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https://github.com/c9s/bbgo.git
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strategy:irr add klines box mean reversion
This commit is contained in:
austin362667
parent
303e2c8413
commit
612261c48c
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@ -10,19 +10,26 @@ sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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max:
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exchange: max
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envVarPrefix: max
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ftx:
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exchange: ftx
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envVarPrefix: ftx
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exchangeStrategies:
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- on: binance
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irr:
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symbol: BTCBUSD
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# in milliseconds(ms)
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hftInterval: 5
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hftInterval: 1000
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# indicator window
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window: 100
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# limit maker order quantity
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quantity: 0.01
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# bonus spread in USD
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spread: 0.25
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window: 0
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# maxima position in USD
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amount: 100
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quantity: 0.001
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# minProfit pips in USD
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pips: 0.0
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# alpha1: negative return reversion
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NR: true
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# alpha2: moving average reversion
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@ -22,7 +22,6 @@ func (s *Strategy) InitDrawCommands(profit, cumProfit, cumProfitDollar types.Ser
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return
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}
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bbgo.SendPhoto(&buffer)
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return
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})
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bbgo.RegisterCommand("/nav", "Draw Net Assets Value", func(reply interact.Reply) {
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@ -34,8 +33,6 @@ func (s *Strategy) InitDrawCommands(profit, cumProfit, cumProfitDollar types.Ser
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return
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}
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bbgo.SendPhoto(&buffer)
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return
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})
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bbgo.RegisterCommand("/pnl", "Draw Cumulative Profit & Loss", func(reply interact.Reply) {
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@ -47,7 +44,6 @@ func (s *Strategy) InitDrawCommands(profit, cumProfit, cumProfitDollar types.Ser
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return
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}
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bbgo.SendPhoto(&buffer)
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return
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})
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}
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@ -21,7 +21,6 @@ const ID = "irr"
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var one = fixedpoint.One
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var zero = fixedpoint.Zero
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var Fee = 0.000 // taker fee % * 2, for upper bound
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var log = logrus.WithField("strategy", ID)
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@ -49,7 +48,7 @@ type Strategy struct {
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orderExecutor *bbgo.GeneralOrderExecutor
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bbgo.QuantityOrAmount
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Spread float64 `json:"spread"`
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MinProfit float64 `json:"pips"`
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Interval int `json:"hftInterval"`
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NR bool `json:"NR"`
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@ -61,8 +60,12 @@ type Strategy struct {
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// realtime book ticker to submit order
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obBuyPrice *atomic.Float64
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obSellPrice *atomic.Float64
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// for posting LO
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canBuy bool
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canSell bool
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// for getting close price
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currentTradePrice *atomic.Float64
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tradePriceSeries *types.Queue
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// for negative return rate
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openPrice float64
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closePrice float64
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@ -343,6 +346,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.highestPrice = 0
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s.lowestPrice = s.sellPrice
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}
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if trade.Side == types.SideTypeBuy {
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s.canSell = true
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s.canBuy = false
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} else if trade.Side == types.SideTypeSell {
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s.canBuy = true
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s.canSell = false
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}
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})
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s.InitDrawCommands(&profitSlice, &cumProfitSlice, &cumProfitDollarSlice)
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@ -374,7 +385,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.rtWeight = types.NewQueue(s.Window)
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s.currentTradePrice = atomic.NewFloat64(0)
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s.currentTradePrice = atomic.NewFloat64(0.)
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s.tradePriceSeries = types.NewQueue(2)
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// adverse selection based on order flow dynamics
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s.canBuy = true
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s.canSell = true
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s.closePrice = 0. // atomic.NewFloat64(0)
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s.openPrice = 0. //atomic.NewFloat64(0)
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klinDirections := types.NewQueue(100)
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started := false
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boxOpenPrice := 0.
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boxClosePrice := 0.
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boxCounter := 0
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if !bbgo.IsBackTesting {
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@ -389,43 +413,67 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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go func() {
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time.Sleep(time.Duration(s.Interval-int(time.Now().UnixMilli())%s.Interval) * time.Millisecond)
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intervalCloseTicker := time.NewTicker(time.Duration(s.Interval) * time.Millisecond)
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defer intervalCloseTicker.Stop()
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for {
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select {
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case <-intervalCloseTicker.C:
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s.orderExecutor.CancelNoWait(context.Background())
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if s.currentTradePrice.Load() > 0 {
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s.orderExecutor.CancelNoWait(context.Background())
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s.closePrice = s.currentTradePrice.Load()
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//log.Infof("Close Price: %f", s.closePrice)
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// calculate real-time Negative Return
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s.rtNr.Update((s.openPrice - s.closePrice) / s.openPrice)
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// calculate real-time Negative Return Rank
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rtNrRank := 0.
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if s.rtNr.Length() > 2 {
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rtNrRank = s.rtNr.Rank(s.rtNr.Length()).Last() / float64(s.rtNr.Length())
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log.Infof("Close Price: %f", s.closePrice)
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if s.closePrice > 0 && s.openPrice > 0 {
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direction := s.closePrice - s.openPrice
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klinDirections.Update(direction)
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regimeShift := klinDirections.Index(0)*klinDirections.Index(1) < 0
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if regimeShift && !started {
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boxOpenPrice = s.openPrice
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started = true
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boxCounter = 0
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log.Infof("box started at price: %f", boxOpenPrice)
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} else if regimeShift && started {
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boxClosePrice = s.openPrice
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started = false
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log.Infof("box ended at price: %f with time length: %d", boxClosePrice, boxCounter)
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// box ending, should re-balance position
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nirr := fixedpoint.NewFromFloat(((boxOpenPrice - boxClosePrice) / boxOpenPrice) / (float64(boxCounter) + 1))
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qty := s.QuantityOrAmount.CalculateQuantity(fixedpoint.Value(boxClosePrice))
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qty = qty.Mul(nirr.Abs().Div(fixedpoint.NewFromInt(1000)))
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log.Infof("Alpha: %f with Diff Qty: %f", nirr.Float64(), qty.Float64())
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if nirr.Float64() < 0 {
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_, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Type: types.OrderTypeLimitMaker,
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Price: fixedpoint.NewFromFloat(s.obSellPrice.Load()),
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Tag: "irr re-balance: sell",
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})
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if err != nil {
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log.WithError(err)
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}
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} else if nirr.Float64() > 0 {
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_, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: s.Quantity,
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Type: types.OrderTypeLimitMaker,
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Price: fixedpoint.NewFromFloat(s.obBuyPrice.Load()),
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Tag: "irr re-balance: buy",
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})
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if err != nil {
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log.WithError(err)
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}
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}
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} else {
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boxCounter++
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}
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}
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// calculate real-time Mean Reversion
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s.rtMaFast.Update(s.closePrice)
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s.rtMaSlow.Update(s.closePrice)
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s.rtMr.Update((s.rtMaSlow.Mean() - s.rtMaFast.Mean()) / s.rtMaSlow.Mean())
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// calculate real-time Mean Reversion Rank
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rtMrRank := 0.
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if s.rtMr.Length() > 2 {
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rtMrRank = s.rtMr.Rank(s.rtMr.Length()).Last() / float64(s.rtMr.Length())
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}
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alpha := 0.
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if s.NR && s.MR {
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alpha = (rtNrRank + rtMrRank) / 2
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} else if s.NR && !s.MR {
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alpha = rtNrRank
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} else if !s.NR && s.MR {
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alpha = rtMrRank
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}
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s.rtWeight.Update(alpha)
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log.Infof("Alpha: %f/1.0", s.rtWeight.Last())
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s.rebalancePosition(s.obBuyPrice.Load(), s.obSellPrice.Load(), s.rtWeight.Last())
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}
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case <-s.stopC:
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log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol)
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@ -439,15 +487,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}()
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go func() {
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time.Sleep(time.Duration(s.Interval-int(time.Now().UnixMilli())%s.Interval) * time.Millisecond)
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intervalOpenTicker := time.NewTicker(time.Duration(s.Interval) * time.Millisecond)
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defer intervalOpenTicker.Stop()
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for {
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select {
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case <-intervalOpenTicker.C:
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time.Sleep(50 * time.Microsecond)
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if s.currentTradePrice.Load() > 0 {
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time.Sleep(time.Duration(s.Interval/10) * time.Millisecond)
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if s.currentTradePrice.Load() > 0 && s.closePrice > 0 {
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s.openPrice = s.currentTradePrice.Load()
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//log.Infof("Open Price: %f", s.openPrice)
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log.Infof("Open Price: %f", s.openPrice)
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}
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case <-s.stopC:
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log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol)
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@ -486,31 +535,3 @@ func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
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balances := s.session.GetAccount().Balances()
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return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
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}
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func (s *Strategy) rebalancePosition(bestBid, bestAsk float64, w float64) {
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if w < 0.5 {
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_, errB := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: s.Quantity,
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Type: types.OrderTypeLimitMaker,
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Price: fixedpoint.NewFromFloat(bestBid - s.Spread),
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Tag: "irr short: buy",
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})
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if errB != nil {
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log.WithError(errB)
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}
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} else if w > 0.5 {
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_, errA := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Type: types.OrderTypeLimitMaker,
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Price: fixedpoint.NewFromFloat(bestAsk + s.Spread),
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Tag: "irr long: buy",
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})
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if errA != nil {
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log.WithError(errA)
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}
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}
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}
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