExecutor *bbgo.GeneralOrderExecutor
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FutureOrderExecutor *bbgo.GeneralOrderExecutor
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}
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func (s *Strategy) Defaults() error {
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if s.OrderType == "" {
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s.OrderType = types.OrderTypeLimitMaker
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}
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return nil
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}
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func (s *Strategy) Initialize() error {
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return nil
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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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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Validate() error {
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if s.LotSize.Float64() <= 0 {
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return fmt.Errorf("quantity should be positive")
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}
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return nil
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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log.Warnf("%+v\t%+v", s.SpotExchange, s.FutureExchange)
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s.SpotSession = sessions[s.SpotExchange]
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//if !sok {
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// fmt.Errorf("spot session %s is not defined", s.SpotExchange)
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//}
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s.SpotSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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s.SpotSession.Subscribe(types.BookChannel, "BTCBUSD", types.SubscribeOptions{})
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s.FutureSession = sessions[s.FutureExchange]
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//if !fok {
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// fmt.Errorf("future session %s is not defined", s.FutureExchange)
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//}
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s.FutureSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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}
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func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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// configure sessions
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spotSession, ok := sessions[s.SpotExchange]
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if !ok {
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return fmt.Errorf("spot exchange session %s is not defined", s.SpotExchange)
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}
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s.SpotSession = spotSession
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//futureSession, ok := sessions[s.FutureExchange]
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//if !ok {
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// return fmt.Errorf("future exchange session %s is not defined", s.FutureExchange)
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//}
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//
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//s.futureSession = futureSessionspotMarket
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log.Errorf("%+v", s.FutureSession.Futures)
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s.SpotMarket, ok = s.SpotSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("spot session market %s is not defined", s.Symbol)
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}
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s.FutureMarket, ok = s.FutureSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("future session market %s is not defined", s.Symbol)
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}
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.SpotMarket.Symbol)
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s.activeMakerOrders.BindStream(s.SpotSession.UserDataStream)
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instanceID := s.InstanceID()
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if s.SpotPosition == nil {
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s.SpotPosition = types.NewPositionFromMarket(s.SpotMarket)
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}
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if s.FuturePosition == nil {
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s.FuturePosition = types.NewPositionFromMarket(s.FutureMarket)
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}
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// Always update the position fields
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s.SpotPosition.Strategy = ID
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s.SpotPosition.StrategyInstanceID = instanceID
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s.FuturePosition.Strategy = ID
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s.FuturePosition.StrategyInstanceID = instanceID
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if s.SpotProfitStats == nil {
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s.SpotProfitStats = types.NewProfitStats(s.SpotMarket)
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}
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if s.SpotOrderExecutor == nil {
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s.SpotOrderExecutor = bbgo.NewGeneralOrderExecutor(s.SpotSession, s.SpotMarket.Symbol, s.ID(), s.InstanceID(), s.SpotPosition)
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}
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s.SpotOrderExecutor.BindProfitStats(s.SpotProfitStats)
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s.SpotOrderExecutor.Bind()
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s.SpotOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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})
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if s.FutureOrderExecutor == nil {
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s.FutureOrderExecutor = bbgo.NewGeneralOrderExecutor(s.FutureSession, s.FutureMarket.Symbol, s.ID(), s.InstanceID(), s.FuturePosition)
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}
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//s.FutureOrderExecutor.BindProfitStats(s.FutureProfitStats)
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s.FutureOrderExecutor.Bind()
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s.FutureOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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})
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s.activeMakerOrders.OnFilled(func(order types.Order) {
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log.Infof("active orders filled, hedge")
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if order.Side == types.SideTypeBuy {
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s.hedge(ctx, orderExecutionRouter, order.ExecutedQuantity, types.SideTypeSell)
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} else if order.Side == types.SideTypeSell {
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s.hedge(ctx, orderExecutionRouter, order.ExecutedQuantity, types.SideTypeBuy)
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}
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})
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s.futureStreamBook = types.NewStreamBook(s.FutureMarket.Symbol)
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s.futureStreamBook.BindStream(s.FutureSession.MarketDataStream)
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s.spotStreamBook = types.NewStreamBook(s.SpotMarket.Symbol)
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s.spotStreamBook.BindStream(s.SpotSession.MarketDataStream)
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s.spot2StreamBook = types.NewStreamBook("BTCBUSD")
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s.spot2StreamBook.BindStream(s.SpotSession.MarketDataStream)
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go func() {
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posTicker := time.NewTicker(util.MillisecondsJitter(types.Interval("1000ms").Duration(), 200))
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defer posTicker.Stop()
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for {
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select {
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case <-ctx.Done():
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log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
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return
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case <-posTicker.C:
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s.cancelOrders(ctx)
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sbid, sbok := s.spotStreamBook.OrderBook.BestBid()
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sask, saok := s.spotStreamBook.OrderBook.BestAsk()
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s2bid, s2bok := s.spot2StreamBook.OrderBook.BestBid()
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s2ask, s2aok := s.spot2StreamBook.OrderBook.BestAsk()
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fbid, fbok := s.futureStreamBook.BestBid()
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fask, faok := s.futureStreamBook.BestAsk()
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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())
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if fbok && faok && sbok && saok && s2bok && s2aok {
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s.replenish(ctx, orderExecutionRouter, fbid.Price, fask.Price, sbid.Price, sask.Price, s2bid.Price, s2ask.Price)
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}
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}
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}
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}()
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// the shutdown handler, you can cancel all orders
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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_ = orderExecutionRouter.CancelOrdersTo(ctx, s.SpotExchange) //.GracefulCancel(ctx)
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_ = orderExecutionRouter.CancelOrdersTo(ctx, s.FutureExchange)
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})
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return nil
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}
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func (s *Strategy) cancelOrders(ctx context.Context) {
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if err := s.SpotOrderExecutor.GracefulCancel(ctx); err != nil { //orderExecutionRouter.CancelOrdersTo(ctx, s.SpotExchange, s.activeMakerOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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}
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func (s *Strategy) replenish(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, futBidPrice, futAskPrice, spotBidPrice, spotAskPrice, spot2BidPrice, spot2AskPrice fixedpoint.Value) {
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submitOrders, err := s.generateSubmitOrders(ctx, futBidPrice, futAskPrice, spotBidPrice, spotAskPrice, spot2BidPrice, spot2AskPrice)
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if err != nil {
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log.WithError(err).Error("failed to generate submit orders")
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return
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}
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log.Infof("submit orders: %+v", submitOrders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders")
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return
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}
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createdOrders, err := s.SpotOrderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Error("failed to submit orders")
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return
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}
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log.Infof("created orders: %+v", createdOrders)
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s.activeMakerOrders.Add(createdOrders...)
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}
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func (s *Strategy) generateSubmitOrders(ctx context.Context, futBidPrice, futAskPrice, spotBidPrice, spotAskPrice, spot2BidPrice, spot2AskPrice fixedpoint.Value) ([]types.SubmitOrder, error) {
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baseBalance, ok := s.SpotSession.GetAccount().Balance(s.SpotMarket.BaseCurrency)
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if !ok {
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return nil, fmt.Errorf("base currency %s balance not found", s.SpotMarket.BaseCurrency)
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}
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log.Infof("base balance: %+v", baseBalance)
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quoteBalance, ok := s.SpotSession.GetAccount().Balance(s.SpotMarket.QuoteCurrency)
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if !ok {
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return nil, fmt.Errorf("quote currency %s balance not found", s.SpotMarket.QuoteCurrency)
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}
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log.Infof("quote balance: %+v", quoteBalance)
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orders := []types.SubmitOrder{}
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// calculate buy and sell price
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buyPrice := futBidPrice.Sub(s.HalfSpread) //.Sub(fixedpoint.NewFromInt(2)) //.Mul(fixedpoint.One.Sub(s.HalfSpreadRatio))
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log.Infof("buy price: %+v", buyPrice)
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sellPrice := futAskPrice.Add(s.HalfSpread) //.Mul(fixedpoint.One.Add(s.HalfSpreadRatio))
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log.Infof("sell price: %+v", sellPrice)
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// check balance and generate orders
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position := s.SpotOrderExecutor.Position()
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buySize := fixedpoint.NewFromFloat(s.LotSize.Float64() * (1 - math.Min(position.Base.Float64(), s.PositionLimit.Float64())/s.PositionLimit.Float64()))
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sellSize := fixedpoint.NewFromFloat(s.LotSize.Float64() * (1 + math.Min(position.Base.Float64(), s.PositionLimit.Float64())/s.PositionLimit.Float64()))
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log.Info(s.LotSize, buySize, position.Base, s.PositionLimit)
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if buyPrice.Compare(spotAskPrice) < 0 && quoteBalance.Available.Compare(buySize.Mul(buyPrice)) > 0 && position.Base.Compare(s.PositionLimit) < 0 {
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: s.OrderType,
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Price: buyPrice,
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Quantity: buySize, //.Div(buyPrice),
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Tag: "NeedHedge",
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})
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} else {
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log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, buySize.Mul(buyPrice))
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}
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if sellPrice.Compare(spotBidPrice) > 0 && baseBalance.Available.Compare(sellSize) > 0 && position.Base.Compare(s.PositionLimit.Neg()) > 0 {
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: s.OrderType,
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Price: sellPrice,
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Quantity: sellSize, //.Div(sellPrice),
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Tag: "NeedHedge",
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})
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} else {
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log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, sellSize)
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}
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return orders, nil
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}
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func (s *Strategy) hedge(ctx context.Context, orderExecutionRoute bbgo.OrderExecutionRouter, volume fixedpoint.Value, side types.SideType) {
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submitOrders, err := s.generateHedgeOrders(ctx, volume, side)
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if err != nil {
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log.WithError(err).Error("failed to generate submit orders")
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return
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}
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log.Infof("submit orders: %+v", submitOrders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders")
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return
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}
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createdOrders, err := s.FutureOrderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Error("failed to submit orders")
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return
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}
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log.Infof("created orders: %+v", createdOrders)
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//s.activeMakerOrders.Add(createdOrders...)
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}
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func (s *Strategy) generateHedgeOrders(ctx context.Context, volume fixedpoint.Value, side types.SideType) ([]types.SubmitOrder, error) {
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baseBalance, ok := s.FutureSession.GetAccount().Balance(s.FutureMarket.BaseCurrency)
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if !ok {
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return nil, fmt.Errorf("base currency %s balance not found", s.FutureMarket.BaseCurrency)
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}
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log.Infof("base balance: %+v", baseBalance)
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quoteBalance, ok := s.FutureSession.GetAccount().Balance(s.FutureMarket.QuoteCurrency)
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if !ok {
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return nil, fmt.Errorf("quote currency %s balance not found", s.FutureMarket.QuoteCurrency)
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}
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log.Infof("quote balance: %+v", quoteBalance)
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orders := []types.SubmitOrder{}
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if side == types.SideTypeBuy {
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: volume,
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Tag: "Neutralization",
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})
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} else {
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log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, volume)
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}
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if side == types.SideTypeSell {
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: volume,
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Tag: "Neutralization",
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})
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} else {
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log.Infof("not enough base balance to sell, available: %s, amount: %s", baseBalance.Available, volume)
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}
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return orders, nil
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}
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