Merge pull request #1411 from c9s/feature/dca2/new

FEATURE: new strategy dca2 perparation

config/dca2.yaml

@@ -0,0 +1,30 @@
+---
+backtest:
+  startTime: "2023-06-01"
+  endTime: "2023-07-01"
+  sessions:
+  - max
+  symbols:
+  - ETHUSDT
+  accounts:
+    binance:
+      balances:
+        USDT: 20_000.0
+
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+exchangeStrategies:
+
+- on: max
+  dca2:
+    symbol: ETHUSDT
+    short: false
+    budget: 5000
+    maxOrderNum: 10
+    priceDeviation: 1%
+    takeProfitRatio: 1%
+    coolDownInterval: 5m

pkg/exchange/max/stream.go

@@ -96,6 +96,9 @@ func (s *Stream) handleConnect() {
 				case types.DepthLevelMedium:
 					depth = 20
 
+				case types.DepthLevel1:
+					depth = 1
+
 				case types.DepthLevel5:
 					depth = 5
 

pkg/strategy/common/strategy.go

@@ -69,9 +69,11 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
 	s.OrderExecutor.BindEnvironment(environ)
 	s.OrderExecutor.BindProfitStats(s.ProfitStats)
 	s.OrderExecutor.Bind()
+	/*
 		s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
-		// bbgo.Sync(ctx, s)
+			bbgo.Sync(ctx, s)
 		})
+	*/
 
 	if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
 		log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")

pkg/strategy/dca2/debug.go

@@ -0,0 +1,19 @@
+package dca2
+
+import (
+	"fmt"
+	"strings"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func (s *Strategy) debugOrders(submitOrders []types.Order) {
+	var sb strings.Builder
+	sb.WriteString("DCA ORDERS[\n")
+	for i, order := range submitOrders {
+		sb.WriteString(fmt.Sprintf("%3d) ", i+1) + order.String() + "\n")
+	}
+	sb.WriteString("] END OF DCA ORDERS")
+
+	s.logger.Info(sb.String())
+}

pkg/strategy/dca2/strategy.go

@@ -0,0 +1,148 @@
+package dca2
+
+import (
+	"context"
+	"fmt"
+	"math"
+	"sync"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/strategy/common"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
+	"github.com/sirupsen/logrus"
+)
+
+const ID = "dca2"
+
+const orderTag = "dca2"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	*common.Strategy
+
+	Environment *bbgo.Environment
+	Market      types.Market
+
+	Symbol string `json:"symbol"`
+
+	// setting
+	Short            bool             `json:"short"`
+	Budget           fixedpoint.Value `json:"budget"`
+	MaxOrderNum      int64            `json:"maxOrderNum"`
+	PriceDeviation   fixedpoint.Value `json:"priceDeviation"`
+	TakeProfitRatio  fixedpoint.Value `json:"takeProfitRatio"`
+	CoolDownInterval types.Duration   `json:"coolDownInterval"`
+
+	// OrderGroupID is the group ID used for the strategy instance for canceling orders
+	OrderGroupID uint32 `json:"orderGroupID"`
+
+	// log
+	logger    *logrus.Entry
+	LogFields logrus.Fields `json:"logFields"`
+
+	// private field
+	mu                   sync.Mutex
+	makerSide            types.SideType
+	takeProfitSide       types.SideType
+	takeProfitPrice      fixedpoint.Value
+	startTimeOfNextRound time.Time
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Validate() error {
+	if s.MaxOrderNum < 1 {
+		return fmt.Errorf("maxOrderNum can not be < 1")
+	}
+
+	if s.TakeProfitRatio.Sign() <= 0 {
+		return fmt.Errorf("takeProfitSpread can not be <= 0")
+	}
+
+	if s.PriceDeviation.Sign() <= 0 {
+		return fmt.Errorf("margin can not be <= 0")
+	}
+
+	// TODO: validate balance is enough
+	return nil
+}
+
+func (s *Strategy) Defaults() error {
+	if s.LogFields == nil {
+		s.LogFields = logrus.Fields{}
+	}
+
+	s.LogFields["symbol"] = s.Symbol
+	s.LogFields["strategy"] = ID
+	return nil
+}
+
+func (s *Strategy) Initialize() error {
+	s.logger = log.WithFields(s.LogFields)
+	return nil
+}
+
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s-%s", ID, s.Symbol)
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
+}
+
+func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	s.Strategy = &common.Strategy{}
+	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
+	instanceID := s.InstanceID()
+
+	if s.Short {
+		s.makerSide = types.SideTypeSell
+		s.takeProfitSide = types.SideTypeBuy
+	} else {
+		s.makerSide = types.SideTypeBuy
+		s.takeProfitSide = types.SideTypeSell
+	}
+
+	if s.OrderGroupID == 0 {
+		s.OrderGroupID = util.FNV32(instanceID) % math.MaxInt32
+	}
+
+	// order executor
+	s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
+		s.logger.Infof("position: %s", s.Position.String())
+		bbgo.Sync(ctx, s)
+
+		// update take profit price here
+	})
+
+	session.MarketDataStream.OnKLine(func(kline types.KLine) {
+		// check price here
+	})
+
+	session.UserDataStream.OnAuth(func() {
+		s.logger.Info("user data stream authenticated, start the process")
+		// decide state here
+	})
+
+	balances, err := session.Exchange.QueryAccountBalances(ctx)
+	if err != nil {
+		return err
+	}
+
+	balance := balances[s.Market.QuoteCurrency]
+	if balance.Available.Compare(s.Budget) < 0 {
+		return fmt.Errorf("the available balance of %s is %s which is less than budget setting %s, please check it", s.Market.QuoteCurrency, balance.Available, s.Budget)
+	}
+
+	return nil
+}