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strategy: bollmaker: dynamic spread by weighted Bollinger width ratio
This commit is contained in:
Raphanus Lo
parent
f17249ba89
commit
6314a31554
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@ -60,28 +60,59 @@ exchangeStrategies:
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# Dynamic spread is an experimental feature. Use at your own risk!
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#
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# dynamicSpread enables the automatic adjustment to bid and ask spread.
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# Choose one of the scaling strategy to enable dynamicSpread:
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# - amplitude: scales by K-line amplitude
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# - weightedBollWidth: scales by weighted Bollinger band width (explained below)
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# dynamicSpread:
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# enabled: true
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# # window is the window of the SMAs of spreads
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# window: 1
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# askSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# exp:
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# # from down to up
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# domain: [ 0.0001, 0.005 ]
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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# bidSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# exp:
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# # from down to up
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# domain: [ 0.0001, 0.005 ]
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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# amplitude: # delete other scaling strategy if this is defined
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# # window is the window of the SMAs of spreads
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# window: 1
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# askSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# exp:
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# # from down to up
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# domain: [ 0.0001, 0.005 ]
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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# bidSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# exp:
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# # from down to up
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# domain: [ 0.0001, 0.005 ]
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# # when in down band, holds 1.0 by maximum
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# # when in up band, holds 0.05 by maximum
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# range: [ 0.001, 0.002 ]
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# weightedBollWidth: # delete other scaling strategy if this is defined
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# # Scale spread base on weighted Bollinger band width ratio between default and neutral bands.
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# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
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# # And the neutral band: from bn_lower to bn_upper
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# # Set the sigmoid weighting function:
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# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
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# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
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# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
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# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
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# # - The wider neutral band get greater ratio
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# # - To ask spread, the higher neutral band get greater ratio
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# # - To bid spread, the lower neutral band get greater ratio
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# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
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# askSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# linear:
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# # from down to up
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# domain: [ 0.1, 0.5 ]
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# range: [ 0.001, 0.002 ]
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# bidSpreadScale:
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# byPercentage:
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# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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# linear:
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# # from down to up
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# domain: [ 0.1, 0.5 ]
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# range: [ 0.001, 0.002 ]
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# maxExposurePosition is the maximum position you can hold
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# +10 means you can hold 10 ETH long position by maximum
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@ -2,6 +2,7 @@ package bollmaker
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import (
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"github.com/pkg/errors"
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"math"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/indicator"
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@ -9,8 +10,75 @@ import (
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)
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type DynamicSpreadSettings struct {
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Enabled bool `json:"enabled"`
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AmpSpreadSettings *DynamicSpreadAmpSettings `json:"amplitude"`
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WeightedBollWidthRatioSpreadSettings *DynamicSpreadBollWidthRatioSettings `json:"weightedBollWidth"`
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// deprecated
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Enabled *bool `json:"enabled"`
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// deprecated
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types.IntervalWindow
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// deprecated. AskSpreadScale is used to define the ask spread range with the given percentage.
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AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
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// deprecated. BidSpreadScale is used to define the bid spread range with the given percentage.
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BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
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}
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// Initialize dynamic spreads and preload SMAs
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func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicator.BOLL) {
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switch {
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case ds.Enabled != nil && !*ds.Enabled:
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// do nothing
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case ds.AmpSpreadSettings != nil:
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ds.AmpSpreadSettings.initialize(symbol, session)
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case ds.WeightedBollWidthRatioSpreadSettings != nil:
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ds.WeightedBollWidthRatioSpreadSettings.initialize(neutralBoll, defaultBoll)
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}
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}
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func (ds *DynamicSpreadSettings) IsEnabled() bool {
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return ds.AmpSpreadSettings != nil || ds.WeightedBollWidthRatioSpreadSettings != nil
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}
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// Update dynamic spreads
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func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
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switch {
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case ds.AmpSpreadSettings != nil:
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ds.AmpSpreadSettings.update(kline)
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case ds.WeightedBollWidthRatioSpreadSettings != nil:
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// Boll bands are updated outside of settings. Do nothing.
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default:
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// Disabled. Do nothing.
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}
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}
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// GetAskSpread returns current ask spread
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func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
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switch {
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case ds.AmpSpreadSettings != nil:
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return ds.AmpSpreadSettings.getAskSpread()
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case ds.WeightedBollWidthRatioSpreadSettings != nil:
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return ds.WeightedBollWidthRatioSpreadSettings.getAskSpread()
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default:
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return 0, errors.New("dynamic spread is not enabled")
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}
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}
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// GetBidSpread returns current dynamic bid spread
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func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
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switch {
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case ds.AmpSpreadSettings != nil:
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return ds.AmpSpreadSettings.getBidSpread()
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case ds.WeightedBollWidthRatioSpreadSettings != nil:
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return ds.WeightedBollWidthRatioSpreadSettings.getBidSpread()
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default:
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return 0, errors.New("dynamic spread is not enabled")
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}
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}
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type DynamicSpreadAmpSettings struct {
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types.IntervalWindow
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// AskSpreadScale is used to define the ask spread range with the given percentage.
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@ -19,52 +87,40 @@ type DynamicSpreadSettings struct {
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// BidSpreadScale is used to define the bid spread range with the given percentage.
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BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
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DynamicAskSpread *indicator.SMA
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DynamicBidSpread *indicator.SMA
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dynamicAskSpread *indicator.SMA
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dynamicBidSpread *indicator.SMA
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}
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// Update dynamic spreads
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func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
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if !ds.Enabled {
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return
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}
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ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
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switch kline.Direction() {
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case types.DirectionUp:
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ds.DynamicAskSpread.Update(ampl)
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ds.DynamicBidSpread.Update(0)
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case types.DirectionDown:
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ds.DynamicBidSpread.Update(ampl)
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ds.DynamicAskSpread.Update(0)
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default:
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ds.DynamicAskSpread.Update(0)
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ds.DynamicBidSpread.Update(0)
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}
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}
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// Initialize dynamic spreads and preload SMAs
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func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession) {
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ds.DynamicBidSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
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ds.DynamicAskSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
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func (ds *DynamicSpreadAmpSettings) initialize(symbol string, session *bbgo.ExchangeSession) {
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ds.dynamicBidSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
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ds.dynamicAskSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
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kLineStore, _ := session.MarketDataStore(symbol)
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if klines, ok := kLineStore.KLinesOfInterval(ds.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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ds.Update((*klines)[i])
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ds.update((*klines)[i])
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}
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}
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}
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// GetAskSpread returns current ask spread
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func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
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if !ds.Enabled {
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return 0, errors.New("dynamic spread is not enabled")
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}
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func (ds *DynamicSpreadAmpSettings) update(kline types.KLine) {
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ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
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if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
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askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
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switch kline.Direction() {
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case types.DirectionUp:
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ds.dynamicAskSpread.Update(ampl)
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ds.dynamicBidSpread.Update(0)
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case types.DirectionDown:
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ds.dynamicBidSpread.Update(ampl)
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ds.dynamicAskSpread.Update(0)
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default:
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ds.dynamicAskSpread.Update(0)
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ds.dynamicBidSpread.Update(0)
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}
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}
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func (ds *DynamicSpreadAmpSettings) getAskSpread() (askSpread float64, err error) {
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if ds.AskSpreadScale != nil && ds.dynamicAskSpread.Length() >= ds.Window {
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askSpread, err = ds.AskSpreadScale.Scale(ds.dynamicAskSpread.Last())
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicAskSpread")
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return 0, err
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@ -76,14 +132,9 @@ func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
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return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
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}
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// GetBidSpread returns current dynamic bid spread
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func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
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if !ds.Enabled {
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return 0, errors.New("dynamic spread is not enabled")
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}
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if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
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bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
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func (ds *DynamicSpreadAmpSettings) getBidSpread() (bidSpread float64, err error) {
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if ds.BidSpreadScale != nil && ds.dynamicBidSpread.Length() >= ds.Window {
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bidSpread, err = ds.BidSpreadScale.Scale(ds.dynamicBidSpread.Last())
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicBidSpread")
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return 0, err
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@ -94,3 +145,82 @@ func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
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return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
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}
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type DynamicSpreadBollWidthRatioSettings struct {
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// AskSpreadScale is used to define the ask spread range with the given percentage.
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AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
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// BidSpreadScale is used to define the bid spread range with the given percentage.
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BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
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neutralBoll *indicator.BOLL
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defaultBoll *indicator.BOLL
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}
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func (ds *DynamicSpreadBollWidthRatioSettings) initialize(neutralBoll, defaultBoll *indicator.BOLL) {
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ds.neutralBoll = neutralBoll
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ds.defaultBoll = defaultBoll
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}
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func (ds *DynamicSpreadBollWidthRatioSettings) getAskSpread() (askSpread float64, err error) {
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askSpread, err = ds.AskSpreadScale.Scale(ds.getWeightedBBWidthRatio(true))
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicAskSpread")
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return 0, err
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}
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return askSpread, nil
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}
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func (ds *DynamicSpreadBollWidthRatioSettings) getBidSpread() (bidSpread float64, err error) {
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bidSpread, err = ds.BidSpreadScale.Scale(ds.getWeightedBBWidthRatio(false))
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicAskSpread")
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return 0, err
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}
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return bidSpread, nil
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}
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func (ds *DynamicSpreadBollWidthRatioSettings) getWeightedBBWidthRatio(positiveSigmoid bool) float64 {
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// Weight the width of Boll bands with sigmoid function and calculate the ratio after integral.
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//
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// Given the default band: moving average default_BB_mid, band from default_BB_lower to default_BB_upper.
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// And the neutral band: from neutral_BB_lower to neutral_BB_upper.
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//
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// 1 x - default_BB_mid
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// sigmoid weighting function f(y) = ------------- where y = --------------------
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// 1 + exp(-y) default_BB_width
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// Set the sigmoid weighting function:
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// - to ask spread, the weighting density function d_weight(x) is sigmoid((x - default_BB_mid) / (default_BB_upper - default_BB_lower))
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// - to bid spread, the weighting density function d_weight(x) is sigmoid((default_BB_mid - x) / (default_BB_upper - default_BB_lower))
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//
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// Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
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// infinite integral of ask spread sigmoid weighting density function F(y) = ln(1 + exp(y))
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// infinite integral of bid spread sigmoid weighting density function F(y) = y - ln(1 + exp(y))
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// Note that we've rescaled the sigmoid function to fit default BB,
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// the weighted default BB width is always calculated by integral(f of y from -1 to 1) = F(1) - F(-1)
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// F(y_upper) - F(y_lower) F(y_upper) - F(y_lower)
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// weighted ratio = ------------------------- = -------------------------
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// F(1) - F(-1) 1
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// where y_upper = (neutral_BB_upper - default_BB_mid) / default_BB_width
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// y_lower = (neutral_BB_lower - default_BB_mid) / default_BB_width
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// - The wider neutral band get greater ratio
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// - To ask spread, the higher neutral band get greater ratio
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// - To bid spread, the lower neutral band get greater ratio
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defaultMid := ds.defaultBoll.SMA.Last()
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defaultWidth := ds.defaultBoll.UpBand.Last() - ds.defaultBoll.DownBand.Last()
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yUpper := (ds.neutralBoll.UpBand.Last() - defaultMid) / defaultWidth
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yLower := (ds.neutralBoll.DownBand.Last() - defaultMid) / defaultWidth
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var weightedUpper, weightedLower float64
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if positiveSigmoid {
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weightedUpper = math.Log(1 + math.Pow(math.E, yUpper))
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weightedLower = math.Log(1 + math.Pow(math.E, yLower))
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} else {
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weightedUpper = yUpper - math.Log(1+math.Pow(math.E, yUpper))
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weightedLower = yLower - math.Log(1+math.Pow(math.E, yLower))
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}
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// The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
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return (weightedUpper - weightedLower) / 1.
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}
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@ -435,12 +435,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
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s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
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// Setup dynamic spread
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if s.DynamicSpread.Enabled {
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if s.DynamicSpread.IsEnabled() {
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if s.DynamicSpread.Interval == "" {
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s.DynamicSpread.Interval = s.Interval
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}
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s.DynamicSpread.Initialize(s.Symbol, s.session)
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s.DynamicSpread.Initialize(s.Symbol, s.session, s.neutralBoll, s.defaultBoll)
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}
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if s.DisableShort {
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@ -463,9 +466,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
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}
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s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
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s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
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// calculate group id for orders
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instanceID := s.InstanceID()
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s.groupID = util.FNV32(instanceID)
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@ -538,7 +538,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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// Update spreads with dynamic spread
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if s.DynamicSpread.Enabled {
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if s.DynamicSpread.IsEnabled() {
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s.DynamicSpread.Update(kline)
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dynamicBidSpread, err := s.DynamicSpread.GetBidSpread()
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if err == nil && dynamicBidSpread > 0 {
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