strategy: cleanup funding strategy

strategy: cleanup funding strategy

config/funding.yaml

@@ -26,11 +26,13 @@ exchangeStrategies:
 - on: binance
   funding:
     symbol: ETHUSDT
+    quantity: 0.0001
     fundingRate:
       high: 0.01%
     supportDetection:
-      - interval: 5m
+      - interval: 1m
         movingAverageType: EMA
-        movingAverageInterval: 1h
+        movingAverageIntervalWindow:
-        movingAverageWindow: 99
+          interval: 15m
+          window: 60
         minVolume: 8_000

pkg/strategy/funding/strategy.go

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