lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-22 06:53:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

liqmaker: add StopEMA

Browse Source
This commit is contained in:
c9s 2024-10-25 12:28:43 +08:00
parent ced8b5f742
commit 86989b8253
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 41 additions and 22 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

63
pkg/strategy/liquiditymaker/strategy.go
View File

@ -9,7 +9,7 @@ import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
. "github.com/c9s/bbgo/pkg/indicator/v2"
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
@ -53,6 +53,13 @@ type Strategy struct {
StopBidPrice fixedpoint.Value `json:"stopBidPrice"`
StopAskPrice fixedpoint.Value `json:"stopAskPrice"`
StopEMA *struct {
Enabled bool `json:"enabled"`
types.IntervalWindow
} `json:"stopEMA"`
stopEMA *indicatorv2.EWMAStream
UseProtectedPriceRange bool `json:"useProtectedPriceRange"`
UseLastTradePrice bool `json:"useLastTradePrice"`
@ -71,12 +78,18 @@ type Strategy struct {
liquidityScale bbgo.Scale
orderGenerator *LiquidityOrderGenerator
logger log.FieldLogger
}
func (s *Strategy) Initialize() error {
if s.Strategy == nil {
s.Strategy = &common.Strategy{}
}
s.logger = log.WithField("strategy", ID).WithFields(log.Fields{
"symbol": s.Symbol,
})
return nil
}
@ -125,6 +138,10 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
if s.StopEMA != nil && s.StopEMA.Enabled {
s.stopEMA = session.Indicators(s.Symbol).EMA(s.StopEMA.IntervalWindow)
}
s.orderGenerator = &LiquidityOrderGenerator{
Symbol: s.Symbol,
Market: s.Market,
@ -275,7 +292,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
}
if s.IsHalted(ticker.Time) {
log.Warn("circuitBreakRiskControl: trading halted")
s.logger.Warn("circuitBreakRiskControl: trading halted")
return
}
@ -296,7 +313,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
ticker.Sell = ticker.Buy.Add(s.Market.TickSize)
}
log.Infof("ticker: %+v", ticker)
s.logger.Infof("ticker: %+v", ticker)
lastTradedPrice := ticker.Last
midPrice := ticker.Sell.Add(ticker.Buy).Div(fixedpoint.Two)
@ -307,14 +324,14 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
midPrice = lastTradedPrice
}
log.Infof("current spread: %f lastTradedPrice: %f midPrice: %f", currentSpread.Float64(), lastTradedPrice.Float64(), midPrice.Float64())
s.logger.Infof("current spread: %f lastTradedPrice: %f midPrice: %f", currentSpread.Float64(), lastTradedPrice.Float64(), midPrice.Float64())
ask1Price := midPrice.Mul(fixedpoint.One.Add(sideSpread))
bid1Price := midPrice.Mul(fixedpoint.One.Sub(sideSpread))
askLastPrice := midPrice.Mul(fixedpoint.One.Add(s.LiquidityPriceRange))
bidLastPrice := midPrice.Mul(fixedpoint.One.Sub(s.LiquidityPriceRange))
log.Infof("wanted side spread: %f askRange: %f ~ %f bidRange: %f ~ %f",
s.logger.Infof("wanted side spread: %f askRange: %f ~ %f bidRange: %f ~ %f",
sideSpread.Float64(),
ask1Price.Float64(), askLastPrice.Float64(),
bid1Price.Float64(), bidLastPrice.Float64())
@ -323,19 +340,32 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
placeAsk := true
if s.StopBidPrice.Sign() > 0 && midPrice.Compare(s.StopBidPrice) > 0 {
log.Infof("mid price %f > stop bid price %f, turning off bid orders", midPrice.Float64(), s.StopBidPrice.Float64())
s.logger.Infof("mid price %f > stop bid price %f, turning off bid orders", midPrice.Float64(), s.StopBidPrice.Float64())
placeBid = false
}
if s.StopAskPrice.Sign() > 0 && midPrice.Compare(s.StopAskPrice) < 0 {
log.Infof("mid price %f < stop ask price %f, turning off ask orders", midPrice.Float64(), s.StopAskPrice.Float64())
s.logger.Infof("mid price %f < stop ask price %f, turning off ask orders", midPrice.Float64(), s.StopAskPrice.Float64())
placeAsk = false
}
if s.stopEMA != nil {
emaPrice := fixedpoint.NewFromFloat(s.stopEMA.Last(0))
if midPrice.Compare(emaPrice) > 0 {
s.logger.Infof("mid price %f < stop ema price %f, turning off ask orders", midPrice.Float64(), emaPrice.Float64())
placeBid = false
}
if midPrice.Compare(emaPrice) < 0 {
s.logger.Infof("mid price %f < stop ema price %f, turning off ask orders", midPrice.Float64(), emaPrice.Float64())
placeAsk = false
}
}
availableBase := baseBal.Available
availableQuote := quoteBal.Available
log.Infof("balances before liq orders: %s, %s",
s.logger.Infof("balances before liq orders: %s, %s",
baseBal.String(),
quoteBal.String())
@ -399,9 +429,10 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
}
s.liquidityOrderBook.Add(createdOrders...)
log.Infof("%d liq orders are placed successfully", len(orderForms))
s.logger.Infof("%d liq orders are placed successfully", len(orderForms))
for _, o := range createdOrders {
log.Infof("liq order: %+v", o)
s.logger.Infof("liq order: %+v", o)
}
}
@ -436,15 +467,3 @@ func filterAskOrders(askOrders []types.SubmitOrder, available fixedpoint.Value)
return out
}
func preloadKLines(
inc *KLineStream, session *bbgo.ExchangeSession, symbol string, interval types.Interval,
) {
if store, ok := session.MarketDataStore(symbol); ok {
if kLinesData, ok := store.KLinesOfInterval(interval); ok {
for _, k := range *kLinesData {
inc.EmitUpdate(k)
}
}
}
}