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add flashcrash strategy
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14
config/flashcrash.yaml
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14
config/flashcrash.yaml
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---
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sessions:
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max:
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exchange: max
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envVarPrefix: max
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exchangeStrategies:
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- on: max
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flashcrash:
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symbol: BTCUSDT
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interval: 1m
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baseQuantity: 0.01
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percentage: 0.6 # 60% of the current price from the moving average
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gridNumber: 3
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@ -3,6 +3,7 @@ package cmd
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// import built-in strategies
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// import built-in strategies
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import (
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import (
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_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
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_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
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_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/swing"
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_ "github.com/c9s/bbgo/pkg/strategy/swing"
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145
pkg/strategy/flashcrash/strategy.go
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145
pkg/strategy/flashcrash/strategy.go
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// flashcrash strategy tries to place the orders at 30%~50% of the current price,
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// so that you can catch the orders while flashcrash happens
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package flashcrash
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import (
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"context"
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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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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func init() {
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bbgo.RegisterStrategy("flashcrash", &Strategy{})
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}
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type Strategy struct {
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// These fields will be filled from the config file (it translates YAML to JSON)
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// Symbol is the symbol of market you want to run this strategy
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Symbol string `json:"symbol"`
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// Interval is the interval used to trigger order updates
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Interval types.Interval `json:"interval"`
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// GridNum is the grid number, how many orders you want to places
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GridNum int `json:"gridNumber"`
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Percentage float64 `json:"percentage"`
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// BaseQuantity is the quantity you want to submit for each order.
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BaseQuantity float64 `json:"baseQuantity"`
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// activeOrders is the locally maintained active order book of the maker orders.
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activeOrders *bbgo.LocalActiveOrderBook
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// Injection fields start
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// --------------------------
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// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
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// This field will be injected automatically since we defined the Symbol field.
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types.Market
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// StandardIndicatorSet contains the standard indicators of a market (symbol)
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// This field will be injected automatically since we defined the Symbol field.
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*bbgo.StandardIndicatorSet
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// --------------------------
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// ewma is the exponential weighted moving average indicator
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ewma *indicator.EWMA
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}
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func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Bids.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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s.updateBidOrders(orderExecutor, session)
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}
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func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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quoteCurrency := s.Market.QuoteCurrency
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balances := session.Account.Balances()
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balance, ok := balances[quoteCurrency]
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if !ok || balance.Available <= 0.0 {
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return
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}
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var numOrders = s.GridNum - s.activeOrders.NumOfBids()
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if numOrders <= 0 {
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return
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}
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var startPrice = s.ewma.Last() * s.Percentage
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var submitOrders []types.SubmitOrder
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for i := 0; i < numOrders; i++ {
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Market: s.Market,
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Quantity: s.BaseQuantity,
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Price: startPrice,
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TimeInForce: "GTC",
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})
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startPrice *= s.Percentage
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}
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orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
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if err != nil {
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log.WithError(err).Error("submit bid order error")
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return
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}
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s.activeOrders.Add(orders...)
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}
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func (s *Strategy) orderUpdateHandler(order types.Order) {
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if order.Symbol != s.Symbol {
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return
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}
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log.Infof("received order update: %+v", order)
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switch order.Status {
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case types.OrderStatusFilled:
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s.activeOrders.Delete(order)
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case types.OrderStatusCanceled, types.OrderStatusRejected:
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log.Infof("order status %s, removing %d from the active order pool...", order.Status, order.OrderID)
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s.activeOrders.Delete(order)
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case types.OrderStatusPartiallyFilled:
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s.activeOrders.Add(order)
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default:
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s.activeOrders.Add(order)
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}
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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s.activeOrders = bbgo.NewLocalActiveOrderBook()
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s.ewma = s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{
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Interval: s.Interval,
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Window: 25,
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})
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session.Stream.OnOrderUpdate(s.orderUpdateHandler)
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session.Stream.OnKLineClosed(func(kline types.KLine) {
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s.updateOrders(orderExecutor, session)
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})
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// TODO: move this to the stream onConnect handler
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s.updateOrders(orderExecutor, session)
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return nil
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}
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@ -2,6 +2,8 @@
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package types
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package types
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import ()
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func (stream *StandardStream) OnTradeUpdate(cb func(trade Trade)) {
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func (stream *StandardStream) OnTradeUpdate(cb func(trade Trade)) {
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stream.tradeUpdateCallbacks = append(stream.tradeUpdateCallbacks, cb)
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stream.tradeUpdateCallbacks = append(stream.tradeUpdateCallbacks, cb)
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}
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}
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