apply inventory-skew to xfixedmaker

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

@@ -12,8 +12,8 @@ var (
 )
 
 type InventorySkewBidAskRatios struct {
-	bidRatio fixedpoint.Value
-	askRatio fixedpoint.Value
+	BidRatio fixedpoint.Value
+	AskRatio fixedpoint.Value
 }
 
 // https://hummingbot.org/strategy-configs/inventory-skew/
@@ -46,8 +46,8 @@ func (s *InventorySkew) CalculateBidAskRatios(quantity fixedpoint.Value, price f
 	askAdjustment := interp(baseValue, leftLimit, rightLimit, zero, two).Clamp(zero, two)
 
 	return &InventorySkewBidAskRatios{
-		bidRatio: bidAdjustment,
-		askRatio: askAdjustment,
+		BidRatio: bidAdjustment,
+		AskRatio: askAdjustment,
 	}
 }
 

pkg/strategy/fixedmaker/inventory_skew_test.go

@@ -21,8 +21,8 @@ func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
 			baseBalance:  fixedpoint.NewFromFloat(1.0),
 			quoteBalance: fixedpoint.NewFromFloat(1000),
 			want: &InventorySkewBidAskRatios{
-				bidRatio: fixedpoint.NewFromFloat(1.0),
-				askRatio: fixedpoint.NewFromFloat(1.0),
+				BidRatio: fixedpoint.NewFromFloat(1.0),
+				AskRatio: fixedpoint.NewFromFloat(1.0),
 			},
 		},
 		{
@@ -31,8 +31,8 @@ func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
 			baseBalance:  fixedpoint.NewFromFloat(1.0),
 			quoteBalance: fixedpoint.NewFromFloat(1200),
 			want: &InventorySkewBidAskRatios{
-				bidRatio: fixedpoint.NewFromFloat(1.5),
-				askRatio: fixedpoint.NewFromFloat(0.5),
+				BidRatio: fixedpoint.NewFromFloat(1.5),
+				AskRatio: fixedpoint.NewFromFloat(0.5),
 			},
 		},
 		{
@@ -41,8 +41,8 @@ func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
 			baseBalance:  fixedpoint.NewFromFloat(0.0),
 			quoteBalance: fixedpoint.NewFromFloat(10000),
 			want: &InventorySkewBidAskRatios{
-				bidRatio: fixedpoint.NewFromFloat(2.0),
-				askRatio: fixedpoint.NewFromFloat(0.0),
+				BidRatio: fixedpoint.NewFromFloat(2.0),
+				AskRatio: fixedpoint.NewFromFloat(0.0),
 			},
 		},
 		{
@@ -51,8 +51,8 @@ func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
 			baseBalance:  fixedpoint.NewFromFloat(2.0),
 			quoteBalance: fixedpoint.NewFromFloat(0.0),
 			want: &InventorySkewBidAskRatios{
-				bidRatio: fixedpoint.NewFromFloat(0.0),
-				askRatio: fixedpoint.NewFromFloat(2.0),
+				BidRatio: fixedpoint.NewFromFloat(0.0),
+				AskRatio: fixedpoint.NewFromFloat(2.0),
 			},
 		},
 	}
@@ -63,7 +63,7 @@ func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
 			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())
+		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

@@ -195,9 +195,9 @@ func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, err
 			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("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())
 	}
 

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"
 )
 
@@ -35,9 +36,10 @@ type Strategy struct {
 	OrderType       types.OrderType  `json:"orderType"`
 	DryRun          bool             `json:"dryRun"`
 
-	ReferenceExchange       string               `json:"referenceExchange"`
-	ReferencePriceEMA       types.IntervalWindow `json:"referencePriceEMA"`
-	OrderPriceLossThreshold fixedpoint.Value     `json:"orderPriceLossThreshold"`
+	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")