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bollmaker: pull out skew options

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This commit is contained in:
c9s 2022-01-09 22:32:23 +08:00
parent d94cc2df31
commit b98777afe4
1 changed files with 85 additions and 28 deletions
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109
pkg/strategy/bollmaker/strategy.go
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@ -3,6 +3,7 @@ package bollmaker
import (
"context"
"fmt"
"math"
"sync"
"time"
@ -66,8 +67,35 @@ type Strategy struct {
DisableShort bool `json:"disableShort"`
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
// NeutralBollinger is the smaller range of the bollinger band
// If price is in this band, it usually means the price is oscillating.
NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
// StrongDowntrendSkew is the order quantity skew for strong downtrend band.
// when the bollinger band detect a strong downtrend, what's the order quantity skew we want to use.
// greater than 1.0 means when placing buy order, place sell order with less quantity
// less than 1.0 means when placing sell order, place buy order with less quantity
StrongDowntrendSkew fixedpoint.Value `json:"strongDowntrendSkew"`
// StrongUptrendSkew is the order quantity skew for strong uptrend band.
// when the bollinger band detect a strong uptrend, what's the order quantity skew we want to use.
// greater than 1.0 means when placing buy order, place sell order with less quantity
// less than 1.0 means when placing sell order, place buy order with less quantity
StrongUptrendSkew fixedpoint.Value `json:"strongUptrendSkew"`
// DowntrendSkew is the order quantity skew for normal downtrend band.
// The price is still in the default bollinger band.
// greater than 1.0 means when placing buy order, place sell order with less quantity
// less than 1.0 means when placing sell order, place buy order with less quantity
DowntrendSkew fixedpoint.Value `json:"downtrendSkew"`
// UptrendSkew is the order quantity skew for normal uptrend band.
// The price is still in the default bollinger band.
// greater than 1.0 means when placing buy order, place sell order with less quantity
// less than 1.0 means when placing sell order, place buy order with less quantity
UptrendSkew fixedpoint.Value `json:"uptrendSkew"`
session *bbgo.ExchangeSession
book *types.StreamOrderBook
market types.Market
@ -214,11 +242,12 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
base := s.state.Position.GetBase()
balances := s.session.Account.Balances()
log.Infof("mid price:%f spread: %s ask:%f bid: %f",
log.Infof("mid price:%f spread: %s ask:%f bid: %f position: %s",
midPrice.Float64(),
s.Spread.Percentage(),
askPrice.Float64(),
bidPrice.Float64(),
s.state.Position.String(),
)
quantity := s.Quantity
@ -246,8 +275,8 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
minQuantity := fixedpoint.NewFromFloat(s.market.MinQuantity)
baseBalance, hasBaseBalance := balances[s.market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.market.QuoteCurrency]
canBuy := hasQuoteBalance && quoteBalance.Available > s.Quantity.Mul(midPrice)
canSell := hasBaseBalance && baseBalance.Available > s.Quantity
canBuy := hasQuoteBalance && quoteBalance.Available > s.Quantity.Mul(midPrice) && (s.MaxExposurePosition > 0 && base < s.MaxExposurePosition)
canSell := hasBaseBalance && baseBalance.Available > s.Quantity && (s.MaxExposurePosition > 0 && base > -s.MaxExposurePosition)
// adjust quantity for closing position if we over sold or over bought
if s.MaxExposurePosition > 0 && base.Abs() > s.MaxExposurePosition {
@ -261,10 +290,11 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
qf := scale.Call(base.Abs().Float64())
_ = qf
if base > minQuantity {
sellOrder.Quantity = qf
// sellOrder.Quantity = qf
} else if base < -minQuantity {
buyOrder.Quantity = qf
// buyOrder.Quantity = qf
}
}
@ -278,31 +308,42 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
if !s.DisableShort && canSell {
submitOrders = append(submitOrders, sellOrder)
}
} else if base > minQuantity {
if midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) && canSell {
if !(s.DisableShort && (base.Float64() - sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)
}
}
} else if midPrice.Float64() > s.defaultBoll.LastDownBand() && midPrice.Float64() < s.neutralBoll.LastDownBand() { // downtrend, might bounce back
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
submitOrders = append(submitOrders, buyOrder)
}
} else if base < -minQuantity {
if midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) && canSell {
if !(s.DisableShort && (base.Float64() - sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)
}
}
skew := 2.0
ratio := 1.0 / skew
sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio)
} else if midPrice.Float64() < s.defaultBoll.LastUpBand() && midPrice.Float64() > s.neutralBoll.LastUpBand() { // uptrend, might bounce back
skew := 0.5
buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew)
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
submitOrders = append(submitOrders, buyOrder)
}
}
} else if midPrice.Float64() < s.defaultBoll.LastDownBand() { // strong downtrend
skew := s.StrongDowntrendSkew.Float64()
ratio := 1.0 / skew
sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio)
} else if midPrice.Float64() > s.defaultBoll.LastUpBand() { // strong uptrend
skew := s.StrongUptrendSkew.Float64()
buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew)
}
if midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) && canSell {
if !(s.DisableShort && (base.Float64()-sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)
}
}
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
// submitOrders = append(submitOrders, buyOrder)
}
if canBuy {
submitOrders = append(submitOrders, buyOrder)
}
if len(submitOrders) == 0 {
@ -318,13 +359,29 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// initial required information
s.session = session
if s.MinProfitSpread == 0 {
s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
}
if s.StrongUptrendSkew == 0 {
s.StrongUptrendSkew = fixedpoint.NewFromFloat(1.0 / 5.0)
}
if s.StrongDowntrendSkew == 0 {
s.StrongDowntrendSkew = fixedpoint.NewFromFloat(5.0)
}
if s.UptrendSkew == 0 {
s.UptrendSkew = fixedpoint.NewFromFloat(1.0 / 2.0)
}
if s.DowntrendSkew == 0 {
s.DowntrendSkew = fixedpoint.NewFromFloat(2.0)
}
// initial required information
s.session = session
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s not found", s.Symbol)