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rsmaker: add bulit-in strategy
rsmaker: clean up
This commit is contained in:
austin362667
parent
695d948097
commit
c227272542
101
config/rsmaker.yaml
Normal file
101
config/rsmaker.yaml
Normal file
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@ -0,0 +1,101 @@
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---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sync:
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# userDataStream is used to sync the trading data in real-time
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# it uses the websocket connection to insert the trades
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userDataStream:
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trades: true
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filledOrders: true
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# since is the start date of your trading data
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since: 2021-08-01
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# sessions is the list of session names you want to sync
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# by default, BBGO sync all your available sessions.
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sessions:
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- binance
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# symbols is the list of symbols you want to sync
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# by default, BBGO try to guess your symbols by your existing account balances.
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symbols:
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- NEARBUSD
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- BTCUSDT
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- ETHUSDT
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- LINKUSDT
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- BNBUSDT
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- DOTUSDT
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- DOTBUSD
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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# futures: true
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exchangeStrategies:
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- on: binance
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rsmaker:
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symbol: BTCBUSD
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interval: 1m
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# quantity: 40
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amount: 20
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minProfitSpread: 0.1%
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# uptrendSkew: 0.7
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# downtrendSkew, like the strongDowntrendSkew, but the price is still in the default band.
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# downtrendSkew: 1.3
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# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
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# tradeInBand: true
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# buyBelowNeutralSMA: when this set, it will only place buy order when the current price is below the SMA line.
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# buyBelowNeutralSMA: true
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defaultBollinger:
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interval: "1h"
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window: 21
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bandWidth: 2.0
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# neutralBollinger is the smaller range of the bollinger band
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# If price is in this band, it usually means the price is oscillating.
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neutralBollinger:
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interval: "5m"
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window: 21
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bandWidth: 2.0
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dynamicExposurePositionScale:
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byPercentage:
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# exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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exp:
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# from lower band -100% (-1) to upper band 100% (+1)
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domain: [ -2, 2 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 1, 0.01 ]
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backtest:
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sessions:
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- binance
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# for testing max draw down (MDD) at 03-12
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2022-03-26"
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endTime: "2022-04-12"
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symbols:
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- BTCBUSD
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account:
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binance:
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makerFeeRate: 0.0
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balances:
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BTC: 1
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BUSD: 45_000.0
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4
go.mod
4
go.mod
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@ -6,6 +6,7 @@ go 1.17
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require (
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require (
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github.com/DATA-DOG/go-sqlmock v1.5.0
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github.com/DATA-DOG/go-sqlmock v1.5.0
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github.com/Masterminds/squirrel v1.5.3
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github.com/adshao/go-binance/v2 v2.3.5
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github.com/adshao/go-binance/v2 v2.3.5
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github.com/c9s/requestgen v1.3.0
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github.com/c9s/requestgen v1.3.0
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github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b
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github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b
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@ -26,6 +27,8 @@ require (
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github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4
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github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4
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github.com/lestrrat-go/file-rotatelogs v2.2.0+incompatible
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github.com/lestrrat-go/file-rotatelogs v2.2.0+incompatible
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github.com/mattn/go-shellwords v1.0.12
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github.com/mattn/go-shellwords v1.0.12
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github.com/muesli/clusters v0.0.0-20180605185049-a07a36e67d36
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github.com/muesli/kmeans v0.3.0
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github.com/pkg/errors v0.9.1
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github.com/pkg/errors v0.9.1
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github.com/pquerna/otp v1.3.0
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github.com/pquerna/otp v1.3.0
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github.com/prometheus/client_golang v1.11.0
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github.com/prometheus/client_golang v1.11.0
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@ -52,7 +55,6 @@ require (
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)
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)
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require (
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require (
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github.com/Masterminds/squirrel v1.5.3 // indirect
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github.com/beorn7/perks v1.0.1 // indirect
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github.com/beorn7/perks v1.0.1 // indirect
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github.com/bitly/go-simplejson v0.5.0 // indirect
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github.com/bitly/go-simplejson v0.5.0 // indirect
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github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc // indirect
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github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc // indirect
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21
go.sum
21
go.sum
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@ -37,6 +37,7 @@ github.com/Azure/azure-sdk-for-go/sdk/azidentity v0.11.0/go.mod h1:HcM1YX14R7CJc
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github.com/Azure/azure-sdk-for-go/sdk/internal v0.7.0/go.mod h1:yqy467j36fJxcRV2TzfVZ1pCb5vxm4BtZPUdYWe/Xo8=
|
github.com/Azure/azure-sdk-for-go/sdk/internal v0.7.0/go.mod h1:yqy467j36fJxcRV2TzfVZ1pCb5vxm4BtZPUdYWe/Xo8=
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github.com/BurntSushi/toml v0.3.1/go.mod h1:xHWCNGjB5oqiDr8zfno3MHue2Ht5sIBksp03qcyfWMU=
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github.com/BurntSushi/toml v0.3.1/go.mod h1:xHWCNGjB5oqiDr8zfno3MHue2Ht5sIBksp03qcyfWMU=
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github.com/BurntSushi/xgb v0.0.0-20160522181843-27f122750802/go.mod h1:IVnqGOEym/WlBOVXweHU+Q+/VP0lqqI8lqeDx9IjBqo=
|
github.com/BurntSushi/xgb v0.0.0-20160522181843-27f122750802/go.mod h1:IVnqGOEym/WlBOVXweHU+Q+/VP0lqqI8lqeDx9IjBqo=
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github.com/DATA-DOG/go-sqlmock v1.3.3/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q5eFN3EC/SaM=
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github.com/DATA-DOG/go-sqlmock v1.5.0 h1:Shsta01QNfFxHCfpW6YH2STWB0MudeXXEWMr20OEh60=
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github.com/DATA-DOG/go-sqlmock v1.5.0 h1:Shsta01QNfFxHCfpW6YH2STWB0MudeXXEWMr20OEh60=
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github.com/DATA-DOG/go-sqlmock v1.5.0/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q5eFN3EC/SaM=
|
github.com/DATA-DOG/go-sqlmock v1.5.0/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q5eFN3EC/SaM=
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github.com/Masterminds/squirrel v1.5.3 h1:YPpoceAcxuzIljlr5iWpNKaql7hLeG1KLSrhvdHpkZc=
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github.com/Masterminds/squirrel v1.5.3 h1:YPpoceAcxuzIljlr5iWpNKaql7hLeG1KLSrhvdHpkZc=
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@ -68,8 +69,6 @@ github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc h1:biVzkmvwrH8
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github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc/go.mod h1:paBWMcWSl3LHKBqUq+rly7CNSldXjb2rDl3JlRe0mD8=
|
github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc/go.mod h1:paBWMcWSl3LHKBqUq+rly7CNSldXjb2rDl3JlRe0mD8=
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github.com/c9s/requestgen v1.3.0 h1:3cTHvWIlrc37nGEdJLIO07XaVidDeOwcew06csBz++U=
|
github.com/c9s/requestgen v1.3.0 h1:3cTHvWIlrc37nGEdJLIO07XaVidDeOwcew06csBz++U=
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github.com/c9s/requestgen v1.3.0/go.mod h1:5n9FU3hr5307IiXAmbMiZbHYaPiys1u9jCWYexZr9qA=
|
github.com/c9s/requestgen v1.3.0/go.mod h1:5n9FU3hr5307IiXAmbMiZbHYaPiys1u9jCWYexZr9qA=
|
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github.com/c9s/rockhopper v1.2.1-0.20220426104534-f27cbb09846c h1:I3AHs+/fxnWX6eSRxzqQ/vp4jXW+ecVMGy1oy5d6fJ8=
|
|
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github.com/c9s/rockhopper v1.2.1-0.20220426104534-f27cbb09846c/go.mod h1:EKObf66Cp7erWxym2de+07qNN5T1N9PXxHdh97N44EQ=
|
|
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github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b h1:wT8c03PHLv7+nZUIGqxAzRvIfYHNxMCNVWwvdGkOXTs=
|
github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b h1:wT8c03PHLv7+nZUIGqxAzRvIfYHNxMCNVWwvdGkOXTs=
|
||||||
github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b/go.mod h1:EKObf66Cp7erWxym2de+07qNN5T1N9PXxHdh97N44EQ=
|
github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b/go.mod h1:EKObf66Cp7erWxym2de+07qNN5T1N9PXxHdh97N44EQ=
|
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github.com/census-instrumentation/opencensus-proto v0.2.1/go.mod h1:f6KPmirojxKA12rnyqOA5BBL4O983OfeGPqjHWSTneU=
|
github.com/census-instrumentation/opencensus-proto v0.2.1/go.mod h1:f6KPmirojxKA12rnyqOA5BBL4O983OfeGPqjHWSTneU=
|
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|
|
@ -103,8 +102,6 @@ github.com/davecgh/go-spew v1.1.0/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSs
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github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c=
|
github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c=
|
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github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
|
github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
|
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github.com/denisenkom/go-mssqldb v0.9.0/go.mod h1:xbL0rPBG9cCiLr28tMa8zpbdarY27NDyej4t/EjAShU=
|
github.com/denisenkom/go-mssqldb v0.9.0/go.mod h1:xbL0rPBG9cCiLr28tMa8zpbdarY27NDyej4t/EjAShU=
|
||||||
github.com/denisenkom/go-mssqldb v0.12.0 h1:VtrkII767ttSPNRfFekePK3sctr+joXgO58stqQbtUA=
|
|
||||||
github.com/denisenkom/go-mssqldb v0.12.0/go.mod h1:iiK0YP1ZeepvmBQk/QpLEhhTNJgfzrpArPY/aFvc9yU=
|
|
||||||
github.com/denisenkom/go-mssqldb v0.12.2 h1:1OcPn5GBIobjWNd+8yjfHNIaFX14B1pWI3F9HZy5KXw=
|
github.com/denisenkom/go-mssqldb v0.12.2 h1:1OcPn5GBIobjWNd+8yjfHNIaFX14B1pWI3F9HZy5KXw=
|
||||||
github.com/denisenkom/go-mssqldb v0.12.2/go.mod h1:lnIw1mZukFRZDJYQ0Pb833QS2IaC3l5HkEfra2LJ+sk=
|
github.com/denisenkom/go-mssqldb v0.12.2/go.mod h1:lnIw1mZukFRZDJYQ0Pb833QS2IaC3l5HkEfra2LJ+sk=
|
||||||
github.com/dgrijalva/jwt-go v3.2.0+incompatible/go.mod h1:E3ru+11k8xSBh+hMPgOLZmtrrCbhqsmaPHjLKYnJCaQ=
|
github.com/dgrijalva/jwt-go v3.2.0+incompatible/go.mod h1:E3ru+11k8xSBh+hMPgOLZmtrrCbhqsmaPHjLKYnJCaQ=
|
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|
|
@ -178,8 +175,6 @@ github.com/gogo/protobuf v1.2.1/go.mod h1:hp+jE20tsWTFYpLwKvXlhS1hjn+gTNwPg2I6zV
|
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github.com/golang-sql/civil v0.0.0-20190719163853-cb61b32ac6fe/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
|
github.com/golang-sql/civil v0.0.0-20190719163853-cb61b32ac6fe/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
|
||||||
github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0ktxqI+Sida1w446QrXBRJ0nee3SNZlA=
|
github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0ktxqI+Sida1w446QrXBRJ0nee3SNZlA=
|
||||||
github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
|
github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
|
||||||
github.com/golang-sql/sqlexp v0.0.0-20170517235910-f1bb20e5a188 h1:+eHOFJl1BaXrQxKX+T06f78590z4qA2ZzBTqahsKSE4=
|
|
||||||
github.com/golang-sql/sqlexp v0.0.0-20170517235910-f1bb20e5a188/go.mod h1:vXjM/+wXQnTPR4KqTKDgJukSZ6amVRtWMPEjE6sQoK8=
|
|
||||||
github.com/golang-sql/sqlexp v0.1.0 h1:ZCD6MBpcuOVfGVqsEmY5/4FtYiKz6tSyUv9LPEDei6A=
|
github.com/golang-sql/sqlexp v0.1.0 h1:ZCD6MBpcuOVfGVqsEmY5/4FtYiKz6tSyUv9LPEDei6A=
|
||||||
github.com/golang-sql/sqlexp v0.1.0/go.mod h1:J4ad9Vo8ZCWQ2GMrC4UCQy1JpCbwU9m3EOqtpKwwwHI=
|
github.com/golang-sql/sqlexp v0.1.0/go.mod h1:J4ad9Vo8ZCWQ2GMrC4UCQy1JpCbwU9m3EOqtpKwwwHI=
|
||||||
github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0/go.mod h1:E/TSTwGwJL78qG/PmXZO1EjYhfJinVAhrmmHX6Z8B9k=
|
github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0/go.mod h1:E/TSTwGwJL78qG/PmXZO1EjYhfJinVAhrmmHX6Z8B9k=
|
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|
|
@ -334,6 +329,7 @@ github.com/lib/pq v1.10.5 h1:J+gdV2cUmX7ZqL2B0lFcW0m+egaHC2V3lpO8nWxyYiQ=
|
||||||
github.com/lib/pq v1.10.5/go.mod h1:AlVN5x4E4T544tWzH6hKfbfQvm3HdbOxrmggDNAPY9o=
|
github.com/lib/pq v1.10.5/go.mod h1:AlVN5x4E4T544tWzH6hKfbfQvm3HdbOxrmggDNAPY9o=
|
||||||
github.com/lib/pq v1.10.6 h1:jbk+ZieJ0D7EVGJYpL9QTz7/YW6UHbmdnZWYyK5cdBs=
|
github.com/lib/pq v1.10.6 h1:jbk+ZieJ0D7EVGJYpL9QTz7/YW6UHbmdnZWYyK5cdBs=
|
||||||
github.com/lib/pq v1.10.6/go.mod h1:AlVN5x4E4T544tWzH6hKfbfQvm3HdbOxrmggDNAPY9o=
|
github.com/lib/pq v1.10.6/go.mod h1:AlVN5x4E4T544tWzH6hKfbfQvm3HdbOxrmggDNAPY9o=
|
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|
github.com/lucasb-eyer/go-colorful v1.0.2/go.mod h1:0MS4r+7BZKSJ5mw4/S5MPN+qHFF1fYclkSPilDOKW0s=
|
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github.com/magiconair/properties v1.8.1/go.mod h1:PppfXfuXeibc/6YijjN8zIbojt8czPbwD3XqdrwzmxQ=
|
github.com/magiconair/properties v1.8.1/go.mod h1:PppfXfuXeibc/6YijjN8zIbojt8czPbwD3XqdrwzmxQ=
|
||||||
github.com/magiconair/properties v1.8.4 h1:8KGKTcQQGm0Kv7vEbKFErAoAOFyyacLStRtQSeYtvkY=
|
github.com/magiconair/properties v1.8.4 h1:8KGKTcQQGm0Kv7vEbKFErAoAOFyyacLStRtQSeYtvkY=
|
||||||
github.com/magiconair/properties v1.8.4/go.mod h1:y3VJvCyxH9uVvJTWEGAELF3aiYNyPKd5NZ3oSwXrF60=
|
github.com/magiconair/properties v1.8.4/go.mod h1:y3VJvCyxH9uVvJTWEGAELF3aiYNyPKd5NZ3oSwXrF60=
|
||||||
|
|
@ -348,8 +344,6 @@ github.com/mattn/go-isatty v0.0.14/go.mod h1:7GGIvUiUoEMVVmxf/4nioHXj79iQHKdU27k
|
||||||
github.com/mattn/go-shellwords v1.0.12 h1:M2zGm7EW6UQJvDeQxo4T51eKPurbeFbe8WtebGE2xrk=
|
github.com/mattn/go-shellwords v1.0.12 h1:M2zGm7EW6UQJvDeQxo4T51eKPurbeFbe8WtebGE2xrk=
|
||||||
github.com/mattn/go-shellwords v1.0.12/go.mod h1:EZzvwXDESEeg03EKmM+RmDnNOPKG4lLtQsUlTZDWQ8Y=
|
github.com/mattn/go-shellwords v1.0.12/go.mod h1:EZzvwXDESEeg03EKmM+RmDnNOPKG4lLtQsUlTZDWQ8Y=
|
||||||
github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
|
github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
|
||||||
github.com/mattn/go-sqlite3 v1.14.12 h1:TJ1bhYJPV44phC+IMu1u2K/i5RriLTPe+yc68XDJ1Z0=
|
|
||||||
github.com/mattn/go-sqlite3 v1.14.12/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
|
|
||||||
github.com/mattn/go-sqlite3 v1.14.13 h1:1tj15ngiFfcZzii7yd82foL+ks+ouQcj8j/TPq3fk1I=
|
github.com/mattn/go-sqlite3 v1.14.13 h1:1tj15ngiFfcZzii7yd82foL+ks+ouQcj8j/TPq3fk1I=
|
||||||
github.com/mattn/go-sqlite3 v1.14.13/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
|
github.com/mattn/go-sqlite3 v1.14.13/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
|
||||||
github.com/matttproud/golang_protobuf_extensions v1.0.1 h1:4hp9jkHxhMHkqkrB3Ix0jegS5sx/RkqARlsWZ6pIwiU=
|
github.com/matttproud/golang_protobuf_extensions v1.0.1 h1:4hp9jkHxhMHkqkrB3Ix0jegS5sx/RkqARlsWZ6pIwiU=
|
||||||
|
|
@ -374,6 +368,10 @@ github.com/modern-go/reflect2 v0.0.0-20180701023420-4b7aa43c6742/go.mod h1:bx2lN
|
||||||
github.com/modern-go/reflect2 v1.0.1 h1:9f412s+6RmYXLWZSEzVVgPGK7C2PphHj5RJrvfx9AWI=
|
github.com/modern-go/reflect2 v1.0.1 h1:9f412s+6RmYXLWZSEzVVgPGK7C2PphHj5RJrvfx9AWI=
|
||||||
github.com/modern-go/reflect2 v1.0.1/go.mod h1:bx2lNnkwVCuqBIxFjflWJWanXIb3RllmbCylyMrvgv0=
|
github.com/modern-go/reflect2 v1.0.1/go.mod h1:bx2lNnkwVCuqBIxFjflWJWanXIb3RllmbCylyMrvgv0=
|
||||||
github.com/modocache/gover v0.0.0-20171022184752-b58185e213c5/go.mod h1:caMODM3PzxT8aQXRPkAt8xlV/e7d7w8GM5g0fa5F0D8=
|
github.com/modocache/gover v0.0.0-20171022184752-b58185e213c5/go.mod h1:caMODM3PzxT8aQXRPkAt8xlV/e7d7w8GM5g0fa5F0D8=
|
||||||
|
github.com/muesli/clusters v0.0.0-20180605185049-a07a36e67d36 h1:KMCH+/bbZsAbFgzCXD3aB0DRZXnwAO8NYDmfIfslo+M=
|
||||||
|
github.com/muesli/clusters v0.0.0-20180605185049-a07a36e67d36/go.mod h1:mw5KDqUj0eLj/6DUNINLVJNoPTFkEuGMHtJsXLviLkY=
|
||||||
|
github.com/muesli/kmeans v0.3.0 h1:cI2cpeS8m3pm+gTOdzl+7SlzZYSe+x0XoqXUyUvb1ro=
|
||||||
|
github.com/muesli/kmeans v0.3.0/go.mod h1:eNyybq0tX9/iBEP6EMU4Y7dpmGK0uEhODdZpnG1a/iQ=
|
||||||
github.com/mwitkow/go-conntrack v0.0.0-20161129095857-cc309e4a2223/go.mod h1:qRWi+5nqEBWmkhHvq77mSJWrCKwh8bxhgT7d/eI7P4U=
|
github.com/mwitkow/go-conntrack v0.0.0-20161129095857-cc309e4a2223/go.mod h1:qRWi+5nqEBWmkhHvq77mSJWrCKwh8bxhgT7d/eI7P4U=
|
||||||
github.com/mwitkow/go-conntrack v0.0.0-20190716064945-2f068394615f/go.mod h1:qRWi+5nqEBWmkhHvq77mSJWrCKwh8bxhgT7d/eI7P4U=
|
github.com/mwitkow/go-conntrack v0.0.0-20190716064945-2f068394615f/go.mod h1:qRWi+5nqEBWmkhHvq77mSJWrCKwh8bxhgT7d/eI7P4U=
|
||||||
github.com/nxadm/tail v1.4.4/go.mod h1:kenIhsEOeOJmVchQTgglprH7qJGnHDVpk1VPCcaMI8A=
|
github.com/nxadm/tail v1.4.4/go.mod h1:kenIhsEOeOJmVchQTgglprH7qJGnHDVpk1VPCcaMI8A=
|
||||||
|
|
@ -506,6 +504,7 @@ github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0
|
||||||
github.com/ugorji/go/codec v1.2.3/go.mod h1:5FxzDJIgeiWJZslYHPj+LS1dq1ZBQVelZFnjsFGI/Uc=
|
github.com/ugorji/go/codec v1.2.3/go.mod h1:5FxzDJIgeiWJZslYHPj+LS1dq1ZBQVelZFnjsFGI/Uc=
|
||||||
github.com/valyala/fastjson v1.5.1 h1:SXaQZVSwLjZOVhDEhjiCcDtnX0Feu7Z7A1+C5atpoHM=
|
github.com/valyala/fastjson v1.5.1 h1:SXaQZVSwLjZOVhDEhjiCcDtnX0Feu7Z7A1+C5atpoHM=
|
||||||
github.com/valyala/fastjson v1.5.1/go.mod h1:CLCAqky6SMuOcxStkYQvblddUtoRxhYMGLrsQns1aXY=
|
github.com/valyala/fastjson v1.5.1/go.mod h1:CLCAqky6SMuOcxStkYQvblddUtoRxhYMGLrsQns1aXY=
|
||||||
|
github.com/wcharczuk/go-chart/v2 v2.1.0/go.mod h1:yx7MvAVNcP/kN9lKXM/NTce4au4DFN99j6i1OwDclNA=
|
||||||
github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90 h1:G/O1RFjhc9hgVYjaPQ0Oceqxf3GwRQl/5XEAWYetjmg=
|
github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90 h1:G/O1RFjhc9hgVYjaPQ0Oceqxf3GwRQl/5XEAWYetjmg=
|
||||||
github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90/go.mod h1:rpXAuuHgyEJb6kXcXldlkOjU6y4x+YcASKKXJNUhh0Y=
|
github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90/go.mod h1:rpXAuuHgyEJb6kXcXldlkOjU6y4x+YcASKKXJNUhh0Y=
|
||||||
github.com/x-cray/logrus-prefixed-formatter v0.5.2 h1:00txxvfBM9muc0jiLIEAkAcIMJzfthRT6usrui8uGmg=
|
github.com/x-cray/logrus-prefixed-formatter v0.5.2 h1:00txxvfBM9muc0jiLIEAkAcIMJzfthRT6usrui8uGmg=
|
||||||
|
|
@ -553,8 +552,6 @@ golang.org/x/crypto v0.0.0-20190820162420-60c769a6c586/go.mod h1:yigFU9vqHzYiE8U
|
||||||
golang.org/x/crypto v0.0.0-20191011191535-87dc89f01550/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI=
|
golang.org/x/crypto v0.0.0-20191011191535-87dc89f01550/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI=
|
||||||
golang.org/x/crypto v0.0.0-20200622213623-75b288015ac9/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto=
|
golang.org/x/crypto v0.0.0-20200622213623-75b288015ac9/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto=
|
||||||
golang.org/x/crypto v0.0.0-20201016220609-9e8e0b390897/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto=
|
golang.org/x/crypto v0.0.0-20201016220609-9e8e0b390897/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto=
|
||||||
golang.org/x/crypto v0.0.0-20220411220226-7b82a4e95df4 h1:kUhD7nTDoI3fVd9G4ORWrbV5NY0liEs/Jg2pv5f+bBA=
|
|
||||||
golang.org/x/crypto v0.0.0-20220411220226-7b82a4e95df4/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4=
|
|
||||||
golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e h1:T8NU3HyQ8ClP4SEE+KbFlg6n0NhuTsN4MyznaarGsZM=
|
golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e h1:T8NU3HyQ8ClP4SEE+KbFlg6n0NhuTsN4MyznaarGsZM=
|
||||||
golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4=
|
golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4=
|
||||||
golang.org/x/exp v0.0.0-20180321215751-8460e604b9de/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA=
|
golang.org/x/exp v0.0.0-20180321215751-8460e604b9de/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA=
|
||||||
|
|
@ -574,6 +571,7 @@ golang.org/x/exp v0.0.0-20200224162631-6cc2880d07d6/go.mod h1:3jZMyOhIsHpP37uCMk
|
||||||
golang.org/x/image v0.0.0-20180708004352-c73c2afc3b81/go.mod h1:ux5Hcp/YLpHSI86hEcLt0YII63i6oz57MZXIpbrjZUs=
|
golang.org/x/image v0.0.0-20180708004352-c73c2afc3b81/go.mod h1:ux5Hcp/YLpHSI86hEcLt0YII63i6oz57MZXIpbrjZUs=
|
||||||
golang.org/x/image v0.0.0-20190227222117-0694c2d4d067/go.mod h1:kZ7UVZpmo3dzQBMxlp+ypCbDeSB+sBbTgSJuh5dn5js=
|
golang.org/x/image v0.0.0-20190227222117-0694c2d4d067/go.mod h1:kZ7UVZpmo3dzQBMxlp+ypCbDeSB+sBbTgSJuh5dn5js=
|
||||||
golang.org/x/image v0.0.0-20190802002840-cff245a6509b/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
|
golang.org/x/image v0.0.0-20190802002840-cff245a6509b/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
|
||||||
|
golang.org/x/image v0.0.0-20200927104501-e162460cd6b5/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
|
||||||
golang.org/x/lint v0.0.0-20181026193005-c67002cb31c3/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
|
golang.org/x/lint v0.0.0-20181026193005-c67002cb31c3/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
|
||||||
golang.org/x/lint v0.0.0-20190227174305-5b3e6a55c961/go.mod h1:wehouNa3lNwaWXcvxsM5YxQ5yQlVC4a0KAMCusXpPoU=
|
golang.org/x/lint v0.0.0-20190227174305-5b3e6a55c961/go.mod h1:wehouNa3lNwaWXcvxsM5YxQ5yQlVC4a0KAMCusXpPoU=
|
||||||
golang.org/x/lint v0.0.0-20190301231843-5614ed5bae6f/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
|
golang.org/x/lint v0.0.0-20190301231843-5614ed5bae6f/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
|
||||||
|
|
@ -707,8 +705,6 @@ golang.org/x/sys v0.0.0-20210615035016-665e8c7367d1/go.mod h1:oPkhp1MJrh7nUepCBc
|
||||||
golang.org/x/sys v0.0.0-20210630005230-0f9fa26af87c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
golang.org/x/sys v0.0.0-20210630005230-0f9fa26af87c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
||||||
golang.org/x/sys v0.0.0-20211019181941-9d821ace8654/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
golang.org/x/sys v0.0.0-20211019181941-9d821ace8654/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
||||||
golang.org/x/sys v0.0.0-20211216021012-1d35b9e2eb4e/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
golang.org/x/sys v0.0.0-20211216021012-1d35b9e2eb4e/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
||||||
golang.org/x/sys v0.0.0-20220513210249-45d2b4557a2a h1:N2T1jUrTQE9Re6TFF5PhvEHXHCguynGhKjWVsIUt5cY=
|
|
||||||
golang.org/x/sys v0.0.0-20220513210249-45d2b4557a2a/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
|
||||||
golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c h1:aFV+BgZ4svzjfabn8ERpuB4JI4N6/rdy1iusx77G3oU=
|
golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c h1:aFV+BgZ4svzjfabn8ERpuB4JI4N6/rdy1iusx77G3oU=
|
||||||
golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
|
||||||
golang.org/x/term v0.0.0-20201126162022-7de9c90e9dd1/go.mod h1:bj7SfCRtBDWHUb9snDiAeCFNEtKQo2Wmx5Cou7ajbmo=
|
golang.org/x/term v0.0.0-20201126162022-7de9c90e9dd1/go.mod h1:bj7SfCRtBDWHUb9snDiAeCFNEtKQo2Wmx5Cou7ajbmo=
|
||||||
|
|
@ -900,7 +896,6 @@ gopkg.in/yaml.v2 v2.3.0/go.mod h1:hI93XBmqTisBFMUTm0b8Fm+jr3Dg1NNxqwp+5A1VGuI=
|
||||||
gopkg.in/yaml.v2 v2.4.0 h1:D8xgwECY7CYvx+Y2n4sBz93Jn9JRvxdiyyo8CTfuKaY=
|
gopkg.in/yaml.v2 v2.4.0 h1:D8xgwECY7CYvx+Y2n4sBz93Jn9JRvxdiyyo8CTfuKaY=
|
||||||
gopkg.in/yaml.v2 v2.4.0/go.mod h1:RDklbk79AGWmwhnvt/jBztapEOGDOx6ZbXqjP6csGnQ=
|
gopkg.in/yaml.v2 v2.4.0/go.mod h1:RDklbk79AGWmwhnvt/jBztapEOGDOx6ZbXqjP6csGnQ=
|
||||||
gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
|
gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
|
||||||
gopkg.in/yaml.v3 v3.0.0-20210107192922-496545a6307b h1:h8qDotaEPuJATrMmW04NCwg7v22aHH28wwpauUhK9Oo=
|
|
||||||
gopkg.in/yaml.v3 v3.0.0-20210107192922-496545a6307b/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
|
gopkg.in/yaml.v3 v3.0.0-20210107192922-496545a6307b/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
|
||||||
gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA=
|
gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA=
|
||||||
gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
|
gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
|
||||||
|
|
|
||||||
|
|
@ -20,6 +20,7 @@ import (
|
||||||
_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
|
_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
|
||||||
_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
|
_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
|
||||||
_ "github.com/c9s/bbgo/pkg/strategy/rebalance"
|
_ "github.com/c9s/bbgo/pkg/strategy/rebalance"
|
||||||
|
_ "github.com/c9s/bbgo/pkg/strategy/rsmaker"
|
||||||
_ "github.com/c9s/bbgo/pkg/strategy/schedule"
|
_ "github.com/c9s/bbgo/pkg/strategy/schedule"
|
||||||
_ "github.com/c9s/bbgo/pkg/strategy/skeleton"
|
_ "github.com/c9s/bbgo/pkg/strategy/skeleton"
|
||||||
_ "github.com/c9s/bbgo/pkg/strategy/supertrend"
|
_ "github.com/c9s/bbgo/pkg/strategy/supertrend"
|
||||||
|
|
|
||||||
883
pkg/strategy/rsmaker/strategy.go
Normal file
883
pkg/strategy/rsmaker/strategy.go
Normal file
|
|
@ -0,0 +1,883 @@
|
||||||
|
package rsmaker
|
||||||
|
|
||||||
|
import (
|
||||||
|
"context"
|
||||||
|
"fmt"
|
||||||
|
"math"
|
||||||
|
"time"
|
||||||
|
|
||||||
|
"github.com/c9s/bbgo/pkg/indicator"
|
||||||
|
|
||||||
|
"github.com/pkg/errors"
|
||||||
|
"github.com/sirupsen/logrus"
|
||||||
|
|
||||||
|
"github.com/c9s/bbgo/pkg/bbgo"
|
||||||
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||||
|
"github.com/c9s/bbgo/pkg/service"
|
||||||
|
"github.com/c9s/bbgo/pkg/types"
|
||||||
|
"github.com/muesli/clusters"
|
||||||
|
"github.com/muesli/kmeans"
|
||||||
|
)
|
||||||
|
|
||||||
|
// TODO:
|
||||||
|
// 1) add option for placing orders only when in neutral band
|
||||||
|
// 2) add option for only placing buy orders when price is below the SMA line
|
||||||
|
|
||||||
|
const ID = "rsmaker"
|
||||||
|
|
||||||
|
const stateKey = "state-v1"
|
||||||
|
|
||||||
|
var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
|
||||||
|
var notionModifier = fixedpoint.NewFromFloat(1.1)
|
||||||
|
var two = fixedpoint.NewFromInt(2)
|
||||||
|
|
||||||
|
var log = logrus.WithField("strategy", ID)
|
||||||
|
|
||||||
|
func init() {
|
||||||
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
||||||
|
}
|
||||||
|
|
||||||
|
type State struct {
|
||||||
|
Position *types.Position `json:"position,omitempty"`
|
||||||
|
ProfitStats types.ProfitStats `json:"profitStats,omitempty"`
|
||||||
|
}
|
||||||
|
|
||||||
|
type BollingerSetting struct {
|
||||||
|
types.IntervalWindow
|
||||||
|
BandWidth float64 `json:"bandWidth"`
|
||||||
|
}
|
||||||
|
|
||||||
|
type Strategy struct {
|
||||||
|
*bbgo.Graceful
|
||||||
|
*bbgo.Notifiability
|
||||||
|
*bbgo.Persistence
|
||||||
|
|
||||||
|
Environment *bbgo.Environment
|
||||||
|
StandardIndicatorSet *bbgo.StandardIndicatorSet
|
||||||
|
Market types.Market
|
||||||
|
|
||||||
|
// Symbol is the market symbol you want to trade
|
||||||
|
Symbol string `json:"symbol"`
|
||||||
|
|
||||||
|
// Interval is how long do you want to update your order price and quantity
|
||||||
|
Interval types.Interval `json:"interval"`
|
||||||
|
|
||||||
|
bbgo.QuantityOrAmount
|
||||||
|
|
||||||
|
// Spread is the price spread from the middle price.
|
||||||
|
// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
|
||||||
|
// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
|
||||||
|
// Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
|
||||||
|
Spread fixedpoint.Value `json:"spread"`
|
||||||
|
|
||||||
|
// BidSpread overrides the spread setting, this spread will be used for the buy order
|
||||||
|
BidSpread fixedpoint.Value `json:"bidSpread,omitempty"`
|
||||||
|
|
||||||
|
// AskSpread overrides the spread setting, this spread will be used for the sell order
|
||||||
|
AskSpread fixedpoint.Value `json:"askSpread,omitempty"`
|
||||||
|
|
||||||
|
// MinProfitSpread is the minimal order price spread from the current average cost.
|
||||||
|
// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
|
||||||
|
// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
|
||||||
|
MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
|
||||||
|
|
||||||
|
// UseTickerPrice use the ticker api to get the mid price instead of the closed kline price.
|
||||||
|
// The back-test engine is kline-based, so the ticker price api is not supported.
|
||||||
|
// Turn this on if you want to do real trading.
|
||||||
|
UseTickerPrice bool `json:"useTickerPrice"`
|
||||||
|
|
||||||
|
// MaxExposurePosition is the maximum position you can hold
|
||||||
|
// +10 means you can hold 10 ETH long position by maximum
|
||||||
|
// -10 means you can hold -10 ETH short position by maximum
|
||||||
|
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
|
||||||
|
|
||||||
|
// DynamicExposurePositionScale is used to define the exposure position range with the given percentage
|
||||||
|
// when DynamicExposurePositionScale is set,
|
||||||
|
// your MaxExposurePosition will be calculated dynamically according to the bollinger band you set.
|
||||||
|
DynamicExposurePositionScale *bbgo.PercentageScale `json:"dynamicExposurePositionScale"`
|
||||||
|
|
||||||
|
// Long means your position will be long position
|
||||||
|
// Currently not used yet
|
||||||
|
Long *bool `json:"long,omitempty"`
|
||||||
|
|
||||||
|
// Short means your position will be long position
|
||||||
|
// Currently not used yet
|
||||||
|
Short *bool `json:"short,omitempty"`
|
||||||
|
|
||||||
|
// DisableShort means you can don't want short position during the market making
|
||||||
|
// Set to true if you want to hold more spot during market making.
|
||||||
|
DisableShort bool `json:"disableShort"`
|
||||||
|
|
||||||
|
// BuyBelowNeutralSMA if true, the market maker will only place buy order when the current price is below the neutral band SMA.
|
||||||
|
BuyBelowNeutralSMA bool `json:"buyBelowNeutralSMA"`
|
||||||
|
|
||||||
|
// NeutralBollinger is the smaller range of the bollinger band
|
||||||
|
// If price is in this band, it usually means the price is oscillating.
|
||||||
|
// If price goes out of this band, we tend to not place sell orders or buy orders
|
||||||
|
NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
|
||||||
|
|
||||||
|
// DefaultBollinger is the wide range of the bollinger band
|
||||||
|
// for controlling your exposure position
|
||||||
|
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
|
||||||
|
|
||||||
|
// 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"`
|
||||||
|
|
||||||
|
// TradeInBand
|
||||||
|
// When this is on, places orders only when the current price is in the bollinger band.
|
||||||
|
TradeInBand bool `json:"tradeInBand"`
|
||||||
|
|
||||||
|
// ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow)
|
||||||
|
ShadowProtection bool `json:"shadowProtection"`
|
||||||
|
ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
|
||||||
|
|
||||||
|
bbgo.SmartStops
|
||||||
|
|
||||||
|
session *bbgo.ExchangeSession
|
||||||
|
book *types.StreamOrderBook
|
||||||
|
|
||||||
|
state *State
|
||||||
|
|
||||||
|
activeMakerOrders *bbgo.LocalActiveOrderBook
|
||||||
|
orderStore *bbgo.OrderStore
|
||||||
|
tradeCollector *bbgo.TradeCollector
|
||||||
|
|
||||||
|
groupID uint32
|
||||||
|
|
||||||
|
stopC chan struct{}
|
||||||
|
|
||||||
|
// defaultBoll is the BOLLINGER indicator we used for predicting the price.
|
||||||
|
defaultBoll *indicator.BOLL
|
||||||
|
|
||||||
|
// neutralBoll is the neutral price section
|
||||||
|
neutralBoll *indicator.BOLL
|
||||||
|
|
||||||
|
// StrategyController
|
||||||
|
status types.StrategyStatus
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) ID() string {
|
||||||
|
return ID
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) Initialize() error {
|
||||||
|
return s.SmartStops.InitializeStopControllers(s.Symbol)
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
||||||
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||||
|
Interval: s.Interval,
|
||||||
|
})
|
||||||
|
|
||||||
|
//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||||
|
// Interval: types.Interval12h.String(),
|
||||||
|
//})
|
||||||
|
|
||||||
|
//if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
|
||||||
|
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||||
|
// Interval: string(s.DefaultBollinger.Interval),
|
||||||
|
// })
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
|
||||||
|
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||||
|
// Interval: string(s.NeutralBollinger.Interval),
|
||||||
|
// })
|
||||||
|
//}
|
||||||
|
|
||||||
|
//s.SmartStops.Subscribe(session)
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) Validate() error {
|
||||||
|
if len(s.Symbol) == 0 {
|
||||||
|
return errors.New("symbol is required")
|
||||||
|
}
|
||||||
|
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) CurrentPosition() *types.Position {
|
||||||
|
return s.state.Position
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
|
||||||
|
base := s.state.Position.GetBase()
|
||||||
|
if base.IsZero() {
|
||||||
|
return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
|
||||||
|
}
|
||||||
|
|
||||||
|
// make it negative
|
||||||
|
quantity := base.Mul(percentage).Abs()
|
||||||
|
side := types.SideTypeBuy
|
||||||
|
if base.Sign() > 0 {
|
||||||
|
side = types.SideTypeSell
|
||||||
|
}
|
||||||
|
|
||||||
|
if quantity.Compare(s.Market.MinQuantity) < 0 {
|
||||||
|
return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
|
||||||
|
}
|
||||||
|
|
||||||
|
submitOrder := types.SubmitOrder{
|
||||||
|
Symbol: s.Symbol,
|
||||||
|
Side: side,
|
||||||
|
Type: types.OrderTypeMarket,
|
||||||
|
Quantity: quantity,
|
||||||
|
Market: s.Market,
|
||||||
|
}
|
||||||
|
|
||||||
|
s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
|
||||||
|
|
||||||
|
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
|
||||||
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("can not place position close order")
|
||||||
|
}
|
||||||
|
|
||||||
|
s.orderStore.Add(createdOrders...)
|
||||||
|
s.activeMakerOrders.Add(createdOrders...)
|
||||||
|
s.tradeCollector.Process()
|
||||||
|
|
||||||
|
return err
|
||||||
|
}
|
||||||
|
|
||||||
|
// StrategyController
|
||||||
|
|
||||||
|
func (s *Strategy) GetStatus() types.StrategyStatus {
|
||||||
|
return s.status
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) Suspend(ctx context.Context) error {
|
||||||
|
s.status = types.StrategyStatusStopped
|
||||||
|
|
||||||
|
// Cancel all order
|
||||||
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||||
|
log.WithError(err).Errorf("graceful cancel order error")
|
||||||
|
s.Notify("graceful cancel order error")
|
||||||
|
} else {
|
||||||
|
s.Notify("All orders cancelled.")
|
||||||
|
}
|
||||||
|
|
||||||
|
s.tradeCollector.Process()
|
||||||
|
|
||||||
|
// Save state
|
||||||
|
if err := s.SaveState(); err != nil {
|
||||||
|
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
||||||
|
} else {
|
||||||
|
log.Infof("%s position is saved.", s.Symbol)
|
||||||
|
}
|
||||||
|
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) Resume(ctx context.Context) error {
|
||||||
|
s.status = types.StrategyStatusRunning
|
||||||
|
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
//func (s *Strategy) EmergencyStop(ctx context.Context) error {
|
||||||
|
// // Close 100% position
|
||||||
|
// percentage, _ := fixedpoint.NewFromString("100%")
|
||||||
|
// err := s.ClosePosition(ctx, percentage)
|
||||||
|
//
|
||||||
|
// // Suspend strategy
|
||||||
|
// _ = s.Suspend(ctx)
|
||||||
|
//
|
||||||
|
// return err
|
||||||
|
//}
|
||||||
|
|
||||||
|
func (s *Strategy) SaveState() error {
|
||||||
|
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
|
||||||
|
return err
|
||||||
|
}
|
||||||
|
|
||||||
|
log.Infof("state is saved => %+v", s.state)
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) LoadState() error {
|
||||||
|
var state State
|
||||||
|
|
||||||
|
// load position
|
||||||
|
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
|
||||||
|
if err != service.ErrPersistenceNotExists {
|
||||||
|
return err
|
||||||
|
}
|
||||||
|
|
||||||
|
s.state = &State{}
|
||||||
|
} else {
|
||||||
|
s.state = &state
|
||||||
|
log.Infof("state is restored: %+v", s.state)
|
||||||
|
}
|
||||||
|
|
||||||
|
// if position is nil, we need to allocate a new position for calculation
|
||||||
|
if s.state.Position == nil {
|
||||||
|
s.state.Position = types.NewPositionFromMarket(s.Market)
|
||||||
|
}
|
||||||
|
|
||||||
|
// init profit states
|
||||||
|
s.state.ProfitStats.Symbol = s.Market.Symbol
|
||||||
|
s.state.ProfitStats.BaseCurrency = s.Market.BaseCurrency
|
||||||
|
s.state.ProfitStats.QuoteCurrency = s.Market.QuoteCurrency
|
||||||
|
if s.state.ProfitStats.AccumulatedSince == 0 {
|
||||||
|
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
|
||||||
|
}
|
||||||
|
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fixedpoint.Value, error) {
|
||||||
|
if s.DynamicExposurePositionScale != nil {
|
||||||
|
v, err := s.DynamicExposurePositionScale.Scale(bandPercentage)
|
||||||
|
if err != nil {
|
||||||
|
return fixedpoint.Zero, err
|
||||||
|
}
|
||||||
|
return fixedpoint.NewFromFloat(v), nil
|
||||||
|
}
|
||||||
|
|
||||||
|
return s.MaxExposurePosition, nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, klines []*types.KLine) {
|
||||||
|
//bidSpread := s.Spread
|
||||||
|
//if s.BidSpread.Sign() > 0 {
|
||||||
|
// bidSpread = s.BidSpread
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//askSpread := s.Spread
|
||||||
|
//if s.AskSpread.Sign() > 0 {
|
||||||
|
// askSpread = s.AskSpread
|
||||||
|
//}
|
||||||
|
// preprocessing
|
||||||
|
max := 0.
|
||||||
|
min := 100000.
|
||||||
|
|
||||||
|
mv := 0.
|
||||||
|
for x := 0; x < 50; x++ {
|
||||||
|
if klines[x].High.Float64() > max {
|
||||||
|
max = klines[x].High.Float64()
|
||||||
|
}
|
||||||
|
if klines[x].Low.Float64() < min {
|
||||||
|
min = klines[x].High.Float64()
|
||||||
|
}
|
||||||
|
|
||||||
|
mv += klines[x].Volume.Float64()
|
||||||
|
}
|
||||||
|
mv = mv / 50
|
||||||
|
|
||||||
|
//logrus.Info(max, min)
|
||||||
|
// set up a random two-dimensional data set (float64 values between 0.0 and 1.0)
|
||||||
|
var d clusters.Observations
|
||||||
|
for x := 0; x < 50; x++ {
|
||||||
|
//if klines[x].High.Float64() < max || klines[x].Low.Float64() > min {
|
||||||
|
if klines[x].Volume.Float64() > mv*0.3 {
|
||||||
|
d = append(d, clusters.Coordinates{
|
||||||
|
klines[x].High.Float64(),
|
||||||
|
klines[x].Low.Float64(),
|
||||||
|
//klines[x].Open.Float64(),
|
||||||
|
//klines[x].Close.Float64(),
|
||||||
|
//klines[x].Volume.Float64(),
|
||||||
|
})
|
||||||
|
}
|
||||||
|
//}
|
||||||
|
|
||||||
|
}
|
||||||
|
log.Info(len(d))
|
||||||
|
|
||||||
|
// Partition the data points into 2 clusters
|
||||||
|
km := kmeans.New()
|
||||||
|
clusters, err := km.Partition(d, 3)
|
||||||
|
|
||||||
|
//for _, c := range clusters {
|
||||||
|
//fmt.Printf("Centered at x: %.2f y: %.2f\n", c.Center[0], c.Center[1])
|
||||||
|
//fmt.Printf("Matching data points: %+v\n\n", c.Observations)
|
||||||
|
//}
|
||||||
|
// clustered virtual kline_1's mid price
|
||||||
|
//vk1mp := fixedpoint.NewFromFloat((clusters[0].Center[0] + clusters[0].Center[1]) / 2.)
|
||||||
|
// clustered virtual kline_2's mid price
|
||||||
|
//vk2mp := fixedpoint.NewFromFloat((clusters[1].Center[0] + clusters[1].Center[1]) / 2.)
|
||||||
|
// clustered virtual kline_3's mid price
|
||||||
|
//vk3mp := fixedpoint.NewFromFloat((clusters[2].Center[0] + clusters[2].Center[1]) / 2.)
|
||||||
|
|
||||||
|
// clustered virtual kline_1's high price
|
||||||
|
vk1hp := fixedpoint.NewFromFloat(clusters[0].Center[0])
|
||||||
|
// clustered virtual kline_2's high price
|
||||||
|
vk2hp := fixedpoint.NewFromFloat(clusters[1].Center[0])
|
||||||
|
// clustered virtual kline_3's high price
|
||||||
|
vk3hp := fixedpoint.NewFromFloat(clusters[2].Center[0])
|
||||||
|
|
||||||
|
// clustered virtual kline_1's low price
|
||||||
|
vk1lp := fixedpoint.NewFromFloat(clusters[0].Center[1])
|
||||||
|
// clustered virtual kline_2's low price
|
||||||
|
vk2lp := fixedpoint.NewFromFloat(clusters[1].Center[1])
|
||||||
|
// clustered virtual kline_3's low price
|
||||||
|
vk3lp := fixedpoint.NewFromFloat(clusters[2].Center[1])
|
||||||
|
|
||||||
|
askPrice := fixedpoint.NewFromFloat(math.Max(math.Max(vk1hp.Float64(), vk2hp.Float64()), vk3hp.Float64())) //fixedpoint.NewFromFloat(math.Max(math.Max(vk1mp.Float64(), vk2mp.Float64()), vk3mp.Float64()))
|
||||||
|
bidPrice := fixedpoint.NewFromFloat(math.Min(math.Min(vk1lp.Float64(), vk2lp.Float64()), vk3lp.Float64())) //fixedpoint.NewFromFloat(math.Min(math.Min(vk1mp.Float64(), vk2mp.Float64()), vk3mp.Float64()))
|
||||||
|
|
||||||
|
//if vk1mp.Compare(vk2mp) > 0 {
|
||||||
|
// askPrice = vk1mp //.Mul(fixedpoint.NewFromFloat(1.001))
|
||||||
|
// bidPrice = vk2mp //.Mul(fixedpoint.NewFromFloat(0.999))
|
||||||
|
//} else if vk1mp.Compare(vk2mp) < 0 {
|
||||||
|
// askPrice = vk2mp //.Mul(fixedpoint.NewFromFloat(1.001))
|
||||||
|
// bidPrice = vk1mp //.Mul(fixedpoint.NewFromFloat(0.999))
|
||||||
|
//}
|
||||||
|
//midPrice.Mul(fixedpoint.One.Add(askSpread))
|
||||||
|
//midPrice.Mul(fixedpoint.One.Sub(bidSpread))
|
||||||
|
base := s.state.Position.GetBase()
|
||||||
|
//balances := s.session.GetAccount().Balances()
|
||||||
|
|
||||||
|
//log.Infof("mid price:%v spread: %s ask:%v bid: %v position: %s",
|
||||||
|
// midPrice,
|
||||||
|
// s.Spread.Percentage(),
|
||||||
|
// askPrice,
|
||||||
|
// bidPrice,
|
||||||
|
// s.state.Position,
|
||||||
|
//)
|
||||||
|
canSell := true
|
||||||
|
canBuy := true
|
||||||
|
|
||||||
|
//predMidPrice := (askPrice + bidPrice) / 2.
|
||||||
|
|
||||||
|
//if midPrice.Float64() > predMidPrice.Float64() {
|
||||||
|
// bidPrice = predMidPrice.Mul(fixedpoint.NewFromFloat(0.999))
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if midPrice.Float64() < predMidPrice.Float64() {
|
||||||
|
// askPrice = predMidPrice.Mul(fixedpoint.NewFromFloat(1.001))
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if midPrice.Float64() > askPrice.Float64() {
|
||||||
|
// canBuy = false
|
||||||
|
// askPrice = midPrice.Mul(fixedpoint.NewFromFloat(1.001))
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if midPrice.Float64() < bidPrice.Float64() {
|
||||||
|
// canSell = false
|
||||||
|
// bidPrice = midPrice.Mul(fixedpoint.NewFromFloat(0.999))
|
||||||
|
//}
|
||||||
|
|
||||||
|
sellQuantity := s.QuantityOrAmount.CalculateQuantity(askPrice)
|
||||||
|
buyQuantity := s.QuantityOrAmount.CalculateQuantity(bidPrice)
|
||||||
|
|
||||||
|
sellOrder := types.SubmitOrder{
|
||||||
|
Symbol: s.Symbol,
|
||||||
|
Side: types.SideTypeSell,
|
||||||
|
Type: types.OrderTypeLimitMaker,
|
||||||
|
Quantity: sellQuantity,
|
||||||
|
Price: askPrice,
|
||||||
|
Market: s.Market,
|
||||||
|
GroupID: s.groupID,
|
||||||
|
}
|
||||||
|
buyOrder := types.SubmitOrder{
|
||||||
|
Symbol: s.Symbol,
|
||||||
|
Side: types.SideTypeBuy,
|
||||||
|
Type: types.OrderTypeLimitMaker,
|
||||||
|
Quantity: buyQuantity,
|
||||||
|
Price: bidPrice,
|
||||||
|
Market: s.Market,
|
||||||
|
GroupID: s.groupID,
|
||||||
|
}
|
||||||
|
|
||||||
|
var submitBuyOrders []types.SubmitOrder
|
||||||
|
var submitSellOrders []types.SubmitOrder
|
||||||
|
|
||||||
|
//baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
|
||||||
|
//quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
|
||||||
|
|
||||||
|
downBand := s.defaultBoll.LastDownBand()
|
||||||
|
upBand := s.defaultBoll.LastUpBand()
|
||||||
|
sma := s.defaultBoll.LastSMA()
|
||||||
|
log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)
|
||||||
|
|
||||||
|
bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
|
||||||
|
log.Infof("mid price band percentage: %v", bandPercentage)
|
||||||
|
|
||||||
|
maxExposurePosition, err := s.getCurrentAllowedExposurePosition(bandPercentage)
|
||||||
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("can not calculate CurrentAllowedExposurePosition")
|
||||||
|
return
|
||||||
|
}
|
||||||
|
|
||||||
|
log.Infof("calculated max exposure position: %v", maxExposurePosition)
|
||||||
|
|
||||||
|
if maxExposurePosition.Sign() > 0 && base.Compare(maxExposurePosition) > 0 {
|
||||||
|
canBuy = false
|
||||||
|
}
|
||||||
|
|
||||||
|
if maxExposurePosition.Sign() > 0 {
|
||||||
|
if s.Long != nil && *s.Long && base.Sign() < 0 {
|
||||||
|
canSell = false
|
||||||
|
} else if base.Compare(maxExposurePosition.Neg()) < 0 {
|
||||||
|
canSell = false
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
//if s.ShadowProtection && kline != nil {
|
||||||
|
// switch kline.Direction() {
|
||||||
|
// case types.DirectionDown:
|
||||||
|
// shadowHeight := kline.GetLowerShadowHeight()
|
||||||
|
// shadowRatio := kline.GetLowerShadowRatio()
|
||||||
|
// if shadowHeight.IsZero() && shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
|
||||||
|
// log.Infof("%s shadow protection enabled, lower shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
|
||||||
|
// canBuy = false
|
||||||
|
// }
|
||||||
|
// case types.DirectionUp:
|
||||||
|
// shadowHeight := kline.GetUpperShadowHeight()
|
||||||
|
// shadowRatio := kline.GetUpperShadowRatio()
|
||||||
|
// if shadowHeight.IsZero() || shadowRatio.Compare(s.ShadowProtectionRatio) < 0 {
|
||||||
|
// log.Infof("%s shadow protection enabled, upper shadow ratio %v < %v", s.Symbol, shadowRatio, s.ShadowProtectionRatio)
|
||||||
|
// canSell = false
|
||||||
|
// }
|
||||||
|
// }
|
||||||
|
//}
|
||||||
|
|
||||||
|
// Apply quantity skew
|
||||||
|
// CASE #1:
|
||||||
|
// WHEN: price is in the neutral bollginer band (window 1) == neutral
|
||||||
|
// THEN: we don't apply skew
|
||||||
|
// CASE #2:
|
||||||
|
// WHEN: price is in the upper band (window 2 > price > window 1) == upTrend
|
||||||
|
// THEN: we apply upTrend skew
|
||||||
|
// CASE #3:
|
||||||
|
// WHEN: price is in the lower band (window 2 < price < window 1) == downTrend
|
||||||
|
// THEN: we apply downTrend skew
|
||||||
|
// CASE #4:
|
||||||
|
// WHEN: price breaks the lower band (price < window 2) == strongDownTrend
|
||||||
|
// THEN: we apply strongDownTrend skew
|
||||||
|
// CASE #5:
|
||||||
|
// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
|
||||||
|
// THEN: we apply strongUpTrend skew
|
||||||
|
//if s.TradeInBand {
|
||||||
|
// if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
|
||||||
|
// log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
|
||||||
|
// return
|
||||||
|
// }
|
||||||
|
//}
|
||||||
|
|
||||||
|
//revmacd := s.detectPriceTrend(s.neutralBoll, midPrice.Float64())
|
||||||
|
//switch revmacd {
|
||||||
|
//case NeutralTrend:
|
||||||
|
// // do nothing
|
||||||
|
//
|
||||||
|
//case UpTrend:
|
||||||
|
// skew := s.UptrendSkew
|
||||||
|
// buyOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, sellOrder.Quantity.Mul(skew))
|
||||||
|
//
|
||||||
|
//case DownTrend:
|
||||||
|
// skew := s.DowntrendSkew
|
||||||
|
// ratio := fixedpoint.One.Div(skew)
|
||||||
|
// sellOrder.Quantity = fixedpoint.Max(s.Market.MinQuantity, buyOrder.Quantity.Mul(ratio))
|
||||||
|
//
|
||||||
|
//}
|
||||||
|
|
||||||
|
//if !hasQuoteBalance || buyOrder.Quantity.Mul(buyOrder.Price).Compare(quoteBalance.Available) > 0 {
|
||||||
|
// canBuy = false
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if !hasBaseBalance || sellOrder.Quantity.Compare(baseBalance.Available) > 0 {
|
||||||
|
// canSell = false
|
||||||
|
//}
|
||||||
|
|
||||||
|
//if midPrice.Compare(s.state.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))) < 0 {
|
||||||
|
// canSell = false
|
||||||
|
//}
|
||||||
|
|
||||||
|
//if s.Long != nil && *s.Long && base.Sub(sellOrder.Quantity).Sign() < 0 {
|
||||||
|
// canSell = false
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
|
||||||
|
// canBuy = false
|
||||||
|
//}
|
||||||
|
|
||||||
|
if canSell {
|
||||||
|
submitSellOrders = append(submitSellOrders, sellOrder)
|
||||||
|
//sellOrder = s.adjustOrderPrice(sellOrder, false)
|
||||||
|
//submitSellOrders = append(submitSellOrders, sellOrder)
|
||||||
|
//sellOrder = s.adjustOrderPrice(sellOrder, false)
|
||||||
|
//submitSellOrders = append(submitSellOrders, sellOrder)
|
||||||
|
}
|
||||||
|
if canBuy {
|
||||||
|
submitBuyOrders = append(submitBuyOrders, buyOrder)
|
||||||
|
//buyOrder = s.adjustOrderPrice(buyOrder, true)
|
||||||
|
//submitBuyOrders = append(submitBuyOrders, buyOrder)
|
||||||
|
//buyOrder = s.adjustOrderPrice(buyOrder, true)
|
||||||
|
//submitBuyOrders = append(submitBuyOrders, buyOrder)
|
||||||
|
}
|
||||||
|
|
||||||
|
// condition for lower the average cost
|
||||||
|
/*
|
||||||
|
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
|
||||||
|
submitOrders = append(submitOrders, buyOrder)
|
||||||
|
}
|
||||||
|
*/
|
||||||
|
|
||||||
|
for i := range submitBuyOrders {
|
||||||
|
submitBuyOrders[i] = s.adjustOrderQuantity(submitBuyOrders[i])
|
||||||
|
}
|
||||||
|
|
||||||
|
for i := range submitSellOrders {
|
||||||
|
submitSellOrders[i] = s.adjustOrderQuantity(submitSellOrders[i])
|
||||||
|
}
|
||||||
|
|
||||||
|
createdBuyOrders, err := orderExecutor.SubmitOrders(ctx, submitBuyOrders...)
|
||||||
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("can not place ping pong orders")
|
||||||
|
}
|
||||||
|
s.orderStore.Add(createdBuyOrders...)
|
||||||
|
s.activeMakerOrders.Add(createdBuyOrders...)
|
||||||
|
|
||||||
|
createdSellOrders, err := orderExecutor.SubmitOrders(ctx, submitSellOrders...)
|
||||||
|
if err != nil {
|
||||||
|
log.WithError(err).Errorf("can not place ping pong orders")
|
||||||
|
}
|
||||||
|
s.orderStore.Add(createdSellOrders...)
|
||||||
|
s.activeMakerOrders.Add(createdSellOrders...)
|
||||||
|
}
|
||||||
|
|
||||||
|
type PriceTrend string
|
||||||
|
|
||||||
|
const (
|
||||||
|
NeutralTrend PriceTrend = "neutral"
|
||||||
|
UpTrend PriceTrend = "upTrend"
|
||||||
|
DownTrend PriceTrend = "downTrend"
|
||||||
|
UnknownTrend PriceTrend = "unknown"
|
||||||
|
)
|
||||||
|
|
||||||
|
func (s *Strategy) detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
|
||||||
|
if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) {
|
||||||
|
return NeutralTrend
|
||||||
|
}
|
||||||
|
|
||||||
|
if price < inc.LastDownBand() {
|
||||||
|
return DownTrend
|
||||||
|
}
|
||||||
|
|
||||||
|
if price > inc.LastUpBand() {
|
||||||
|
return UpTrend
|
||||||
|
}
|
||||||
|
|
||||||
|
return UnknownTrend
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
|
||||||
|
if submitOrder.Quantity.Mul(submitOrder.Price).Compare(s.Market.MinNotional) < 0 {
|
||||||
|
submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.Market.MinNotional.Mul(notionModifier))
|
||||||
|
}
|
||||||
|
|
||||||
|
if submitOrder.Quantity.Compare(s.Market.MinQuantity) < 0 {
|
||||||
|
submitOrder.Quantity = fixedpoint.Max(submitOrder.Quantity, s.Market.MinQuantity)
|
||||||
|
}
|
||||||
|
|
||||||
|
return submitOrder
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) adjustOrderPrice(submitOrder types.SubmitOrder, side bool) types.SubmitOrder {
|
||||||
|
|
||||||
|
if side {
|
||||||
|
submitOrder.Price = submitOrder.Price.Mul(fixedpoint.NewFromFloat(0.995))
|
||||||
|
} else {
|
||||||
|
submitOrder.Price = submitOrder.Price.Mul(fixedpoint.NewFromFloat(1.005))
|
||||||
|
}
|
||||||
|
|
||||||
|
return submitOrder
|
||||||
|
}
|
||||||
|
|
||||||
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||||
|
// StrategyController
|
||||||
|
s.status = types.StrategyStatusRunning
|
||||||
|
|
||||||
|
//if s.DisableShort {
|
||||||
|
// s.Long = &[]bool{true}[0]
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if s.MinProfitSpread.IsZero() {
|
||||||
|
// s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if s.UptrendSkew.IsZero() {
|
||||||
|
// s.UptrendSkew = fixedpoint.NewFromFloat(1.0 / 1.2)
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if s.DowntrendSkew.IsZero() {
|
||||||
|
// s.DowntrendSkew = fixedpoint.NewFromFloat(1.2)
|
||||||
|
//}
|
||||||
|
//
|
||||||
|
//if s.ShadowProtectionRatio.IsZero() {
|
||||||
|
// s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
|
||||||
|
//}
|
||||||
|
|
||||||
|
// initial required information
|
||||||
|
s.session = session
|
||||||
|
s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
|
||||||
|
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
|
||||||
|
|
||||||
|
// calculate group id for orders
|
||||||
|
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
|
||||||
|
//s.groupID = max.GenerateGroupID(instanceID)
|
||||||
|
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
|
||||||
|
|
||||||
|
// restore state
|
||||||
|
if err := s.LoadState(); err != nil {
|
||||||
|
return err
|
||||||
|
}
|
||||||
|
|
||||||
|
s.state.Position.Strategy = ID
|
||||||
|
s.state.Position.StrategyInstanceID = instanceID
|
||||||
|
|
||||||
|
//s.stopC = make(chan struct{})
|
||||||
|
|
||||||
|
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
|
||||||
|
s.activeMakerOrders.BindStream(session.UserDataStream)
|
||||||
|
|
||||||
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
||||||
|
s.orderStore.BindStream(session.UserDataStream)
|
||||||
|
|
||||||
|
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
|
||||||
|
|
||||||
|
//s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
||||||
|
// // StrategyController
|
||||||
|
// if s.status != types.StrategyStatusRunning {
|
||||||
|
// return
|
||||||
|
// }
|
||||||
|
//
|
||||||
|
// s.Notifiability.Notify(trade)
|
||||||
|
// s.state.ProfitStats.AddTrade(trade)
|
||||||
|
//
|
||||||
|
// if profit.Compare(fixedpoint.Zero) == 0 {
|
||||||
|
// s.Environment.RecordPosition(s.state.Position, trade, nil)
|
||||||
|
// } else {
|
||||||
|
// log.Infof("%s generated profit: %v", s.Symbol, profit)
|
||||||
|
// p := s.state.Position.NewProfit(trade, profit, netProfit)
|
||||||
|
// p.Strategy = ID
|
||||||
|
// p.StrategyInstanceID = instanceID
|
||||||
|
// s.Notify(&p)
|
||||||
|
//
|
||||||
|
// s.state.ProfitStats.AddProfit(p)
|
||||||
|
// s.Notify(&s.state.ProfitStats)
|
||||||
|
//
|
||||||
|
// s.Environment.RecordPosition(s.state.Position, trade, &p)
|
||||||
|
// }
|
||||||
|
//})
|
||||||
|
//
|
||||||
|
//s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
||||||
|
// log.Infof("position changed: %s", s.state.Position)
|
||||||
|
// s.Notify(s.state.Position)
|
||||||
|
//})
|
||||||
|
|
||||||
|
s.tradeCollector.BindStream(session.UserDataStream)
|
||||||
|
|
||||||
|
//s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
|
||||||
|
|
||||||
|
//session.UserDataStream.OnStart(func() {
|
||||||
|
//if s.UseTickerPrice {
|
||||||
|
// ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
||||||
|
// if err != nil {
|
||||||
|
// return
|
||||||
|
// }
|
||||||
|
//
|
||||||
|
// midPrice := ticker.Buy.Add(ticker.Sell).Div(two)
|
||||||
|
// s.placeOrders(ctx, orderExecutor, midPrice, nil)
|
||||||
|
//} else {
|
||||||
|
// if price, ok := session.LastPrice(s.Symbol); ok {
|
||||||
|
// s.placeOrders(ctx, orderExecutor, price, nil)
|
||||||
|
// }
|
||||||
|
//}
|
||||||
|
//})
|
||||||
|
|
||||||
|
var klines []*types.KLine
|
||||||
|
|
||||||
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||||
|
// StrategyController
|
||||||
|
if s.status != types.StrategyStatusRunning {
|
||||||
|
return
|
||||||
|
}
|
||||||
|
|
||||||
|
//if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
|
||||||
|
// return
|
||||||
|
//}
|
||||||
|
|
||||||
|
if kline.Interval == s.Interval {
|
||||||
|
klines = append(klines, &kline)
|
||||||
|
}
|
||||||
|
if len(klines) > 50 {
|
||||||
|
//if s.UseTickerPrice {
|
||||||
|
// ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
||||||
|
// if err != nil {
|
||||||
|
// return
|
||||||
|
// }
|
||||||
|
//
|
||||||
|
// midPrice := ticker.Buy.Add(ticker.Sell).Div(two)
|
||||||
|
// log.Infof("using ticker price: bid %v / ask %v, mid price %v", ticker.Buy, ticker.Sell, midPrice)
|
||||||
|
// s.placeOrders(ctx, orderExecutor, midPrice, klines[len(klines)-100:])
|
||||||
|
// s.tradeCollector.Process()
|
||||||
|
//}
|
||||||
|
//else {
|
||||||
|
if kline.Interval == s.Interval {
|
||||||
|
|
||||||
|
//if s.state.Position.AverageCost.Div(kline.Close).Float64() < 0.999 {
|
||||||
|
// s.ClosePosition(ctx, fixedpoint.One)
|
||||||
|
// s.tradeCollector.Process()
|
||||||
|
//}
|
||||||
|
|
||||||
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||||
|
log.WithError(err).Errorf("graceful cancel order error")
|
||||||
|
}
|
||||||
|
|
||||||
|
// check if there is a canceled order had partially filled.
|
||||||
|
s.tradeCollector.Process()
|
||||||
|
|
||||||
|
s.placeOrders(ctx, orderExecutor, kline.Close, klines[len(klines)-50:])
|
||||||
|
s.tradeCollector.Process()
|
||||||
|
}
|
||||||
|
//}
|
||||||
|
}
|
||||||
|
|
||||||
|
})
|
||||||
|
|
||||||
|
// s.book = types.NewStreamBook(s.Symbol)
|
||||||
|
// s.book.BindStreamForBackground(session.MarketDataStream)
|
||||||
|
|
||||||
|
//s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||||
|
// //defer wg.Done()
|
||||||
|
// //close(s.stopC)
|
||||||
|
//
|
||||||
|
// if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||||
|
// log.WithError(err).Errorf("graceful cancel order error")
|
||||||
|
// }
|
||||||
|
//
|
||||||
|
// s.tradeCollector.Process()
|
||||||
|
//
|
||||||
|
// if err := s.SaveState(); err != nil {
|
||||||
|
// log.WithError(err).Errorf("can not save state: %+v", s.state)
|
||||||
|
// }
|
||||||
|
//})
|
||||||
|
|
||||||
|
return nil
|
||||||
|
}
|
||||||
|
|
||||||
|
func calculateBandPercentage(up, down, sma, midPrice float64) float64 {
|
||||||
|
if midPrice < sma {
|
||||||
|
// should be negative percentage
|
||||||
|
return (midPrice - sma) / math.Abs(sma-down)
|
||||||
|
} else if midPrice > sma {
|
||||||
|
// should be positive percentage
|
||||||
|
return (midPrice - sma) / math.Abs(up-sma)
|
||||||
|
}
|
||||||
|
|
||||||
|
return 0.0
|
||||||
|
}
|
||||||
|
|
||||||
|
func inBetween(x, a, b float64) bool {
|
||||||
|
return a < x && x < b
|
||||||
|
}
|
||||||
Loading…
Reference in New Issue
Block a user