Merge pull request #727 from narumiruna/marketcap/init

strategy: add marketcap strategy

config/marketcap.yaml

@@ -0,0 +1,20 @@
+---
+notifications:
+  slack:
+    defaultChannel: "bbgo"
+    errorChannel: "bbgo-error"
+
+exchangeStrategies:
+  - on: max
+    marketcap:
+      interval: 1m
+      baseCurrency: TWD
+      baseWeight: 2%
+      targetCurrencies:
+        - BTC
+        - ETH
+        - MATIC
+      threshold: 2%
+      # max amount to buy or sell per order
+      maxAmount: 1_000
+      dryRun: true

pkg/cmd/builtin.go

@@ -15,6 +15,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/funding"
 	_ "github.com/c9s/bbgo/pkg/strategy/grid"
 	_ "github.com/c9s/bbgo/pkg/strategy/kline"
+	_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
 	_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
 	_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
 	_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"

pkg/fixedpoint/value_map_test.go

@@ -1,123 +0,0 @@
-package fixedpoint
-
-import (
-	"testing"
-
-	"github.com/stretchr/testify/assert"
-)
-
-func Test_ValueMap_Eq(t *testing.T) {
-	m1 := ValueMap{
-		"A": NewFromFloat(3.0),
-		"B": NewFromFloat(4.0),
-	}
-
-	m2 := ValueMap{}
-
-	m3 := ValueMap{"A": NewFromFloat(5.0)}
-
-	m4 := ValueMap{
-		"A": NewFromFloat(6.0),
-		"B": NewFromFloat(7.0),
-	}
-
-	m5 := ValueMap{
-		"A": NewFromFloat(3.0),
-		"B": NewFromFloat(4.0),
-	}
-
-	assert.True(t, m1.Eq(m1))
-	assert.False(t, m1.Eq(m2))
-	assert.False(t, m1.Eq(m3))
-	assert.False(t, m1.Eq(m4))
-	assert.True(t, m1.Eq(m5))
-}
-
-func Test_ValueMap_Add(t *testing.T) {
-	m1 := ValueMap{
-		"A": NewFromFloat(3.0),
-		"B": NewFromFloat(4.0),
-	}
-
-	m2 := ValueMap{
-		"A": NewFromFloat(5.0),
-		"B": NewFromFloat(6.0),
-	}
-
-	m3 := ValueMap{
-		"A": NewFromFloat(8.0),
-		"B": NewFromFloat(10.0),
-	}
-
-	m4 := ValueMap{"A": NewFromFloat(8.0)}
-
-	assert.Equal(t, m3, m1.Add(m2))
-	assert.Panics(t, func() { m1.Add(m4) })
-}
-
-func Test_ValueMap_AddScalar(t *testing.T) {
-	x := NewFromFloat(5.0)
-
-	m1 := ValueMap{
-		"A": NewFromFloat(3.0),
-		"B": NewFromFloat(4.0),
-	}
-
-	m2 := ValueMap{
-		"A": NewFromFloat(3.0).Add(x),
-		"B": NewFromFloat(4.0).Add(x),
-	}
-
-	assert.Equal(t, m2, m1.AddScalar(x))
-}
-
-func Test_ValueMap_DivScalar(t *testing.T) {
-	x := NewFromFloat(5.0)
-
-	m1 := ValueMap{
-		"A": NewFromFloat(3.0),
-		"B": NewFromFloat(4.0),
-	}
-
-	m2 := ValueMap{
-		"A": NewFromFloat(3.0).Div(x),
-		"B": NewFromFloat(4.0).Div(x),
-	}
-
-	assert.Equal(t, m2, m1.DivScalar(x))
-}
-
-func Test_ValueMap_Sum(t *testing.T) {
-	m := ValueMap{
-		"A": NewFromFloat(3.0),
-		"B": NewFromFloat(4.0),
-	}
-
-	assert.Equal(t, NewFromFloat(7.0), m.Sum())
-}
-
-func Test_ValueMap_Normalize(t *testing.T) {
-	a := NewFromFloat(3.0)
-	b := NewFromFloat(4.0)
-
-	m := ValueMap{
-		"A": a,
-		"B": b,
-	}
-
-	n := ValueMap{
-		"A": a.Div(a.Add(b)),
-		"B": b.Div(a.Add(b)),
-	}
-
-	assert.True(t, m.Normalize().Eq(n))
-}
-
-func Test_ValueMap_Normalize_zero_sum(t *testing.T) {
-	m := ValueMap{
-		"A": Zero,
-		"B": Zero,
-	}
-
-	assert.Panics(t, func() { m.Normalize() })
-}

pkg/strategy/marketcap/strategy.go

@@ -0,0 +1,244 @@
+package marketcap
+
+import (
+	"context"
+	"fmt"
+	"os"
+
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/datasource/glassnode"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const ID = "marketcap"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	Notifiability *bbgo.Notifiability
+	glassnode     *glassnode.DataSource
+
+	Interval         types.Interval   `json:"interval"`
+	BaseCurrency     string           `json:"baseCurrency"`
+	BaseWeight       fixedpoint.Value `json:"baseWeight"`
+	TargetCurrencies []string         `json:"targetCurrencies"`
+	Threshold        fixedpoint.Value `json:"threshold"`
+	Verbose          bool             `json:"verbose"`
+	DryRun           bool             `json:"dryRun"`
+	// max amount to buy or sell per order
+	MaxAmount fixedpoint.Value `json:"maxAmount"`
+
+	activeOrderBook *bbgo.ActiveOrderBook
+}
+
+func (s *Strategy) Initialize() error {
+	apiKey := os.Getenv("GLASSNODE_API_KEY")
+	s.glassnode = glassnode.New(apiKey)
+	return nil
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Validate() error {
+	if len(s.TargetCurrencies) == 0 {
+		return fmt.Errorf("taretCurrencies should not be empty")
+	}
+
+	for _, c := range s.TargetCurrencies {
+		if c == s.BaseCurrency {
+			return fmt.Errorf("targetCurrencies contain baseCurrency")
+		}
+	}
+
+	if s.Threshold.Sign() < 0 {
+		return fmt.Errorf("threshold should not less than 0")
+	}
+
+	if s.MaxAmount.Sign() < 0 {
+		return fmt.Errorf("maxAmount shoud not less than 0")
+	}
+
+	return nil
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	for _, symbol := range s.symbols() {
+		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
+	}
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	s.activeOrderBook = bbgo.NewActiveOrderBook("")
+	s.activeOrderBook.BindStream(session.UserDataStream)
+
+	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		s.rebalance(ctx, orderExecutor, session)
+	})
+	return nil
+}
+
+func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
+	if err := orderExecutor.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
+		log.WithError(err).Error("failed to cancel orders")
+	}
+
+	submitOrders := s.generateSubmitOrders(ctx, session)
+	for _, submitOrder := range submitOrders {
+		log.Infof("generated submit order: %s", submitOrder.String())
+	}
+
+	if s.DryRun {
+		return
+	}
+
+	createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
+	if err != nil {
+		log.WithError(err).Error("failed to submit orders")
+		return
+	}
+
+	s.activeOrderBook.Add(createdOrders...)
+}
+
+func (s *Strategy) generateSubmitOrders(ctx context.Context, session *bbgo.ExchangeSession) (submitOrders []types.SubmitOrder) {
+	targetWeights := s.getTargetWeights(ctx)
+	prices := s.prices(ctx, session)
+	marketValues := prices.Mul(s.quantities(session))
+	currentWeights := marketValues.Normalize()
+
+	for currency, targetWeight := range targetWeights {
+		symbol := currency + s.BaseCurrency
+		currentWeight := currentWeights[currency]
+		currentPrice := prices[currency]
+
+		log.Infof("%s price: %v, current weight: %v, target weight: %v",
+			symbol,
+			currentPrice,
+			currentWeight,
+			targetWeight)
+
+		// calculate the difference between current weight and target weight
+		// if the difference is less than threshold, then we will not create the order
+		weightDifference := targetWeight.Sub(currentWeight)
+		if weightDifference.Abs().Compare(s.Threshold) < 0 {
+			log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
+				symbol,
+				currentWeight,
+				targetWeight,
+				weightDifference,
+				s.Threshold)
+			continue
+		}
+
+		quantity := weightDifference.Mul(marketValues.Sum()).Div(currentPrice)
+
+		side := types.SideTypeBuy
+		if quantity.Sign() < 0 {
+			side = types.SideTypeSell
+			quantity = quantity.Abs()
+		}
+
+		if s.MaxAmount.Sign() > 0 {
+			quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
+			log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
+				quantity,
+				symbol,
+				side.String(),
+				currentPrice,
+				s.MaxAmount)
+		}
+
+		order := types.SubmitOrder{
+			Symbol:   symbol,
+			Side:     side,
+			Type:     types.OrderTypeLimit,
+			Quantity: quantity,
+			Price:    currentPrice,
+		}
+
+		submitOrders = append(submitOrders, order)
+	}
+	return submitOrders
+}
+
+func (s *Strategy) getTargetWeights(ctx context.Context) types.ValueMap {
+	m := types.FloatMap{}
+
+	// get market cap values
+	for _, currency := range s.TargetCurrencies {
+		marketCap, err := s.glassnode.QueryMarketCapInUSD(ctx, currency)
+		if err != nil {
+			log.WithError(err).Error("failed to query market cap")
+			return nil
+		}
+		m[currency] = marketCap
+	}
+
+	// normalize
+	m = m.Normalize()
+
+	// rescale by 1 - baseWeight
+	m = m.MulScalar(1.0 - s.BaseWeight.Float64())
+
+	// append base weight
+	m[s.BaseCurrency] = s.BaseWeight.Float64()
+
+	// convert to types.ValueMap
+	targetWeights := types.ValueMap{}
+	for currency, weight := range m {
+		targetWeights[currency] = fixedpoint.NewFromFloat(weight)
+	}
+
+	return targetWeights
+}
+
+func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) types.ValueMap {
+	tickers, err := session.Exchange.QueryTickers(ctx, s.symbols()...)
+	if err != nil {
+		log.WithError(err).Error("failed to query tickers")
+		return nil
+	}
+
+	prices := types.ValueMap{}
+	for _, currency := range s.TargetCurrencies {
+		prices[currency] = tickers[currency+s.BaseCurrency].Last
+	}
+
+	// append base currency price
+	prices[s.BaseCurrency] = fixedpoint.One
+
+	return prices
+}
+
+func (s *Strategy) quantities(session *bbgo.ExchangeSession) types.ValueMap {
+	balances := session.Account.Balances()
+
+	quantities := types.ValueMap{}
+	for _, currency := range s.currencies() {
+		quantities[currency] = balances[currency].Total()
+	}
+
+	return quantities
+}
+
+func (s *Strategy) symbols() (symbols []string) {
+	for _, currency := range s.TargetCurrencies {
+		symbols = append(symbols, currency+s.BaseCurrency)
+	}
+	return symbols
+}
+
+func (s *Strategy) currencies() (currencies []string) {
+	currencies = append(currencies, s.TargetCurrencies...)
+	currencies = append(currencies, s.BaseCurrency)
+	return currencies
+}

pkg/strategy/rebalance/strategy.go

@@ -24,7 +24,7 @@ type Strategy struct {
 
 	Interval      types.Interval   `json:"interval"`
 	BaseCurrency  string           `json:"baseCurrency"`
-	TargetWeights fixedpoint.ValueMap `json:"targetWeights"`
+	TargetWeights types.ValueMap   `json:"targetWeights"`
 	Threshold     fixedpoint.Value `json:"threshold"`
 	DryRun        bool             `json:"dryRun"`
 	// max amount to buy or sell per order
@@ -88,6 +88,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	return nil
 }
+
 func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
 	// cancel active orders before rebalance
 	if err := session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
@@ -112,8 +113,8 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
 	s.activeOrderBook.Add(createdOrders...)
 }
 
-func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) fixedpoint.ValueMap {
-	m := make(fixedpoint.ValueMap)
+func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) types.ValueMap {
+	m := make(types.ValueMap)
 
 	tickers, err := session.Exchange.QueryTickers(ctx, s.symbols()...)
 	if err != nil {
@@ -132,8 +133,8 @@ func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) fi
 	return m
 }
 
-func (s *Strategy) quantities(session *bbgo.ExchangeSession) fixedpoint.ValueMap {
-	m := make(fixedpoint.ValueMap)
+func (s *Strategy) quantities(session *bbgo.ExchangeSession) types.ValueMap {
+	m := make(types.ValueMap)
 
 	balances := session.GetAccount().Balances()
 	for currency := range s.TargetWeights {

pkg/types/float_map.go

@@ -0,0 +1,42 @@
+package types
+
+type FloatMap map[string]float64
+
+func (m FloatMap) Sum() float64 {
+	sum := 0.0
+	for _, v := range m {
+		sum += v
+	}
+	return sum
+}
+
+func (m FloatMap) MulScalar(x float64) FloatMap {
+	o := FloatMap{}
+	for k, v := range m {
+		o[k] = v * x
+	}
+
+	return o
+}
+func (m FloatMap) DivScalar(x float64) FloatMap {
+	o := FloatMap{}
+	for k, v := range m {
+		o[k] = v / x
+	}
+
+	return o
+}
+
+func (m FloatMap) Normalize() FloatMap {
+	sum := m.Sum()
+	if sum == 0 {
+		panic("zero sum")
+	}
+
+	o := FloatMap{}
+	for k, v := range m {
+		o[k] = v / sum
+	}
+
+	return o
+}

pkg/types/value_map.go

@@ -1,6 +1,8 @@
-package fixedpoint
+package types
 
-type ValueMap map[string]Value
+import "github.com/c9s/bbgo/pkg/fixedpoint"
+
+type ValueMap map[string]fixedpoint.Value
 
 func (m ValueMap) Eq(n ValueMap) bool {
 	if len(m) != len(n) {
@@ -28,8 +30,13 @@ func (m ValueMap) Add(n ValueMap) ValueMap {
 
 	o := ValueMap{}
 
-	for k, v := range m {
-		o[k] = v.Add(n[k])
+	for m_k, m_v := range m {
+		n_v, ok := n[m_k]
+		if !ok {
+			panic("key not found")
+		}
+
+		o[m_k] = m_v.Add(n_v)
 	}
 
 	return o
@@ -42,8 +49,13 @@ func (m ValueMap) Sub(n ValueMap) ValueMap {
 
 	o := ValueMap{}
 
-	for k, v := range m {
-		o[k] = v.Sub(n[k])
+	for m_k, m_v := range m {
+		n_v, ok := n[m_k]
+		if !ok {
+			panic("key not found")
+		}
+
+		o[m_k] = m_v.Sub(n_v)
 	}
 
 	return o
@@ -56,8 +68,13 @@ func (m ValueMap) Mul(n ValueMap) ValueMap {
 
 	o := ValueMap{}
 
-	for k, v := range m {
-		o[k] = v.Mul(n[k])
+	for m_k, m_v := range m {
+		n_v, ok := n[m_k]
+		if !ok {
+			panic("key not found")
+		}
+
+		o[m_k] = m_v.Mul(n_v)
 	}
 
 	return o
@@ -70,14 +87,19 @@ func (m ValueMap) Div(n ValueMap) ValueMap {
 
 	o := ValueMap{}
 
-	for k, v := range m {
-		o[k] = v.Div(n[k])
+	for m_k, m_v := range m {
+		n_v, ok := n[m_k]
+		if !ok {
+			panic("key not found")
+		}
+
+		o[m_k] = m_v.Div(n_v)
 	}
 
 	return o
 }
 
-func (m ValueMap) AddScalar(x Value) ValueMap {
+func (m ValueMap) AddScalar(x fixedpoint.Value) ValueMap {
 	o := ValueMap{}
 
 	for k, v := range m {
@@ -87,7 +109,7 @@ func (m ValueMap) AddScalar(x Value) ValueMap {
 	return o
 }
 
-func (m ValueMap) SubScalar(x Value) ValueMap {
+func (m ValueMap) SubScalar(x fixedpoint.Value) ValueMap {
 	o := ValueMap{}
 
 	for k, v := range m {
@@ -97,7 +119,7 @@ func (m ValueMap) SubScalar(x Value) ValueMap {
 	return o
 }
 
-func (m ValueMap) MulScalar(x Value) ValueMap {
+func (m ValueMap) MulScalar(x fixedpoint.Value) ValueMap {
 	o := ValueMap{}
 
 	for k, v := range m {
@@ -107,7 +129,7 @@ func (m ValueMap) MulScalar(x Value) ValueMap {
 	return o
 }
 
-func (m ValueMap) DivScalar(x Value) ValueMap {
+func (m ValueMap) DivScalar(x fixedpoint.Value) ValueMap {
 	o := ValueMap{}
 
 	for k, v := range m {
@@ -117,8 +139,8 @@ func (m ValueMap) DivScalar(x Value) ValueMap {
 	return o
 }
 
-func (m ValueMap) Sum() Value {
-	var sum Value
+func (m ValueMap) Sum() fixedpoint.Value {
+	var sum fixedpoint.Value
 	for _, v := range m {
 		sum = sum.Add(v)
 	}
@@ -127,7 +149,7 @@ func (m ValueMap) Sum() Value {
 
 func (m ValueMap) Normalize() ValueMap {
 	sum := m.Sum()
-	if sum.Eq(Zero) {
+	if sum.Eq(fixedpoint.Zero) {
 		panic("zero sum")
 	}
 

pkg/types/value_map_test.go

@@ -0,0 +1,125 @@
+package types
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_ValueMap_Eq(t *testing.T) {
+	m1 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0),
+		"B": fixedpoint.NewFromFloat(4.0),
+	}
+
+	m2 := ValueMap{}
+
+	m3 := ValueMap{"A": fixedpoint.NewFromFloat(5.0)}
+
+	m4 := ValueMap{
+		"A": fixedpoint.NewFromFloat(6.0),
+		"B": fixedpoint.NewFromFloat(7.0),
+	}
+
+	m5 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0),
+		"B": fixedpoint.NewFromFloat(4.0),
+	}
+
+	assert.True(t, m1.Eq(m1))
+	assert.False(t, m1.Eq(m2))
+	assert.False(t, m1.Eq(m3))
+	assert.False(t, m1.Eq(m4))
+	assert.True(t, m1.Eq(m5))
+}
+
+func Test_ValueMap_Add(t *testing.T) {
+	m1 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0),
+		"B": fixedpoint.NewFromFloat(4.0),
+	}
+
+	m2 := ValueMap{
+		"A": fixedpoint.NewFromFloat(5.0),
+		"B": fixedpoint.NewFromFloat(6.0),
+	}
+
+	m3 := ValueMap{
+		"A": fixedpoint.NewFromFloat(8.0),
+		"B": fixedpoint.NewFromFloat(10.0),
+	}
+
+	m4 := ValueMap{"A": fixedpoint.NewFromFloat(8.0)}
+
+	assert.Equal(t, m3, m1.Add(m2))
+	assert.Panics(t, func() { m1.Add(m4) })
+}
+
+func Test_ValueMap_AddScalar(t *testing.T) {
+	x := fixedpoint.NewFromFloat(5.0)
+
+	m1 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0),
+		"B": fixedpoint.NewFromFloat(4.0),
+	}
+
+	m2 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0).Add(x),
+		"B": fixedpoint.NewFromFloat(4.0).Add(x),
+	}
+
+	assert.Equal(t, m2, m1.AddScalar(x))
+}
+
+func Test_ValueMap_DivScalar(t *testing.T) {
+	x := fixedpoint.NewFromFloat(5.0)
+
+	m1 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0),
+		"B": fixedpoint.NewFromFloat(4.0),
+	}
+
+	m2 := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0).Div(x),
+		"B": fixedpoint.NewFromFloat(4.0).Div(x),
+	}
+
+	assert.Equal(t, m2, m1.DivScalar(x))
+}
+
+func Test_ValueMap_Sum(t *testing.T) {
+	m := ValueMap{
+		"A": fixedpoint.NewFromFloat(3.0),
+		"B": fixedpoint.NewFromFloat(4.0),
+	}
+
+	assert.Equal(t, fixedpoint.NewFromFloat(7.0), m.Sum())
+}
+
+func Test_ValueMap_Normalize(t *testing.T) {
+	a := fixedpoint.NewFromFloat(3.0)
+	b := fixedpoint.NewFromFloat(4.0)
+	c := a.Add(b)
+
+	m := ValueMap{
+		"A": a,
+		"B": b,
+	}
+
+	n := ValueMap{
+		"A": a.Div(c),
+		"B": b.Div(c),
+	}
+
+	assert.True(t, m.Normalize().Eq(n))
+}
+
+func Test_ValueMap_Normalize_zero_sum(t *testing.T) {
+	m := ValueMap{
+		"A": fixedpoint.Zero,
+		"B": fixedpoint.Zero,
+	}
+
+	assert.Panics(t, func() { m.Normalize() })
+}