submit one order at a time

config/rebalance.yaml

@@ -12,9 +12,9 @@ backtest:
   startTime: "2022-01-01"
   endTime: "2022-10-01"
   symbols:
-  - BTCUSDT
+    - BTCUSDT
-  - ETHUSDT
+    - ETHUSDT
-  - MAXUSDT
+    - MAXUSDT
   account:
     max:
       makerFeeRate: 0.075%
@@ -28,7 +28,7 @@ backtest:
 exchangeStrategies:
   - on: max
     rebalance:
-      interval: 1d
+      cronExpression: "@every 1s"
       quoteCurrency: USDT
       targetWeights:
         BTC: 50%
@@ -37,5 +37,5 @@ exchangeStrategies:
       threshold: 1%
       maxAmount: 1_000 # max amount to buy or sell per order
       orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
-      dryRun: false
+      dryRun: true
       onStart: true

pkg/strategy/rebalance/multi_market_strategy.go

@@ -0,0 +1,44 @@
+package rebalance
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type MultiMarketStrategy struct {
+	Environ *bbgo.Environment
+	Session *bbgo.ExchangeSession
+
+	PositionMap      PositionMap    `persistence:"positionMap"`
+	ProfitStatsMap   ProfitStatsMap `persistence:"profitStatsMap"`
+	OrderExecutorMap GeneralOrderExecutorMap
+
+	parent, ctx context.Context
+	cancel      context.CancelFunc
+}
+
+func (s *MultiMarketStrategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, markets map[string]types.Market, strategyID string) {
+	s.parent = ctx
+	s.ctx, s.cancel = context.WithCancel(ctx)
+
+	s.Environ = environ
+	s.Session = session
+
+	if s.PositionMap == nil {
+		s.PositionMap = make(PositionMap)
+	}
+	s.PositionMap.CreatePositions(markets)
+
+	if s.ProfitStatsMap == nil {
+		s.ProfitStatsMap = make(ProfitStatsMap)
+	}
+	s.ProfitStatsMap.CreateProfitStats(markets)
+
+	s.OrderExecutorMap = NewGeneralOrderExecutorMap(session, s.PositionMap)
+	s.OrderExecutorMap.BindEnvironment(environ)
+	s.OrderExecutorMap.BindProfitStats(s.ProfitStatsMap)
+	s.OrderExecutorMap.Sync(ctx, s)
+	s.OrderExecutorMap.Bind()
+}

pkg/strategy/rebalance/position_map.go

@@ -6,17 +6,17 @@ import (
 
 type PositionMap map[string]*types.Position
 
-func (m PositionMap) CreatePositions(markets []types.Market) PositionMap {
+func (m PositionMap) CreatePositions(markets map[string]types.Market) PositionMap {
-	for _, market := range markets {
+	for symbol, market := range markets {
-		if _, ok := m[market.Symbol]; ok {
+		if _, ok := m[symbol]; ok {
 			continue
 		}
 
-		log.Infof("creating position for symbol %s", market.Symbol)
+		log.Infof("creating position for symbol %s", symbol)
 		position := types.NewPositionFromMarket(market)
 		position.Strategy = ID
-		position.StrategyInstanceID = instanceID(market.Symbol)
+		position.StrategyInstanceID = instanceID(symbol)
-		m[market.Symbol] = position
+		m[symbol] = position
 	}
 	return m
 }

pkg/strategy/rebalance/profit_stats_map.go

@@ -1,17 +1,19 @@
 package rebalance
 
-import "github.com/c9s/bbgo/pkg/types"
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
 
 type ProfitStatsMap map[string]*types.ProfitStats
 
-func (m ProfitStatsMap) CreateProfitStats(markets []types.Market) ProfitStatsMap {
+func (m ProfitStatsMap) CreateProfitStats(markets map[string]types.Market) ProfitStatsMap {
-	for _, market := range markets {
+	for symbol, market := range markets {
-		if _, ok := m[market.Symbol]; ok {
+		if _, ok := m[symbol]; ok {
 			continue
 		}
 
-		log.Infof("creating profit stats for symbol %s", market.Symbol)
+		log.Infof("creating profit stats for symbol %s", symbol)
-		m[market.Symbol] = types.NewProfitStats(market)
+		m[symbol] = types.NewProfitStats(market)
 	}
 	return m
 }

pkg/strategy/rebalance/strategy.go

@@ -5,6 +5,7 @@ import (
 	"fmt"
 	"sync"
 
+	"github.com/robfig/cron/v3"
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
@@ -15,6 +16,7 @@ import (
 const ID = "rebalance"
 
 var log = logrus.WithField("strategy", ID)
+var two = fixedpoint.NewFromFloat(2.0)
 
 func init() {
 	bbgo.RegisterStrategy(ID, &Strategy{})
@@ -25,23 +27,24 @@ func instanceID(symbol string) string {
 }
 
 type Strategy struct {
+	*MultiMarketStrategy
+
 	Environment *bbgo.Environment
 
-	Interval      types.Interval   `json:"interval"`
+	CronExpression string           `json:"cronExpression"`
-	QuoteCurrency string           `json:"quoteCurrency"`
+	QuoteCurrency  string           `json:"quoteCurrency"`
-	TargetWeights types.ValueMap   `json:"targetWeights"`
+	TargetWeights  types.ValueMap   `json:"targetWeights"`
-	Threshold     fixedpoint.Value `json:"threshold"`
+	Threshold      fixedpoint.Value `json:"threshold"`
-	MaxAmount     fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
+	MaxAmount      fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
-	OrderType     types.OrderType  `json:"orderType"`
+	OrderType      types.OrderType  `json:"orderType"`
-	DryRun        bool             `json:"dryRun"`
+	DryRun         bool             `json:"dryRun"`
-	OnStart       bool             `json:"onStart"` // rebalance on start
+	OnStart        bool             `json:"onStart"` // rebalance on start
 
-	PositionMap    PositionMap    `persistence:"positionMap"`
+	session         *bbgo.ExchangeSession
-	ProfitStatsMap ProfitStatsMap `persistence:"profitStatsMap"`
+	symbols         []string
-
+	markets         map[string]types.Market
-	session          *bbgo.ExchangeSession
+	activeOrderBook *bbgo.ActiveOrderBook
-	orderExecutorMap GeneralOrderExecutorMap
+	cron            *cron.Cron
-	activeOrderBook  *bbgo.ActiveOrderBook
 }
 
 func (s *Strategy) Defaults() error {
@@ -52,6 +55,13 @@ func (s *Strategy) Defaults() error {
 }
 
 func (s *Strategy) Initialize() error {
+	for currency := range s.TargetWeights {
+		if currency == s.QuoteCurrency {
+			continue
+		}
+
+		s.symbols = append(s.symbols, currency+s.QuoteCurrency)
+	}
 	return nil
 }
 
@@ -84,35 +94,22 @@ func (s *Strategy) Validate() error {
 	return nil
 }
 
-func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
-	for _, symbol := range s.symbols() {
-		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
-	}
-}
 
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	s.session = session
 
-	markets, err := s.markets()
+	s.markets = make(map[string]types.Market)
-	if err != nil {
+	for _, symbol := range s.symbols {
-		return err
+		market, ok := s.session.Market(symbol)
+		if !ok {
+			return fmt.Errorf("market %s not found", symbol)
+		}
+		s.markets[symbol] = market
 	}
 
-	if s.PositionMap == nil {
+	s.MultiMarketStrategy = &MultiMarketStrategy{}
-		s.PositionMap = make(PositionMap)
+	s.MultiMarketStrategy.Initialize(ctx, s.Environment, session, s.markets, ID)
-	}
-	s.PositionMap.CreatePositions(markets)
-
-	if s.ProfitStatsMap == nil {
-		s.ProfitStatsMap = make(ProfitStatsMap)
-	}
-	s.ProfitStatsMap.CreateProfitStats(markets)
-
-	s.orderExecutorMap = NewGeneralOrderExecutorMap(session, s.PositionMap)
-	s.orderExecutorMap.BindEnvironment(s.Environment)
-	s.orderExecutorMap.BindProfitStats(s.ProfitStatsMap)
-	s.orderExecutorMap.Bind()
-	s.orderExecutorMap.Sync(ctx, s)
 
 	s.activeOrderBook = bbgo.NewActiveOrderBook("")
 	s.activeOrderBook.BindStream(s.session.UserDataStream)
@@ -123,16 +120,18 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 		}
 	})
 
-	s.session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
-		s.rebalance(ctx)
-	})
-
 	// the shutdown handler, you can cancel all orders
 	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()
-		_ = s.orderExecutorMap.GracefulCancel(ctx)
+		_ = s.OrderExecutorMap.GracefulCancel(ctx)
 	})
 
+	s.cron = cron.New()
+	s.cron.AddFunc(s.CronExpression, func() {
+		s.rebalance(ctx)
+	})
+	s.cron.Start()
+
 	return nil
 }
 
@@ -142,21 +141,24 @@ func (s *Strategy) rebalance(ctx context.Context) {
 		log.WithError(err).Errorf("failed to cancel orders")
 	}
 
-	submitOrders, err := s.generateSubmitOrders(ctx)
+	order, err := s.generateOrder(ctx)
 	if err != nil {
-		log.WithError(err).Error("failed to generate submit orders")
+		log.WithError(err).Error("failed to generate order")
 		return
 	}
-	for _, order := range submitOrders {
+
-		log.Infof("generated submit order: %s", order.String())
+	if order == nil {
+		log.Info("no order generated")
+		return
 	}
+	log.Infof("generated order: %s", order.String())
 
 	if s.DryRun {
 		log.Infof("dry run, not submitting orders")
 		return
 	}
 
-	createdOrders, err := s.orderExecutorMap.SubmitOrders(ctx, submitOrders...)
+	createdOrders, err := s.OrderExecutorMap.SubmitOrders(ctx, *order)
 	if err != nil {
 		log.WithError(err).Error("failed to submit orders")
 		return
@@ -164,7 +166,7 @@ func (s *Strategy) rebalance(ctx context.Context) {
 	s.activeOrderBook.Add(createdOrders...)
 }
 
-func (s *Strategy) prices(ctx context.Context) (types.ValueMap, error) {
+func (s *Strategy) queryMidPrices(ctx context.Context) (types.ValueMap, error) {
 	m := make(types.ValueMap)
 	for currency := range s.TargetWeights {
 		if currency == s.QuoteCurrency {
@@ -177,12 +179,12 @@ func (s *Strategy) prices(ctx context.Context) (types.ValueMap, error) {
 			return nil, err
 		}
 
-		m[currency] = ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromFloat(2.0))
+		m[currency] = ticker.Buy.Add(ticker.Sell).Div(two)
 	}
 	return m, nil
 }
 
-func (s *Strategy) balances() (types.BalanceMap, error) {
+func (s *Strategy) selectBalances() (types.BalanceMap, error) {
 	m := make(types.BalanceMap)
 	balances := s.session.GetAccount().Balances()
 	for currency := range s.TargetWeights {
@@ -195,47 +197,37 @@ func (s *Strategy) balances() (types.BalanceMap, error) {
 	return m, nil
 }
 
-func (s *Strategy) generateSubmitOrders(ctx context.Context) (submitOrders []types.SubmitOrder, err error) {
+func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error) {
-	prices, err := s.prices(ctx)
+	prices, err := s.queryMidPrices(ctx)
 	if err != nil {
 		return nil, err
 	}
-	balances, err := s.balances()
+
+	balances, err := s.selectBalances()
 	if err != nil {
 		return nil, err
 	}
-	marketValues := prices.Mul(balanceToTotal(balances))
-	currentWeights := marketValues.Normalize()
 
-	for currency, targetWeight := range s.TargetWeights {
+	values := prices.Mul(toValueMap(balances))
-		if currency == s.QuoteCurrency {
+	weights := values.Normalize()
-			continue
-		}
 
-		symbol := currency + s.QuoteCurrency
+	for symbol, market := range s.markets {
-		currentWeight := currentWeights[currency]
+		target := s.TargetWeights[market.BaseCurrency]
-		currentPrice := prices[currency]
+		weight := weights[market.BaseCurrency]
+		midPrice := prices[market.BaseCurrency]
 
-		log.Infof("%s price: %v, current weight: %v, target weight: %v",
+		log.Infof("%s mid price: %s", symbol, midPrice.String())
-			symbol,
+		log.Infof("%s weight: %.2f%%, target: %.2f%%", market.BaseCurrency, weight.Float64()*100, target.Float64()*100)
-			currentPrice,
-			currentWeight,
-			targetWeight)
 
 		// calculate the difference between current weight and target weight
 		// if the difference is less than threshold, then we will not create the order
-		weightDifference := targetWeight.Sub(currentWeight)
+		diff := target.Sub(weight)
-		if weightDifference.Abs().Compare(s.Threshold) < 0 {
+		if diff.Abs().Compare(s.Threshold) < 0 {
-			log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
+			log.Infof("%s weight is close to target, skip", market.BaseCurrency)
-				symbol,
-				currentWeight,
-				targetWeight,
-				weightDifference,
-				s.Threshold)
 			continue
 		}
 
-		quantity := weightDifference.Mul(marketValues.Sum()).Div(currentPrice)
+		quantity := diff.Mul(values.Sum()).Div(midPrice)
 
 		side := types.SideTypeBuy
 		if quantity.Sign() < 0 {
@@ -243,94 +235,47 @@ func (s *Strategy) generateSubmitOrders(ctx context.Context) (submitOrders []typ
 			quantity = quantity.Abs()
 		}
 
-		maxAmount := s.adjustMaxAmountByBalance(side, currency, currentPrice, balances)
+		if s.MaxAmount.Float64() > 0 {
-		if maxAmount.Sign() > 0 {
+			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, midPrice, s.MaxAmount)
-			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, maxAmount)
+			log.Infof("adjust quantity %s (%s %s @ %s) by max amount %s",
-			log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
+				quantity.String(),
-				quantity,
 				symbol,
 				side.String(),
-				currentPrice,
+				midPrice.String(),
-				s.MaxAmount)
+				s.MaxAmount.String())
 		}
 
-		log.Debugf("symbol: %v, quantity: %v", symbol, quantity)
+		if side == types.SideTypeBuy {
+			quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(midPrice))
+		} else if side == types.SideTypeSell {
+			quantity = fixedpoint.Min(quantity, balances[market.BaseCurrency].Available)
+		}
 
-		order := types.SubmitOrder{
+		if market.IsDustQuantity(quantity, midPrice) {
+			log.Infof("quantity %s (%s %s @ %s) is dust quantity, skip",
+				quantity.String(),
+				symbol,
+				side.String(),
+				midPrice.String())
+			continue
+		}
+
+		return &types.SubmitOrder{
 			Symbol:   symbol,
 			Side:     side,
 			Type:     s.OrderType,
 			Quantity: quantity,
-			Price:    currentPrice,
+			Price:    midPrice,
-		}
+		}, nil
-
-		if ok := s.checkMinimalOrderQuantity(order); ok {
-			submitOrders = append(submitOrders, order)
-		}
 	}
-
+	return nil, nil
-	return submitOrders, err
 }
 
-func (s *Strategy) symbols() (symbols []string) {
+func toValueMap(balances types.BalanceMap) types.ValueMap {
-	for currency := range s.TargetWeights {
-		if currency == s.QuoteCurrency {
-			continue
-		}
-		symbols = append(symbols, currency+s.QuoteCurrency)
-	}
-	return symbols
-}
-
-func (s *Strategy) markets() ([]types.Market, error) {
-	markets := []types.Market{}
-	for _, symbol := range s.symbols() {
-		market, ok := s.session.Market(symbol)
-		if !ok {
-			return nil, fmt.Errorf("market %s not found", symbol)
-		}
-		markets = append(markets, market)
-	}
-	return markets, nil
-}
-
-func (s *Strategy) adjustMaxAmountByBalance(side types.SideType, currency string, currentPrice fixedpoint.Value, balances types.BalanceMap) fixedpoint.Value {
-	var maxAmount fixedpoint.Value
-
-	switch side {
-	case types.SideTypeBuy:
-		maxAmount = balances[s.QuoteCurrency].Available
-	case types.SideTypeSell:
-		maxAmount = balances[currency].Available.Mul(currentPrice)
-	default:
-		log.Errorf("unknown side type: %s", side)
-		return fixedpoint.Zero
-	}
-
-	if s.MaxAmount.Sign() > 0 {
-		maxAmount = fixedpoint.Min(s.MaxAmount, maxAmount)
-	}
-
-	return maxAmount
-}
-
-func (s *Strategy) checkMinimalOrderQuantity(order types.SubmitOrder) bool {
-	if order.Quantity.Compare(order.Market.MinQuantity) < 0 {
-		log.Infof("order quantity is too small: %f < %f", order.Quantity.Float64(), order.Market.MinQuantity.Float64())
-		return false
-	}
-
-	if order.Quantity.Mul(order.Price).Compare(order.Market.MinNotional) < 0 {
-		log.Infof("order min notional is too small: %f < %f", order.Quantity.Mul(order.Price).Float64(), order.Market.MinNotional.Float64())
-		return false
-	}
-	return true
-}
-
-func balanceToTotal(balances types.BalanceMap) types.ValueMap {
 	m := make(types.ValueMap)
 	for _, b := range balances {
-		m[b.Currency] = b.Total()
+		// m[b.Currency] = b.Net()
+		m[b.Currency] = b.Available
 	}
 	return m
 }