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strategy: cleanup funding strategy
strategy: cleanup funding strategy
This commit is contained in:
austin362667
parent
0ab94e0884
commit
904e7c03ad
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@ -26,11 +26,13 @@ exchangeStrategies:
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- on: binance
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funding:
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symbol: ETHUSDT
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quantity: 0.0001
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fundingRate:
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high: 0.01%
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supportDetection:
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- interval: 5m
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- interval: 1m
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movingAverageType: EMA
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movingAverageInterval: 1h
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movingAverageWindow: 99
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movingAverageIntervalWindow:
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interval: 15m
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window: 60
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minVolume: 8_000
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@ -4,13 +4,11 @@ import (
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"context"
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"errors"
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"fmt"
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"math"
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"strings"
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"time"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/sirupsen/logrus"
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"math"
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"strings"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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@ -29,12 +27,12 @@ func init() {
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type Strategy struct {
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*bbgo.Notifiability
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol"`
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Market types.Market `json:"-"`
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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MaxPosition fixedpoint.Value `json:"maxPosition"`
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Symbol string `json:"symbol"`
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Market types.Market `json:"-"`
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
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//Interval types.Interval `json:"interval"`
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FundingRate *struct {
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High fixedpoint.Value `json:"high"`
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@ -44,7 +42,6 @@ type Strategy struct {
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SupportDetection []struct {
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Interval types.Interval `json:"interval"`
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// MovingAverageType is the moving average indicator type that we want to use,
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// it could be SMA or EWMA
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MovingAverageType string `json:"movingAverageType"`
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@ -52,11 +49,13 @@ type Strategy struct {
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// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
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// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
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// the k-line data we subscribed
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MovingAverageInterval types.Interval `json:"movingAverageInterval"`
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//MovingAverageInterval types.Interval `json:"movingAverageInterval"`
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//
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//// MovingAverageWindow is the number of the window size of the moving average indicator.
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//// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
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//MovingAverageWindow int `json:"movingAverageWindow"`
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// MovingAverageWindow is the number of the window size of the moving average indicator.
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// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
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MovingAverageWindow int `json:"movingAverageWindow"`
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MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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@ -70,13 +69,17 @@ func (s *Strategy) ID() string {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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// session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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// Interval: string(s.Interval),
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//})
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for _, detection := range s.SupportDetection {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(detection.Interval),
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})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(detection.MovingAverageInterval),
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Interval: string(detection.MovingAverageIntervalWindow.Interval),
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})
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}
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}
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@ -89,127 +92,68 @@ func (s *Strategy) Validate() error {
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return nil
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}
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func (s *Strategy) listenToFundingRate(ctx context.Context, exchange *binance.Exchange) {
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var previousIndex, fundingRate24HoursLowIndex *types.PremiumIndex
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fundingRateTicker := time.NewTicker(1 * time.Hour)
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defer fundingRateTicker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-fundingRateTicker.C:
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index, err := exchange.QueryPremiumIndex(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Error("can not query last funding rate")
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continue
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}
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fundingRate := index.LastFundingRate
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if fundingRate >= s.FundingRate.High {
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s.Notifiability.Notify("%s funding rate %s is too high! threshold %s",
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s.Symbol,
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fundingRate.Percentage(),
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s.FundingRate.High.Percentage(),
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)
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} else {
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if previousIndex != nil {
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if s.FundingRate.DiffThreshold == 0 {
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// 0.6%
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s.FundingRate.DiffThreshold = fixedpoint.NewFromFloat(0.006 * 0.01)
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}
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diff := fundingRate - previousIndex.LastFundingRate
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if diff.Abs() > s.FundingRate.DiffThreshold {
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s.Notifiability.Notify("%s funding rate changed %s, current funding rate %s",
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s.Symbol,
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diff.SignedPercentage(),
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fundingRate.Percentage(),
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)
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}
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}
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}
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previousIndex = index
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if fundingRate24HoursLowIndex != nil {
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if fundingRate24HoursLowIndex.Time.Before(time.Now().Add(24 * time.Hour)) {
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fundingRate24HoursLowIndex = index
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}
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if fundingRate < fundingRate24HoursLowIndex.LastFundingRate {
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fundingRate24HoursLowIndex = index
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}
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} else {
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fundingRate24HoursLowIndex = index
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}
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}
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}
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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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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
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if !ok {
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return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
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}
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binanceExchange, ok := session.Exchange.(*binance.Exchange)
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if !ok {
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log.Error("exchange does not support funding rate api")
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//binanceExchange, ok := session.Exchange.(*binance.Exchange)
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//if !ok {
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// log.Error("exchange failed")
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//}
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if !session.Futures {
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log.Error("futures not enabled in config for this strategy")
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return nil
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}
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binanceExchange.UseFutures()
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//if s.FundingRate != nil {
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// go s.listenToFundingRate(ctx, binanceExchange)
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//}
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premiumIndex, err := session.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol)
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if err != nil {
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log.Error("exchange does not support funding rate api")
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}
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var ma types.Float64Indicator
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for _, detection := range s.SupportDetection {
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switch strings.ToLower(detection.MovingAverageType) {
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case "sma":
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ma = standardIndicatorSet.SMA(types.IntervalWindow{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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Window: detection.MovingAverageIntervalWindow.Window,
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})
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case "ema", "ewma":
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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Window: detection.MovingAverageIntervalWindow.Window,
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})
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default:
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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Window: detection.MovingAverageIntervalWindow.Window,
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})
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}
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}
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol {
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return
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}
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log.Infof(s.Symbol)
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for _, detection := range s.SupportDetection {
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if kline.Interval != detection.Interval {
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continue
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}
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var lastMA = ma.Last()
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closePriceF := kline.GetClose()
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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var ma types.Float64Indicator
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switch strings.ToLower(detection.MovingAverageType) {
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case "sma":
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ma = standardIndicatorSet.SMA(types.IntervalWindow{
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Interval: detection.MovingAverageInterval,
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Window: detection.MovingAverageWindow,
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})
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case "ema", "ewma":
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageInterval,
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Window: detection.MovingAverageWindow,
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})
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default:
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageInterval,
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Window: detection.MovingAverageWindow,
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})
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}
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var lastMA = ma.Last()
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// skip if the closed price is under the moving average
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if closePrice.Float64() < lastMA {
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log.Infof("skip %s support closed price %f > last ma %f", s.Symbol, closePrice.Float64(), lastMA)
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log.Infof("skip %s closed price %f < last ma %f", s.Symbol, closePrice.Float64(), lastMA)
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return
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}
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premiumIndex, err := binanceExchange.QueryPremiumIndex(ctx, s.Symbol)
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if err != nil {
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log.Error("exchange does not support funding rate api")
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}
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fundingRate := premiumIndex.LastFundingRate
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if fundingRate >= s.FundingRate.High {
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@ -219,6 +163,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.FundingRate.High.Percentage(),
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)
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} else {
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log.Infof("skip funding rate is too low")
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return
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}
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@ -239,8 +184,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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if baseBalance.Available > 0 && baseBalance.Total() < s.MaxPosition {
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log.Infof("start to short position, selling futures..")
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if baseBalance.Available > 0 && baseBalance.Total() < s.MaxExposurePosition {
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log.Infof("opening a short position")
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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