Merge pull request #1402 from c9s/narumi/fixedmaker/inventory-skew

FEATURE: inventory skew

config/fixedmaker.yaml

@@ -16,12 +16,19 @@ exchangeStrategies:
   - on: max
     fixedmaker:
       symbol: USDCUSDT
-      interval: 5m
+      interval: 1m
       halfSpread: 0.05%
       quantity: 15
       orderType: LIMIT_MAKER
-      dryRun: false
+      dryRun: true
 
       positionHardLimit: 1500
       maxPositionQuantity: 1500
       circuitBreakLossThreshold: -0.15
+      circuitBreakEMA:
+        interval: 1m
+        window: 14
+
+      inventorySkew:
+        inventoryRangeMultiplier: 1.0
+        targetBaseRatio: 0.5

config/xfixedmaker.yaml

@@ -6,6 +6,7 @@ sessions:
   binance:
     exchange: binance
     envVarPrefix: binance
+    publicOnly: true
 
 backtest:
   startTime: "2023-01-01"
@@ -25,11 +26,11 @@ crossExchangeStrategies:
   - xfixedmaker:
       tradingExchange: max
       symbol: BTCUSDT
-      interval: 5m
+      interval: 1m
       halfSpread: 0.01%
       quantity: 0.005
       orderType: LIMIT_MAKER
-      dryRun: false
+      dryRun: true
 
       referenceExchange: binance
       referencePriceEMA:
@@ -44,3 +45,7 @@ crossExchangeStrategies:
       circuitBreakEMA:
         interval: 1m
         window: 14
+
+      inventorySkew:
+        inventoryRangeMultiplier: 1.0
+        targetBaseRatio: 0.5

pkg/strategy/fixedmaker/inventory_skew.go

@@ -0,0 +1,56 @@
+package fixedmaker
+
+import (
+	"fmt"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+var (
+	zero = fixedpoint.Zero
+	two  = fixedpoint.NewFromFloat(2.0)
+)
+
+type InventorySkewBidAskRatios struct {
+	BidRatio fixedpoint.Value
+	AskRatio fixedpoint.Value
+}
+
+// https://hummingbot.org/strategy-configs/inventory-skew/
+// https://github.com/hummingbot/hummingbot/blob/31fc61d5e71b2c15732142d30983f3ea2be4d466/hummingbot/strategy/pure_market_making/inventory_skew_calculator.pyx
+type InventorySkew struct {
+	InventoryRangeMultiplier fixedpoint.Value `json:"inventoryRangeMultiplier"`
+	TargetBaseRatio          fixedpoint.Value `json:"targetBaseRatio"`
+}
+
+func (s *InventorySkew) Validate() error {
+	if s.InventoryRangeMultiplier.Float64() < 0 {
+		return fmt.Errorf("inventoryRangeMultiplier should be positive")
+	}
+
+	if s.TargetBaseRatio.Float64() < 0 {
+		return fmt.Errorf("targetBaseRatio should be positive")
+	}
+	return nil
+}
+
+func (s *InventorySkew) CalculateBidAskRatios(quantity fixedpoint.Value, price fixedpoint.Value, baseBalance fixedpoint.Value, quoteBalance fixedpoint.Value) *InventorySkewBidAskRatios {
+	baseValue := baseBalance.Mul(price)
+	totalValue := baseValue.Add(quoteBalance)
+
+	inventoryRange := s.InventoryRangeMultiplier.Mul(quantity.Mul(two)).Mul(price)
+	leftLimit := s.TargetBaseRatio.Mul(totalValue).Sub(inventoryRange)
+	rightLimit := s.TargetBaseRatio.Mul(totalValue).Add(inventoryRange)
+
+	bidAdjustment := interp(baseValue, leftLimit, rightLimit, two, zero).Clamp(zero, two)
+	askAdjustment := interp(baseValue, leftLimit, rightLimit, zero, two).Clamp(zero, two)
+
+	return &InventorySkewBidAskRatios{
+		BidRatio: bidAdjustment,
+		AskRatio: askAdjustment,
+	}
+}
+
+func interp(x, x0, x1, y0, y1 fixedpoint.Value) fixedpoint.Value {
+	return y0.Add(x.Sub(x0).Mul(y1.Sub(y0)).Div(x1.Sub(x0)))
+}

pkg/strategy/fixedmaker/inventory_skew_test.go

@@ -0,0 +1,69 @@
+package fixedmaker
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
+	cases := []struct {
+		quantity     fixedpoint.Value
+		price        fixedpoint.Value
+		baseBalance  fixedpoint.Value
+		quoteBalance fixedpoint.Value
+		want         *InventorySkewBidAskRatios
+	}{
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(1.0),
+			quoteBalance: fixedpoint.NewFromFloat(1000),
+			want: &InventorySkewBidAskRatios{
+				BidRatio: fixedpoint.NewFromFloat(1.0),
+				AskRatio: fixedpoint.NewFromFloat(1.0),
+			},
+		},
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(1.0),
+			quoteBalance: fixedpoint.NewFromFloat(1200),
+			want: &InventorySkewBidAskRatios{
+				BidRatio: fixedpoint.NewFromFloat(1.5),
+				AskRatio: fixedpoint.NewFromFloat(0.5),
+			},
+		},
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(0.0),
+			quoteBalance: fixedpoint.NewFromFloat(10000),
+			want: &InventorySkewBidAskRatios{
+				BidRatio: fixedpoint.NewFromFloat(2.0),
+				AskRatio: fixedpoint.NewFromFloat(0.0),
+			},
+		},
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(2.0),
+			quoteBalance: fixedpoint.NewFromFloat(0.0),
+			want: &InventorySkewBidAskRatios{
+				BidRatio: fixedpoint.NewFromFloat(0.0),
+				AskRatio: fixedpoint.NewFromFloat(2.0),
+			},
+		},
+	}
+
+	for _, c := range cases {
+		s := &InventorySkew{
+			InventoryRangeMultiplier: fixedpoint.NewFromFloat(0.1),
+			TargetBaseRatio:          fixedpoint.NewFromFloat(0.5),
+		}
+		got := s.CalculateBidAskRatios(c.quantity, c.price, c.baseBalance, c.quoteBalance)
+		assert.Equal(t, c.want.BidRatio.Float64(), got.BidRatio.Float64())
+		assert.Equal(t, c.want.AskRatio.Float64(), got.AskRatio.Float64())
+	}
+}

pkg/strategy/fixedmaker/strategy.go

@@ -35,6 +35,8 @@ type Strategy struct {
 	OrderType  types.OrderType  `json:"orderType"`
 	DryRun     bool             `json:"dryRun"`
 
+	InventorySkew InventorySkew `json:"inventorySkew"`
+
 	activeOrderBook *bbgo.ActiveOrderBook
 }
 
@@ -70,6 +72,10 @@ func (s *Strategy) Validate() error {
 	if s.HalfSpread.Float64() <= 0 {
 		return fmt.Errorf("halfSpread should be positive")
 	}
+
+	if err := s.InventorySkew.Validate(); err != nil {
+		return err
+	}
 	return nil
 }
 
@@ -123,7 +129,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 }
 
 func (s *Strategy) cancelOrders(ctx context.Context) {
-	if err := s.Session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
+	if err := s.activeOrderBook.GracefulCancel(ctx, s.Session.Exchange); err != nil {
 		log.WithError(err).Errorf("failed to cancel orders")
 	}
 }
@@ -180,6 +186,21 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 	buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.HalfSpread)).Round(s.Market.PricePrecision, fixedpoint.Down)
 	log.Infof("sell price: %s, buy price: %s", sellPrice.String(), buyPrice.String())
 
+	buyQuantity := s.Quantity
+	sellQuantity := s.Quantity
+	if !s.InventorySkew.InventoryRangeMultiplier.IsZero() {
+		ratios := s.InventorySkew.CalculateBidAskRatios(
+			s.Quantity,
+			midPrice,
+			baseBalance.Total(),
+			quoteBalance.Total(),
+		)
+		log.Infof("bid ratio: %s, ask ratio: %s", ratios.BidRatio.String(), ratios.AskRatio.String())
+		buyQuantity = s.Quantity.Mul(ratios.BidRatio)
+		sellQuantity = s.Quantity.Mul(ratios.AskRatio)
+		log.Infof("buy quantity: %s, sell quantity: %s", buyQuantity.String(), sellQuantity.String())
+	}
+
 	// check balance and generate orders
 	amount := s.Quantity.Mul(buyPrice)
 	if quoteBalance.Available.Compare(amount) > 0 {
@@ -188,7 +209,7 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 			Side:     types.SideTypeBuy,
 			Type:     s.OrderType,
 			Price:    buyPrice,
-			Quantity: s.Quantity,
+			Quantity: buyQuantity,
 		})
 	} else {
 		log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, amount)
@@ -200,7 +221,7 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 			Side:     types.SideTypeSell,
 			Type:     s.OrderType,
 			Price:    sellPrice,
-			Quantity: s.Quantity,
+			Quantity: sellQuantity,
 		})
 	} else {
 		log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, s.Quantity)

pkg/strategy/xfixedmaker/strategy.go

@@ -10,6 +10,7 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/strategy/common"
+	"github.com/c9s/bbgo/pkg/strategy/fixedmaker"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -38,6 +39,7 @@ type Strategy struct {
 	ReferenceExchange       string                   `json:"referenceExchange"`
 	ReferencePriceEMA       types.IntervalWindow     `json:"referencePriceEMA"`
 	OrderPriceLossThreshold fixedpoint.Value         `json:"orderPriceLossThreshold"`
+	InventorySkew           fixedmaker.InventorySkew `json:"inventorySkew"`
 
 	market                types.Market
 	activeOrderBook       *bbgo.ActiveOrderBook
@@ -73,6 +75,10 @@ func (s *Strategy) Validate() error {
 	if s.HalfSpread.Float64() <= 0 {
 		return fmt.Errorf("halfSpread should be positive")
 	}
+
+	if err := s.InventorySkew.Validate(); err != nil {
+		return err
+	}
 	return nil
 }
 
@@ -155,7 +161,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 }
 
 func (s *Strategy) cancelOrders(ctx context.Context) {
-	if err := s.Session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
+	if err := s.activeOrderBook.GracefulCancel(ctx, s.Session.Exchange); err != nil {
 		log.WithError(err).Errorf("failed to cancel orders")
 	}
 }
@@ -212,6 +218,21 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 	buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.HalfSpread)).Round(s.market.PricePrecision, fixedpoint.Down)
 	log.Infof("sell price: %s, buy price: %s", sellPrice.String(), buyPrice.String())
 
+	buyQuantity := s.Quantity
+	sellQuantity := s.Quantity
+	if !s.InventorySkew.InventoryRangeMultiplier.IsZero() {
+		ratios := s.InventorySkew.CalculateBidAskRatios(
+			s.Quantity,
+			midPrice,
+			baseBalance.Total(),
+			quoteBalance.Total(),
+		)
+		log.Infof("bid ratio: %s, ask ratio: %s", ratios.BidRatio.String(), ratios.AskRatio.String())
+		buyQuantity = s.Quantity.Mul(ratios.BidRatio)
+		sellQuantity = s.Quantity.Mul(ratios.AskRatio)
+		log.Infof("buy quantity: %s, sell quantity: %s", buyQuantity.String(), sellQuantity.String())
+	}
+
 	// check balance and generate orders
 	amount := s.Quantity.Mul(buyPrice)
 	if quoteBalance.Available.Compare(amount) > 0 {
@@ -221,7 +242,7 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 				Side:     types.SideTypeBuy,
 				Type:     s.OrderType,
 				Price:    buyPrice,
-				Quantity: s.Quantity,
+				Quantity: buyQuantity,
 			})
 
 		} else {
@@ -238,7 +259,7 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 				Side:     types.SideTypeSell,
 				Type:     s.OrderType,
 				Price:    sellPrice,
-				Quantity: s.Quantity,
+				Quantity: sellQuantity,
 			})
 		} else {
 			log.Infof("ref price risk control triggered, not placing sell order")