From 5467c8ef0105c71a8674bc37f7df1f05b0e8787a Mon Sep 17 00:00:00 2001 From: Austin Liu Date: Wed, 2 Nov 2022 16:48:50 +0800 Subject: [PATCH 1/2] strategy:irr rollback to original nirr and consume kline --- config/irr.yaml | 32 +++-- pkg/strategy/irr/neg_return_rate.go | 26 ++-- pkg/strategy/irr/strategy.go | 180 +++++++--------------------- 3 files changed, 75 insertions(+), 163 deletions(-) diff --git a/config/irr.yaml b/config/irr.yaml index 302980d28..ff9168178 100644 --- a/config/irr.yaml +++ b/config/irr.yaml @@ -10,23 +10,31 @@ sessions: binance: exchange: binance envVarPrefix: binance - max: - exchange: max - envVarPrefix: max - ftx: - exchange: ftx - envVarPrefix: ftx exchangeStrategies: - on: binance irr: - symbol: BTCBUSD - # in milliseconds(ms) - # must > 10 ms - hftInterval: 1000 - # qty per trade - quantity: 0.001 + symbol: BTCUSDT + interval: 1m + window: 10 + amount: 5000 # Draw pnl drawGraph: true graphPNLPath: "./pnl.png" graphCumPNLPath: "./cumpnl.png" + + +backtest: + startTime: "2022-01-01" + endTime: "2022-11-01" + symbols: + - BTCUSDT + sessions: [binance] +# syncSecKLines: true + accounts: + binance: + makerFeeRate: 0.0000 + takerFeeRate: 0.0000 + balances: + BTC: 0.0 + USDT: 5000 \ No newline at end of file diff --git a/pkg/strategy/irr/neg_return_rate.go b/pkg/strategy/irr/neg_return_rate.go index b3ec5edcc..473f2ecdd 100644 --- a/pkg/strategy/irr/neg_return_rate.go +++ b/pkg/strategy/irr/neg_return_rate.go @@ -18,10 +18,12 @@ type NRR struct { types.SeriesBase RankingWindow int + delay bool + prices *types.Queue - Prices *types.Queue Values floats.Slice RankedValues floats.Slice + ReturnValues floats.Slice EndTime time.Time @@ -33,20 +35,22 @@ var _ types.SeriesExtend = &NRR{} func (inc *NRR) Update(openPrice, closePrice float64) { if inc.SeriesBase.Series == nil { inc.SeriesBase.Series = inc - inc.Prices = types.NewQueue(inc.Window) - } - inc.Prices.Update(closePrice) - if inc.Prices.Length() < inc.Window { - return + inc.prices = types.NewQueue(inc.Window) } + inc.prices.Update(closePrice) + // D0 - irr := openPrice - closePrice - // D1 - // -1*((inc.Prices.Last() / inc.Prices.Index(inc.Window-1)) - 1) + nirr := (openPrice - closePrice) / openPrice + irr := (closePrice - openPrice) / openPrice + if inc.prices.Length() >= inc.Window && inc.delay { + // D1 + nirr = -1 * ((inc.prices.Last() / inc.prices.Index(inc.Window-1)) - 1) + irr = (inc.prices.Last() / inc.prices.Index(inc.Window-1)) - 1 + } - inc.Values.Push(irr) // neg ret here + inc.Values.Push(nirr) // neg ret here inc.RankedValues.Push(inc.Rank(inc.RankingWindow).Last() / float64(inc.RankingWindow)) // ranked neg ret here - + inc.ReturnValues.Push(irr) } func (inc *NRR) Last() float64 { diff --git a/pkg/strategy/irr/strategy.go b/pkg/strategy/irr/strategy.go index a155eb3f8..3fc4c8e9a 100644 --- a/pkg/strategy/irr/strategy.go +++ b/pkg/strategy/irr/strategy.go @@ -5,8 +5,6 @@ import ( "fmt" "os" "sync" - "sync/atomic" - "time" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/data/tsv" @@ -14,6 +12,7 @@ import ( "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" + "github.com/sirupsen/logrus" ) @@ -42,23 +41,14 @@ type Strategy struct { activeOrders *bbgo.ActiveOrderBook - ExitMethods bbgo.ExitMethodSet `json:"exits"` - + ExitMethods bbgo.ExitMethodSet `json:"exits"` session *bbgo.ExchangeSession orderExecutor *bbgo.GeneralOrderExecutor bbgo.QuantityOrAmount - Interval int `json:"hftInterval"` - - // realtime book ticker to submit order - obBuyPrice uint64 - obSellPrice uint64 - // for getting close price - currentTradePrice uint64 // for negative return rate - openPrice float64 - closePrice float64 + nrr *NRR stopC chan struct{} @@ -207,11 +197,7 @@ func (r *AccumulatedProfitReport) Output(symbol string) { } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { - if !bbgo.IsBackTesting { - session.Subscribe(types.AggTradeChannel, s.Symbol, types.SubscribeOptions{}) - session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{}) - } - //session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) + session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) } func (s *Strategy) ID() string { @@ -339,130 +325,44 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.orderExecutor.Bind() s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol) - atomic.SwapUint64(&s.currentTradePrice, 0.) - s.closePrice = 0. - s.openPrice = 0. - klinDirections := types.NewQueue(100) - started := false - boxOpenPrice := 0. - boxClosePrice := 0. - boxCounter := 0 - - if !bbgo.IsBackTesting { - - s.session.MarketDataStream.OnBookTickerUpdate(func(bt types.BookTicker) { - // quote order book price - newBid := uint64(bt.Buy.Float64()) - newAsk := uint64(bt.Sell.Float64()) - atomic.SwapUint64(&s.obBuyPrice, newBid) - atomic.SwapUint64(&s.obSellPrice, newAsk) - }) - - s.session.MarketDataStream.OnAggTrade(func(trade types.Trade) { - tradePrice := uint64(trade.Price.Float64()) - atomic.SwapUint64(&s.currentTradePrice, tradePrice) - }) - - closeTime := <-time.After(time.Duration(s.Interval-int(time.Now().UnixMilli())%s.Interval) * time.Millisecond) - log.Infof("kline close timing synced @ %s", closeTime.Format("2006-01-02 15:04:05.000000")) - go func() { - intervalCloseTicker := time.NewTicker(time.Duration(s.Interval) * time.Millisecond) - defer intervalCloseTicker.Stop() - for { - select { - case <-intervalCloseTicker.C: - log.Infof("kline close time @ %s", time.Now().Format("2006-01-02 15:04:05.000000")) - - s.orderExecutor.CancelNoWait(context.Background()) - - if s.currentTradePrice > 0 { - s.closePrice = float64(s.currentTradePrice) - log.Infof("Close Price: %f", s.closePrice) - if s.closePrice > 0 && s.openPrice > 0 { - direction := s.closePrice - s.openPrice - klinDirections.Update(direction) - regimeShift := klinDirections.Index(0)*klinDirections.Index(1) < 0 - if regimeShift && !started { - boxOpenPrice = s.openPrice - started = true - boxCounter = 0 - log.Infof("box started at price: %f", boxOpenPrice) - } else if regimeShift && started { - boxClosePrice = s.closePrice - started = false - log.Infof("box ended at price: %f with time length: %d", boxClosePrice, boxCounter) - // box ending, should re-balance position - nirr := fixedpoint.NewFromFloat(((boxOpenPrice - boxClosePrice) / boxOpenPrice) / (float64(boxCounter) + 1)) - log.Infof("Alpha: %f", nirr.Float64()) - if nirr.Float64() < 0 { - _, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{ - Symbol: s.Symbol, - Side: types.SideTypeSell, - Quantity: s.Quantity, - Type: types.OrderTypeLimitMaker, - Price: fixedpoint.NewFromFloat(float64(s.obSellPrice)), - Tag: "irrSell", - }) - if err != nil { - log.WithError(err) - } - } else if nirr.Float64() > 0 { - _, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{ - Symbol: s.Symbol, - Side: types.SideTypeBuy, - Quantity: s.Quantity, - Type: types.OrderTypeLimitMaker, - Price: fixedpoint.NewFromFloat(float64(s.obBuyPrice)), - Tag: "irrBuy", - }) - if err != nil { - log.WithError(err) - } - } - } else { - boxCounter++ - } - } - } - case <-s.stopC: - log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol) - return - - case <-ctx.Done(): - log.Warnf("%s goroutine stopped, due to the cancelled context", s.Symbol) - return - } - } - - }() - - openTime := <-time.After(time.Duration(s.Interval-int(time.Now().UnixMilli())%s.Interval) * time.Millisecond) - log.Infof("kline open timing synced @ %s", openTime.Format("2006-01-02 15:04:05.000000")) - go func() { - intervalOpenTicker := time.NewTicker(time.Duration(s.Interval) * time.Millisecond) - defer intervalOpenTicker.Stop() - for { - select { - case <-intervalOpenTicker.C: - time.Sleep(10 * time.Millisecond) - log.Infof("kline open time @ %s", time.Now().Format("2006-01-02 15:04:05.000000")) - - if s.currentTradePrice > 0 && s.closePrice > 0 { - s.openPrice = float64(s.currentTradePrice) - log.Infof("Open Price: %f", s.openPrice) - } - case <-s.stopC: - log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol) - return - - case <-ctx.Done(): - log.Warnf("%s goroutine stopped, due to the cancelled context", s.Symbol) - return - } - } - }() + kLineStore, _ := s.session.MarketDataStore(s.Symbol) + // window = 2 means day-to-day return, previousClose/currentClose -1 + // delay = false means use open/close-1 as D0 return (default) + // delay = true means use open/close-1 as 10 return + s.nrr = &NRR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 2}, RankingWindow: s.Window, delay: true} + s.nrr.BindK(s.session.MarketDataStream, s.Symbol, s.nrr.Interval) + if klines, ok := kLineStore.KLinesOfInterval(s.nrr.Interval); ok { + s.nrr.LoadK((*klines)[0:]) } + s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { + alphaNrr := fixedpoint.NewFromFloat(s.nrr.RankedValues.Index(1)) + + // alpha-weighted inventory and cash + targetBase := s.QuantityOrAmount.CalculateQuantity(kline.Close).Mul(alphaNrr) + diffQty := targetBase.Sub(s.Position.Base) + log.Info(alphaNrr.Float64(), s.Position.Base, diffQty.Float64()) + + s.orderExecutor.CancelNoWait(ctx) + if diffQty.Sign() > 0 { + _, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ + Symbol: s.Symbol, + Side: types.SideTypeBuy, + Quantity: diffQty.Abs(), + Type: types.OrderTypeMarket, + Tag: "irrBuy", + }) + } else if diffQty.Sign() < 0 { + _, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ + Symbol: s.Symbol, + Side: types.SideTypeSell, + Quantity: diffQty.Abs(), + Type: types.OrderTypeMarket, + Tag: "irrSell", + }) + } + })) + bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() // Output accumulated profit report From 6c8addc4ee5d046eab2a9c8c74d1d8b17313a5df Mon Sep 17 00:00:00 2001 From: Austin Liu Date: Wed, 2 Nov 2022 16:51:06 +0800 Subject: [PATCH 2/2] strategy:irr: refactor fast cancel from no wait --- pkg/strategy/irr/strategy.go | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pkg/strategy/irr/strategy.go b/pkg/strategy/irr/strategy.go index 3fc4c8e9a..6a7698eef 100644 --- a/pkg/strategy/irr/strategy.go +++ b/pkg/strategy/irr/strategy.go @@ -343,7 +343,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se diffQty := targetBase.Sub(s.Position.Base) log.Info(alphaNrr.Float64(), s.Position.Base, diffQty.Float64()) - s.orderExecutor.CancelNoWait(ctx) + s.orderExecutor.FastCancel(ctx) if diffQty.Sign() > 0 { _, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: s.Symbol,