add flashcrash strategy

This commit is contained in:
c9s 2020-11-07 12:00:45 +08:00
parent b13a2deec5
commit 573a082391
4 changed files with 162 additions and 0 deletions

14
config/flashcrash.yaml Normal file
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@ -0,0 +1,14 @@
---
sessions:
max:
exchange: max
envVarPrefix: max
exchangeStrategies:
- on: max
flashcrash:
symbol: BTCUSDT
interval: 1m
baseQuantity: 0.01
percentage: 0.6 # 60% of the current price from the moving average
gridNumber: 3

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@ -3,6 +3,7 @@ package cmd
// import built-in strategies
import (
_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
_ "github.com/c9s/bbgo/pkg/strategy/grid"
_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
_ "github.com/c9s/bbgo/pkg/strategy/swing"

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

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@ -2,6 +2,8 @@
package types
import ()
func (stream *StandardStream) OnTradeUpdate(cb func(trade Trade)) {
stream.tradeUpdateCallbacks = append(stream.tradeUpdateCallbacks, cb)
}