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Merge pull request #1480 from c9s/narumi/xgap/refactor
REFACTOR: [xgap] refactor with common strategy
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なるみ
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commit
9db68908c9
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@ -12,6 +12,7 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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@ -32,6 +33,10 @@ func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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type State struct {
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AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
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AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
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@ -54,6 +59,10 @@ func (s *State) Reset() {
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}
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type Strategy struct {
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*common.Strategy
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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SourceExchange string `json:"sourceExchange"`
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TradingExchange string `json:"tradingExchange"`
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@ -73,13 +82,28 @@ type Strategy struct {
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mu sync.Mutex
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lastSourceKLine, lastTradingKLine types.KLine
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sourceBook, tradingBook *types.StreamOrderBook
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groupID uint32
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activeOrderBook *bbgo.ActiveOrderBook
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stopC chan struct{}
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}
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func (s *Strategy) Initialize() error {
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if s.Strategy == nil {
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s.Strategy = &common.Strategy{}
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}
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return nil
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}
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func (s *Strategy) Validate() error {
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return nil
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}
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func (s *Strategy) Defaults() error {
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if s.UpdateInterval == 0 {
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s.UpdateInterval = types.Duration(time.Second)
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}
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return nil
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}
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func (s *Strategy) isBudgetAllowed() bool {
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if s.DailyFeeBudgets == nil {
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return true
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@ -141,10 +165,6 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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}
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func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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if s.UpdateInterval == 0 {
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s.UpdateInterval = types.Duration(time.Second)
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}
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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return fmt.Errorf("source session %s is not defined", s.SourceExchange)
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@ -167,6 +187,8 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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return fmt.Errorf("trading session market %s is not defined", s.Symbol)
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}
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s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.tradingMarket, ID, s.InstanceID())
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s.stopC = make(chan struct{})
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if s.State == nil {
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@ -209,13 +231,6 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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s.tradingSession.UserDataStream.OnTradeUpdate(s.handleTradeUpdate)
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instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
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s.groupID = util.FNV32(instanceID) % math.MaxInt32
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log.Infof("using group id %d from fnv32(%s)", s.groupID, instanceID)
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s.activeOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeOrderBook.BindStream(s.tradingSession.UserDataStream)
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go func() {
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ticker := time.NewTicker(
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util.MillisecondsJitter(s.UpdateInterval.Duration(), 1000),
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@ -241,133 +256,136 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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time.Sleep(delay)
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}
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bestBid, hasBid := s.tradingBook.BestBid()
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bestAsk, hasAsk := s.tradingBook.BestAsk()
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s.placeOrders(ctx)
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// try to use the bid/ask price from the trading book
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if hasBid && hasAsk {
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("trading book spread=%s %s",
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spread.String(), spreadPercentage.Percentage())
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// use the source book price if the spread percentage greater than 10%
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if spreadPercentage.Compare(StepPercentageGap) > 0 {
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log.Warnf("spread too large (%s %s), using source book",
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spread.String(), spreadPercentage.Percentage())
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if s.MinSpread.Sign() > 0 {
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if spread.Compare(s.MinSpread) < 0 {
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log.Warnf("spread < min spread, spread=%s minSpread=%s bid=%s ask=%s",
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spread.String(), s.MinSpread.String(),
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bestBid.Price.String(), bestAsk.Price.String())
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continue
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}
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}
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// if the spread is less than 100 ticks (100 pips), skip
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if spread.Compare(s.tradingMarket.TickSize.MulExp(2)) < 0 {
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log.Warnf("spread too small, we can't place orders: spread=%v bid=%v ask=%v",
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spread, bestBid.Price, bestAsk.Price)
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continue
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}
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} else {
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if !hasBid || !hasAsk {
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log.Warn("no bids or asks on the source book or the trading book")
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continue
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}
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("spread=%v %s ask=%v bid=%v",
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spread, spreadPercentage.Percentage(),
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bestAsk.Price, bestBid.Price)
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// var spreadPercentage = spread.Float64() / bestBid.Price.Float64()
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var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two)
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var price = midPrice
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log.Infof("mid price %v", midPrice)
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var balances = s.tradingSession.GetAccount().Balances()
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var quantity = s.tradingMarket.MinQuantity
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if s.Quantity.Sign() > 0 {
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quantity = fixedpoint.Min(s.Quantity, s.tradingMarket.MinQuantity)
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} else if s.SimulateVolume {
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s.mu.Lock()
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if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 {
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volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume)
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// change the current quantity only diff is positive
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if volumeDiff.Sign() > 0 {
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quantity = volumeDiff
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}
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if baseBalance, ok := balances[s.tradingMarket.BaseCurrency]; ok {
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quantity = fixedpoint.Min(quantity, baseBalance.Available)
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}
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if quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]; ok {
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maxQuantity := quoteBalance.Available.Div(price)
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quantity = fixedpoint.Min(quantity, maxQuantity)
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}
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}
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s.mu.Unlock()
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} else {
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// plus a 2% quantity jitter
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jitter := 1.0 + math.Max(0.02, rand.Float64())
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quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter))
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}
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var quoteAmount = price.Mul(quantity)
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if quoteAmount.Compare(s.tradingMarket.MinNotional) <= 0 {
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quantity = fixedpoint.Max(
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s.tradingMarket.MinQuantity,
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s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price))
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}
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createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, tradingSession.Exchange, nil, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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// TimeInForce: types.TimeInForceGTC,
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GroupID: s.groupID,
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}, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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// TimeInForce: types.TimeInForceGTC,
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GroupID: s.groupID,
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})
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if err != nil {
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log.WithError(err).Error("order submit error")
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}
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s.activeOrderBook.Add(createdOrders...)
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time.Sleep(time.Second)
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if err := s.activeOrderBook.GracefulCancel(ctx, s.tradingSession.Exchange); err != nil {
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log.WithError(err).Error("cancel order error")
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}
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s.cancelOrders(ctx)
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}
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}
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}()
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return nil
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}
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func (s *Strategy) placeOrders(ctx context.Context) {
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bestBid, hasBid := s.tradingBook.BestBid()
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bestAsk, hasAsk := s.tradingBook.BestAsk()
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// try to use the bid/ask price from the trading book
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if hasBid && hasAsk {
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("trading book spread=%s %s",
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spread.String(), spreadPercentage.Percentage())
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// use the source book price if the spread percentage greater than 10%
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if spreadPercentage.Compare(StepPercentageGap) > 0 {
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log.Warnf("spread too large (%s %s), using source book",
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spread.String(), spreadPercentage.Percentage())
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if s.MinSpread.Sign() > 0 {
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if spread.Compare(s.MinSpread) < 0 {
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log.Warnf("spread < min spread, spread=%s minSpread=%s bid=%s ask=%s",
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spread.String(), s.MinSpread.String(),
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bestBid.Price.String(), bestAsk.Price.String())
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return
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}
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}
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// if the spread is less than 100 ticks (100 pips), skip
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if spread.Compare(s.tradingMarket.TickSize.MulExp(2)) < 0 {
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log.Warnf("spread too small, we can't place orders: spread=%v bid=%v ask=%v",
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spread, bestBid.Price, bestAsk.Price)
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return
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}
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} else {
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if !hasBid || !hasAsk {
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log.Warn("no bids or asks on the source book or the trading book")
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return
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}
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("spread=%v %s ask=%v bid=%v",
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spread, spreadPercentage.Percentage(),
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bestAsk.Price, bestBid.Price)
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// var spreadPercentage = spread.Float64() / bestBid.Price.Float64()
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var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two)
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var price = midPrice
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log.Infof("mid price %v", midPrice)
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var balances = s.tradingSession.GetAccount().Balances()
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var quantity = s.tradingMarket.MinQuantity
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if s.Quantity.Sign() > 0 {
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quantity = fixedpoint.Min(s.Quantity, s.tradingMarket.MinQuantity)
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} else if s.SimulateVolume {
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s.mu.Lock()
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if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 {
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volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume)
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// change the current quantity only diff is positive
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if volumeDiff.Sign() > 0 {
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quantity = volumeDiff
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}
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if baseBalance, ok := balances[s.tradingMarket.BaseCurrency]; ok {
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quantity = fixedpoint.Min(quantity, baseBalance.Available)
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}
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if quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]; ok {
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maxQuantity := quoteBalance.Available.Div(price)
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quantity = fixedpoint.Min(quantity, maxQuantity)
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}
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}
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s.mu.Unlock()
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} else {
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// plus a 2% quantity jitter
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jitter := 1.0 + math.Max(0.02, rand.Float64())
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quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter))
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}
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var quoteAmount = price.Mul(quantity)
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if quoteAmount.Compare(s.tradingMarket.MinNotional) <= 0 {
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quantity = fixedpoint.Max(
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s.tradingMarket.MinQuantity,
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s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price))
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}
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orderForm := []types.SubmitOrder{{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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}, {
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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}}
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createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orderForm...)
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if err != nil {
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log.WithError(err).Error("order submit error")
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}
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log.Infof("created orders: %+v", createdOrders)
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time.Sleep(time.Second)
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}
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func (s *Strategy) cancelOrders(ctx context.Context) {
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if err := s.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Error("cancel order error")
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}
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}
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