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audacity: finalize strategy

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austin362667 2022-09-07 15:46:41 +08:00 committed by Austin Liu
parent 713ead669e
commit 8b97e4c4e8
3 changed files with 32 additions and 28 deletions
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4
config/audacitymaker.yaml
View File

@ -16,6 +16,6 @@ exchangeStrategies:
- on: binance
audacitymaker:
symbol: ETHBUSD
perTrade:
orderFlow:
interval: 1m
quantity: 0.01
quantity: 0.01

48
pkg/strategy/audacitymaker/pertrade.go → pkg/strategy/audacitymaker/orderflow.go
View File

@ -2,8 +2,6 @@ package audacitymaker
import (
"context"
"math"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -54,12 +52,14 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
var orderFlowSize floats.Slice
var orderFlowNumber floats.Slice
var orderFlowSizeMinMaxArcCos floats.Slice
var orderFlowNumberMinMaxArcCos floats.Slice
var orderFlowSizeMinMax floats.Slice
var orderFlowNumberMinMax floats.Slice
threshold := 3.
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
//log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
ctx := context.Background()
@ -80,43 +80,47 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
sellTradesNumber.Update(1)
}
canceled := s.orderExecutor.GracefulCancel(ctx)
if canceled != nil {
_ = s.orderExecutor.GracefulCancel(ctx)
}
//canceled := s.orderExecutor.GracefulCancel(ctx)
//if canceled != nil {
// _ = s.orderExecutor.GracefulCancel(ctx)
//}
sizeFraction := buyTradeSize.Sum() / sellTradeSize.Sum()
numberFraction := buyTradesNumber.Sum() / sellTradesNumber.Sum()
orderFlowSize.Push(sizeFraction)
if orderFlowSize.Length() > 100 {
// min-max scaling
oaMax := orderFlowSize.Tail(100).Max()
oaMin := orderFlowSize.Tail(100).Min()
oaMinMax := (orderFlowSize.Last() - oaMin) / (oaMax - oaMin)
ofsMax := orderFlowSize.Tail(100).Max()
ofsMin := orderFlowSize.Tail(100).Min()
ofsMinMax := (orderFlowSize.Last() - ofsMin) / (ofsMax - ofsMin)
// preserves temporal dependency via polar encoded angles
orderFlowSizeMinMaxArcCos.Push(math.Cosh(oaMinMax))
orderFlowSizeMinMax.Push(ofsMinMax)
}
orderFlowNumber.Push(numberFraction)
if orderFlowNumber.Length() > 100 {
// min-max scaling
ofMax := orderFlowNumber.Tail(100).Max()
ofMin := orderFlowNumber.Tail(100).Min()
ofMinMax := (orderFlowNumber.Last() - ofMin) / (ofMax - ofMin)
ofnMax := orderFlowNumber.Tail(100).Max()
ofnMin := orderFlowNumber.Tail(100).Min()
ofnMinMax := (orderFlowNumber.Last() - ofnMin) / (ofnMax - ofnMin)
// preserves temporal dependency via polar encoded angles
orderFlowNumberMinMaxArcCos.Push(math.Cosh(ofMinMax))
orderFlowNumberMinMax.Push(ofnMinMax)
}
if orderFlowSizeMinMaxArcCos.Length() > 100 && orderFlowNumberMinMaxArcCos.Length() > 100 {
if orderFlowSizeMinMax.Length() > 100 && orderFlowNumberMinMax.Length() > 100 {
bid, ask, _ := s.StreamBook.BestBidAndAsk()
if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 2) > 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 2) > 0 {
if outlier(orderFlowSizeMinMax.Tail(100), threshold) > 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) > 0 {
_ = s.orderExecutor.GracefulCancel(ctx)
log.Infof("long!!")
//_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price, symbol)
_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
} else if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 2) < 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 2) < 0 {
//_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
} else if outlier(orderFlowSizeMinMax.Tail(100), threshold) < 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) < 0 {
_ = s.orderExecutor.GracefulCancel(ctx)
log.Infof("short!!")
//_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price, symbol)
_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
//_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
}
}

8
pkg/strategy/audacitymaker/strategy.go
View File

@ -41,7 +41,7 @@ type Strategy struct {
activeOrders *bbgo.ActiveOrderBook
PerTrade *PerTrade `json:"perTrade"`
OrderFlow *PerTrade `json:"orderFlow"`
ExitMethods bbgo.ExitMethodSet `json:"exits"`
@ -55,7 +55,7 @@ type Strategy struct {
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.PerTrade.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.OrderFlow.Interval})
if !bbgo.IsBackTesting {
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
@ -119,8 +119,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
method.Bind(session, s.orderExecutor)
}
if s.PerTrade != nil {
s.PerTrade.Bind(session, s.orderExecutor)
if s.OrderFlow != nil {
s.OrderFlow.Bind(session, s.orderExecutor)
}
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {