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Merge pull request #1719 from c9s/c9s/xmaker/stb-improvements
IMPROVE: [xmaker] fix bollinger band price calculation
This commit is contained in:
c9s
GitHub
commit
652c9b62e8
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@ -26,7 +26,6 @@ var defaultMargin = fixedpoint.NewFromFloat(0.003)
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var two = fixedpoint.NewFromInt(2)
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var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
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var minGap = fixedpoint.NewFromFloat(1.02)
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const priceUpdateTimeout = 30 * time.Second
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@ -134,6 +133,8 @@ type Strategy struct {
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reportProfitStatsRateLimiter *rate.Limiter
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circuitBreakerAlertLimiter *rate.Limiter
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logger logrus.FieldLogger
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}
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func (s *Strategy) ID() string {
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@ -189,12 +190,105 @@ func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Valu
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func (s *Strategy) Initialize() error {
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s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.logger = logrus.WithFields(logrus.Fields{
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"symbol": s.Symbol,
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"strategy": ID,
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"strategy_id": s.InstanceID(),
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})
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return nil
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}
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type Quote struct {
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BestBidPrice, BestAskPrice fixedpoint.Value
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BidMargin, AskMargin fixedpoint.Value
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// BidLayerPips is the price pips between each layer
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BidLayerPips, AskLayerPips fixedpoint.Value
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}
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// getBollingerTrend returns -1 when the price is in the downtrend, 1 when the price is in the uptrend, 0 when the price is in the band
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func (s *Strategy) getBollingerTrend(quote *Quote) int {
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// when bid price is lower than the down band, then it's in the downtrend
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// when ask price is higher than the up band, then it's in the uptrend
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lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
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s.logger.Infof("bollinger band: up/down = %f/%f, bid/ask = %f/%f",
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lastUpBand.Float64(),
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lastDownBand.Float64(),
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quote.BestBidPrice.Float64(),
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quote.BestAskPrice.Float64())
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if quote.BestAskPrice.Compare(lastDownBand) < 0 {
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return -1
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} else if quote.BestBidPrice.Compare(lastUpBand) > 0 {
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return 1
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} else {
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return 0
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}
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}
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// applyBollingerMargin applies the bollinger band margin to the quote
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func (s *Strategy) applyBollingerMargin(
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quote *Quote,
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) error {
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lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
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if lastUpBand.IsZero() || lastDownBand.IsZero() {
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s.logger.Warnf("bollinger band value is zero, skipping")
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return nil
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}
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factor := fixedpoint.Min(s.BollBandMarginFactor, fixedpoint.One)
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switch s.getBollingerTrend(quote) {
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case -1:
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// for the downtrend, increase the bid margin
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// ratio here should be greater than 1.00
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ratio := fixedpoint.Min(lastDownBand.Div(quote.BestAskPrice), fixedpoint.One)
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// so that 1.x can multiply the original bid margin
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
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s.logger.Infof("%s bollband downtrend: increasing bid margin %f (bidMargin) + %f (bollMargin) = %f (finalBidMargin)",
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s.Symbol,
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quote.BidMargin.Float64(),
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bollMargin.Float64(),
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quote.BidMargin.Add(bollMargin).Float64())
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quote.BidMargin = quote.BidMargin.Add(bollMargin)
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quote.BidLayerPips = quote.BidLayerPips.Mul(ratio)
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case 1:
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// for the uptrend, increase the ask margin
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// ratio here should be greater than 1.00
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ratio := fixedpoint.Min(quote.BestAskPrice.Div(lastUpBand), fixedpoint.One)
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
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s.logger.Infof("%s bollband uptrend adjusting bid margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
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s.Symbol,
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quote.AskMargin.Float64(),
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bollMargin.Float64(),
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quote.AskMargin.Add(bollMargin).Float64())
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quote.AskMargin = quote.AskMargin.Add(bollMargin)
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quote.AskLayerPips = quote.AskLayerPips.Mul(ratio)
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default:
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// default, in the band
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}
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return nil
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}
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func (s *Strategy) updateQuote(ctx context.Context) {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
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log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
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s.logger.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
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s.activeMakerOrders.Print()
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return
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}
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@ -206,7 +300,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if s.CircuitBreaker != nil {
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now := time.Now()
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if reason, halted := s.CircuitBreaker.IsHalted(now); halted {
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log.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
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s.logger.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
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if s.circuitBreakerAlertLimiter.AllowN(now, 1) {
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bbgo.Notify("Strategy is halted, reason: %s", reason)
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@ -229,14 +323,14 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bookLastUpdateTime := s.book.LastUpdateTime()
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if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
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log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.logger.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.Symbol,
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time.Since(bookLastUpdateTime))
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return
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}
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if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
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log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.logger.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.Symbol,
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time.Since(bookLastUpdateTime))
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return
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@ -244,7 +338,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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sourceBook := s.book.CopyDepth(10)
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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s.logger.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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return
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}
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@ -282,13 +376,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
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} else {
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log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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}
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@ -301,13 +395,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
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} else {
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log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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}
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@ -334,61 +428,33 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bestBidPrice := bestBid.Price
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bestAskPrice := bestAsk.Price
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log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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s.logger.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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if bestBidPrice.Compare(bestAskPrice) > 0 {
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log.Errorf("best bid price %f is higher than best ask price %f, skip quoting",
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bestBidPrice.Float64(),
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bestAskPrice.Float64(),
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)
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return
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}
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var submitOrders []types.SubmitOrder
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var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
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var bidQuantity = s.Quantity
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var askQuantity = s.Quantity
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var bidMargin = s.BidMargin
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var askMargin = s.AskMargin
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var pips = s.Pips
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var quote = &Quote{
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BestBidPrice: bestBidPrice,
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BestAskPrice: bestAskPrice,
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BidMargin: s.BidMargin,
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AskMargin: s.AskMargin,
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BidLayerPips: s.Pips,
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AskLayerPips: s.Pips,
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}
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if s.EnableBollBandMargin {
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lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
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if lastUpBand.IsZero() || lastDownBand.IsZero() {
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log.Warnf("bollinger band value is zero, skipping")
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return
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}
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log.Infof("bollinger band: up/down = %f/%f", lastUpBand.Float64(), lastDownBand.Float64())
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// when bid price is lower than the down band, then it's in the downtrend
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// when ask price is higher than the up band, then it's in the uptrend
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if bestBidPrice.Compare(lastDownBand) < 0 {
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// ratio here should be greater than 1.00
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ratio := lastDownBand.Div(bestBidPrice)
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
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log.Infof("%s bollband downtrend: adjusting ask margin %v + %v = %v",
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s.Symbol,
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askMargin,
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bollMargin,
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askMargin.Add(bollMargin))
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askMargin = askMargin.Add(bollMargin)
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pips = pips.Mul(ratio)
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}
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if bestAskPrice.Compare(lastUpBand) > 0 {
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// ratio here should be greater than 1.00
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ratio := bestAskPrice.Div(lastUpBand)
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
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log.Infof("%s bollband uptrend adjusting bid margin %v + %v = %v",
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s.Symbol,
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bidMargin,
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bollMargin,
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bidMargin.Add(bollMargin))
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bidMargin = bidMargin.Add(bollMargin)
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pips = pips.Mul(ratio)
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if err := s.applyBollingerMargin(quote); err != nil {
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log.WithError(err).Errorf("unable to apply bollinger margin")
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}
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}
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@ -401,11 +467,19 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bidExposureInUsd := fixedpoint.Zero
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askExposureInUsd := fixedpoint.Zero
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bidPrice := bestBidPrice
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askPrice := bestAskPrice
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bidPrice := quote.BestBidPrice
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askPrice := quote.BestAskPrice
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bidMarginMetrics.With(labels).Set(bidMargin.Float64())
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askMarginMetrics.With(labels).Set(askMargin.Float64())
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if bidPrice.Compare(askPrice) > 0 {
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log.Errorf("maker bid price %f is higher than maker ask price %f, skip quoting",
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bidPrice.Float64(),
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askPrice.Float64(),
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)
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return
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}
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bidMarginMetrics.With(labels).Set(quote.BidMargin.Float64())
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askMarginMetrics.With(labels).Set(quote.AskMargin.Float64())
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for i := 0; i < s.NumLayers; i++ {
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// for maker bid orders
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@ -424,20 +498,32 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
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if s.UseDepthPrice {
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sideBook := sourceBook.SideBook(types.SideTypeBuy)
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if s.DepthQuantity.Sign() > 0 {
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bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
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if i == 0 {
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bidPrice = aggregatePrice(sideBook, s.DepthQuantity)
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
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pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
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bidPrice = bidPrice.Sub(pips)
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}
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} else {
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bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
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bidPrice = aggregatePrice(sideBook, accumulativeBidQuantity)
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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}
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} else {
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if i == 0 {
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
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pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
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bidPrice = bidPrice.Sub(pips)
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}
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}
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
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if i == 0 {
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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} else if i > 0 && pips.Sign() > 0 {
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bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
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Mul(s.makerMarket.TickSize)))
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}
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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@ -483,17 +569,28 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if s.UseDepthPrice {
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if s.DepthQuantity.Sign() > 0 {
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if i == 0 {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
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pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
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askPrice = askPrice.Add(pips)
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}
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} else {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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}
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} else {
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if i == 0 {
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
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pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
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askPrice = askPrice.Add(pips)
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}
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}
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askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
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if i == 0 {
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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} else if i > 0 && pips.Sign() > 0 {
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askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
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}
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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@ -612,13 +709,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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// truncate quantity for the supported precision
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quantity = s.sourceMarket.TruncateQuantity(quantity)
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if notional.Compare(s.sourceMarket.MinNotional.Mul(minGap)) <= 0 {
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log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.sourceMarket.MinNotional)
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return
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}
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if quantity.Compare(s.sourceMarket.MinQuantity.Mul(minGap)) <= 0 {
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log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.sourceMarket.MinQuantity)
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if s.sourceMarket.IsDustQuantity(quantity, lastPrice) {
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log.Warnf("skip dust quantity: %s", quantity.String())
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return
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}
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@ -755,7 +847,7 @@ func (s *Strategy) Defaults() error {
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// circuitBreakerAlertLimiter is for CircuitBreaker alerts
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s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
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s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
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s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 1)
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s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
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return nil
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}
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@ -808,6 +900,9 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
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ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
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defer ticker.Stop()
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profitChanged := false
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reportTicker := time.NewTicker(5 * time.Minute)
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for {
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select {
|
||||
case <-ctx.Done():
|
||||
|
|
@ -841,9 +936,16 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
|
|||
s.Hedge(ctx, uncoverPosition.Neg())
|
||||
}
|
||||
|
||||
profitChanged = true
|
||||
|
||||
case <-reportTicker.C:
|
||||
if profitChanged {
|
||||
if s.reportProfitStatsRateLimiter.Allow() {
|
||||
bbgo.Notify(s.ProfitStats)
|
||||
}
|
||||
|
||||
profitChanged = false
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user