mirror of
https://github.com/c9s/bbgo.git
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Avoid to use map[string]fixedpoint.Value
This commit is contained in:
なるみ
parent
4df818e8e1
commit
859933d4ed
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@ -3,6 +3,8 @@ package rebalance
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import (
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"context"
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"fmt"
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"math"
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"sort"
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"github.com/sirupsen/logrus"
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@ -19,35 +21,6 @@ func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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func Sum(m map[string]fixedpoint.Value) fixedpoint.Value {
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sum := fixedpoint.NewFromFloat(0.0)
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for _, v := range m {
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sum = sum.Add(v)
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}
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return sum
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}
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func Normalize(m map[string]fixedpoint.Value) map[string]fixedpoint.Value {
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sum := Sum(m)
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if sum.Float64() == 1.0 {
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return m
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}
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normalized := make(map[string]fixedpoint.Value)
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for k, v := range m {
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normalized[k] = v.Div(sum)
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}
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return normalized
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}
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func ElementwiseProduct(m1, m2 map[string]fixedpoint.Value) map[string]fixedpoint.Value {
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m := make(map[string]fixedpoint.Value)
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for k, v := range m1 {
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m[k] = v.Mul(m2[k])
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}
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return m
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}
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type Strategy struct {
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Notifiability *bbgo.Notifiability
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@ -60,6 +33,17 @@ type Strategy struct {
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DryRun bool `json:"dryRun"`
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// max amount to buy or sell per order
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MaxAmount fixedpoint.Value `json:"maxAmount"`
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currencies []string
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}
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func (s *Strategy) Initialize() error {
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for currency := range s.TargetWeights {
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s.currencies = append(s.currencies, currency)
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}
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sort.Strings(s.currencies)
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return nil
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}
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func (s *Strategy) ID() string {
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@ -95,7 +79,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.TargetWeights = Normalize(s.TargetWeights)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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s.rebalance(ctx, orderExecutor, session)
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})
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@ -110,7 +93,7 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
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balances := session.Account.Balances()
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quantities := s.getQuantities(balances)
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marketValues := ElementwiseProduct(prices, quantities)
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marketValues := prices.Mul(quantities)
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orders := s.generateSubmitOrders(prices, marketValues)
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for _, order := range orders {
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@ -128,12 +111,10 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
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}
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}
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func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession) (map[string]fixedpoint.Value, error) {
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prices := make(map[string]fixedpoint.Value)
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for currency := range s.TargetWeights {
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func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession) (prices types.Float64Slice, err error) {
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for _, currency := range s.currencies {
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if currency == s.BaseCurrency {
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prices[currency] = fixedpoint.One
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prices = append(prices, 1.0)
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continue
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}
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@ -145,38 +126,38 @@ func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession)
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return prices, err
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}
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prices[currency] = ticker.Last
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prices = append(prices, ticker.Last.Float64())
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}
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return prices, nil
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}
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func (s *Strategy) getQuantities(balances types.BalanceMap) map[string]fixedpoint.Value {
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quantities := make(map[string]fixedpoint.Value)
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for currency := range s.TargetWeights {
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func (s *Strategy) getQuantities(balances types.BalanceMap) (quantities types.Float64Slice) {
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for _, currency := range s.currencies {
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if s.IgnoreLocked {
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quantities[currency] = balances[currency].Total()
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quantities = append(quantities, balances[currency].Total().Float64())
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} else {
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quantities[currency] = balances[currency].Available
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quantities = append(quantities, balances[currency].Available.Float64())
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}
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}
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return quantities
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}
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func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoint.Value) []types.SubmitOrder {
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var submitOrders []types.SubmitOrder
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func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice) (submitOrders []types.SubmitOrder) {
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currentWeights := marketValues.Normalize()
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totalValue := marketValues.Sum()
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currentWeights := Normalize(marketValues)
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totalValue := Sum(marketValues)
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log.Infof("total value: %f", totalValue)
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log.Infof("total value: %f", totalValue.Float64())
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for currency, targetWeight := range s.TargetWeights {
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for i, currency := range s.currencies {
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if currency == s.BaseCurrency {
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continue
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}
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symbol := currency + s.BaseCurrency
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currentWeight := currentWeights[currency]
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currentPrice := prices[currency]
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currentWeight := currentWeights[i]
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currentPrice := prices[i]
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targetWeight := s.TargetWeights[currency].Float64()
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log.Infof("%s price: %v, current weight: %v, target weight: %v",
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symbol,
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currentPrice,
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@ -185,8 +166,8 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoi
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// calculate the difference between current weight and target weight
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// if the difference is less than threshold, then we will not create the order
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weightDifference := targetWeight.Sub(currentWeight)
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if weightDifference.Abs().Compare(s.Threshold) < 0 {
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weightDifference := targetWeight - currentWeight
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if math.Abs(weightDifference) < s.Threshold.Float64() {
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log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
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symbol,
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currentWeight,
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@ -196,7 +177,7 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoi
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continue
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}
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quantity := weightDifference.Mul(totalValue).Div(currentPrice)
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quantity := fixedpoint.NewFromFloat((weightDifference * totalValue) / currentPrice)
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side := types.SideTypeBuy
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if quantity.Sign() < 0 {
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@ -205,7 +186,7 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoi
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}
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if s.MaxAmount.Sign() > 0 {
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, fixedpoint.NewFromFloat(currentPrice), s.MaxAmount)
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log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
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quantity,
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symbol,
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@ -213,7 +194,7 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoi
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currentPrice,
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s.MaxAmount)
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}
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log.Debugf("symbol: %v, quantity: %v", symbol, quantity)
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order := types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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@ -225,14 +206,12 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoi
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return submitOrders
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}
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func (s *Strategy) getSymbols() []string {
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var symbols []string
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for currency := range s.TargetWeights {
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func (s *Strategy) getSymbols() (symbols []string) {
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for _, currency := range s.currencies {
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if currency == s.BaseCurrency {
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continue
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}
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symbol := currency + s.BaseCurrency
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symbols = append(symbols, symbol)
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symbols = append(symbols, currency+s.BaseCurrency)
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}
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return symbols
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}
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@ -1,6 +1,10 @@
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package types
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import "math"
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import (
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"math"
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"gonum.org/v1/gonum/floats"
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)
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type Float64Slice []float64
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@ -15,30 +19,23 @@ func (s *Float64Slice) Pop(i int64) (v float64) {
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}
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func (s Float64Slice) Max() float64 {
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m := -math.MaxFloat64
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for _, v := range s {
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m = math.Max(m, v)
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}
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return m
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return floats.Max(s)
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}
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func (s Float64Slice) Min() float64 {
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m := math.MaxFloat64
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for _, v := range s {
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m = math.Min(m, v)
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}
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return m
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return floats.Min(s)
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}
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func (s Float64Slice) Sum() (sum float64) {
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for _, v := range s {
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sum += v
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}
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return sum
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return floats.Sum(s)
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}
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func (s Float64Slice) Mean() (mean float64) {
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return s.Sum() / float64(len(s))
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length := len(s)
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if length == 0 {
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panic("zero length slice")
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}
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return s.Sum() / float64(length)
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}
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func (s Float64Slice) Tail(size int) Float64Slice {
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@ -54,8 +51,7 @@ func (s Float64Slice) Tail(size int) Float64Slice {
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return win
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}
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func (s Float64Slice) Diff() Float64Slice {
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var values Float64Slice
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func (s Float64Slice) Diff() (values Float64Slice) {
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for i, v := range s {
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if i == 0 {
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values.Push(0)
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@ -66,54 +62,57 @@ func (s Float64Slice) Diff() Float64Slice {
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return values
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}
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func (s Float64Slice) PositiveValuesOrZero() Float64Slice {
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var values Float64Slice
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func (s Float64Slice) PositiveValuesOrZero() (values Float64Slice) {
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for _, v := range s {
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values.Push(math.Max(v, 0))
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}
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return values
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}
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func (s Float64Slice) NegativeValuesOrZero() Float64Slice {
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var values Float64Slice
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func (s Float64Slice) NegativeValuesOrZero() (values Float64Slice) {
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for _, v := range s {
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values.Push(math.Min(v, 0))
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}
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return values
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}
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func (s Float64Slice) AbsoluteValues() Float64Slice {
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var values Float64Slice
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func (s Float64Slice) AbsoluteValues() (values Float64Slice) {
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for _, v := range s {
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values.Push(math.Abs(v))
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}
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return values
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}
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func (s Float64Slice) MulScalar(x float64) Float64Slice {
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var values Float64Slice
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func (s Float64Slice) MulScalar(x float64) (values Float64Slice) {
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for _, v := range s {
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values.Push(v * x)
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}
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return values
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}
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func (s Float64Slice) DivScalar(x float64) Float64Slice {
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var values Float64Slice
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func (s Float64Slice) DivScalar(x float64) (values Float64Slice) {
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for _, v := range s {
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values.Push(v / x)
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}
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return values
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}
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func (s Float64Slice) ElementwiseProduct(other Float64Slice) Float64Slice {
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var values Float64Slice
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func (s Float64Slice) Mul(other Float64Slice) (values Float64Slice) {
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if len(s) != len(other) {
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panic("slice lengths do not match")
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}
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for i, v := range s {
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values.Push(v * other[i])
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}
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return values
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}
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func (s Float64Slice) Dot(other Float64Slice) float64 {
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return s.ElementwiseProduct(other).Sum()
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return floats.Dot(s, other)
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}
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func (s Float64Slice) Normalize() (values Float64Slice) {
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return s.DivScalar(s.Sum())
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}
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