xmaker: add TradeVolumeWindowSignal

This commit is contained in:
c9s 2024-09-04 15:59:21 +08:00
parent 2527c0c7b7
commit ba73eeaad1
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 196 additions and 33 deletions

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@ -0,0 +1,102 @@
package xmaker
import (
"context"
"time"
"github.com/prometheus/client_golang/prometheus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
var tradeVolumeWindowSignalMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_trade_volume_window_signal",
Help: "",
}, []string{"symbol"})
func init() {
prometheus.MustRegister(tradeVolumeWindowSignalMetrics)
}
type TradeVolumeWindowSignal struct {
Threshold fixedpoint.Value `json:"threshold"`
Window types.Duration `json:"window"`
trades []types.Trade
symbol string
}
func (s *TradeVolumeWindowSignal) handleTrade(trade types.Trade) {
s.trades = append(s.trades, trade)
}
func (s *TradeVolumeWindowSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
s.symbol = symbol
if s.Window == 0 {
s.Window = types.Duration(time.Minute)
}
if s.Threshold.IsZero() {
s.Threshold = fixedpoint.NewFromFloat(0.7)
}
session.MarketDataStream.OnMarketTrade(s.handleTrade)
return nil
}
func (s *TradeVolumeWindowSignal) filterTrades(now time.Time) []types.Trade {
startTime := now.Add(-time.Duration(s.Window))
startIdx := 0
for idx, td := range s.trades {
// skip trades before the start time
if td.Time.Before(startTime) {
continue
}
startIdx = idx
break
}
s.trades = s.trades[startIdx:]
return s.trades
}
func (s *TradeVolumeWindowSignal) calculateTradeVolume(trades []types.Trade) (buyVolume, sellVolume float64) {
for _, td := range trades {
if td.IsBuyer {
buyVolume += td.Quantity.Float64()
} else {
sellVolume += td.Quantity.Float64()
}
}
return buyVolume, sellVolume
}
func (s *TradeVolumeWindowSignal) CalculateSignal(ctx context.Context) (float64, error) {
now := time.Now()
trades := s.filterTrades(now)
buyVolume, sellVolume := s.calculateTradeVolume(trades)
totalVolume := buyVolume + sellVolume
threshold := s.Threshold.Float64()
buyRatio := buyVolume / totalVolume
sellRatio := sellVolume / totalVolume
sig := 0.0
if buyRatio > threshold {
sig = (buyRatio - threshold) / 2.0
} else if sellRatio > threshold {
sig = -(sellRatio - threshold) / 2.0
}
log.Infof("[TradeVolumeWindowSignal] sig: %f buy/sell = %f/%f", sig, buyVolume, sellVolume)
tradeVolumeWindowSignalMetrics.WithLabelValues(s.symbol).Set(sig)
return sig, nil
}

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@ -0,0 +1,55 @@
package xmaker
import (
"context"
"testing"
"time"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
. "github.com/c9s/bbgo/pkg/testing/testhelper"
)
var tradeId = 0
func Trade(symbol string, side types.SideType, price, quantity fixedpoint.Value, t time.Time) types.Trade {
tradeId++
return types.Trade{
ID: uint64(tradeId),
Symbol: symbol,
Side: side,
Price: price,
IsBuyer: side == types.SideTypeBuy,
Quantity: quantity,
Time: types.Time(t),
}
}
func TestMarketTradeWindowSignal(t *testing.T) {
now := time.Now()
symbol := "BTCUSDT"
sig := &TradeVolumeWindowSignal{
symbol: symbol,
Threshold: fixedpoint.NewFromFloat(0.65),
Window: types.Duration(time.Minute),
}
sig.trades = []types.Trade{
Trade(symbol, types.SideTypeBuy, Number(18000.0), Number(1.0), now.Add(-2*time.Minute)),
Trade(symbol, types.SideTypeSell, Number(18000.0), Number(0.5), now.Add(-2*time.Second)),
Trade(symbol, types.SideTypeBuy, Number(18000.0), Number(1.0), now.Add(-1*time.Second)),
}
ctx := context.Background()
sigNum, err := sig.CalculateSignal(ctx)
if assert.NoError(t, err) {
// buy ratio: 1/1.5 = 0.6666666666666666
// sell ratio: 0.5/1.5 = 0.3333333333333333
assert.InDelta(t, 0.0083333, sigNum, 0.0001)
}
assert.Len(t, sig.trades, 2)
}

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@ -65,6 +65,7 @@ type SignalConfig struct {
BollingerBandTrendSignal *BollingerBandTrendSignal `json:"bollingerBandTrend,omitempty"`
OrderBookBestPriceSignal *OrderBookBestPriceVolumeSignal `json:"orderBookBestPrice,omitempty"`
KLineShapeSignal *KLineShapeSignal `json:"klineShape,omitempty"`
TradeVolumeWindowSignal *TradeVolumeWindowSignal `json:"tradeVolumeWindow,omitempty"`
}
func init() {
@ -205,7 +206,14 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
if !ok {
panic(fmt.Errorf("maker session %s is not defined", s.MakerExchange))
}
makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
for _, sig := range s.SignalConfigList {
if sig.TradeVolumeWindowSignal != nil {
sourceSession.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
}
}
}
func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
@ -363,31 +371,19 @@ func (s *Strategy) calculateSignal(ctx context.Context) (float64, error) {
sum := 0.0
voters := 0.0
for _, signal := range s.SignalConfigList {
var sig float64
var err error
if signal.OrderBookBestPriceSignal != nil {
sig, err := signal.OrderBookBestPriceSignal.CalculateSignal(ctx)
if err != nil {
return 0, err
}
if sig == 0.0 {
continue
}
if signal.Weight > 0.0 {
sum += sig * signal.Weight
voters += signal.Weight
} else {
sum += sig
voters++
}
sig, err = signal.OrderBookBestPriceSignal.CalculateSignal(ctx)
} else if signal.BollingerBandTrendSignal != nil {
sig, err := signal.BollingerBandTrendSignal.CalculateSignal(ctx)
if err != nil {
return 0, err
sig, err = signal.BollingerBandTrendSignal.CalculateSignal(ctx)
} else if signal.TradeVolumeWindowSignal != nil {
sig, err = signal.TradeVolumeWindowSignal.CalculateSignal(ctx)
}
if sig == 0.0 {
if err != nil {
return 0, err
} else if sig == 0.0 {
continue
}
@ -399,6 +395,9 @@ func (s *Strategy) calculateSignal(ctx context.Context) (float64, error) {
voters++
}
}
if sum == 0.0 {
return 0.0, nil
}
return sum / voters, nil

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@ -13,6 +13,13 @@ type PriceVolume struct {
Price, Volume fixedpoint.Value
}
func NewPriceVolume(p, v fixedpoint.Value) PriceVolume {
return PriceVolume{
Price: p,
Volume: v,
}
}
func (p PriceVolume) InQuote() fixedpoint.Value {
return p.Price.Mul(p.Volume)
}