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strategy: add funding strategy
This commit is contained in:
parent
f661db56bd
commit
d0e26c66e4
36
config/funding.yaml
Normal file
36
config/funding.yaml
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@ -0,0 +1,36 @@
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---
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notifications:
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slack:
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defaultChannel: "dev-bbgo"
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errorChannel: "bbgo-error"
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# if you want to route channel by symbol
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symbolChannels:
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"^BTC": "btc"
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"^ETH": "eth"
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# object routing rules
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routing:
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trade: "$symbol"
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order: "$symbol"
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submitOrder: "$session" # not supported yet
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pnL: "bbgo-pnl"
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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futures: true
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exchangeStrategies:
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- on: binance
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funding:
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symbol: ETHUSDT
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fundingRate:
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high: 0.01%
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supportDetection:
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- interval: 5m
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movingAverageType: EMA
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movingAverageInterval: 1h
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movingAverageWindow: 99
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minVolume: 8_000
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@ -7,7 +7,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/emastop"
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_ "github.com/c9s/bbgo/pkg/strategy/emastop"
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_ "github.com/c9s/bbgo/pkg/strategy/etf"
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_ "github.com/c9s/bbgo/pkg/strategy/etf"
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_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
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_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
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_ "github.com/c9s/bbgo/pkg/strategy/xgap"
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_ "github.com/c9s/bbgo/pkg/strategy/funding"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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@ -18,6 +18,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/swing"
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_ "github.com/c9s/bbgo/pkg/strategy/swing"
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_ "github.com/c9s/bbgo/pkg/strategy/techsignal"
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_ "github.com/c9s/bbgo/pkg/strategy/techsignal"
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_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
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_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
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_ "github.com/c9s/bbgo/pkg/strategy/xgap"
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_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/xnav"
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_ "github.com/c9s/bbgo/pkg/strategy/xnav"
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_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
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_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
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266
pkg/strategy/funding/strategy.go
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266
pkg/strategy/funding/strategy.go
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@ -0,0 +1,266 @@
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package funding
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import (
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"context"
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"errors"
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"fmt"
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"math"
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"strings"
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"time"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "funding"
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var log = logrus.WithField("strategy", ID)
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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// Note: built-in strategies need to imported manually in the bbgo cmd package.
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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*bbgo.Notifiability
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol"`
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Market types.Market `json:"-"`
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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MaxPosition fixedpoint.Value `json:"maxPosition"`
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FundingRate *struct {
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High fixedpoint.Value `json:"high"`
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Neutral fixedpoint.Value `json:"neutral"`
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DiffThreshold fixedpoint.Value `json:"diffThreshold"`
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} `json:"fundingRate"`
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SupportDetection []struct {
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Interval types.Interval `json:"interval"`
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// MovingAverageType is the moving average indicator type that we want to use,
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// it could be SMA or EWMA
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MovingAverageType string `json:"movingAverageType"`
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// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
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// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
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// the k-line data we subscribed
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MovingAverageInterval types.Interval `json:"movingAverageInterval"`
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// MovingAverageWindow is the number of the window size of the moving average indicator.
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// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
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MovingAverageWindow int `json:"movingAverageWindow"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
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} `json:"supportDetection"`
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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// session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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for _, detection := range s.SupportDetection {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(detection.Interval),
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})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(detection.MovingAverageInterval),
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})
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}
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}
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func (s *Strategy) Validate() error {
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if len(s.Symbol) == 0 {
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return errors.New("symbol is required")
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}
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return nil
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}
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func (s *Strategy) listenToFundingRate(ctx context.Context, exchange *binance.Exchange) {
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var previousIndex, fundingRate24HoursLowIndex *types.PremiumIndex
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fundingRateTicker := time.NewTicker(1 * time.Hour)
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defer fundingRateTicker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-fundingRateTicker.C:
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index, err := exchange.QueryPremiumIndex(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Error("can not query last funding rate")
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continue
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}
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fundingRate := index.LastFundingRate
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if fundingRate >= s.FundingRate.High {
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s.Notifiability.Notify("%s funding rate %s is too high! threshold %s",
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s.Symbol,
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fundingRate.Percentage(),
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s.FundingRate.High.Percentage(),
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)
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} else {
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if previousIndex != nil {
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if s.FundingRate.DiffThreshold == 0 {
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// 0.6%
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s.FundingRate.DiffThreshold = fixedpoint.NewFromFloat(0.006 * 0.01)
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}
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diff := fundingRate - previousIndex.LastFundingRate
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if diff.Abs() > s.FundingRate.DiffThreshold {
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s.Notifiability.Notify("%s funding rate changed %s, current funding rate %s",
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s.Symbol,
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diff.SignedPercentage(),
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fundingRate.Percentage(),
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)
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}
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}
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}
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previousIndex = index
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if fundingRate24HoursLowIndex != nil {
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if fundingRate24HoursLowIndex.Time.Before(time.Now().Add(24 * time.Hour)) {
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fundingRate24HoursLowIndex = index
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}
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if fundingRate < fundingRate24HoursLowIndex.LastFundingRate {
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fundingRate24HoursLowIndex = index
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}
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} else {
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fundingRate24HoursLowIndex = index
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}
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}
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
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if !ok {
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return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
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}
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binanceExchange, ok := session.Exchange.(*binance.Exchange)
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if !ok {
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log.Error("exchange does not support funding rate api")
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}
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binanceExchange.UseFutures()
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//if s.FundingRate != nil {
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// go s.listenToFundingRate(ctx, binanceExchange)
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//}
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol {
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return
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}
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log.Infof(s.Symbol)
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for _, detection := range s.SupportDetection {
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if kline.Interval != detection.Interval {
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continue
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}
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closePriceF := kline.GetClose()
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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var ma types.Float64Indicator
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switch strings.ToLower(detection.MovingAverageType) {
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case "sma":
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ma = standardIndicatorSet.SMA(types.IntervalWindow{
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Interval: detection.MovingAverageInterval,
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Window: detection.MovingAverageWindow,
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})
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case "ema", "ewma":
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageInterval,
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Window: detection.MovingAverageWindow,
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})
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default:
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageInterval,
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Window: detection.MovingAverageWindow,
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})
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}
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var lastMA = ma.Last()
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// skip if the closed price is under the moving average
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if closePrice.Float64() < lastMA {
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log.Infof("skip %s support closed price %f > last ma %f", s.Symbol, closePrice.Float64(), lastMA)
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return
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}
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premiumIndex, err := binanceExchange.QueryPremiumIndex(ctx, s.Symbol)
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if err != nil {
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log.Error("exchange does not support funding rate api")
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}
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fundingRate := premiumIndex.LastFundingRate
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if fundingRate >= s.FundingRate.High {
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s.Notifiability.Notify("%s funding rate %s is too high! threshold %s",
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s.Symbol,
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fundingRate.Percentage(),
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s.FundingRate.High.Percentage(),
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)
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} else {
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return
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}
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prettyBaseVolume := s.Market.BaseCurrencyFormatter()
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prettyQuoteVolume := s.Market.QuoteCurrencyFormatter()
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if detection.MinVolume > 0 && kline.Volume > detection.MinVolume.Float64() {
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s.Notifiability.Notify("Detected %s %s resistance base volume %s > min base volume %s, quote volume %s",
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s.Symbol, detection.Interval.String(),
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prettyBaseVolume.FormatMoney(math.Round(kline.Volume)),
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prettyBaseVolume.FormatMoney(math.Round(detection.MinVolume.Float64())),
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prettyQuoteVolume.FormatMoney(math.Round(kline.QuoteVolume)),
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)
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s.Notifiability.Notify(kline)
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baseBalance, ok := session.Account.Balance(s.Market.BaseCurrency)
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if !ok {
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return
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}
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if baseBalance.Available > 0 && baseBalance.Total() < s.MaxPosition {
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log.Infof("start to short position, selling futures..")
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: s.Quantity.Float64(),
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})
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if err != nil {
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log.WithError(err).Error("submit order error")
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}
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}
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} else if detection.MinQuoteVolume > 0 && kline.QuoteVolume > detection.MinQuoteVolume.Float64() {
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s.Notifiability.Notify("Detected %s %s resistance quote volume %s > min quote volume %s, base volume %s",
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s.Symbol, detection.Interval.String(),
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prettyQuoteVolume.FormatMoney(math.Round(kline.QuoteVolume)),
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prettyQuoteVolume.FormatMoney(math.Round(detection.MinQuoteVolume.Float64())),
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prettyBaseVolume.FormatMoney(math.Round(kline.Volume)),
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)
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s.Notifiability.Notify(kline)
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}
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}
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})
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return nil
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}
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