Rebalance on kline closed

This commit is contained in:
なるみ 2022-03-23 23:52:59 +08:00
parent ae4a3d81fb
commit 83e37f52a8
2 changed files with 32 additions and 26 deletions

View File

@ -7,7 +7,7 @@ notifications:
exchangeStrategies:
- on: max
rebalance:
interval: 24h
interval: 1d
baseCurrency: TWD
ignoreLocked: true
targetWeights:
@ -20,3 +20,4 @@ exchangeStrategies:
# max amount to buy or sell per order
maxAmount: 10_000
verbose: true
dryRun: false

View File

@ -3,14 +3,12 @@ package kline
import (
"context"
"fmt"
"time"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
const ID = "rebalance"
@ -53,13 +51,13 @@ func ElementwiseProduct(m1, m2 map[string]fixedpoint.Value) map[string]fixedpoin
type Strategy struct {
Notifiability *bbgo.Notifiability
Interval types.Duration `json:"interval"`
Interval types.Interval `json:"interval"`
BaseCurrency string `json:"baseCurrency"`
TargetWeights map[string]fixedpoint.Value `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"`
IgnoreLocked bool `json:"ignoreLocked"`
Verbose bool `json:"verbose"`
DryRun bool `json:"dryRun"`
// max amount to buy or sell per order
MaxAmount fixedpoint.Value `json:"maxAmount"`
}
@ -69,10 +67,6 @@ func (s *Strategy) ID() string {
}
func (s *Strategy) Validate() error {
if s.Interval == 0 {
return fmt.Errorf("interval shoud not be 0")
}
if len(s.TargetWeights) == 0 {
return fmt.Errorf("targetWeights should not be empty")
}
@ -94,26 +88,17 @@ 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.getSymbols() {
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.TargetWeights = Normalize(s.TargetWeights)
go func() {
ticker := time.NewTicker(util.MillisecondsJitter(s.Interval.Duration(), 1000))
defer ticker.Stop()
for {
select {
case <-ctx.Done():
return
case <-ticker.C:
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
s.rebalance(ctx, orderExecutor, session)
}
}
}()
})
return nil
}
@ -128,6 +113,14 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
marketValues := ElementwiseProduct(prices, quantities)
orders := s.generateSubmitOrders(prices, marketValues)
for _, order := range orders {
log.Infof("generated submit order: %s", order.String())
}
if s.DryRun {
return
}
_, err = orderExecutor.SubmitOrders(ctx, orders...)
if err != nil {
log.WithError(err).Error("submit order error")
@ -231,3 +224,15 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoi
}
return submitOrders
}
func (s *Strategy) getSymbols() []string {
var symbols []string
for currency := range s.TargetWeights {
if currency == s.BaseCurrency {
continue
}
symbol := currency + s.BaseCurrency
symbols = append(symbols, symbol)
}
return symbols
}