Add pvd strategy

This commit is contained in:
なるみ 2022-03-30 00:02:27 +08:00
parent da6161ddda
commit ad1a98c1b4
5 changed files with 486 additions and 0 deletions

21
config/pvdot.yaml Normal file
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@ -0,0 +1,21 @@
---
notifications:
slack:
defaultChannel: "bbgo"
errorChannel: "bbgo-error"
exchangeStrategies:
- on: max
pvdot:
window: 720
interval: 1m
baseCurrency: TWD
quoteCurrencies:
- BTC
- ETH
ignoreLocked: true
threshold: 2%
# max amount to buy or sell per order
maxAmount: 10_000
verbose: true
dryRun: true

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@ -22,6 +22,7 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
_ "github.com/c9s/bbgo/pkg/strategy/pvd"
_ "github.com/c9s/bbgo/pkg/strategy/rebalance"
_ "github.com/c9s/bbgo/pkg/strategy/rsmaker"
_ "github.com/c9s/bbgo/pkg/strategy/schedule"

108
pkg/strategy/pvd/index.go Normal file
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package pvd
import (
"context"
"fmt"
"time"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
var zeroTime time.Time
type PVDotSet struct {
types.IntervalWindow
session *bbgo.ExchangeSession
BaseCurrency string
QuoteCurrencies []string
Indicators map[string]*PVDot
}
func (i *PVDotSet) InitIndicators(ctx context.Context) error {
i.Indicators = make(map[string]*PVDot)
for _, quoteCurrency := range i.QuoteCurrencies {
symbol := quoteCurrency + i.BaseCurrency
i.Indicators[quoteCurrency] = &PVDot{Symbol: symbol, IntervalWindow: i.IntervalWindow}
}
fmt.Println(i.QuoteCurrencies)
for _, indicator := range i.Indicators {
endTime := time.Now()
options := types.KLineQueryOptions{Limit: i.Window, EndTime: &endTime}
klines, err := i.session.Exchange.QueryKLines(ctx, indicator.Symbol, i.Interval, options)
if err != nil {
return err
}
indicator.UpdateFromKLines(klines)
}
return nil
}
func (i *PVDotSet) getIndicator(symbol string) (*PVDot, error) {
for _, indicator := range i.Indicators {
if symbol == indicator.Symbol {
return indicator, nil
}
}
return nil, fmt.Errorf("indicator with symbol: %s not found", symbol)
}
func (i *PVDotSet) Update(kline types.KLine) error {
inc, err := i.getIndicator(kline.Symbol)
if err != nil {
return err
}
klines := []types.KLine{kline}
inc.UpdateFromKLines(klines)
return nil
}
func (i *PVDotSet) TargetWeights() map[string]fixedpoint.Value {
targetWeights := make(map[string]fixedpoint.Value)
for quoteCurrency, indicator := range i.Indicators {
targetWeights[quoteCurrency] = fixedpoint.NewFromFloat(indicator.Last())
}
return Normalize(targetWeights)
}
// price volume avg
type PVDot struct {
Symbol string
types.IntervalWindow
Values types.Float64Slice
Prices types.Float64Slice
Volumes types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *PVDot) Last() float64 {
if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *PVDot) Update(price, volume float64) {
inc.Prices.Push(price)
inc.Volumes.Push(volume)
pva := inc.Prices.Tail(inc.Window).Dot(inc.Volumes.Tail(inc.Window)) / float64(inc.Window)
inc.Values.Push(pva)
}
func (inc *PVDot) UpdateFromKLines(klines []types.KLine) {
for _, k := range klines {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
continue
}
inc.Update(k.Close.Float64(), k.Volume.Float64())
}
inc.EndTime = klines[len(klines)-1].EndTime.Time()
}

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@ -0,0 +1,237 @@
package pvd
import (
"context"
"fmt"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "pvdot"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
func Sum(m map[string]fixedpoint.Value) fixedpoint.Value {
sum := fixedpoint.NewFromFloat(0.0)
for _, v := range m {
sum = sum.Add(v)
}
return sum
}
func Normalize(m map[string]fixedpoint.Value) map[string]fixedpoint.Value {
sum := Sum(m)
if sum.Float64() == 1.0 {
return m
}
normalized := make(map[string]fixedpoint.Value)
for k, v := range m {
normalized[k] = v.Div(sum)
}
return normalized
}
func ElementwiseProduct(m1, m2 map[string]fixedpoint.Value) map[string]fixedpoint.Value {
m := make(map[string]fixedpoint.Value)
for k, v := range m1 {
m[k] = v.Mul(m2[k])
}
return m
}
type Strategy struct {
Notifiability *bbgo.Notifiability
Interval types.Interval `json:"interval"`
Window int `json:"window"`
BaseCurrency string `json:"baseCurrency"`
QuoteCurrencies []string `json:"quoteCurrencies"`
Threshold fixedpoint.Value `json:"threshold"`
IgnoreLocked bool `json:"ignoreLocked"`
Verbose bool `json:"verbose"`
DryRun bool `json:"dryRun"`
// max amount to buy or sell per order
MaxAmount fixedpoint.Value `json:"maxAmount"`
set PVDotSet
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Validate() error {
if s.Threshold.Sign() < 0 {
return fmt.Errorf("threshold should not less than 0")
}
if s.MaxAmount.Sign() < 0 {
return fmt.Errorf("maxAmount shoud not less than 0")
}
return nil
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
for _, symbol := range s.getSymbols() {
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
iw := types.IntervalWindow{Interval: s.Interval, Window: s.Window}
s.set = PVDotSet{IntervalWindow: iw, session: session, BaseCurrency: s.BaseCurrency, QuoteCurrencies: s.QuoteCurrencies}
err := s.set.InitIndicators(ctx)
if err != nil {
return err
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
s.set.Update(kline)
s.rebalance(ctx, orderExecutor, session)
})
return nil
}
func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
targetWeights := s.set.TargetWeights()
prices, err := s.getPrices(ctx, session, targetWeights)
if err != nil {
return
}
balances := session.Account.Balances()
quantities := s.getQuantities(balances, targetWeights)
marketValues := ElementwiseProduct(prices, quantities)
orders := s.generateSubmitOrders(prices, marketValues, targetWeights)
for _, order := range orders {
log.Infof("generated submit order: %s", order.String())
}
if s.DryRun {
return
}
_, err = orderExecutor.SubmitOrders(ctx, orders...)
if err != nil {
log.WithError(err).Error("submit order error")
return
}
}
func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession, targetWeights map[string]fixedpoint.Value) (map[string]fixedpoint.Value, error) {
prices := make(map[string]fixedpoint.Value)
for currency := range targetWeights {
if currency == s.BaseCurrency {
prices[currency] = fixedpoint.One
continue
}
symbol := currency + s.BaseCurrency
ticker, err := session.Exchange.QueryTicker(ctx, symbol)
if err != nil {
s.Notifiability.Notify("query ticker error: %s", err.Error())
log.WithError(err).Error("query ticker error")
return prices, err
}
prices[currency] = ticker.Last
}
return prices, nil
}
func (s *Strategy) getQuantities(balances types.BalanceMap, targetWeights map[string]fixedpoint.Value) map[string]fixedpoint.Value {
quantities := make(map[string]fixedpoint.Value)
for currency := range targetWeights {
if s.IgnoreLocked {
quantities[currency] = balances[currency].Total()
} else {
quantities[currency] = balances[currency].Available
}
}
return quantities
}
func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoint.Value, targetWeights map[string]fixedpoint.Value) []types.SubmitOrder {
var submitOrders []types.SubmitOrder
currentWeights := Normalize(marketValues)
totalValue := Sum(marketValues)
log.Infof("total value: %f", totalValue.Float64())
for currency, targetWeight := range targetWeights {
if currency == s.BaseCurrency {
continue
}
symbol := currency + s.BaseCurrency
currentWeight := currentWeights[currency]
currentPrice := prices[currency]
log.Infof("%s price: %v, current weight: %v, target weight: %v",
symbol,
currentPrice,
currentWeight,
targetWeight)
// calculate the difference between current weight and target weight
// if the difference is less than threshold, then we will not create the order
weightDifference := targetWeight.Sub(currentWeight)
if weightDifference.Abs().Compare(s.Threshold) < 0 {
log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
symbol,
currentWeight,
targetWeight,
weightDifference,
s.Threshold)
continue
}
quantity := weightDifference.Mul(totalValue).Div(currentPrice)
side := types.SideTypeBuy
if quantity.Sign() < 0 {
side = types.SideTypeSell
quantity = quantity.Abs()
}
if s.MaxAmount.Sign() > 0 {
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
quantity,
symbol,
side.String(),
currentPrice,
s.MaxAmount)
}
order := types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity}
submitOrders = append(submitOrders, order)
}
return submitOrders
}
func (s *Strategy) getSymbols() []string {
var symbols []string
for _, c := range s.QuoteCurrencies {
symbols = append(symbols, c+s.BaseCurrency)
}
return symbols
}

119
pkg/types/float_slice.go Normal file
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package types
import "math"
type Float64Slice []float64
func (s *Float64Slice) Push(v float64) {
*s = append(*s, v)
}
func (s *Float64Slice) Pop(i int64) (v float64) {
v = (*s)[i]
*s = append((*s)[:i], (*s)[i+1:]...)
return v
}
func (s Float64Slice) Max() float64 {
m := -math.MaxFloat64
for _, v := range s {
m = math.Max(m, v)
}
return m
}
func (s Float64Slice) Min() float64 {
m := math.MaxFloat64
for _, v := range s {
m = math.Min(m, v)
}
return m
}
func (s Float64Slice) Sum() (sum float64) {
for _, v := range s {
sum += v
}
return sum
}
func (s Float64Slice) Mean() (mean float64) {
return s.Sum() / float64(len(s))
}
func (s Float64Slice) Tail(size int) Float64Slice {
length := len(s)
if length <= size {
win := make(Float64Slice, length)
copy(win, s)
return win
}
win := make(Float64Slice, size)
copy(win, s[length-size:])
return win
}
func (s Float64Slice) Diff() Float64Slice {
var values Float64Slice
for i, v := range s {
if i == 0 {
values.Push(0)
continue
}
values.Push(v - s[i-1])
}
return values
}
func (s Float64Slice) PositiveValuesOrZero() Float64Slice {
var values Float64Slice
for _, v := range s {
values.Push(math.Max(v, 0))
}
return values
}
func (s Float64Slice) NegativeValuesOrZero() Float64Slice {
var values Float64Slice
for _, v := range s {
values.Push(math.Min(v, 0))
}
return values
}
func (s Float64Slice) AbsoluteValues() Float64Slice {
var values Float64Slice
for _, v := range s {
values.Push(math.Abs(v))
}
return values
}
func (s Float64Slice) MulScalar(x float64) Float64Slice {
var values Float64Slice
for _, v := range s {
values.Push(v * x)
}
return values
}
func (s Float64Slice) DivScalar(x float64) Float64Slice {
var values Float64Slice
for _, v := range s {
values.Push(v / x)
}
return values
}
func (s Float64Slice) ElementwiseProduct(other Float64Slice) Float64Slice {
var values Float64Slice
for i, v := range s {
values.Push(v * other[i])
}
return values
}
func (s Float64Slice) Dot(other Float64Slice) float64 {
return s.ElementwiseProduct(other).Sum()
}