lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

Merge pull request #955 from narumiruna/improve-marketcap

Browse Source 
FEATURE: marketcap: reduce frequency of querying data from coinmarketcap
This commit is contained in:
Yo-An Lin 2022-09-24 01:54:30 +08:00 committed by GitHub
commit 8d92d43710
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 29 additions and 18 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

10
config/marketcap.yaml
View File

@ -14,17 +14,13 @@ exchangeStrategies:
marketcap:
interval: 1m
baseCurrency: TWD
baseWeight: 2%
baseWeight: 0%
targetCurrencies:
- BTC
- ETH
# - BNB
# - ADA
# - SOL
# - DOT
# - DOGE
- MATIC
threshold: 2%
threshold: 1%
# max amount to buy or sell per order
maxAmount: 1_000
dryRun: true
queryInterval: 1h

37
pkg/strategy/marketcap/strategy.go
View File

@ -25,6 +25,7 @@ func init() {
type Strategy struct {
datasource *coinmarketcap.DataSource
// interval to rebalance the portfolio
Interval types.Interval `json:"interval"`
BaseCurrency string `json:"baseCurrency"`
BaseWeight fixedpoint.Value `json:"baseWeight"`
@ -33,13 +34,23 @@ type Strategy struct {
DryRun bool `json:"dryRun"`
// max amount to buy or sell per order
MaxAmount fixedpoint.Value `json:"maxAmount"`
// interval to query marketcap data from coinmarketcap
QueryInterval types.Interval `json:"queryInterval"`
subscribeSymbol string
activeOrderBook *bbgo.ActiveOrderBook
targetWeights types.ValueMap
}
func (s *Strategy) Initialize() error {
apiKey := os.Getenv("COINMARKETCAP_API_KEY")
s.datasource = coinmarketcap.New(apiKey)
// select one symbol to subscribe
s.subscribeSymbol = s.TargetCurrencies[0] + s.BaseCurrency
s.activeOrderBook = bbgo.NewActiveOrderBook("")
s.targetWeights = types.ValueMap{}
return nil
}
@ -70,17 +81,23 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
for _, symbol := range s.symbols() {
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
}
symbol := s.TargetCurrencies[0] + s.BaseCurrency
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.QueryInterval})
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.activeOrderBook = bbgo.NewActiveOrderBook("")
s.activeOrderBook.BindStream(session.UserDataStream)
s.updateTargetWeights(ctx)
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
s.rebalance(ctx, orderExecutor, session)
if kline.Interval == s.QueryInterval {
s.updateTargetWeights(ctx)
}
if kline.Interval == s.Interval {
s.rebalance(ctx, orderExecutor, session)
}
})
return nil
}
@ -109,12 +126,11 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
}
func (s *Strategy) generateSubmitOrders(ctx context.Context, session *bbgo.ExchangeSession) (submitOrders []types.SubmitOrder) {
targetWeights := s.getTargetWeights(ctx)
prices := s.prices(ctx, session)
marketValues := prices.Mul(s.quantities(session))
currentWeights := marketValues.Normalize()
for currency, targetWeight := range targetWeights {
for currency, targetWeight := range s.targetWeights {
if currency == s.BaseCurrency {
continue
}
@ -172,7 +188,7 @@ func (s *Strategy) generateSubmitOrders(ctx context.Context, session *bbgo.Excha
return submitOrders
}
func (s *Strategy) getTargetWeights(ctx context.Context) types.ValueMap {
func (s *Strategy) updateTargetWeights(ctx context.Context) {
m := floats.Map{}
// get marketcap from coinmarketcap
@ -196,12 +212,11 @@ func (s *Strategy) getTargetWeights(ctx context.Context) types.ValueMap {
m[s.BaseCurrency] = s.BaseWeight.Float64()
// convert to types.ValueMap
targetWeights := types.ValueMap{}
for currency, weight := range m {
targetWeights[currency] = fixedpoint.NewFromFloat(weight)
s.targetWeights[currency] = fixedpoint.NewFromFloat(weight)
}
return targetWeights
log.Infof("target weights: %v", s.targetWeights)
}
func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) types.ValueMap {