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Merge pull request #1127 from c9s/c9s/strategy/funding

Browse Source 
feature: strategy: xfunding
This commit is contained in:
Yo-An Lin 2023-03-24 15:08:28 +08:00 committed by GitHub
commit cc74156a7d
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GPG Key ID: 4AEE18F83AFDEB23
26 changed files with 1394 additions and 272 deletions
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31
config/funding.yaml
View File

@ -1,31 +0,0 @@
---
notifications:
slack:
defaultChannel: "dev-bbgo"
errorChannel: "bbgo-error"
switches:
trade: true
orderUpdate: true
submitOrder: true
sessions:
binance:
exchange: binance
envVarPrefix: binance
futures: true
exchangeStrategies:
- on: binance
funding:
symbol: ETHUSDT
quantity: 0.0001
fundingRate:
high: 0.01%
supportDetection:
- interval: 1m
movingAverageType: EMA
movingAverageIntervalWindow:
interval: 15m
window: 60
minVolume: 8_000

3
config/grid2-max.yaml
View File

@ -11,7 +11,8 @@ notifications:
sessions:
max:
exchange: max
envVarPrefix: max
envVarPrefix: MAX
# example command:
# godotenv -f .env.local -- go run ./cmd/bbgo backtest --config config/grid2-max.yaml --base-asset-baseline

45
config/xfunding.yaml Normal file
View File

@ -0,0 +1,45 @@
---
notifications:
slack:
defaultChannel: "dev-bbgo"
errorChannel: "bbgo-error"
switches:
trade: true
orderUpdate: true
submitOrder: true
persistence:
redis:
host: 127.0.0.1
port: 6379
db: 1
sessions:
binance:
exchange: binance
envVarPrefix: BINANCE
binance_futures:
exchange: binance
envVarPrefix: BINANCE
futures: true
crossExchangeStrategies:
- xfunding:
spotSession: binance
futuresSession: binance_futures
symbol: ETHUSDT
leverage: 1.0
incrementalQuoteQuantity: 20
quoteInvestment: 50
shortFundingRate:
## when funding rate is higher than this high value, the strategy will start buying spot and opening a short position
high: 0.001%
## when funding rate is lower than this low value, the strategy will start closing futures position and sell the spot
low: -0.01%
## reset will reset the spot/futures positions, the transfer stats and the position state.
# reset: true

1
go.mod
View File

@ -13,6 +13,7 @@ require (
github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b
github.com/cenkalti/backoff/v4 v4.2.0
github.com/cheggaaa/pb/v3 v3.0.8
github.com/cloudflare/cfssl v0.0.0-20190808011637-b1ec8c586c2a
github.com/codingconcepts/env v0.0.0-20200821220118-a8fbf8d84482
github.com/ethereum/go-ethereum v1.10.23
github.com/evanphx/json-patch/v5 v5.6.0

1
go.sum
View File

@ -103,6 +103,7 @@ github.com/chzyer/logex v1.1.10/go.mod h1:+Ywpsq7O8HXn0nuIou7OrIPyXbp3wmkHB+jjWR
github.com/chzyer/readline v0.0.0-20180603132655-2972be24d48e/go.mod h1:nSuG5e5PlCu98SY8svDHJxuZscDgtXS6KTTbou5AhLI=
github.com/chzyer/test v0.0.0-20180213035817-a1ea475d72b1/go.mod h1:Q3SI9o4m/ZMnBNeIyt5eFwwo7qiLfzFZmjNmxjkiQlU=
github.com/client9/misspell v0.3.4/go.mod h1:qj6jICC3Q7zFZvVWo7KLAzC3yx5G7kyvSDkc90ppPyw=
github.com/cloudflare/cfssl v0.0.0-20190808011637-b1ec8c586c2a h1:ym8P2+ZvUvVtpLzy8wFLLvdggUIU31mvldvxixQQI2o=
github.com/cloudflare/cfssl v0.0.0-20190808011637-b1ec8c586c2a/go.mod h1:yMWuSON2oQp+43nFtAV/uvKQIFpSPerB57DCt9t8sSA=
github.com/cncf/udpa/go v0.0.0-20191209042840-269d4d468f6f/go.mod h1:M8M6+tZqaGXZJjfX53e64911xZQV5JYwmTeXPW+k8Sc=
github.com/cncf/udpa/go v0.0.0-20201120205902-5459f2c99403/go.mod h1:WmhPx2Nbnhtbo57+VJT5O0JRkEi1Wbu0z5j0R8u5Hbk=

35
pkg/bbgo/order_execution.go
View File

@ -54,7 +54,7 @@ func (e *ExchangeOrderExecutionRouter) SubmitOrdersTo(ctx context.Context, sessi
return nil, err
}
createdOrders, _, err := BatchPlaceOrder(ctx, es.Exchange, formattedOrders...)
createdOrders, _, err := BatchPlaceOrder(ctx, es.Exchange, nil, formattedOrders...)
return createdOrders, err
}
@ -94,7 +94,7 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
log.Infof("submitting order: %s", order.String())
}
createdOrders, _, err := BatchPlaceOrder(ctx, e.Session.Exchange, formattedOrders...)
createdOrders, _, err := BatchPlaceOrder(ctx, e.Session.Exchange, nil, formattedOrders...)
return createdOrders, err
}
@ -297,10 +297,13 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
return outOrders, nil
}
type OrderCallback func(order types.Order)
// BatchPlaceOrder
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, orderCallback OrderCallback, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
var createdOrders types.OrderSlice
var err error
var errIndexes []int
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
@ -309,6 +312,11 @@ func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders
errIndexes = append(errIndexes, i)
} else if createdOrder != nil {
createdOrder.Tag = submitOrder.Tag
if orderCallback != nil {
orderCallback(*createdOrder)
}
createdOrders = append(createdOrders, *createdOrder)
}
}
@ -316,8 +324,6 @@ func BatchPlaceOrder(ctx context.Context, exchange types.Exchange, submitOrders
return createdOrders, errIndexes, err
}
type OrderCallback func(order types.Order)
// BatchRetryPlaceOrder places the orders and retries the failed orders
func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx []int, orderCallback OrderCallback, logger log.FieldLogger, submitOrders ...types.SubmitOrder) (types.OrderSlice, []int, error) {
if logger == nil {
@ -329,26 +335,12 @@ func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx [
// if the errIdx is nil, then we should iterate all the submit orders
// allocate a variable for new error index
var errIdxNext []int
if len(errIdx) == 0 {
for i, submitOrder := range submitOrders {
createdOrder, err2 := exchange.SubmitOrder(ctx, submitOrder)
var err2 error
createdOrders, errIdx, err2 = BatchPlaceOrder(ctx, exchange, orderCallback, submitOrders...)
if err2 != nil {
werr = multierr.Append(werr, err2)
errIdxNext = append(errIdxNext, i)
} else if createdOrder != nil {
// if the order is successfully created, than we should copy the order tag
createdOrder.Tag = submitOrder.Tag
if orderCallback != nil {
orderCallback(*createdOrder)
}
createdOrders = append(createdOrders, *createdOrder)
}
}
errIdx = errIdxNext
}
timeoutCtx, cancelTimeout := context.WithTimeout(ctx, DefaultSubmitOrderRetryTimeout)
@ -359,6 +351,7 @@ func BatchRetryPlaceOrder(ctx context.Context, exchange types.Exchange, errIdx [
// set backoff max retries to 101 because https://ja.wikipedia.org/wiki/101%E5%9B%9E%E7%9B%AE%E3%81%AE%E3%83%97%E3%83%AD%E3%83%9D%E3%83%BC%E3%82%BA
backoffMaxRetries := uint64(101)
var errIdxNext []int
batchRetryOrder:
for retryRound := 0; len(errIdx) > 0 && retryRound < 10; retryRound++ {
// sleep for 200 millisecond between each retry

14
pkg/bbgo/order_executor_general.go
View File

@ -40,6 +40,7 @@ type GeneralOrderExecutor struct {
marginBaseMaxBorrowable, marginQuoteMaxBorrowable fixedpoint.Value
maxRetries uint
disableNotify bool
closing int64
}
@ -73,6 +74,10 @@ func (e *GeneralOrderExecutor) DisableNotify() {
e.disableNotify = true
}
func (e *GeneralOrderExecutor) SetMaxRetries(maxRetries uint) {
e.maxRetries = maxRetries
}
func (e *GeneralOrderExecutor) startMarginAssetUpdater(ctx context.Context) {
marginService, ok := e.session.Exchange.(types.MarginBorrowRepayService)
if !ok {
@ -194,10 +199,12 @@ func (e *GeneralOrderExecutor) FastSubmitOrders(ctx context.Context, submitOrder
if err != nil {
return nil, err
}
createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, formattedOrders...)
createdOrders, errIdx, err := BatchPlaceOrder(ctx, e.session.Exchange, nil, formattedOrders...)
if len(errIdx) > 0 {
return nil, err
}
if IsBackTesting {
e.orderStore.Add(createdOrders...)
e.activeMakerOrders.Add(createdOrders...)
@ -229,6 +236,11 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
e.tradeCollector.Process()
}
if e.maxRetries == 0 {
createdOrders, _, err := BatchPlaceOrder(ctx, e.session.Exchange, orderCreateCallback, formattedOrders...)
return createdOrders, err
}
createdOrders, _, err := BatchRetryPlaceOrder(ctx, e.session.Exchange, nil, orderCreateCallback, e.logger, formattedOrders...)
return createdOrders, err
}

2
pkg/bbgo/order_processor.go
View File

@ -33,7 +33,7 @@ func AdjustQuantityByMinAmount(quantity, currentPrice, minAmount fixedpoint.Valu
amount := currentPrice.Mul(quantity)
if amount.Compare(minAmount) < 0 {
ratio := minAmount.Div(amount)
quantity = quantity.Mul(ratio)
return quantity.Mul(ratio)
}
return quantity

2
pkg/cmd/strategy/builtin.go
View File

@ -16,7 +16,6 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/fixedmaker"
_ "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/grid2"
_ "github.com/c9s/bbgo/pkg/strategy/harmonic"
@ -38,6 +37,7 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/trendtrader"
_ "github.com/c9s/bbgo/pkg/strategy/wall"
_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
_ "github.com/c9s/bbgo/pkg/strategy/xfunding"
_ "github.com/c9s/bbgo/pkg/strategy/xgap"
_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
_ "github.com/c9s/bbgo/pkg/strategy/xnav"

8
pkg/exchange/binance/binanceapi/client.go
View File

@ -233,6 +233,14 @@ func castPayload(payload interface{}) ([]byte, error) {
case []byte:
return v, nil
case map[string]interface{}:
var params = url.Values{}
for a, b := range v {
params.Add(a, fmt.Sprintf("%v", b))
}
return []byte(params.Encode()), nil
default:
body, err := json.Marshal(v)
return body, err

33
pkg/exchange/binance/binanceapi/futures_transfer_request.go Normal file
View File

@ -0,0 +1,33 @@
package binanceapi
import "github.com/c9s/requestgen"
type FuturesTransferType int
const (
FuturesTransferSpotToUsdtFutures FuturesTransferType = 1
FuturesTransferUsdtFuturesToSpot FuturesTransferType = 2
FuturesTransferSpotToCoinFutures FuturesTransferType = 3
FuturesTransferCoinFuturesToSpot FuturesTransferType = 4
)
type FuturesTransferResponse struct {
TranId int64 `json:"tranId"`
}
//go:generate requestgen -method POST -url "/sapi/v1/futures/transfer" -type FuturesTransferRequest -responseType .FuturesTransferResponse
type FuturesTransferRequest struct {
client requestgen.AuthenticatedAPIClient
asset string `param:"asset"`
// amount is a decimal in string format
amount string `param:"amount"`
transferType FuturesTransferType `param:"type"`
}
func (c *RestClient) NewFuturesTransferRequest() *FuturesTransferRequest {
return &FuturesTransferRequest{client: c}
}

178
pkg/exchange/binance/binanceapi/futures_transfer_request_requestgen.go Normal file
View File

@ -0,0 +1,178 @@
// Code generated by "requestgen -method POST -url /sapi/v1/futures/transfer -type FuturesTransferRequest -responseType .FuturesTransferResponse"; DO NOT EDIT.
package binanceapi
import (
"context"
"encoding/json"
"fmt"
"net/url"
"reflect"
"regexp"
)
func (f *FuturesTransferRequest) Asset(asset string) *FuturesTransferRequest {
f.asset = asset
return f
}
func (f *FuturesTransferRequest) Amount(amount string) *FuturesTransferRequest {
f.amount = amount
return f
}
func (f *FuturesTransferRequest) TransferType(transferType FuturesTransferType) *FuturesTransferRequest {
f.transferType = transferType
return f
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (f *FuturesTransferRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
query := url.Values{}
for _k, _v := range params {
query.Add(_k, fmt.Sprintf("%v", _v))
}
return query, nil
}
// GetParameters builds and checks the parameters and return the result in a map object
func (f *FuturesTransferRequest) GetParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
// check asset field -> json key asset
asset := f.asset
// assign parameter of asset
params["asset"] = asset
// check amount field -> json key amount
amount := f.amount
// assign parameter of amount
params["amount"] = amount
// check transferType field -> json key type
transferType := f.transferType
// TEMPLATE check-valid-values
switch transferType {
case FuturesTransferSpotToUsdtFutures, FuturesTransferUsdtFuturesToSpot, FuturesTransferSpotToCoinFutures, FuturesTransferCoinFuturesToSpot:
params["type"] = transferType
default:
return nil, fmt.Errorf("type value %v is invalid", transferType)
}
// END TEMPLATE check-valid-values
// assign parameter of transferType
params["type"] = transferType
return params, nil
}
// GetParametersQuery converts the parameters from GetParameters into the url.Values format
func (f *FuturesTransferRequest) GetParametersQuery() (url.Values, error) {
query := url.Values{}
params, err := f.GetParameters()
if err != nil {
return query, err
}
for _k, _v := range params {
if f.isVarSlice(_v) {
f.iterateSlice(_v, func(it interface{}) {
query.Add(_k+"[]", fmt.Sprintf("%v", it))
})
} else {
query.Add(_k, fmt.Sprintf("%v", _v))
}
}
return query, nil
}
// GetParametersJSON converts the parameters from GetParameters into the JSON format
func (f *FuturesTransferRequest) GetParametersJSON() ([]byte, error) {
params, err := f.GetParameters()
if err != nil {
return nil, err
}
return json.Marshal(params)
}
// GetSlugParameters builds and checks the slug parameters and return the result in a map object
func (f *FuturesTransferRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
func (f *FuturesTransferRequest) applySlugsToUrl(url string, slugs map[string]string) string {
for _k, _v := range slugs {
needleRE := regexp.MustCompile(":" + _k + "\\b")
url = needleRE.ReplaceAllString(url, _v)
}
return url
}
func (f *FuturesTransferRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
sliceValue := reflect.ValueOf(slice)
for _i := 0; _i < sliceValue.Len(); _i++ {
it := sliceValue.Index(_i).Interface()
_f(it)
}
}
func (f *FuturesTransferRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (f *FuturesTransferRequest) GetSlugsMap() (map[string]string, error) {
slugs := map[string]string{}
params, err := f.GetSlugParameters()
if err != nil {
return slugs, nil
}
for _k, _v := range params {
slugs[_k] = fmt.Sprintf("%v", _v)
}
return slugs, nil
}
func (f *FuturesTransferRequest) Do(ctx context.Context) (*FuturesTransferResponse, error) {
params, err := f.GetParameters()
if err != nil {
return nil, err
}
query := url.Values{}
apiURL := "/sapi/v1/futures/transfer"
req, err := f.client.NewAuthenticatedRequest(ctx, "POST", apiURL, query, params)
if err != nil {
return nil, err
}
response, err := f.client.SendRequest(req)
if err != nil {
return nil, err
}
var apiResponse FuturesTransferResponse
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
return &apiResponse, nil
}

34
pkg/exchange/binance/exchange.go
View File

@ -367,17 +367,45 @@ func (e *Exchange) QueryMarginBorrowHistory(ctx context.Context, asset string) e
return nil
}
func (e *Exchange) TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error {
req := e.client2.NewFuturesTransferRequest()
req.Asset(asset)
req.Amount(amount.String())
if io == types.TransferIn {
req.TransferType(binanceapi.FuturesTransferSpotToUsdtFutures)
} else if io == types.TransferOut {
req.TransferType(binanceapi.FuturesTransferUsdtFuturesToSpot)
} else {
return fmt.Errorf("unexpected transfer direction: %d given", io)
}
resp, err := req.Do(ctx)
switch io {
case types.TransferIn:
log.Infof("internal transfer (spot) => (futures) %s %s, transaction = %+v, err = %+v", amount.String(), asset, resp, err)
case types.TransferOut:
log.Infof("internal transfer (futures) => (spot) %s %s, transaction = %+v, err = %+v", amount.String(), asset, resp, err)
}
return err
}
// transferCrossMarginAccountAsset transfer asset to the cross margin account or to the main account
func (e *Exchange) transferCrossMarginAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io int) error {
func (e *Exchange) transferCrossMarginAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error {
req := e.client.NewMarginTransferService()
req.Asset(asset)
req.Amount(amount.String())
if io > 0 { // in
if io == types.TransferIn {
req.Type(binance.MarginTransferTypeToMargin)
} else if io < 0 { // out
} else if io == types.TransferOut {
req.Type(binance.MarginTransferTypeToMain)
} else {
return fmt.Errorf("unexpected transfer direction: %d given", io)
}
resp, err := req.Do(ctx)
if err != nil {
return err

4
pkg/interact/interact.go
View File

@ -247,9 +247,9 @@ func (it *Interact) Start(ctx context.Context) error {
}
for _, custom := range it.customInteractions {
log.Infof("checking %T custom interaction...", custom)
log.Debugf("checking %T custom interaction...", custom)
if initializer, ok := custom.(Initializer); ok {
log.Infof("initializing %T custom interaction...", custom)
log.Debugf("initializing %T custom interaction...", custom)
if err := initializer.Initialize(); err != nil {
return err
}

2
pkg/strategy/drift/strategy.go
View File

@ -177,7 +177,7 @@ func (s *Strategy) SubmitOrder(ctx context.Context, submitOrder types.SubmitOrde
if err != nil {
return nil, err
}
createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.Session.Exchange, formattedOrder)
createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.Session.Exchange, nil, formattedOrder)
if len(errIdx) > 0 {
return nil, err
}

200
pkg/strategy/funding/strategy.go
View File

@ -1,200 +0,0 @@
package funding
import (
"context"
"errors"
"strings"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "funding"
var log = logrus.WithField("strategy", ID)
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
// Note: built-in strategies need to imported manually in the bbgo cmd package.
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
Market types.Market `json:"-"`
Quantity fixedpoint.Value `json:"quantity,omitempty"`
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
// Interval types.Interval `json:"interval"`
FundingRate *struct {
High fixedpoint.Value `json:"high"`
Neutral fixedpoint.Value `json:"neutral"`
DiffThreshold fixedpoint.Value `json:"diffThreshold"`
} `json:"fundingRate"`
SupportDetection []struct {
Interval types.Interval `json:"interval"`
// MovingAverageType is the moving average indicator type that we want to use,
// it could be SMA or EWMA
MovingAverageType string `json:"movingAverageType"`
// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
// the k-line data we subscribed
// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
//
// // MovingAverageWindow is the number of the window size of the moving average indicator.
// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
// MovingAverageWindow int `json:"movingAverageWindow"`
MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
MinVolume fixedpoint.Value `json:"minVolume"`
MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
} `json:"supportDetection"`
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
// session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
// Interval: string(s.Interval),
// })
for _, detection := range s.SupportDetection {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: detection.Interval,
})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: detection.MovingAverageIntervalWindow.Interval,
})
}
}
func (s *Strategy) Validate() error {
if len(s.Symbol) == 0 {
return errors.New("symbol is required")
}
return nil
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
if !session.Futures {
log.Error("futures not enabled in config for this strategy")
return nil
}
premiumIndex, err := session.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.Error("exchange does not support funding rate api")
}
var ma types.Float64Indicator
for _, detection := range s.SupportDetection {
switch strings.ToLower(detection.MovingAverageType) {
case "sma":
ma = standardIndicatorSet.SMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
case "ema", "ewma":
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
default:
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
}
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
return
}
for _, detection := range s.SupportDetection {
var lastMA = ma.Last()
closePrice := kline.GetClose()
closePriceF := closePrice.Float64()
// skip if the closed price is under the moving average
if closePriceF < lastMA {
log.Infof("skip %s closed price %v < last ma %f", s.Symbol, closePrice, lastMA)
return
}
fundingRate := premiumIndex.LastFundingRate
if fundingRate.Compare(s.FundingRate.High) >= 0 {
bbgo.Notify("%s funding rate %s is too high! threshold %s",
s.Symbol,
fundingRate.Percentage(),
s.FundingRate.High.Percentage(),
)
} else {
log.Infof("skip funding rate is too low")
return
}
prettyBaseVolume := s.Market.BaseCurrencyFormatter()
prettyQuoteVolume := s.Market.QuoteCurrencyFormatter()
if detection.MinVolume.Sign() > 0 && kline.Volume.Compare(detection.MinVolume) > 0 {
bbgo.Notify("Detected %s %s resistance base volume %s > min base volume %s, quote volume %s",
s.Symbol, detection.Interval.String(),
prettyBaseVolume.FormatMoney(kline.Volume.Trunc()),
prettyBaseVolume.FormatMoney(detection.MinVolume.Trunc()),
prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()),
)
bbgo.Notify(kline)
baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
return
}
if baseBalance.Available.Sign() > 0 && baseBalance.Total().Compare(s.MaxExposurePosition) < 0 {
log.Infof("opening a short position")
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: s.Quantity,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
}
} else if detection.MinQuoteVolume.Sign() > 0 && kline.QuoteVolume.Compare(detection.MinQuoteVolume) > 0 {
bbgo.Notify("Detected %s %s resistance quote volume %s > min quote volume %s, base volume %s",
s.Symbol, detection.Interval.String(),
prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()),
prettyQuoteVolume.FormatMoney(detection.MinQuoteVolume.Trunc()),
prettyBaseVolume.FormatMoney(kline.Volume.Trunc()),
)
bbgo.Notify(kline)
}
}
})
return nil
}

26
pkg/strategy/xfunding/positionstate_string.go Normal file
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@ -0,0 +1,26 @@
// Code generated by "stringer -type=PositionState"; DO NOT EDIT.
package xfunding
import "strconv"
func _() {
// An "invalid array index" compiler error signifies that the constant values have changed.
// Re-run the stringer command to generate them again.
var x [1]struct{}
_ = x[PositionClosed-0]
_ = x[PositionOpening-1]
_ = x[PositionReady-2]
_ = x[PositionClosing-3]
}
const _PositionState_name = "PositionClosedPositionOpeningPositionReadyPositionClosing"
var _PositionState_index = [...]uint8{0, 14, 29, 42, 57}
func (i PositionState) String() string {
if i < 0 || i >= PositionState(len(_PositionState_index)-1) {
return "PositionState(" + strconv.FormatInt(int64(i), 10) + ")"
}
return _PositionState_name[_PositionState_index[i]:_PositionState_index[i+1]]
}

784
pkg/strategy/xfunding/strategy.go Normal file
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@ -0,0 +1,784 @@
package xfunding
import (
"context"
"errors"
"fmt"
"strings"
"sync"
"time"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/util/backoff"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "xfunding"
// Position State Transitions:
// NoOp -> Opening
// Opening -> Ready -> Closing
// Closing -> Closed -> Opening
//go:generate stringer -type=PositionState
type PositionState int
const (
PositionClosed PositionState = iota
PositionOpening
PositionReady
PositionClosing
)
var log = logrus.WithField("strategy", ID)
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
// Note: built-in strategies need to imported manually in the bbgo cmd package.
bbgo.RegisterStrategy(ID, &Strategy{})
}
type State struct {
PositionStartTime time.Time `json:"positionStartTime"`
// PositionState is default to NoOp
PositionState PositionState
PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
}
func (s *State) Reset() {
s.PositionState = PositionClosed
s.PendingBaseTransfer = fixedpoint.Zero
s.TotalBaseTransfer = fixedpoint.Zero
s.UsedQuoteInvestment = fixedpoint.Zero
}
// Strategy is the xfunding fee strategy
// Right now it only supports short position in the USDT futures account.
// When opening the short position, it uses spot account to buy inventory, then transfer the inventory to the futures account as collateral assets.
type Strategy struct {
Environment *bbgo.Environment
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
Market types.Market `json:"-"`
// Leverage is the leverage of the futures position
Leverage fixedpoint.Value `json:"leverage,omitempty"`
// IncrementalQuoteQuantity is used for opening position incrementally with a small fixed quote quantity
// for example, 100usdt per order
IncrementalQuoteQuantity fixedpoint.Value `json:"incrementalQuoteQuantity"`
QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
MinHoldingPeriod types.Duration `json:"minHoldingPeriod"`
// ShortFundingRate is the funding rate range for short positions
// TODO: right now we don't support negative funding rate (long position) since it's rarer
ShortFundingRate *struct {
High fixedpoint.Value `json:"high"`
Low fixedpoint.Value `json:"low"`
} `json:"shortFundingRate"`
SupportDetection []struct {
Interval types.Interval `json:"interval"`
// MovingAverageType is the moving average indicator type that we want to use,
// it could be SMA or EWMA
MovingAverageType string `json:"movingAverageType"`
// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
// the k-line data we subscribed
// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
//
// // MovingAverageWindow is the number of the window size of the moving average indicator.
// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
// MovingAverageWindow int `json:"movingAverageWindow"`
MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
MinVolume fixedpoint.Value `json:"minVolume"`
MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
} `json:"supportDetection"`
SpotSession string `json:"spotSession"`
FuturesSession string `json:"futuresSession"`
Reset bool `json:"reset"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
SpotPosition *types.Position `persistence:"spot_position"`
FuturesPosition *types.Position `persistence:"futures_position"`
State *State `persistence:"state"`
// mu is used for locking state
mu sync.Mutex
spotSession, futuresSession *bbgo.ExchangeSession
spotOrderExecutor, futuresOrderExecutor *bbgo.GeneralOrderExecutor
spotMarket, futuresMarket types.Market
// positionType is the futures position type
// currently we only support short position for the positive funding rate
positionType types.PositionType
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
// TODO: add safety check
spotSession := sessions[s.SpotSession]
futuresSession := sessions[s.FuturesSession]
spotSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: types.Interval1m,
})
futuresSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: types.Interval1m,
})
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
func (s *Strategy) Defaults() error {
if s.Leverage.IsZero() {
s.Leverage = fixedpoint.One
}
if s.MinHoldingPeriod == 0 {
s.MinHoldingPeriod = types.Duration(3 * 24 * time.Hour)
}
s.positionType = types.PositionShort
return nil
}
func (s *Strategy) Validate() error {
if len(s.Symbol) == 0 {
return errors.New("symbol is required")
}
if len(s.SpotSession) == 0 {
return errors.New("spotSession name is required")
}
if len(s.FuturesSession) == 0 {
return errors.New("futuresSession name is required")
}
if s.QuoteInvestment.IsZero() {
return errors.New("quoteInvestment can not be zero")
}
return nil
}
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 {
standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
var ma types.Float64Indicator
for _, detection := range s.SupportDetection {
switch strings.ToLower(detection.MovingAverageType) {
case "sma":
ma = standardIndicatorSet.SMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
case "ema", "ewma":
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
default:
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
}
}
_ = ma
return nil
}
func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
instanceID := s.InstanceID()
s.spotSession = sessions[s.SpotSession]
s.futuresSession = sessions[s.FuturesSession]
s.spotMarket, _ = s.spotSession.Market(s.Symbol)
s.futuresMarket, _ = s.futuresSession.Market(s.Symbol)
// adjust QuoteInvestment
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
// adjust available quote with the fee rate
available := b.Available.Mul(fixedpoint.NewFromFloat(1.0 - (0.01 * 0.075)))
s.QuoteInvestment = fixedpoint.Min(available, s.QuoteInvestment)
if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
log.Infof("adjusted quoteInvestment from %s to %s according to the balance",
originalQuoteInvestment.String(),
s.QuoteInvestment.String(),
)
}
}
if s.ProfitStats == nil || s.Reset {
s.ProfitStats = types.NewProfitStats(s.Market)
}
if s.FuturesPosition == nil || s.Reset {
s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
}
if s.SpotPosition == nil || s.Reset {
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
}
if s.State == nil || s.Reset {
s.State = &State{
PositionState: PositionClosed,
PendingBaseTransfer: fixedpoint.Zero,
TotalBaseTransfer: fixedpoint.Zero,
UsedQuoteInvestment: fixedpoint.Zero,
}
}
log.Infof("loaded spot position: %s", s.SpotPosition.String())
log.Infof("loaded futures position: %s", s.FuturesPosition.String())
binanceFutures := s.futuresSession.Exchange.(*binance.Exchange)
binanceSpot := s.spotSession.Exchange.(*binance.Exchange)
_ = binanceSpot
s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
s.spotOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
// we act differently on the spot account
// when opening a position, we place orders on the spot account first, then the futures account,
// and we need to accumulate the used quote amount
//
// when closing a position, we place orders on the futures account first, then the spot account
// we need to close the position according to its base quantity instead of quote quantity
if s.positionType != types.PositionShort {
return
}
switch s.State.PositionState {
case PositionOpening:
if trade.Side != types.SideTypeBuy {
log.Errorf("unexpected trade side: %+v, expecting BUY trade", trade)
return
}
s.mu.Lock()
s.State.UsedQuoteInvestment = s.State.UsedQuoteInvestment.Add(trade.QuoteQuantity)
s.mu.Unlock()
// if we have trade, try to query the balance and transfer the balance to the futures wallet account
// TODO: handle missing trades here. If the process crashed during the transfer, how to recover?
if err := backoff.RetryGeneral(ctx, func() error {
return s.transferIn(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
}); err != nil {
log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
return
}
case PositionClosing:
if trade.Side != types.SideTypeSell {
log.Errorf("unexpected trade side: %+v, expecting SELL trade", trade)
return
}
}
})
s.futuresOrderExecutor = s.allocateOrderExecutor(ctx, s.futuresSession, instanceID, s.FuturesPosition)
s.futuresOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
if s.positionType != types.PositionShort {
return
}
switch s.getPositionState() {
case PositionClosing:
if err := backoff.RetryGeneral(ctx, func() error {
return s.transferOut(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
}); err != nil {
log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
return
}
}
})
s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
// s.queryAndDetectPremiumIndex(ctx, binanceFutures)
}))
go func() {
ticker := time.NewTicker(10 * time.Second)
defer ticker.Stop()
for {
select {
case <-ctx.Done():
return
case <-ticker.C:
s.queryAndDetectPremiumIndex(ctx, binanceFutures)
s.sync(ctx)
}
}
}()
// TODO: use go routine and time.Ticker to trigger spot sync and futures sync
/*
s.spotSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
}))
*/
return nil
}
func (s *Strategy) queryAndDetectPremiumIndex(ctx context.Context, binanceFutures *binance.Exchange) {
premiumIndex, err := binanceFutures.QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.WithError(err).Error("premium index query error")
return
}
log.Info(premiumIndex)
if changed := s.detectPremiumIndex(premiumIndex); changed {
log.Infof("position state changed to -> %s %s", s.positionType, s.State.PositionState.String())
}
}
func (s *Strategy) sync(ctx context.Context) {
switch s.getPositionState() {
case PositionOpening:
s.increaseSpotPosition(ctx)
s.syncFuturesPosition(ctx)
case PositionClosing:
s.reduceFuturesPosition(ctx)
s.syncSpotPosition(ctx)
}
}
func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
if s.notPositionState(PositionClosing) {
return
}
futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
if futuresBase.Sign() > 0 {
// unexpected error
log.Errorf("unexpected futures position (got positive, expecting negative)")
return
}
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
if futuresBase.Compare(fixedpoint.Zero) < 0 {
orderPrice := ticker.Buy
orderQuantity := futuresBase.Abs()
orderQuantity = fixedpoint.Max(orderQuantity, s.futuresMarket.MinQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return
}
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.futuresMarket,
ReduceOnly: true,
})
if err != nil {
log.WithError(err).Errorf("can not submit order")
return
}
log.Infof("created orders: %+v", createdOrders)
}
}
// syncFuturesPosition syncs the futures position with the given spot position
// when the spot is transferred successfully, sync futures position
// compare spot position and futures position, increase the position size until they are the same size
func (s *Strategy) syncFuturesPosition(ctx context.Context) {
if s.positionType != types.PositionShort {
return
}
if s.notPositionState(PositionOpening) {
return
}
spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
if spotBase.IsZero() || spotBase.Sign() < 0 {
// skip when spot base is zero
return
}
log.Infof("position comparision: %s (spot) <=> %s (futures)", spotBase.String(), futuresBase.String())
if futuresBase.Sign() > 0 {
// unexpected error
log.Errorf("unexpected futures position (got positive, expecting negative)")
return
}
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
// compare with the spot position and increase the position
quoteValue, err := bbgo.CalculateQuoteQuantity(ctx, s.futuresSession, s.futuresMarket.QuoteCurrency, s.Leverage)
if err != nil {
log.WithError(err).Errorf("can not calculate futures account quote value")
return
}
log.Infof("calculated futures account quote value = %s", quoteValue.String())
// max futures base position (without negative sign)
maxFuturesBasePosition := fixedpoint.Min(
spotBase.Mul(s.Leverage),
s.State.TotalBaseTransfer.Mul(s.Leverage))
// if - futures position < max futures position, increase it
if futuresBase.Neg().Compare(maxFuturesBasePosition) < 0 {
orderPrice := ticker.Sell
diffQuantity := maxFuturesBasePosition.Sub(futuresBase.Neg())
if diffQuantity.Sign() < 0 {
log.Errorf("unexpected negative position diff: %s", diffQuantity.String())
return
}
log.Infof("position diff quantity: %s", diffQuantity.String())
orderQuantity := fixedpoint.Max(diffQuantity, s.futuresMarket.MinQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return
}
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.futuresMarket,
})
if err != nil {
log.WithError(err).Errorf("can not submit order")
return
}
log.Infof("created orders: %+v", createdOrders)
}
}
func (s *Strategy) syncSpotPosition(ctx context.Context) {
if s.positionType != types.PositionShort {
return
}
if s.notPositionState(PositionClosing) {
return
}
spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
if spotBase.IsZero() {
s.setPositionState(PositionClosed)
return
}
// skip short spot position
if spotBase.Sign() < 0 {
return
}
log.Infof("spot/futures positions: %s (spot) <=> %s (futures)", spotBase.String(), futuresBase.String())
if futuresBase.Sign() > 0 {
// unexpected error
log.Errorf("unexpected futures position (got positive, expecting negative)")
return
}
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
ticker, err := s.spotSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
if s.SpotPosition.IsDust(ticker.Sell) {
dust := s.SpotPosition.GetBase().Abs()
cost := s.SpotPosition.AverageCost
log.Warnf("spot dust loss: %f %s (average cost = %f)", dust.Float64(), s.spotMarket.BaseCurrency, cost.Float64())
s.SpotPosition.Reset()
s.setPositionState(PositionClosed)
return
}
// spot pos size > futures pos size ==> reduce spot position
if spotBase.Compare(futuresBase.Neg()) > 0 {
diffQuantity := spotBase.Sub(futuresBase.Neg())
if diffQuantity.Sign() < 0 {
log.Errorf("unexpected negative position diff: %s", diffQuantity.String())
return
}
orderPrice := ticker.Sell
orderQuantity := diffQuantity
if b, ok := s.spotSession.Account.Balance(s.spotMarket.BaseCurrency); ok {
orderQuantity = fixedpoint.Min(b.Available, orderQuantity)
}
// avoid increase the order size
if s.spotMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.spotMarket)
return
}
createdOrders, err := s.spotOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.futuresMarket,
})
if err != nil {
log.WithError(err).Errorf("can not submit spot order")
return
}
log.Infof("created spot orders: %+v", createdOrders)
}
}
func (s *Strategy) increaseSpotPosition(ctx context.Context) {
if s.positionType != types.PositionShort {
log.Errorf("funding long position type is not supported")
return
}
if s.notPositionState(PositionOpening) {
return
}
s.mu.Lock()
defer s.mu.Unlock()
if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
// stop increase the position
s.setPositionState(PositionReady)
// DEBUG CODE - triggering closing position automatically
// s.startClosingPosition()
return
}
_ = s.spotOrderExecutor.GracefulCancel(ctx)
ticker, err := s.spotSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
leftQuota := s.QuoteInvestment.Sub(s.State.UsedQuoteInvestment)
orderPrice := ticker.Buy
orderQuantity := fixedpoint.Min(s.IncrementalQuoteQuantity, leftQuota).Div(orderPrice)
log.Infof("initial spot order quantity %s", orderQuantity.String())
orderQuantity = fixedpoint.Max(orderQuantity, s.spotMarket.MinQuantity)
orderQuantity = s.spotMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.spotMarket.IsDustQuantity(orderQuantity, orderPrice) {
return
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.spotMarket,
}
log.Infof("placing spot order: %+v", submitOrder)
createdOrders, err := s.spotOrderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not submit order")
return
}
log.Infof("created orders: %+v", createdOrders)
}
func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) bool {
fundingRate := premiumIndex.LastFundingRate
log.Infof("last %s funding rate: %s", s.Symbol, fundingRate.Percentage())
if s.ShortFundingRate == nil {
return false
}
switch s.getPositionState() {
case PositionClosed:
if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
s.startOpeningPosition(types.PositionShort, premiumIndex.Time)
return true
}
case PositionReady:
if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
log.Infof("funding rate %s is lower than the Low threshold %s, start closing position...",
fundingRate.Percentage(), s.ShortFundingRate.Low.Percentage())
holdingPeriod := premiumIndex.Time.Sub(s.State.PositionStartTime)
if holdingPeriod < time.Duration(s.MinHoldingPeriod) {
log.Warnf("position holding period %s is less than %s, skip closing", holdingPeriod, s.MinHoldingPeriod.Duration())
return false
}
s.startClosingPosition()
return true
}
}
return false
}
func (s *Strategy) startOpeningPosition(pt types.PositionType, t time.Time) {
// only open a new position when there is no position
if s.notPositionState(PositionClosed) {
return
}
log.Infof("startOpeningPosition")
s.setPositionState(PositionOpening)
s.positionType = pt
// reset the transfer stats
s.State.PositionStartTime = t
s.State.PendingBaseTransfer = fixedpoint.Zero
s.State.TotalBaseTransfer = fixedpoint.Zero
}
func (s *Strategy) startClosingPosition() {
// we can't close a position that is not ready
if s.notPositionState(PositionReady) {
return
}
log.Infof("startClosingPosition")
s.setPositionState(PositionClosing)
// reset the transfer stats
s.State.PendingBaseTransfer = fixedpoint.Zero
}
func (s *Strategy) setPositionState(state PositionState) {
s.mu.Lock()
origState := s.State.PositionState
s.State.PositionState = state
s.mu.Unlock()
log.Infof("position state transition: %s -> %s", origState.String(), state.String())
}
func (s *Strategy) isPositionState(state PositionState) bool {
s.mu.Lock()
ret := s.State.PositionState == state
s.mu.Unlock()
return ret
}
func (s *Strategy) getPositionState() PositionState {
return s.State.PositionState
}
func (s *Strategy) notPositionState(state PositionState) bool {
s.mu.Lock()
ret := s.State.PositionState != state
s.mu.Unlock()
return ret
}
func (s *Strategy) allocateOrderExecutor(ctx context.Context, session *bbgo.ExchangeSession, instanceID string, position *types.Position) *bbgo.GeneralOrderExecutor {
orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, position)
orderExecutor.SetMaxRetries(0)
orderExecutor.BindEnvironment(s.Environment)
orderExecutor.Bind()
orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _, _ fixedpoint.Value) {
s.ProfitStats.AddTrade(trade)
})
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
return orderExecutor
}

127
pkg/strategy/xfunding/transfer.go Normal file
View File

@ -0,0 +1,127 @@
package xfunding
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type FuturesTransfer interface {
TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error
QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)
}
func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, currency string, trade types.Trade) error {
// base asset needs BUY trades
if trade.Side != types.SideTypeBuy {
return nil
}
// if transfer done
if s.State.TotalBaseTransfer.IsZero() {
return nil
}
// de-leverage and get the collateral base quantity for transfer
quantity := trade.Quantity
quantity = quantity.Div(s.Leverage)
balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
if err != nil {
log.Infof("adding to pending base transfer: %s %s + %s", quantity.String(), currency, s.State.PendingBaseTransfer.String())
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return err
}
b, ok := balances[currency]
if !ok {
log.Infof("adding to pending base transfer: %s %s + %s", quantity.String(), currency, s.State.PendingBaseTransfer.String())
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return fmt.Errorf("%s balance not found", currency)
}
// add the previous pending base transfer and the current trade quantity
amount := s.State.PendingBaseTransfer.Add(quantity)
// try to transfer more if we enough balance
amount = fixedpoint.Min(amount, b.Available)
// we can only transfer the rest quota (total base transfer)
amount = fixedpoint.Min(s.State.TotalBaseTransfer, amount)
// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
if amount.IsZero() {
log.Infof("adding to pending base transfer: %s %s + %s ", quantity.String(), currency, s.State.PendingBaseTransfer.String())
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return nil
}
// de-leverage and get the collateral base quantity
collateralBase := s.FuturesPosition.GetBase().Abs().Div(s.Leverage)
_ = collateralBase
// if s.State.TotalBaseTransfer.Compare(collateralBase)
log.Infof("transfering out futures account asset %s %s", amount, currency)
if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferOut); err != nil {
return err
}
// reset pending transfer
s.State.PendingBaseTransfer = fixedpoint.Zero
// reduce the transfer in the total base transfer
s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Sub(amount)
return nil
}
func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, currency string, trade types.Trade) error {
// base asset needs BUY trades
if trade.Side == types.SideTypeSell {
return nil
}
balances, err := s.spotSession.Exchange.QueryAccountBalances(ctx)
if err != nil {
return err
}
b, ok := balances[currency]
if !ok {
return fmt.Errorf("%s balance not found", currency)
}
// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
quantity := trade.Quantity
if b.Available.Compare(quantity) < 0 {
log.Infof("adding to pending base transfer: %s %s", quantity, currency)
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return nil
}
amount := s.State.PendingBaseTransfer.Add(quantity)
pos := s.SpotPosition.GetBase().Abs()
rest := pos.Sub(s.State.TotalBaseTransfer)
if rest.Sign() < 0 {
return nil
}
amount = fixedpoint.Min(rest, amount)
log.Infof("transfering in futures account asset %s %s", amount, currency)
if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferIn); err != nil {
return err
}
// reset pending transfer
s.State.PendingBaseTransfer = fixedpoint.Zero
// record the transfer in the total base transfer
s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(amount)
return nil
}

2
pkg/strategy/xgap/strategy.go
View File

@ -331,7 +331,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price))
}
createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, tradingSession.Exchange, types.SubmitOrder{
createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, tradingSession.Exchange, nil, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,

20
pkg/types/channel.go
View File

@ -2,8 +2,18 @@ package types
type Channel string
var BookChannel = Channel("book")
var KLineChannel = Channel("kline")
var BookTickerChannel = Channel("bookticker")
var MarketTradeChannel = Channel("trade")
var AggTradeChannel = Channel("aggTrade")
const (
BookChannel = Channel("book")
KLineChannel = Channel("kline")
BookTickerChannel = Channel("bookTicker")
MarketTradeChannel = Channel("trade")
AggTradeChannel = Channel("aggTrade")
// channels for futures
MarkPriceChannel = Channel("markPrice")
LiquidationOrderChannel = Channel("liquidationOrder")
// ContractInfoChannel is the contract info provided by the exchange
ContractInfoChannel = Channel("contractInfo")
)

27
pkg/types/market.go
View File

@ -2,6 +2,7 @@ package types
import (
"math"
"strconv"
"github.com/leekchan/accounting"
@ -59,7 +60,14 @@ func (m Market) IsDustQuantity(quantity, price fixedpoint.Value) bool {
// TruncateQuantity uses the step size to truncate floating number, in order to avoid the rounding issue
func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value {
return fixedpoint.MustNewFromString(m.FormatQuantity(quantity))
var ts = m.StepSize.Float64()
var prec = int(math.Round(math.Log10(ts) * -1.0))
var pow10 = math.Pow10(prec)
qf := math.Trunc(quantity.Float64() * pow10)
qf = qf / pow10
qs := strconv.FormatFloat(qf, 'f', prec, 64)
return fixedpoint.MustNewFromString(qs)
}
func (m Market) TruncatePrice(price fixedpoint.Value) fixedpoint.Value {
@ -136,6 +144,23 @@ func (m Market) CanonicalizeVolume(val fixedpoint.Value) float64 {
return math.Trunc(p*val.Float64()) / p
}
// AdjustQuantityByMinNotional adjusts the quantity to make the amount greater than the given minAmount
func (m Market) AdjustQuantityByMinNotional(quantity, currentPrice fixedpoint.Value) fixedpoint.Value {
// modify quantity for the min amount
quantity = m.TruncateQuantity(quantity)
amount := currentPrice.Mul(quantity)
if amount.Compare(m.MinNotional) < 0 {
ratio := m.MinNotional.Div(amount)
quantity = quantity.Mul(ratio)
ts := m.StepSize.Float64()
prec := int(math.Round(math.Log10(ts) * -1.0))
return quantity.Round(prec, fixedpoint.Up)
}
return quantity
}
type MarketMap map[string]Market
func (m MarketMap) Add(market Market) {

50
pkg/types/market_test.go
View File

@ -191,3 +191,53 @@ func Test_formatQuantity(t *testing.T) {
})
}
}
func TestMarket_TruncateQuantity(t *testing.T) {
market := Market{
StepSize: fixedpoint.NewFromFloat(0.0001),
}
testCases := []struct {
input string
expect string
}{
{"0.00573961", "0.0057"},
{"0.00579961", "0.0057"},
{"0.0057", "0.0057"},
}
for _, testCase := range testCases {
q := fixedpoint.MustNewFromString(testCase.input)
q2 := market.TruncateQuantity(q)
assert.Equalf(t, testCase.expect, q2.String(), "input: %s stepSize: %s", testCase.input, market.StepSize.String())
}
}
func TestMarket_AdjustQuantityByMinNotional(t *testing.T) {
market := Market{
Symbol: "ETHUSDT",
StepSize: fixedpoint.NewFromFloat(0.0001),
MinQuantity: fixedpoint.NewFromFloat(0.0001),
MinNotional: fixedpoint.NewFromFloat(10.0),
VolumePrecision: 8,
PricePrecision: 2,
}
// Quantity:0.00573961 Price:1750.99
testCases := []struct {
input string
expect string
}{
{"0.00573961", "0.0058"},
}
price := fixedpoint.NewFromFloat(1750.99)
for _, testCase := range testCases {
q := fixedpoint.MustNewFromString(testCase.input)
q2 := market.AdjustQuantityByMinNotional(q, price)
assert.Equalf(t, testCase.expect, q2.String(), "input: %s stepSize: %s", testCase.input, market.StepSize.String())
assert.False(t, market.IsDustQuantity(q2, price))
}
}

5
pkg/types/premiumindex.go
View File

@ -1,6 +1,7 @@
package types
import (
"fmt"
"time"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -13,3 +14,7 @@ type PremiumIndex struct {
NextFundingTime time.Time `json:"nextFundingTime"`
Time time.Time `json:"time"`
}
func (i *PremiumIndex) String() string {
return fmt.Sprintf("PremiumIndex | %s | %.4f | %s | %s | NEXT FUNDING TIME: %s", i.Symbol, i.MarkPrice.Float64(), i.LastFundingRate.Percentage(), i.Time, i.NextFundingTime)
}

8
pkg/types/transfer.go Normal file
View File

@ -0,0 +1,8 @@
package types
type TransferDirection int
const (
TransferIn TransferDirection = 1
TransferOut TransferDirection = -1
)

18
pkg/util/backoff/general.go Normal file
View File

@ -0,0 +1,18 @@
package backoff
import (
"context"
"github.com/cenkalti/backoff/v4"
)
var MaxRetries uint64 = 101
func RetryGeneral(ctx context.Context, op backoff.Operation) (err error) {
err = backoff.Retry(op, backoff.WithContext(
backoff.WithMaxRetries(
backoff.NewExponentialBackOff(),
MaxRetries),
ctx))
return err
}