Merge pull request #268 from c9s/strategy/etf

feature: add ETF strategy

config/etf.yaml

@@ -0,0 +1,11 @@
+exchangeStrategies:
+- on: max
+   etf:
+     duration: 24h
+     totalAmount: 200.0
+     index:
+       BTCUSDT: 5%
+       LTCUSDT: 15%
+       ETHUSDT: 30%
+       LINKUSDT: 20%
+       DOTUSDT: 30%

pkg/bbgo/moving_average_settings.go

@@ -0,0 +1,47 @@
+package bbgo
+
+import (
+	"fmt"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/strategy/schedule"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type MovingAverageSettings struct {
+	Type     string         `json:"type"`
+	Interval types.Interval `json:"interval"`
+	Window   int            `json:"window"`
+
+	Side     *types.SideType   `json:"side"`
+	Quantity *fixedpoint.Value `json:"quantity"`
+	Amount   *fixedpoint.Value `json:"amount"`
+}
+
+func (settings MovingAverageSettings) IntervalWindow() types.IntervalWindow {
+	var window = 99
+	if settings.Window > 0 {
+		window = settings.Window
+	}
+
+	return types.IntervalWindow{
+		Interval: settings.Interval,
+		Window:   window,
+	}
+}
+
+func (settings *MovingAverageSettings) Indicator(indicatorSet *StandardIndicatorSet) (inc schedule.Float64Indicator, err error) {
+	var iw = settings.IntervalWindow()
+
+	switch settings.Type {
+	case "SMA":
+		inc = indicatorSet.SMA(iw)
+
+	case "EWMA", "EMA":
+		inc = indicatorSet.EWMA(iw)
+
+	default:
+		return nil, fmt.Errorf("unsupported moving average type: %s", settings.Type)
+	}
+
+	return inc, nil
+}

pkg/cmd/builtin.go

@@ -4,6 +4,7 @@ package cmd
 import (
 	_ "github.com/c9s/bbgo/pkg/strategy/bollgrid"
 	_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
+	_ "github.com/c9s/bbgo/pkg/strategy/etf"
 	_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
 	_ "github.com/c9s/bbgo/pkg/strategy/gap"
 	_ "github.com/c9s/bbgo/pkg/strategy/grid"

pkg/strategy/etf/strategy.go

@@ -0,0 +1,106 @@
+package etf
+
+import (
+	"context"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/pkg/errors"
+	log "github.com/sirupsen/logrus"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const ID = "etf"
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	Market types.Market
+
+	Notifiability *bbgo.Notifiability
+
+
+	TotalAmount fixedpoint.Value `json:"totalAmount,omitempty"`
+
+	// Interval is the period that you want to submit order
+	Duration types.Duration `json:"duration"`
+
+	Index map[string]fixedpoint.Value `json:"index"`
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+}
+
+func (s *Strategy) Validate() error {
+	if s.TotalAmount == 0 {
+		return errors.New("amount can not be empty")
+	}
+
+	return nil
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	go func() {
+		ticker := time.NewTicker(s.Duration.Duration())
+		defer ticker.Stop()
+
+		s.Notifiability.Notify("ETF orders will be executed every %s", s.Duration.Duration().String())
+
+		for {
+			select {
+			case <-ctx.Done():
+				return
+
+			case <-ticker.C:
+				totalAmount := s.TotalAmount
+				for symbol, ratio := range s.Index {
+					amount := totalAmount.Mul(ratio)
+
+					ticker, err := session.Exchange.QueryTicker(ctx, symbol)
+					if err != nil {
+						log.WithError(err).Error("query ticker error")
+					}
+
+					askPrice := fixedpoint.NewFromFloat(ticker.Sell)
+					quantity := askPrice.Div(amount)
+
+					// execute orders
+					quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
+					if !ok {
+						return
+					}
+					if quoteBalance.Available < amount {
+						s.Notifiability.Notify("Quote balance %s is not enough: %f < %f", s.Market.QuoteCurrency, quoteBalance.Available.Float64(), amount.Float64())
+						return
+					}
+
+					s.Notifiability.Notify("Submitting etf order %s quantity %f at price %f (index ratio %f %%)",
+						symbol,
+						quantity.Float64(),
+						askPrice.Float64(),
+						ratio.Float64()*100.0)
+					_, err = orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+						Symbol:   symbol,
+						Side:     types.SideTypeBuy,
+						Type:     types.OrderTypeMarket,
+						Quantity: quantity.Float64(),
+					})
+
+					if err != nil {
+						log.WithError(err).Error("submit order error")
+					}
+
+				}
+			}
+		}
+	}()
+
+	return nil
+}

pkg/strategy/schedule/strategy.go

@@ -2,8 +2,6 @@ package schedule
 
 import (
 	"context"
-	"fmt"
-
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
@@ -23,45 +21,6 @@ type Float64Indicator interface {
 	Last() float64
 }
 
-type MovingAverageSettings struct {
-	Type     string         `json:"type"`
-	Interval types.Interval `json:"interval"`
-	Window   int            `json:"window"`
-
-	Side     *types.SideType   `json:"side"`
-	Quantity *fixedpoint.Value `json:"quantity"`
-	Amount   *fixedpoint.Value `json:"amount"`
-}
-
-func (settings MovingAverageSettings) IntervalWindow() types.IntervalWindow {
-	var window = 99
-	if settings.Window > 0 {
-		window = settings.Window
-	}
-
-	return types.IntervalWindow{
-		Interval: settings.Interval,
-		Window:   window,
-	}
-}
-
-func (settings *MovingAverageSettings) Indicator(indicatorSet *bbgo.StandardIndicatorSet) (inc Float64Indicator, err error) {
-	var iw = settings.IntervalWindow()
-
-	switch settings.Type {
-	case "SMA":
-		inc = indicatorSet.SMA(iw)
-
-	case "EWMA", "EMA":
-		inc = indicatorSet.EWMA(iw)
-
-	default:
-		return nil, fmt.Errorf("unsupported moving average type: %s", settings.Type)
-	}
-
-	return inc, nil
-}
-
 type Strategy struct {
 	Market types.Market
 
@@ -85,9 +44,9 @@ type Strategy struct {
 
 	Amount fixedpoint.Value `json:"amount,omitempty"`
 
-	BelowMovingAverage *MovingAverageSettings `json:"belowMovingAverage,omitempty"`
+	BelowMovingAverage *bbgo.MovingAverageSettings `json:"belowMovingAverage,omitempty"`
 
-	AboveMovingAverage *MovingAverageSettings `json:"aboveMovingAverage,omitempty"`
+	AboveMovingAverage *bbgo.MovingAverageSettings `json:"aboveMovingAverage,omitempty"`
 }
 
 func (s *Strategy) ID() string {
@@ -218,7 +177,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 		}
 
-		s.Notifiability.Notify("Submitting scheduled order %s quantity %f", s.Symbol, quantity.Float64())
+		s.Notifiability.Notify("Submitting scheduled order %s quantity %f at price %f", s.Symbol, quantity.Float64(), closePrice.Float64())
 		_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 			Symbol:   s.Symbol,
 			Side:     side,