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strategy: add fmaker

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fmaker: cleanup
This commit is contained in:
austin362667 2022-05-29 21:27:58 +08:00
parent 61a53947ee
commit c904f9f0f7
29 changed files with 1990 additions and 0 deletions
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26
config/fmaker.yaml Normal file
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@ -0,0 +1,26 @@
sessions:
binance:
exchange: binance
envVarPrefix: binance
exchangeStrategies:
- on: binance
fmaker:
symbol: BTCUSDT
interval: 1m
spread: 0.15%
amount: 300 # 11
backtest:
sessions:
- binance
startTime: "2022-01-01"
endTime: "2022-05-31"
symbols:
- BTCUSDT
account:
binance:
balances:
BTC: 1 # 1
USDT: 45_000 # 30_000

1
pkg/cmd/builtin.go
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@ -10,6 +10,7 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/ewoDgtrd"
_ "github.com/c9s/bbgo/pkg/strategy/factorzoo"
_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
_ "github.com/c9s/bbgo/pkg/strategy/fmaker"
_ "github.com/c9s/bbgo/pkg/strategy/funding"
_ "github.com/c9s/bbgo/pkg/strategy/grid"
_ "github.com/c9s/bbgo/pkg/strategy/kline"

90
pkg/strategy/fmaker/A18.go Normal file
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@ -0,0 +1,90 @@
package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type A18
type A18 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *A18) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *A18) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateA18(recentT, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *A18) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *A18) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
// CLOSE/DELAY(CLOSE,5)
func calculateA18(klines []types.KLine, valClose KLineValueMapper) (float64, error) {
window := 5
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var closes types.Float64Slice
for _, k := range klines {
closes.Push(valClose(k))
}
delay5 := closes.Index(4)
curr := closes.Index(0)
alpha := curr / delay5
return alpha, nil
}

102
pkg/strategy/fmaker/A2.go Normal file
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@ -0,0 +1,102 @@
package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type A2
type A2 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *A2) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *A2) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateA2(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *A2) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *A2) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
// (-1 * DELTA((((CLOSE - LOW) - (HIGH - CLOSE)) / (HIGH - LOW)), 1))
func calculateA2(klines []types.KLine, valLow KLineValueMapper, valHigh KLineValueMapper, valClose KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var lows types.Float64Slice
var highs types.Float64Slice
var closes types.Float64Slice
for _, k := range klines {
lows.Push(valLow(k))
highs.Push(valHigh(k))
closes.Push(valClose(k))
}
prev := ((closes.Index(1) - lows.Index(1)) - (highs.Index(1) - closes.Index(1))) / (highs.Index(1) - lows.Index(1))
curr := ((closes.Index(0) - lows.Index(0)) - (highs.Index(0) - closes.Index(0))) / (highs.Index(0) - lows.Index(0))
alpha := (curr - prev) * -1 // delta(1 interval)
return alpha, nil
}
func KLineLowPriceMapper(k types.KLine) float64 {
return k.Low.Float64()
}
func KLineHighPriceMapper(k types.KLine) float64 {
return k.High.Float64()
}

108
pkg/strategy/fmaker/A3.go Normal file
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@ -0,0 +1,108 @@
package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"math"
"time"
)
//go:generate callbackgen -type A3
type A3 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *A3) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *A3) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateA3(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate pivots")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *A3) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *A3) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
// SUM((CLOSE = DELAY(CLOSE, 1)?0:CLOSE-(CLOSE>DELAY(CLOSE, 1)?MIN(LOW, DELAY(CLOSE, 1)):MAX(HIGH, DELAY(CLOSE, 1)))), 6)
func calculateA3(klines []types.KLine, valLow KLineValueMapper, valHigh KLineValueMapper, valClose KLineValueMapper) (float64, error) {
window := 6 + 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var lows types.Float64Slice
var highs types.Float64Slice
var closes types.Float64Slice
for _, k := range klines {
lows.Push(valLow(k))
highs.Push(valHigh(k))
closes.Push(valClose(k))
}
a := 0.
sumA := 0.
for i := 1; i <= 6; i++ {
if closes.Index(len(closes)-i) == closes.Index(len(closes)-i-1) {
a = 0.
} else {
if closes.Index(len(closes)-i) > closes.Index(1) {
a = closes.Index(len(closes)-i) - math.Min(lows.Index(len(lows)-i), closes.Index(len(closes)-i-1))
} else {
a = closes.Index(len(closes)-i) - math.Max(highs.Index(len(highs)-i), closes.Index(len(closes)-i-1))
}
}
sumA += a
}
alpha := sumA // sum(a, 6 interval)
return alpha, nil
}

96
pkg/strategy/fmaker/A34.go Normal file
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@ -0,0 +1,96 @@
package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type A34
type A34 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *A34) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *A34) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateA34(recentT, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate pivots")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *A34) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *A34) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateA34(klines []types.KLine, valClose KLineValueMapper) (float64, error) {
window := 12
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var closes types.Float64Slice
for _, k := range klines {
closes.Push(valClose(k))
}
c := closes.Last()
sumC := 0.
for i := 1; i <= 12; i++ {
sumC += closes.Index(len(closes) - i)
}
meanC := sumC / 12
alpha := meanC / c
return alpha, nil
}

93
pkg/strategy/fmaker/R.go Normal file
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@ -0,0 +1,93 @@
package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
var zeroTime time.Time
type KLineValueMapper func(k types.KLine) float64
//go:generate callbackgen -type R
type R struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *R) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *R) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateR(recentT, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate pivots")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *R) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *R) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateR(klines []types.KLine, valOpen KLineValueMapper, valClose KLineValueMapper) (float64, error) {
window := 1
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var opens types.Float64Slice
var closes types.Float64Slice
for _, k := range klines {
opens.Push(valOpen(k))
closes.Push(valClose(k))
}
ret := opens.Index(0)/closes.Index(0) - 1 // delta(1 interval)
return ret, nil
}

88
pkg/strategy/fmaker/S0.go Normal file
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@ -0,0 +1,88 @@
package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type S0
type S0 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S0) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S0) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS0(recentT, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S0) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S0) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS0(klines []types.KLine, valClose KLineValueMapper) (float64, error) {
window := 20
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var closes types.Float64Slice
for _, k := range klines {
closes.Push(valClose(k))
}
sma := types.Float64Slice.Sum(closes[len(closes)-window:len(closes)-1]) / float64(window)
alpha := sma / closes.Last()
return alpha, nil
}

99
pkg/strategy/fmaker/S1.go Normal file
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package fmaker
import (
"fmt"
"math"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type S1
type S1 struct {
types.IntervalWindow
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *S1) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S1) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
correlation, err := calculateS1(recentT, inc.Window, KLineAmplitudeMapper, indicator.KLineVolumeMapper)
if err != nil {
log.WithError(err).Error("can not calculate correlation")
return
}
inc.Values.Push(correlation)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(correlation)
}
func (inc *S1) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S1) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS1(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) {
length := len(klines)
if length == 0 || length < window {
return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
}
sumA, sumB, sumAB, squareSumA, squareSumB := 0., 0., 0., 0., 0.
for _, k := range klines {
// sum of elements of array A
sumA += valA(k)
// sum of elements of array B
sumB += valB(k)
// sum of A[i] * B[i].
sumAB = sumAB + valA(k)*valB(k)
// sum of square of array elements.
squareSumA = squareSumA + valA(k)*valA(k)
squareSumB = squareSumB + valB(k)*valB(k)
}
// use formula for calculating correlation coefficient.
corr := (float64(window)*sumAB - sumA*sumB) /
math.Sqrt((float64(window)*squareSumA-sumA*sumA)*(float64(window)*squareSumB-sumB*sumB))
return -corr, nil
}
func KLineAmplitudeMapper(k types.KLine) float64 {
return k.High.Div(k.Low).Float64()
}

95
pkg/strategy/fmaker/S2.go Normal file
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@ -0,0 +1,95 @@
package fmaker
import (
"fmt"
"math"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type S2
type S2 struct {
types.IntervalWindow
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *S2) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S2) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
correlation, err := calculateS2(recentT, inc.Window, indicator.KLineOpenPriceMapper, indicator.KLineVolumeMapper)
if err != nil {
log.WithError(err).Error("can not calculate correlation")
return
}
inc.Values.Push(correlation)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(correlation)
}
func (inc *S2) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S2) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS2(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) {
length := len(klines)
if length == 0 || length < window {
return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
}
sumA, sumB, sumAB, squareSumA, squareSumB := 0., 0., 0., 0., 0.
for _, k := range klines {
// sum of elements of array A
sumA += valA(k)
// sum of elements of array B
sumB += valB(k)
// sum of A[i] * B[i].
sumAB = sumAB + valA(k)*valB(k)
// sum of square of array elements.
squareSumA = squareSumA + valA(k)*valA(k)
squareSumB = squareSumB + valB(k)*valB(k)
}
// use formula for calculating correlation coefficient.
corr := (float64(window)*sumAB - sumA*sumB) /
math.Sqrt((float64(window)*squareSumA-sumA*sumA)*(float64(window)*squareSumB-sumB*sumB))
return -corr, nil
}

91
pkg/strategy/fmaker/S3.go Normal file
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package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type S3
type S3 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S3) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S3) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS3(recentT, indicator.KLineClosePriceMapper, indicator.KLineOpenPriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S3) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S3) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS3(klines []types.KLine, valClose KLineValueMapper, valOpen KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var closes types.Float64Slice
var opens types.Float64Slice
for _, k := range klines {
closes.Push(valClose(k))
opens.Push(valOpen(k))
}
prevC := closes.Index(1)
currO := opens.Index(0)
alpha := currO / prevC
return alpha, nil
}

88
pkg/strategy/fmaker/S4.go Normal file
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package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type S4
type S4 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S4) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S4) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS4(recentT, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S4) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S4) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS4(klines []types.KLine, valClose KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var closes types.Float64Slice
for _, k := range klines {
closes.Push(valClose(k))
}
currC := closes.Index(0)
alpha := 1 / currC
return alpha, nil
}

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pkg/strategy/fmaker/S5.go Normal file
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package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type S5
type S5 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S5) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S5) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS5(recentT, indicator.KLineVolumeMapper)
if err != nil {
log.WithError(err).Error("can not calculate pivots")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S5) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S5) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS5(klines []types.KLine, valVolume KLineValueMapper) (float64, error) {
window := 10
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var volumes types.Float64Slice
for _, k := range klines {
volumes.Push(valVolume(k))
}
v := volumes.Last()
sumV := 0.
for i := 1; i <= 10; i++ {
sumV += volumes.Index(len(volumes) - i)
}
meanV := sumV / 10
alpha := -v / meanV
return alpha, nil
}

98
pkg/strategy/fmaker/S6.go Normal file
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package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type S6
type S6 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S6) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S6) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS6(recentT, indicator.KLineHighPriceMapper, indicator.KLineLowPriceMapper, indicator.KLineClosePriceMapper, indicator.KLineVolumeMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S6) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S6) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS6(klines []types.KLine, valHigh KLineValueMapper, valLow KLineValueMapper, valClose KLineValueMapper, valVolume KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var highs types.Float64Slice
var lows types.Float64Slice
var closes types.Float64Slice
var volumes types.Float64Slice
for _, k := range klines {
highs.Push(valHigh(k))
lows.Push(valLow(k))
closes.Push(valClose(k))
volumes.Push(valVolume(k))
}
H := highs.Last()
L := lows.Last()
C := closes.Last()
V := volumes.Last()
alpha := (H + L + C) / 3 * V
return alpha, nil
}

92
pkg/strategy/fmaker/S7.go Normal file
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package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type S7
type S7 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S7) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S7) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS7(recentT, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S7) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *S7) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS7(klines []types.KLine, valOpen KLineValueMapper, valClose KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var opens types.Float64Slice
var closes types.Float64Slice
for _, k := range klines {
opens.Push(valOpen(k))
closes.Push(valClose(k))
}
O := opens.Last()
C := closes.Last()
alpha := -(1 - O/C)
return alpha, nil
}

15
pkg/strategy/fmaker/a18_callbacks.go Normal file
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// Code generated by "callbackgen -type A18"; DO NOT EDIT.
package fmaker
import ()
func (inc *A18) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *A18) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/a2_callbacks.go Normal file
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// Code generated by "callbackgen -type A2"; DO NOT EDIT.
package fmaker
import ()
func (inc *A2) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *A2) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/a34_callbacks.go Normal file
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// Code generated by "callbackgen -type A34"; DO NOT EDIT.
package fmaker
import ()
func (inc *A34) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *A34) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/a3_callbacks.go Normal file
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// Code generated by "callbackgen -type A3"; DO NOT EDIT.
package fmaker
import ()
func (inc *A3) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *A3) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/r_callbacks.go Normal file
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// Code generated by "callbackgen -type R"; DO NOT EDIT.
package fmaker
import ()
func (inc *R) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *R) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/s0_callbacks.go Normal file
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// Code generated by "callbackgen -type S0"; DO NOT EDIT.
package fmaker
import ()
func (inc *S0) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S0) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/s1_callbacks.go Normal file
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// Code generated by "callbackgen -type S1"; DO NOT EDIT.
package fmaker
import ()
func (inc *S1) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S1) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

15
pkg/strategy/fmaker/s2_callbacks.go Normal file
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// Code generated by "callbackgen -type S2"; DO NOT EDIT.
package fmaker
import ()
func (inc *S2) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S2) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

15
pkg/strategy/fmaker/s3_callbacks.go Normal file
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// Code generated by "callbackgen -type S3"; DO NOT EDIT.
package fmaker
import ()
func (inc *S3) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S3) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/s4_callbacks.go Normal file
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// Code generated by "callbackgen -type S4"; DO NOT EDIT.
package fmaker
import ()
func (inc *S4) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S4) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/s5_callbacks.go Normal file
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// Code generated by "callbackgen -type S5"; DO NOT EDIT.
package fmaker
import ()
func (inc *S5) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S5) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/s6_callbacks.go Normal file
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// Code generated by "callbackgen -type S6"; DO NOT EDIT.
package fmaker
import ()
func (inc *S6) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S6) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

15
pkg/strategy/fmaker/s7_callbacks.go Normal file
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// Code generated by "callbackgen -type S7"; DO NOT EDIT.
package fmaker
import ()
func (inc *S7) OnUpdate(cb func(val float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *S7) EmitUpdate(val float64) {
for _, cb := range inc.UpdateCallbacks {
cb(val)
}
}

532
pkg/strategy/fmaker/strategy.go Normal file
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package fmaker
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/sajari/regression"
"github.com/sirupsen/logrus"
"gonum.org/v1/gonum/floats"
"math"
)
const ID = "fmaker"
var fifteen = fixedpoint.NewFromInt(15)
var three = fixedpoint.NewFromInt(3)
var two = fixedpoint.NewFromInt(2)
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type IntervalWindowSetting struct {
types.IntervalWindow
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability
*bbgo.Persistence
Environment *bbgo.Environment
Symbol string `json:"symbol"`
Market types.Market
Interval types.Interval `json:"interval"`
Quantity fixedpoint.Value `json:"quantity"`
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
Spread fixedpoint.Value `json:"spread" persistence:"spread"`
activeMakerOrders *bbgo.LocalActiveOrderBook
//closePositionOrders *bbgo.LocalActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
session *bbgo.ExchangeSession
bbgo.QuantityOrAmount
S0 *S0
S1 *S1
S2 *S2
S3 *S3
S4 *S4
S5 *S5
S6 *S6
S7 *S7
A2 *A2
A3 *A3
A18 *A18
A34 *A34
R *R
// StrategyController
bbgo.StrategyController
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
log.Infof("subscribe %s", s.Symbol)
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval15m})
}
func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Price: price,
Quantity: qty,
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place orders")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
//s.tradeCollector.Process()
}
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
base := s.Position.GetBase()
if base.IsZero() {
return fmt.Errorf("no opened %s position", s.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,
//Price: closePrice,
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...)
return err
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// initial required information
s.session = session
//s.prevClose = fixedpoint.Zero
// first we need to get market data store(cached market data) from the exchange session
//st, _ := session.MarketDataStore(s.Symbol)
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(session.UserDataStream)
//s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
//s.closePositionOrders.BindStream(session.UserDataStream)
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
// calculate group id for orders
instanceID := s.InstanceID()
//s.groupID = util.FNV32(instanceID)
// Always update the position fields
s.Position.Strategy = ID
s.Position.StrategyInstanceID = instanceID
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.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.ProfitStats.AddTrade(trade)
if profit.Compare(fixedpoint.Zero) == 0 {
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
s.Notify(&p)
s.ProfitStats.AddProfit(p)
s.Notify(&s.ProfitStats)
s.Environment.RecordPosition(s.Position, trade, &p)
}
})
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
log.Infof("position changed: %s", s.Position)
s.Notify(s.Position)
})
s.tradeCollector.BindStream(session.UserDataStream)
st, _ := session.MarketDataStore(s.Symbol)
riw := types.IntervalWindow{Window: 1, Interval: s.Interval}
s.R = &R{IntervalWindow: riw}
s.R.Bind(st)
s0iw := types.IntervalWindow{Window: 20, Interval: s.Interval}
s.S0 = &S0{IntervalWindow: s0iw}
s.S0.Bind(st)
s1iw := types.IntervalWindow{Window: 20, Interval: s.Interval}
s.S1 = &S1{IntervalWindow: s1iw}
s.S1.Bind(st)
s2iw := types.IntervalWindow{Window: 20, Interval: s.Interval}
s.S2 = &S2{IntervalWindow: s2iw}
s.S2.Bind(st)
s3iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
s.S3 = &S3{IntervalWindow: s3iw}
s.S3.Bind(st)
s4iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
s.S4 = &S4{IntervalWindow: s4iw}
s.S4.Bind(st)
s5iw := types.IntervalWindow{Window: 10, Interval: s.Interval}
s.S5 = &S5{IntervalWindow: s5iw}
s.S5.Bind(st)
s6iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
s.S6 = &S6{IntervalWindow: s6iw}
s.S6.Bind(st)
s7iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
s.S7 = &S7{IntervalWindow: s7iw}
s.S7.Bind(st)
a2iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
s.A2 = &A2{IntervalWindow: a2iw}
s.A2.Bind(st)
a3iw := types.IntervalWindow{Window: 8, Interval: s.Interval}
s.A3 = &A3{IntervalWindow: a3iw}
s.A3.Bind(st)
a18iw := types.IntervalWindow{Window: 5, Interval: s.Interval}
s.A18 = &A18{IntervalWindow: a18iw}
s.A18.Bind(st)
a34iw := types.IntervalWindow{Window: 12, Interval: s.Interval}
s.A34 = &A34{IntervalWindow: a34iw}
s.A34.Bind(st)
session.UserDataStream.OnStart(func() {
log.Infof("connected")
})
outlook := 1
//futuresMode := s.session.Futures || s.session.IsolatedFutures
cnt := 0
//var prevEr float64
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
//if kline.Interval == types.Interval15m && kline.Symbol == s.Symbol && !s.Market.IsDustQuantity(s.Position.GetBase(), kline.Close) {
// if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
// log.WithError(err).Errorf("graceful cancel order error")
// }
// s.ClosePosition(ctx, fixedpoint.One)
// s.tradeCollector.Process()
//}
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
return
}
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
cnt += 1
if cnt < 15+1+outlook {
return
}
r := new(regression.Regression)
r.SetObserved("Return Rate Per Interval")
r.SetVar(0, "S0")
r.SetVar(1, "S1")
r.SetVar(2, "S2")
//r.SetVar(2, "S3")
r.SetVar(3, "S4")
r.SetVar(4, "S5")
r.SetVar(5, "S6")
r.SetVar(6, "S7")
r.SetVar(7, "A2")
r.SetVar(8, "A3")
r.SetVar(9, "A18")
r.SetVar(10, "A34")
var rdps regression.DataPoints
for i := 1; i <= 15; i++ {
s0 := s.S0.Values[len(s.S0.Values)-i-outlook]
s1 := s.S1.Values[len(s.S1.Values)-i-outlook]
s2 := s.S2.Values[len(s.S2.Values)-i-outlook]
//s3 := s.S3.Values[len(s.S3.Values)-i-1]
s4 := s.S4.Values[len(s.S4.Values)-i-outlook]
s5 := s.S5.Values[len(s.S5.Values)-i-outlook]
s6 := s.S6.Values[len(s.S6.Values)-i-outlook]
s7 := s.S7.Values[len(s.S7.Values)-i-outlook]
a2 := s.A2.Values[len(s.A2.Values)-i-outlook]
a3 := s.A3.Values[len(s.A3.Values)-i-outlook]
a18 := s.A18.Values[len(s.A18.Values)-i-outlook]
a34 := s.A34.Values[len(s.A34.Values)-i-outlook]
ret := s.R.Values[len(s.R.Values)-i]
rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
}
//for i := 40; i > 20; i-- {
// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook])
// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook])
// //s3 := s.S3.Values[len(s.S3.Values)-i-1]
// s4 := preprocessing(s.S4.Values[len(s.S4.Values)-i : len(s.S4.Values)-i+20-outlook])
// s5 := preprocessing(s.S5.Values[len(s.S5.Values)-i : len(s.S5.Values)-i+20-outlook])
// a2 := preprocessing(s.A2.Values[len(s.A2.Values)-i : len(s.A2.Values)-i+20-outlook])
// a3 := preprocessing(s.A3.Values[len(s.A3.Values)-i : len(s.A3.Values)-i+20-outlook])
// a18 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
// a34 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
//
// ret := s.R.Values[len(s.R.Values)-i]
// rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}))
//}
r.Train(rdps...)
r.Run()
er, _ := r.Predict(types.Float64Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last()})
log.Infof("Expected Return Rate: %f", er)
q := new(regression.Regression)
q.SetObserved("Order Quantity Per Interval")
q.SetVar(0, "S0")
q.SetVar(1, "S1")
q.SetVar(2, "S2")
//q.SetVar(2, "S3")
q.SetVar(3, "S4")
q.SetVar(4, "S5")
q.SetVar(5, "S6")
q.SetVar(6, "S7")
q.SetVar(7, "A2")
q.SetVar(8, "A3")
q.SetVar(9, "A18")
q.SetVar(10, "A34")
var qdps regression.DataPoints
for i := 1; i <= 15; i++ {
s0 := math.Pow(s.S0.Values[len(s.S0.Values)-i-outlook], 1)
s1 := math.Pow(s.S1.Values[len(s.S1.Values)-i-outlook], 1)
s2 := math.Pow(s.S2.Values[len(s.S2.Values)-i-outlook], 1)
//s3 := s.S3.Values[len(s.S3.Values)-i-1]
s4 := math.Pow(s.S4.Values[len(s.S4.Values)-i-outlook], 1)
s5 := math.Pow(s.S5.Values[len(s.S5.Values)-i-outlook], 1)
s6 := s.S6.Values[len(s.S6.Values)-i-outlook]
s7 := s.S7.Values[len(s.S7.Values)-i-outlook]
a2 := math.Pow(s.A2.Values[len(s.A2.Values)-i-outlook], 1)
a3 := math.Pow(s.A3.Values[len(s.A3.Values)-i-outlook], 1)
a18 := math.Pow(s.A18.Values[len(s.A18.Values)-i-outlook], 1)
a34 := math.Pow(s.A34.Values[len(s.A34.Values)-i-outlook], 1)
ret := s.R.Values[len(s.R.Values)-i]
qty := math.Abs(ret)
qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
}
//for i := 40; i > 20; i-- {
// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook])
// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook])
// //s3 := s.S3.Values[len(s.S3.Values)-i-1]
// s4 := preprocessing(s.S4.Values[len(s.S4.Values)-i : len(s.S4.Values)-i+20-outlook])
// s5 := preprocessing(s.S5.Values[len(s.S5.Values)-i : len(s.S5.Values)-i+20-outlook])
// a2 := preprocessing(s.A2.Values[len(s.A2.Values)-i : len(s.A2.Values)-i+20-outlook])
// a3 := preprocessing(s.A3.Values[len(s.A3.Values)-i : len(s.A3.Values)-i+20-outlook])
// a18 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
// a34 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
//
// ret := s.R.Values[len(s.R.Values)-i]
// qty := math.Abs(ret)
// qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}))
//}
q.Train(qdps...)
q.Run()
log.Info(s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S3.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last())
log.Infof("Return Rate Regression formula:\n%v", r.Formula)
log.Infof("Order Quantity Regression formula:\n%v", q.Formula)
//s0 := preprocessing(s.S0.Values[len(s.S0.Values)-20 : len(s.S0.Values)-1])
//s1 := preprocessing(s.S1.Values[len(s.S1.Values)-20 : len(s.S1.Values)-1-outlook])
//s2 := preprocessing(s.S2.Values[len(s.S2.Values)-20 : len(s.S2.Values)-1-outlook])
////s3 := s.S3.Values[len(s.S3.Values)-i-1]
//s4 := preprocessing(s.S4.Values[len(s.S4.Values)-20 : len(s.S4.Values)-1-outlook])
//s5 := preprocessing(s.S5.Values[len(s.S5.Values)-20 : len(s.S5.Values)-1-outlook])
//a2 := preprocessing(s.A2.Values[len(s.A2.Values)-20 : len(s.A2.Values)-1-outlook])
//a3 := preprocessing(s.A3.Values[len(s.A3.Values)-20 : len(s.A3.Values)-1-outlook])
//a18 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
//a34 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
//er, _ := r.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
//eq, _ := q.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
eq, _ := q.Predict(types.Float64Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last(), er})
log.Infof("Expected Order Quantity: %f", eq)
//if float64(s.Position.GetBase().Sign())*er < 0 {
// s.ClosePosition(ctx, fixedpoint.One, kline.Close)
// s.tradeCollector.Process()
//}
//prevEr = er
//spd := s.Spread.Float64()
// inventory = m * alpha + spread
AskAlphaBoundary := (s.Position.GetBase().Mul(kline.Close).Float64() - 100) / 10000
BidAlphaBoundary := (s.Position.GetBase().Mul(kline.Close).Float64() + 100) / 10000
log.Info(s.Position.GetBase().Mul(kline.Close).Float64(), AskAlphaBoundary, er, BidAlphaBoundary)
BidPrice := kline.Close.Mul(fixedpoint.One.Sub(s.Spread))
BidQty := s.QuantityOrAmount.CalculateQuantity(BidPrice)
BidQty = BidQty //.Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq)))
AskPrice := kline.Close.Mul(fixedpoint.One.Add(s.Spread))
AskQty := s.QuantityOrAmount.CalculateQuantity(AskPrice)
AskQty = AskQty //.Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq)))
if er > 0 || (er < 0 && er > AskAlphaBoundary/kline.Close.Float64()) {
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Price: BidPrice,
Quantity: BidQty, //0.0005
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place orders")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
s.tradeCollector.Process()
//submitOrder = types.SubmitOrder{
// Symbol: s.Symbol,
// Side: types.SideTypeSell,
// Type: types.OrderTypeLimitMaker,
// Price: kline.Close.Mul(fixedpoint.One.Add(s.Spread)),
// Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005
//}
//createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
//if err != nil {
// log.WithError(err).Errorf("can not place orders")
//}
//s.orderStore.Add(createdOrders...)
//s.activeMakerOrders.Add(createdOrders...)
//s.tradeCollector.Process()
}
if er < 0 || (er > 0 && er < BidAlphaBoundary/kline.Close.Float64()) {
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Price: AskPrice,
Quantity: AskQty, //0.0005
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place orders")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
s.tradeCollector.Process()
//submitOrder = types.SubmitOrder{
// Symbol: s.Symbol,
// Side: types.SideTypeBuy,
// Type: types.OrderTypeLimitMaker,
// Price: kline.Close.Mul(fixedpoint.One.Sub(s.Spread)),
// Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005
//}
//createdOrders, err = orderExecutor.SubmitOrders(ctx, submitOrder)
//if err != nil {
// log.WithError(err).Errorf("can not place orders")
//}
//s.orderStore.Add(createdOrders...)
//s.activeMakerOrders.Add(createdOrders...)
//s.tradeCollector.Process()
}
})
return nil
}
func tanh(x float64) float64 {
y := (math.Exp(x) - math.Exp(-x)) / (math.Exp(x) + math.Exp(-x))
return y
}
func mean(xs []float64) float64 {
return floats.Sum(xs) / float64(len(xs))
}
func stddev(xs []float64) float64 {
mu := mean(xs)
squaresum := 0.
for _, x := range xs {
squaresum += (x - mu) * (x - mu)
}
return math.Sqrt(squaresum / float64(len(xs)-1))
}
func preprocessing(xs []float64) float64 {
//return 0.5 * tanh(0.01*((xs[len(xs)-1]-mean(xs))/stddev(xs))) // tanh estimator
return tanh((xs[len(xs)-1] - mean(xs)) / stddev(xs)) // tanh z-score
return (xs[len(xs)-1] - mean(xs)) / stddev(xs) // z-score
}