strategy: add funding strategy

This commit is contained in:
austin362667 2022-01-13 19:35:05 +08:00
parent f661db56bd
commit d0e26c66e4
3 changed files with 304 additions and 1 deletions

36
config/funding.yaml Normal file
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@ -0,0 +1,36 @@
---
notifications:
slack:
defaultChannel: "dev-bbgo"
errorChannel: "bbgo-error"
# if you want to route channel by symbol
symbolChannels:
"^BTC": "btc"
"^ETH": "eth"
# object routing rules
routing:
trade: "$symbol"
order: "$symbol"
submitOrder: "$session" # not supported yet
pnL: "bbgo-pnl"
sessions:
binance:
exchange: binance
envVarPrefix: binance
futures: true
exchangeStrategies:
- on: binance
funding:
symbol: ETHUSDT
fundingRate:
high: 0.01%
supportDetection:
- interval: 5m
movingAverageType: EMA
movingAverageInterval: 1h
movingAverageWindow: 99
minVolume: 8_000

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@ -7,7 +7,7 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/emastop" _ "github.com/c9s/bbgo/pkg/strategy/emastop"
_ "github.com/c9s/bbgo/pkg/strategy/etf" _ "github.com/c9s/bbgo/pkg/strategy/etf"
_ "github.com/c9s/bbgo/pkg/strategy/flashcrash" _ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
_ "github.com/c9s/bbgo/pkg/strategy/xgap" _ "github.com/c9s/bbgo/pkg/strategy/funding"
_ "github.com/c9s/bbgo/pkg/strategy/grid" _ "github.com/c9s/bbgo/pkg/strategy/grid"
_ "github.com/c9s/bbgo/pkg/strategy/kline" _ "github.com/c9s/bbgo/pkg/strategy/kline"
_ "github.com/c9s/bbgo/pkg/strategy/pricealert" _ "github.com/c9s/bbgo/pkg/strategy/pricealert"
@ -18,6 +18,7 @@ import (
_ "github.com/c9s/bbgo/pkg/strategy/swing" _ "github.com/c9s/bbgo/pkg/strategy/swing"
_ "github.com/c9s/bbgo/pkg/strategy/techsignal" _ "github.com/c9s/bbgo/pkg/strategy/techsignal"
_ "github.com/c9s/bbgo/pkg/strategy/xbalance" _ "github.com/c9s/bbgo/pkg/strategy/xbalance"
_ "github.com/c9s/bbgo/pkg/strategy/xgap"
_ "github.com/c9s/bbgo/pkg/strategy/xmaker" _ "github.com/c9s/bbgo/pkg/strategy/xmaker"
_ "github.com/c9s/bbgo/pkg/strategy/xnav" _ "github.com/c9s/bbgo/pkg/strategy/xnav"
_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker" _ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"

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@ -0,0 +1,266 @@
package funding
import (
"context"
"errors"
"fmt"
"math"
"strings"
"time"
"github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/sirupsen/logrus"
"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 {
*bbgo.Notifiability
// 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"`
MaxPosition fixedpoint.Value `json:"maxPosition"`
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"`
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{})
for _, detection := range s.SupportDetection {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: string(detection.Interval),
})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: string(detection.MovingAverageInterval),
})
}
}
func (s *Strategy) Validate() error {
if len(s.Symbol) == 0 {
return errors.New("symbol is required")
}
return nil
}
func (s *Strategy) listenToFundingRate(ctx context.Context, exchange *binance.Exchange) {
var previousIndex, fundingRate24HoursLowIndex *types.PremiumIndex
fundingRateTicker := time.NewTicker(1 * time.Hour)
defer fundingRateTicker.Stop()
for {
select {
case <-ctx.Done():
return
case <-fundingRateTicker.C:
index, err := exchange.QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.WithError(err).Error("can not query last funding rate")
continue
}
fundingRate := index.LastFundingRate
if fundingRate >= s.FundingRate.High {
s.Notifiability.Notify("%s funding rate %s is too high! threshold %s",
s.Symbol,
fundingRate.Percentage(),
s.FundingRate.High.Percentage(),
)
} else {
if previousIndex != nil {
if s.FundingRate.DiffThreshold == 0 {
// 0.6%
s.FundingRate.DiffThreshold = fixedpoint.NewFromFloat(0.006 * 0.01)
}
diff := fundingRate - previousIndex.LastFundingRate
if diff.Abs() > s.FundingRate.DiffThreshold {
s.Notifiability.Notify("%s funding rate changed %s, current funding rate %s",
s.Symbol,
diff.SignedPercentage(),
fundingRate.Percentage(),
)
}
}
}
previousIndex = index
if fundingRate24HoursLowIndex != nil {
if fundingRate24HoursLowIndex.Time.Before(time.Now().Add(24 * time.Hour)) {
fundingRate24HoursLowIndex = index
}
if fundingRate < fundingRate24HoursLowIndex.LastFundingRate {
fundingRate24HoursLowIndex = index
}
} else {
fundingRate24HoursLowIndex = index
}
}
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
}
binanceExchange, ok := session.Exchange.(*binance.Exchange)
if !ok {
log.Error("exchange does not support funding rate api")
}
binanceExchange.UseFutures()
//if s.FundingRate != nil {
// go s.listenToFundingRate(ctx, binanceExchange)
//}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
return
}
log.Infof(s.Symbol)
for _, detection := range s.SupportDetection {
if kline.Interval != detection.Interval {
continue
}
closePriceF := kline.GetClose()
closePrice := fixedpoint.NewFromFloat(closePriceF)
var ma types.Float64Indicator
switch strings.ToLower(detection.MovingAverageType) {
case "sma":
ma = standardIndicatorSet.SMA(types.IntervalWindow{
Interval: detection.MovingAverageInterval,
Window: detection.MovingAverageWindow,
})
case "ema", "ewma":
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageInterval,
Window: detection.MovingAverageWindow,
})
default:
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageInterval,
Window: detection.MovingAverageWindow,
})
}
var lastMA = ma.Last()
// skip if the closed price is under the moving average
if closePrice.Float64() < lastMA {
log.Infof("skip %s support closed price %f > last ma %f", s.Symbol, closePrice.Float64(), lastMA)
return
}
premiumIndex, err := binanceExchange.QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.Error("exchange does not support funding rate api")
}
fundingRate := premiumIndex.LastFundingRate
if fundingRate >= s.FundingRate.High {
s.Notifiability.Notify("%s funding rate %s is too high! threshold %s",
s.Symbol,
fundingRate.Percentage(),
s.FundingRate.High.Percentage(),
)
} else {
return
}
prettyBaseVolume := s.Market.BaseCurrencyFormatter()
prettyQuoteVolume := s.Market.QuoteCurrencyFormatter()
if detection.MinVolume > 0 && kline.Volume > detection.MinVolume.Float64() {
s.Notifiability.Notify("Detected %s %s resistance base volume %s > min base volume %s, quote volume %s",
s.Symbol, detection.Interval.String(),
prettyBaseVolume.FormatMoney(math.Round(kline.Volume)),
prettyBaseVolume.FormatMoney(math.Round(detection.MinVolume.Float64())),
prettyQuoteVolume.FormatMoney(math.Round(kline.QuoteVolume)),
)
s.Notifiability.Notify(kline)
baseBalance, ok := session.Account.Balance(s.Market.BaseCurrency)
if !ok {
return
}
if baseBalance.Available > 0 && baseBalance.Total() < s.MaxPosition {
log.Infof("start to short position, selling futures..")
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: s.Quantity.Float64(),
})
if err != nil {
log.WithError(err).Error("submit order error")
}
}
} else if detection.MinQuoteVolume > 0 && kline.QuoteVolume > detection.MinQuoteVolume.Float64() {
s.Notifiability.Notify("Detected %s %s resistance quote volume %s > min quote volume %s, base volume %s",
s.Symbol, detection.Interval.String(),
prettyQuoteVolume.FormatMoney(math.Round(kline.QuoteVolume)),
prettyQuoteVolume.FormatMoney(math.Round(detection.MinQuoteVolume.Float64())),
prettyBaseVolume.FormatMoney(math.Round(kline.Volume)),
)
s.Notifiability.Notify(kline)
}
}
})
return nil
}