mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
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
|
|
@ -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
|
||||
|
|
@ -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 {
|
||||
|
|
|
|||
|
|
@ -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.FastCancel(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
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user