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liquiditymaker: use order generator
This commit is contained in:
c9s
parent
533907894e
commit
cc5c033af7
54
config/liquiditymaker.yaml
Normal file
54
config/liquiditymaker.yaml
Normal file
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@ -0,0 +1,54 @@
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sessions:
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max:
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exchange: max
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envVarPrefix: max
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makerFeeRate: 0%
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takerFeeRate: 0.025%
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#services:
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# googleSpreadSheet:
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# jsonTokenFile: ".credentials/google-cloud/service-account-json-token.json"
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# spreadSheetId: "YOUR_SPREADSHEET_ID"
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exchangeStrategies:
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- on: max
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liquiditymaker:
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symbol: &symbol USDTTWD
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## adjustmentUpdateInterval is the interval for adjusting position
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adjustmentUpdateInterval: 1m
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## liquidityUpdateInterval is the interval for updating liquidity orders
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liquidityUpdateInterval: 1h
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numOfLiquidityLayers: 30
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askLiquidityAmount: 20_000.0
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bidLiquidityAmount: 20_000.0
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liquidityPriceRange: 2%
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useLastTradePrice: true
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spread: 1.1%
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liquidityScale:
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exp:
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domain: [1, 30]
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range: [1, 4]
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## maxExposure controls how much balance should be used for placing the maker orders
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maxExposure: 200_000
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minProfit: 0.01%
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backtest:
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sessions:
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- max
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startTime: "2023-05-20"
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endTime: "2023-06-01"
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symbols:
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- *symbol
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account:
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max:
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makerFeeRate: 0.0%
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takerFeeRate: 0.025%
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balances:
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USDT: 5000
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TWD: 150_000
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@ -25,6 +25,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/irr"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/linregmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/liquiditymaker"
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_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
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_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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@ -42,7 +42,7 @@ func TestLiquidityOrderGenerator(t *testing.T) {
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assert.InDelta(t, 1.0, scale.Call(1.0), 0.00001)
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assert.InDelta(t, 4.0, scale.Call(30.0), 0.00001)
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totalAmount := Number(200_000.0)
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totalAmount := Number(20_000.0)
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t.Run("ask orders", func(t *testing.T) {
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orders := g.Generate(types.SideTypeSell, totalAmount, Number(2.0), Number(2.04), 30, scale)
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@ -55,26 +55,26 @@ func TestLiquidityOrderGenerator(t *testing.T) {
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assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("1513.40")},
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{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("1587.50")},
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{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("1665.23")},
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{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("1746.77")},
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{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("1832.30")},
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{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("1922.02")},
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{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("2016.13")},
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{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("2114.85")},
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{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("2218.40")},
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{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("2327.02")},
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{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("2440.96")},
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{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("2560.48")},
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{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("2685.86")},
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{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("2817.37")},
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{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("2955.32")},
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{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("151.34")},
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{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("158.75")},
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{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("166.52")},
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{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("174.67")},
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{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("183.23")},
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{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("192.20")},
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{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("201.61")},
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{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("211.48")},
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{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("221.84")},
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{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("232.70")},
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{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("244.09")},
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{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("256.04")},
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{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("268.58")},
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{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("281.73")},
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{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("295.53")},
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}, orders[0:15])
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("5771.04")},
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{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("6053.62")},
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{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("577.10")},
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{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("605.36")},
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}, orders[28:30])
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})
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@ -89,26 +89,26 @@ func TestLiquidityOrderGenerator(t *testing.T) {
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assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("1551.37")},
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{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("1627.33")},
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{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("1707.01")},
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{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("1790.59")},
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{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("1878.27")},
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{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("1970.24")},
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{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("2066.71")},
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{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("2167.91")},
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{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("2274.06")},
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{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("2385.40")},
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{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("2502.20")},
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{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("2624.72")},
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{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("2753.24")},
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{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("2888.05")},
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{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("3029.46")},
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{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("155.13")},
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{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("162.73")},
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{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("170.70")},
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{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("179.05")},
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{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("187.82")},
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{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("197.02")},
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{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("206.67")},
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{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("216.79")},
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{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("227.40")},
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{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("238.54")},
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{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("250.22")},
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{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("262.47")},
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{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("275.32")},
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{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("288.80")},
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{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("302.94")},
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}, orders[0:15])
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("5915.83")},
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{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("6205.49")},
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{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("591.58")},
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{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("620.54")},
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}, orders[28:30])
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})
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}
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@ -3,7 +3,6 @@ package liquiditymaker
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import (
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"context"
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"fmt"
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"math"
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"sync"
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log "github.com/sirupsen/logrus"
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@ -44,18 +43,16 @@ type Strategy struct {
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AdjustmentUpdateInterval types.Interval `json:"adjustmentUpdateInterval"`
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NumOfLiquidityLayers int `json:"numOfLiquidityLayers"`
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LiquiditySlideRule *bbgo.SlideRule `json:"liquidityScale"`
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LiquidityLayerTickSize fixedpoint.Value `json:"liquidityLayerTickSize"`
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LiquiditySkew fixedpoint.Value `json:"liquiditySkew"`
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LiquidityPriceRange fixedpoint.Value `json:"liquidityPriceRange"`
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NumOfLiquidityLayers int `json:"numOfLiquidityLayers"`
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LiquiditySlideRule *bbgo.SlideRule `json:"liquidityScale"`
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LiquidityPriceRange fixedpoint.Value `json:"liquidityPriceRange"`
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AskLiquidityAmount fixedpoint.Value `json:"askLiquidityAmount"`
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BidLiquidityAmount fixedpoint.Value `json:"bidLiquidityAmount"`
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AskLiquidityAmount fixedpoint.Value `json:"askLiquidityAmount"`
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BidLiquidityAmount fixedpoint.Value `json:"bidLiquidityAmount"`
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Spread fixedpoint.Value `json:"spread"`
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MaxPrice fixedpoint.Value `json:"maxPrice"`
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MinPrice fixedpoint.Value `json:"minPrice"`
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UseLastTradePrice bool `json:"useLastTradePrice"`
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Spread fixedpoint.Value `json:"spread"`
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MaxPrice fixedpoint.Value `json:"maxPrice"`
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MinPrice fixedpoint.Value `json:"minPrice"`
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MaxExposure fixedpoint.Value `json:"maxExposure"`
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@ -65,6 +62,8 @@ type Strategy struct {
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book *types.StreamOrderBook
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liquidityScale bbgo.Scale
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orderGenerator *LiquidityOrderGenerator
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}
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func (s *Strategy) ID() string {
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@ -85,6 +84,11 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
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s.Strategy = &common.Strategy{}
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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s.orderGenerator = &LiquidityOrderGenerator{
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Symbol: s.Symbol,
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Market: s.Market,
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}
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s.book = types.NewStreamBook(s.Symbol)
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s.book.BindStream(session.MarketDataStream)
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@ -209,6 +213,11 @@ func (s *Strategy) placeAdjustmentOrders(ctx context.Context) {
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}
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func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
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err := s.liquidityOrderBook.GracefulCancel(ctx, s.Session.Exchange)
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if logErr(err, "unable to cancel orders") {
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return
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}
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ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
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if logErr(err, "unable to query ticker") {
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return
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@ -219,11 +228,14 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
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return
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}
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err = s.liquidityOrderBook.GracefulCancel(ctx, s.Session.Exchange)
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if logErr(err, "unable to cancel orders") {
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if _, err := s.Session.UpdateAccount(ctx); err != nil {
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logErr(err, "unable to update account")
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return
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}
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baseBal, _ := s.Session.Account.Balance(s.Market.BaseCurrency)
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quoteBal, _ := s.Session.Account.Balance(s.Market.QuoteCurrency)
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if ticker.Buy.IsZero() && ticker.Sell.IsZero() {
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ticker.Sell = ticker.Last.Add(s.Market.TickSize)
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ticker.Buy = ticker.Last.Sub(s.Market.TickSize)
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@ -233,78 +245,32 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
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ticker.Sell = ticker.Buy.Add(s.Market.TickSize)
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}
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if _, err := s.Session.UpdateAccount(ctx); err != nil {
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logErr(err, "unable to update account")
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return
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}
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baseBal, _ := s.Session.Account.Balance(s.Market.BaseCurrency)
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quoteBal, _ := s.Session.Account.Balance(s.Market.QuoteCurrency)
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log.Infof("ticker: %+v", ticker)
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lastTradedPrice := ticker.Last
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midPrice := ticker.Sell.Add(ticker.Buy).Div(fixedpoint.Two)
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currentSpread := ticker.Sell.Sub(ticker.Buy)
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tickSize := fixedpoint.Max(s.LiquidityLayerTickSize, s.Market.TickSize)
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sideSpread := s.Spread.Div(fixedpoint.Two)
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log.Infof("current: spread: %f lastTradedPrice: %f midPrice: %f", currentSpread.Float64(), lastTradedPrice.Float64(), midPrice.Float64())
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if s.UseLastTradePrice {
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midPrice = lastTradedPrice
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}
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log.Infof("current spread: %f lastTradedPrice: %f midPrice: %f", currentSpread.Float64(), lastTradedPrice.Float64(), midPrice.Float64())
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ask1Price := midPrice.Mul(fixedpoint.One.Add(sideSpread))
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bid1Price := midPrice.Mul(fixedpoint.One.Sub(sideSpread))
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askLastPrice := midPrice.Mul(fixedpoint.One.Add(s.LiquidityPriceRange))
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bidLastPrice := midPrice.Mul(fixedpoint.One.Sub(s.LiquidityPriceRange))
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log.Infof("wanted side spread: %f askRange: %f ~ %f bidRange: %f ~ %f", sideSpread.Float64(),
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log.Infof("wanted side spread: %f askRange: %f ~ %f bidRange: %f ~ %f",
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sideSpread.Float64(),
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ask1Price.Float64(), askLastPrice.Float64(),
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bid1Price.Float64(), bidLastPrice.Float64())
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askLayerSpread := askLastPrice.Sub(ask1Price).Div(fixedpoint.NewFromInt(int64(s.NumOfLiquidityLayers)))
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bidLayerSpread := bid1Price.Sub(bidLastPrice).Div(fixedpoint.NewFromInt(int64(s.NumOfLiquidityLayers)))
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if askLayerSpread.Compare(tickSize) < 0 {
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askLayerSpread = tickSize
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}
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if bidLayerSpread.Compare(tickSize) < 0 {
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bidLayerSpread = tickSize
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}
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sum := s.liquidityScale.Sum(1.0)
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askSum := sum
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bidSum := sum
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log.Infof("liquidity sum: %f / %f", askSum, bidSum)
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skew := s.LiquiditySkew.Float64()
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useSkew := !s.LiquiditySkew.IsZero()
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if useSkew {
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askSum = sum / skew
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bidSum = sum * skew
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log.Infof("adjusted liqudity skew: %f / %f", askSum, bidSum)
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}
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var bidPrices []fixedpoint.Value
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var askPrices []fixedpoint.Value
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// calculate and collect prices
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for i := 0; i <= s.NumOfLiquidityLayers; i++ {
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fi := fixedpoint.NewFromInt(int64(i))
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bidPrice := bid1Price.Sub(bidLayerSpread.Mul(fi))
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askPrice := ask1Price.Add(askLayerSpread.Mul(fi))
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bidPrice = s.Market.TruncatePrice(bidPrice)
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askPrice = s.Market.TruncatePrice(askPrice)
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bidPrices = append(bidPrices, bidPrice)
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askPrices = append(askPrices, askPrice)
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}
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availableBase := baseBal.Available
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availableQuote := quoteBal.Available
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makerQuota := &bbgo.QuotaTransaction{}
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makerQuota.QuoteAsset.Add(availableQuote)
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makerQuota.BaseAsset.Add(availableBase)
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log.Infof("balances before liq orders: %s, %s",
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baseBal.String(),
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quoteBal.String())
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@ -319,79 +285,32 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
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}
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}
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askX := availableBase.Float64() / askSum
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bidX := availableQuote.Float64() / (bidSum * (fixedpoint.Sum(bidPrices).Float64()))
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bidOrders := s.orderGenerator.Generate(types.SideTypeBuy,
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fixedpoint.Min(s.BidLiquidityAmount, quoteBal.Available),
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bid1Price,
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bidLastPrice,
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s.NumOfLiquidityLayers,
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s.liquidityScale)
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askX = math.Trunc(askX*1e8) / 1e8
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bidX = math.Trunc(bidX*1e8) / 1e8
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askOrders := s.orderGenerator.Generate(types.SideTypeSell,
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s.AskLiquidityAmount,
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ask1Price,
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askLastPrice,
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s.NumOfLiquidityLayers,
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s.liquidityScale)
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var liqOrders []types.SubmitOrder
|
||||
for i := 0; i <= s.NumOfLiquidityLayers; i++ {
|
||||
bidQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * bidX)
|
||||
askQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * askX)
|
||||
bidPrice := bidPrices[i]
|
||||
askPrice := askPrices[i]
|
||||
orderForms := append(bidOrders, askOrders...)
|
||||
|
||||
log.Infof("liqudity layer #%d %f/%f = %f/%f", i, askPrice.Float64(), bidPrice.Float64(), askQuantity.Float64(), bidQuantity.Float64())
|
||||
|
||||
placeBuy := true
|
||||
placeSell := true
|
||||
averageCost := s.Position.AverageCost
|
||||
// when long position, do not place sell orders below the average cost
|
||||
if !s.Position.IsDust() {
|
||||
if s.Position.IsLong() && askPrice.Compare(averageCost) < 0 {
|
||||
placeSell = false
|
||||
}
|
||||
|
||||
if s.Position.IsShort() && bidPrice.Compare(averageCost) > 0 {
|
||||
placeBuy = false
|
||||
}
|
||||
}
|
||||
|
||||
quoteQuantity := bidQuantity.Mul(bidPrice)
|
||||
|
||||
if s.Market.IsDustQuantity(bidQuantity, bidPrice) || !makerQuota.QuoteAsset.Lock(quoteQuantity) {
|
||||
placeBuy = false
|
||||
}
|
||||
|
||||
if s.Market.IsDustQuantity(askQuantity, askPrice) || !makerQuota.BaseAsset.Lock(askQuantity) {
|
||||
placeSell = false
|
||||
}
|
||||
|
||||
if placeBuy {
|
||||
liqOrders = append(liqOrders, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimitMaker,
|
||||
Quantity: bidQuantity,
|
||||
Price: bidPrice,
|
||||
Market: s.Market,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
})
|
||||
}
|
||||
|
||||
if placeSell {
|
||||
liqOrders = append(liqOrders, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimitMaker,
|
||||
Quantity: askQuantity,
|
||||
Price: askPrice,
|
||||
Market: s.Market,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
makerQuota.Commit()
|
||||
|
||||
createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, liqOrders...)
|
||||
createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
|
||||
if logErr(err, "unable to place liquidity orders") {
|
||||
return
|
||||
}
|
||||
|
||||
s.liquidityOrderBook.Add(createdOrders...)
|
||||
log.Infof("%d liq orders are placed successfully", len(liqOrders))
|
||||
log.Infof("%d liq orders are placed successfully", len(orderForms))
|
||||
for _, o := range createdOrders {
|
||||
log.Infof("liq order: %+v", o)
|
||||
}
|
||||
}
|
||||
|
||||
func profitProtectedPrice(
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user