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Merge pull request #1004 from austin362667/austin362667/irr
strategy:irr rollback to original nirr and consume kline
This commit is contained in:
Yo-An Lin
GitHub
commit
b80ac89486
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@ -10,23 +10,31 @@ sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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max:
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exchange: max
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envVarPrefix: max
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ftx:
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exchange: ftx
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envVarPrefix: ftx
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exchangeStrategies:
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- on: binance
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irr:
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symbol: BTCBUSD
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# in milliseconds(ms)
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# must > 10 ms
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hftInterval: 1000
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# qty per trade
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quantity: 0.001
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symbol: BTCUSDT
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interval: 1m
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window: 10
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amount: 5000
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# Draw pnl
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drawGraph: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-11-01"
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symbols:
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- BTCUSDT
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sessions: [binance]
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# syncSecKLines: true
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accounts:
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binance:
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makerFeeRate: 0.0000
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takerFeeRate: 0.0000
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balances:
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BTC: 0.0
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USDT: 5000
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@ -18,10 +18,12 @@ type NRR struct {
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types.SeriesBase
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RankingWindow int
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delay bool
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prices *types.Queue
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Prices *types.Queue
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Values floats.Slice
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RankedValues floats.Slice
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ReturnValues floats.Slice
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EndTime time.Time
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@ -33,20 +35,22 @@ var _ types.SeriesExtend = &NRR{}
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func (inc *NRR) Update(openPrice, closePrice float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.Prices = types.NewQueue(inc.Window)
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}
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inc.Prices.Update(closePrice)
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if inc.Prices.Length() < inc.Window {
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return
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inc.prices = types.NewQueue(inc.Window)
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}
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inc.prices.Update(closePrice)
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// D0
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irr := openPrice - closePrice
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nirr := (openPrice - closePrice) / openPrice
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irr := (closePrice - openPrice) / openPrice
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if inc.prices.Length() >= inc.Window && inc.delay {
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// D1
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// -1*((inc.Prices.Last() / inc.Prices.Index(inc.Window-1)) - 1)
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nirr = -1 * ((inc.prices.Last() / inc.prices.Index(inc.Window-1)) - 1)
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irr = (inc.prices.Last() / inc.prices.Index(inc.Window-1)) - 1
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}
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inc.Values.Push(irr) // neg ret here
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inc.Values.Push(nirr) // neg ret here
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inc.RankedValues.Push(inc.Rank(inc.RankingWindow).Last() / float64(inc.RankingWindow)) // ranked neg ret here
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inc.ReturnValues.Push(irr)
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}
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func (inc *NRR) Last() float64 {
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@ -5,8 +5,6 @@ import (
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"fmt"
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"os"
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"sync"
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"sync/atomic"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/data/tsv"
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@ -14,6 +12,7 @@ import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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)
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@ -43,22 +42,13 @@ type Strategy struct {
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activeOrders *bbgo.ActiveOrderBook
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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bbgo.QuantityOrAmount
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Interval int `json:"hftInterval"`
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// realtime book ticker to submit order
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obBuyPrice uint64
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obSellPrice uint64
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// for getting close price
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currentTradePrice uint64
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// for negative return rate
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openPrice float64
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closePrice float64
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nrr *NRR
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stopC chan struct{}
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@ -207,11 +197,7 @@ func (r *AccumulatedProfitReport) Output(symbol string) {
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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if !bbgo.IsBackTesting {
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session.Subscribe(types.AggTradeChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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}
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) ID() string {
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@ -339,129 +325,43 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderExecutor.Bind()
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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atomic.SwapUint64(&s.currentTradePrice, 0.)
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s.closePrice = 0.
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s.openPrice = 0.
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klinDirections := types.NewQueue(100)
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started := false
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boxOpenPrice := 0.
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boxClosePrice := 0.
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boxCounter := 0
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if !bbgo.IsBackTesting {
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s.session.MarketDataStream.OnBookTickerUpdate(func(bt types.BookTicker) {
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// quote order book price
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newBid := uint64(bt.Buy.Float64())
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newAsk := uint64(bt.Sell.Float64())
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atomic.SwapUint64(&s.obBuyPrice, newBid)
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atomic.SwapUint64(&s.obSellPrice, newAsk)
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})
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s.session.MarketDataStream.OnAggTrade(func(trade types.Trade) {
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tradePrice := uint64(trade.Price.Float64())
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atomic.SwapUint64(&s.currentTradePrice, tradePrice)
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})
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closeTime := <-time.After(time.Duration(s.Interval-int(time.Now().UnixMilli())%s.Interval) * time.Millisecond)
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log.Infof("kline close timing synced @ %s", closeTime.Format("2006-01-02 15:04:05.000000"))
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go func() {
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intervalCloseTicker := time.NewTicker(time.Duration(s.Interval) * time.Millisecond)
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defer intervalCloseTicker.Stop()
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for {
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select {
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case <-intervalCloseTicker.C:
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log.Infof("kline close time @ %s", time.Now().Format("2006-01-02 15:04:05.000000"))
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s.orderExecutor.CancelNoWait(context.Background())
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if s.currentTradePrice > 0 {
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s.closePrice = float64(s.currentTradePrice)
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log.Infof("Close Price: %f", s.closePrice)
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if s.closePrice > 0 && s.openPrice > 0 {
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direction := s.closePrice - s.openPrice
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klinDirections.Update(direction)
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regimeShift := klinDirections.Index(0)*klinDirections.Index(1) < 0
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if regimeShift && !started {
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boxOpenPrice = s.openPrice
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started = true
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boxCounter = 0
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log.Infof("box started at price: %f", boxOpenPrice)
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} else if regimeShift && started {
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boxClosePrice = s.closePrice
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started = false
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log.Infof("box ended at price: %f with time length: %d", boxClosePrice, boxCounter)
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// box ending, should re-balance position
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nirr := fixedpoint.NewFromFloat(((boxOpenPrice - boxClosePrice) / boxOpenPrice) / (float64(boxCounter) + 1))
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log.Infof("Alpha: %f", nirr.Float64())
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if nirr.Float64() < 0 {
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_, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Type: types.OrderTypeLimitMaker,
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Price: fixedpoint.NewFromFloat(float64(s.obSellPrice)),
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Tag: "irrSell",
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})
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if err != nil {
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log.WithError(err)
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kLineStore, _ := s.session.MarketDataStore(s.Symbol)
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// window = 2 means day-to-day return, previousClose/currentClose -1
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// delay = false means use open/close-1 as D0 return (default)
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// delay = true means use open/close-1 as 10 return
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s.nrr = &NRR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 2}, RankingWindow: s.Window, delay: true}
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s.nrr.BindK(s.session.MarketDataStream, s.Symbol, s.nrr.Interval)
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if klines, ok := kLineStore.KLinesOfInterval(s.nrr.Interval); ok {
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s.nrr.LoadK((*klines)[0:])
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}
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} else if nirr.Float64() > 0 {
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_, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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alphaNrr := fixedpoint.NewFromFloat(s.nrr.RankedValues.Index(1))
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// alpha-weighted inventory and cash
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targetBase := s.QuantityOrAmount.CalculateQuantity(kline.Close).Mul(alphaNrr)
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diffQty := targetBase.Sub(s.Position.Base)
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log.Info(alphaNrr.Float64(), s.Position.Base, diffQty.Float64())
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s.orderExecutor.FastCancel(ctx)
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if diffQty.Sign() > 0 {
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: s.Quantity,
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Type: types.OrderTypeLimitMaker,
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Price: fixedpoint.NewFromFloat(float64(s.obBuyPrice)),
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Quantity: diffQty.Abs(),
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Type: types.OrderTypeMarket,
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Tag: "irrBuy",
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})
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if err != nil {
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log.WithError(err)
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}
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}
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} else {
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boxCounter++
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}
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}
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}
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case <-s.stopC:
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log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol)
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return
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case <-ctx.Done():
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log.Warnf("%s goroutine stopped, due to the cancelled context", s.Symbol)
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return
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}
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}
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}()
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openTime := <-time.After(time.Duration(s.Interval-int(time.Now().UnixMilli())%s.Interval) * time.Millisecond)
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log.Infof("kline open timing synced @ %s", openTime.Format("2006-01-02 15:04:05.000000"))
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go func() {
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intervalOpenTicker := time.NewTicker(time.Duration(s.Interval) * time.Millisecond)
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defer intervalOpenTicker.Stop()
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for {
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select {
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case <-intervalOpenTicker.C:
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time.Sleep(10 * time.Millisecond)
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log.Infof("kline open time @ %s", time.Now().Format("2006-01-02 15:04:05.000000"))
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if s.currentTradePrice > 0 && s.closePrice > 0 {
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s.openPrice = float64(s.currentTradePrice)
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log.Infof("Open Price: %f", s.openPrice)
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}
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case <-s.stopC:
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log.Warnf("%s goroutine stopped, due to the stop signal", s.Symbol)
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return
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case <-ctx.Done():
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log.Warnf("%s goroutine stopped, due to the cancelled context", s.Symbol)
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return
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}
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}
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}()
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} else if diffQty.Sign() < 0 {
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: diffQty.Abs(),
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Type: types.OrderTypeMarket,
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Tag: "irrSell",
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})
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}
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}))
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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