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https://github.com/c9s/bbgo.git
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marketp: add marketcap strategy
This commit is contained in:
parent
df8918350e
commit
5799497a09
20
config/marketcap.yaml
Normal file
20
config/marketcap.yaml
Normal file
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@ -0,0 +1,20 @@
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---
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notifications:
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slack:
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defaultChannel: "bbgo"
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errorChannel: "bbgo-error"
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exchangeStrategies:
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- on: max
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marketcap:
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interval: 1m
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baseCurrency: TWD
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baseWeight: 2%
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targetCurrencies:
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- BTC
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- ETH
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- MATIC
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threshold: 2%
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# max amount to buy or sell per order
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maxAmount: 1_000
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dryRun: true
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@ -15,6 +15,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/funding"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
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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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@ -99,6 +99,7 @@ func Test_ValueMap_Sum(t *testing.T) {
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func Test_ValueMap_Normalize(t *testing.T) {
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a := NewFromFloat(3.0)
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b := NewFromFloat(4.0)
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c := a.Add(b)
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m := ValueMap{
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"A": a,
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@ -106,8 +107,8 @@ func Test_ValueMap_Normalize(t *testing.T) {
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}
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n := ValueMap{
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"A": a.Div(a.Add(b)),
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"B": b.Div(a.Add(b)),
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"A": a.Div(c),
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"B": b.Div(c),
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}
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assert.True(t, m.Normalize().Eq(n))
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244
pkg/strategy/marketcap/strategy.go
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244
pkg/strategy/marketcap/strategy.go
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package marketcap
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import (
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"context"
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"fmt"
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"os"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/datasource/glassnode"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "marketcap"
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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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type Strategy struct {
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Notifiability *bbgo.Notifiability
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glassnode *glassnode.DataSource
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Interval types.Interval `json:"interval"`
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BaseCurrency string `json:"baseCurrency"`
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BaseWeight fixedpoint.Value `json:"baseWeight"`
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TargetCurrencies []string `json:"targetCurrencies"`
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Threshold fixedpoint.Value `json:"threshold"`
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Verbose bool `json:"verbose"`
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DryRun bool `json:"dryRun"`
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// max amount to buy or sell per order
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MaxAmount fixedpoint.Value `json:"maxAmount"`
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activeOrderBook *bbgo.ActiveOrderBook
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}
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func (s *Strategy) Initialize() error {
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apiKey := os.Getenv("GLASSNODE_API_KEY")
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s.glassnode = glassnode.New(apiKey)
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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) Validate() error {
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if len(s.TargetCurrencies) == 0 {
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return fmt.Errorf("taretCurrencies should not be empty")
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}
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for _, c := range s.TargetCurrencies {
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if c == s.BaseCurrency {
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return fmt.Errorf("targetCurrencies contain baseCurrency")
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}
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}
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if s.Threshold.Sign() < 0 {
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return fmt.Errorf("threshold should not less than 0")
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}
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if s.MaxAmount.Sign() < 0 {
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return fmt.Errorf("maxAmount shoud not less than 0")
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}
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return nil
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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for _, symbol := range s.symbols() {
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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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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s.activeOrderBook = bbgo.NewActiveOrderBook("")
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s.activeOrderBook.BindStream(session.UserDataStream)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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s.rebalance(ctx, orderExecutor, session)
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})
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return nil
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}
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func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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if err := orderExecutor.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
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log.WithError(err).Error("failed to cancel orders")
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}
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submitOrders := s.generateSubmitOrders(ctx, session)
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for _, submitOrder := range submitOrders {
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log.Infof("generated submit order: %s", submitOrder.String())
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}
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if s.DryRun {
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return
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}
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createdOrders, err := orderExecutor.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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s.activeOrderBook.Add(createdOrders...)
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}
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func (s *Strategy) generateSubmitOrders(ctx context.Context, session *bbgo.ExchangeSession) (submitOrders []types.SubmitOrder) {
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targetWeights := s.getTargetWeights(ctx)
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prices := s.prices(ctx, session)
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marketValues := prices.Mul(s.quantities(session))
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currentWeights := marketValues.Normalize()
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for currency, targetWeight := range targetWeights {
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symbol := currency + s.BaseCurrency
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currentWeight := currentWeights[currency]
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currentPrice := prices[currency]
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log.Infof("%s price: %v, current weight: %v, target weight: %v",
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symbol,
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currentPrice,
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currentWeight,
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targetWeight)
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// calculate the difference between current weight and target weight
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// if the difference is less than threshold, then we will not create the order
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weightDifference := targetWeight.Sub(currentWeight)
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if weightDifference.Abs().Compare(s.Threshold) < 0 {
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log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
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symbol,
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currentWeight,
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targetWeight,
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weightDifference,
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s.Threshold)
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continue
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}
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quantity := weightDifference.Mul(marketValues.Sum()).Div(currentPrice)
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side := types.SideTypeBuy
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if quantity.Sign() < 0 {
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side = types.SideTypeSell
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quantity = quantity.Abs()
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}
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if s.MaxAmount.Sign() > 0 {
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
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log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
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quantity,
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symbol,
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side.String(),
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currentPrice,
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s.MaxAmount)
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}
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order := types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: currentPrice,
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}
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submitOrders = append(submitOrders, order)
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}
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return submitOrders
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}
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func (s *Strategy) getTargetWeights(ctx context.Context) fixedpoint.ValueMap {
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m := FloatMap{}
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// get market cap values
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for _, currency := range s.TargetCurrencies {
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marketCap, err := s.glassnode.QueryMarketCapInUSD(ctx, currency)
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if err != nil {
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log.WithError(err).Error("failed to query market cap")
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return nil
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}
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m[currency] = marketCap
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}
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// normalize
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m = m.Normalize()
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// rescale by 1 - baseWeight
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m = m.MulScalar(1.0 - s.BaseWeight.Float64())
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// append base weight
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m[s.BaseCurrency] = s.BaseWeight.Float64()
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// convert to fixedpoint.ValueMap
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targetWeights := fixedpoint.ValueMap{}
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for currency, weight := range m {
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targetWeights[currency] = fixedpoint.NewFromFloat(weight)
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}
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return targetWeights
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}
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func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) fixedpoint.ValueMap {
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tickers, err := session.Exchange.QueryTickers(ctx, s.symbols()...)
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if err != nil {
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log.WithError(err).Error("failed to query tickers")
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return nil
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}
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prices := fixedpoint.ValueMap{}
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for _, currency := range s.TargetCurrencies {
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prices[currency] = tickers[currency+s.BaseCurrency].Last
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}
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// append base currency price
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prices[s.BaseCurrency] = fixedpoint.One
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return prices
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}
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func (s *Strategy) quantities(session *bbgo.ExchangeSession) fixedpoint.ValueMap {
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balances := session.Account.Balances()
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quantities := fixedpoint.ValueMap{}
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for _, currency := range s.currencies() {
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quantities[currency] = balances[currency].Total()
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}
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return quantities
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}
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func (s *Strategy) symbols() (symbols []string) {
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for _, currency := range s.TargetCurrencies {
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symbols = append(symbols, currency+s.BaseCurrency)
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}
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return symbols
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}
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func (s *Strategy) currencies() (currencies []string) {
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currencies = append(currencies, s.TargetCurrencies...)
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currencies = append(currencies, s.BaseCurrency)
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return currencies
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}
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42
pkg/strategy/marketcap/types.go
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42
pkg/strategy/marketcap/types.go
Normal file
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package marketcap
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type FloatMap map[string]float64
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func (m FloatMap) Sum() float64 {
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sum := 0.0
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for _, v := range m {
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sum += v
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}
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return sum
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}
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func (m FloatMap) MulScalar(x float64) FloatMap {
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o := FloatMap{}
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for k, v := range m {
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o[k] = v * x
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}
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return o
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}
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func (m FloatMap) DivScalar(x float64) FloatMap {
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o := FloatMap{}
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for k, v := range m {
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o[k] = v / x
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}
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return o
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}
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func (m FloatMap) Normalize() FloatMap {
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sum := m.Sum()
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if sum == 0 {
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panic("zero sum")
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}
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o := FloatMap{}
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for k, v := range m {
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o[k] = v / sum
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}
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return o
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}
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@ -88,6 +88,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return nil
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}
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func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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// cancel active orders before rebalance
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if err := session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
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