mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #1445 from c9s/feature/xdepthmaker
IMPROVE: [xdepthmaker] add more improvements
This commit is contained in:
commit
d960d4ff95
2
.github/workflows/go.yml
vendored
2
.github/workflows/go.yml
vendored
|
@ -52,7 +52,7 @@ jobs:
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# auto-start: "false"
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- name: Set up Go
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uses: actions/setup-go@v3
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uses: actions/setup-go@v4
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with:
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go-version: ${{ matrix.go-version }}
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|
6
.github/workflows/golang-lint.yml
vendored
6
.github/workflows/golang-lint.yml
vendored
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@ -12,11 +12,11 @@ jobs:
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name: lint
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runs-on: ubuntu-latest
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steps:
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- uses: actions/setup-go@v3
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- uses: actions/setup-go@v4
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with:
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go-version: 1.18
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go-version: 1.21
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- uses: actions/checkout@v3
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- name: golangci-lint
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uses: golangci/golangci-lint-action@v3
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with:
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version: v1.46.2
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version: v1.54
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@ -392,10 +392,10 @@ func (b *ActiveOrderBook) add(order types.Order) {
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if pendingOrder, ok := b.pendingOrderUpdates.Get(order.OrderID); ok {
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// if the pending order update time is newer than the adding order
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// we should use the pending order rather than the adding order.
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// if pending order is older, than we should add the new one, and drop the pending order
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log.Infof("found pending order update")
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// if the pending order is older, then we should add the new one, and drop the pending order
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log.Debugf("found pending order update: %+v", pendingOrder)
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if isNewerOrderUpdate(pendingOrder, order) {
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log.Infof("pending order update is newer")
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log.Debugf("pending order update is newer: %+v", pendingOrder)
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order = pendingOrder
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}
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@ -13,6 +13,7 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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@ -24,7 +25,7 @@ var defaultMargin = fixedpoint.NewFromFloat(0.003)
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var Two = fixedpoint.NewFromInt(2)
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const priceUpdateTimeout = 30 * time.Second
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const priceUpdateTimeout = 5 * time.Minute
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const ID = "xdepthmaker"
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@ -237,7 +238,7 @@ type Strategy struct {
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lastPrice fixedpoint.Value
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stopC chan struct{}
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stopC, authedC chan struct{}
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}
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func (s *Strategy) ID() string {
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@ -365,15 +366,40 @@ func (s *Strategy) CrossRun(
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go s.runTradeRecover(ctx)
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}
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s.authedC = make(chan struct{}, 2)
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bindAuthSignal(ctx, s.makerSession.UserDataStream, s.authedC)
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bindAuthSignal(ctx, s.hedgeSession.UserDataStream, s.authedC)
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go func() {
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log.Infof("waiting for user data stream to get authenticated")
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select {
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case <-ctx.Done():
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return
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case <-s.authedC:
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}
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select {
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case <-ctx.Done():
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return
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case <-s.authedC:
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}
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log.Infof("user data stream authenticated, start placing orders...")
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posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
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defer posTicker.Stop()
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fullReplenishTicker := time.NewTicker(util.MillisecondsJitter(s.FullReplenishInterval.Duration(), 200))
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defer fullReplenishTicker.Stop()
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// clean up the previous open orders
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if err := s.cleanUpOpenOrders(ctx); err != nil {
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log.WithError(err).Errorf("error cleaning up open orders")
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}
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s.updateQuote(ctx, 0)
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lastOrderReplenishTime := time.Now()
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for {
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select {
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@ -387,6 +413,7 @@ func (s *Strategy) CrossRun(
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case <-fullReplenishTicker.C:
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s.updateQuote(ctx, 0)
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lastOrderReplenishTime = time.Now()
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case sig, ok := <-s.pricingBook.C:
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// when any book change event happened
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@ -394,6 +421,10 @@ func (s *Strategy) CrossRun(
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return
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}
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if time.Since(lastOrderReplenishTime) < 10*time.Second {
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continue
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}
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switch sig.Type {
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case types.BookSignalSnapshot:
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s.updateQuote(ctx, 0)
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@ -402,6 +433,8 @@ func (s *Strategy) CrossRun(
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s.updateQuote(ctx, 5)
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}
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lastOrderReplenishTime = time.Now()
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case <-posTicker.C:
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// For positive position and positive covered position:
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// uncover position = +5 - +3 (covered position) = 2
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@ -598,31 +631,61 @@ func (s *Strategy) runTradeRecover(ctx context.Context) {
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}
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}
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func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook, maxLayer int) ([]types.SubmitOrder, error) {
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bestBid, bestAsk, hasPrice := pricingBook.BestBidAndAsk()
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func (s *Strategy) generateMakerOrders(
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pricingBook *types.StreamOrderBook, maxLayer int, availableBase fixedpoint.Value, availableQuote fixedpoint.Value,
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) ([]types.SubmitOrder, error) {
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_, _, hasPrice := pricingBook.BestBidAndAsk()
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if !hasPrice {
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return nil, nil
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}
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bestBidPrice := bestBid.Price
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bestAskPrice := bestAsk.Price
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lastMidPrice := bestBidPrice.Add(bestAskPrice).Div(Two)
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_ = lastMidPrice
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var submitOrders []types.SubmitOrder
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var accumulatedBidQuantity = fixedpoint.Zero
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var accumulatedAskQuantity = fixedpoint.Zero
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var accumulatedBidQuoteQuantity = fixedpoint.Zero
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dupPricingBook := pricingBook.CopyDepth(0)
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// copy the pricing book because during the generation the book data could change
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dupPricingBook := pricingBook.Copy()
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log.Infof("dupPricingBook: \n\tbids: %+v \n\tasks: %+v",
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dupPricingBook.SideBook(types.SideTypeBuy),
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dupPricingBook.SideBook(types.SideTypeSell))
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log.Infof("pricingBook: \n\tbids: %+v \n\tasks: %+v",
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pricingBook.SideBook(types.SideTypeBuy),
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pricingBook.SideBook(types.SideTypeSell))
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if maxLayer == 0 || maxLayer > s.NumLayers {
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maxLayer = s.NumLayers
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}
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var availableBalances = map[types.SideType]fixedpoint.Value{
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types.SideTypeBuy: availableQuote,
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types.SideTypeSell: availableBase,
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}
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for _, side := range []types.SideType{types.SideTypeBuy, types.SideTypeSell} {
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sideBook := dupPricingBook.SideBook(side)
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if sideBook.Len() == 0 {
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log.Warnf("orderbook %s side is empty", side)
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continue
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}
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availableSideBalance, ok := availableBalances[side]
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if !ok {
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log.Warnf("no available balance for side %s side", side)
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continue
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}
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layerLoop:
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for i := 1; i <= maxLayer; i++ {
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// simple break, we need to check the market minNotional and minQuantity later
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if !availableSideBalance.Eq(fixedpoint.PosInf) {
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if availableSideBalance.IsZero() || availableSideBalance.Sign() < 0 {
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break layerLoop
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}
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}
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requiredDepthFloat, err := s.DepthScale.Scale(i)
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if err != nil {
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return nil, errors.Wrapf(err, "depthScale scale error")
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@ -631,7 +694,6 @@ func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook, maxLa
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// requiredDepth is the required depth in quote currency
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requiredDepth := fixedpoint.NewFromFloat(requiredDepthFloat)
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sideBook := dupPricingBook.SideBook(side)
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index := sideBook.IndexByQuoteVolumeDepth(requiredDepth)
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pvs := types.PriceVolumeSlice{}
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@ -641,7 +703,11 @@ func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook, maxLa
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pvs = sideBook[0 : index+1]
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}
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log.Infof("required depth: %f, pvs: %+v", requiredDepth.Float64(), pvs)
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if len(pvs) == 0 {
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continue
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}
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log.Infof("side: %s required depth: %f, pvs: %+v", side, requiredDepth.Float64(), pvs)
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depthPrice, err := averageDepthPrice(pvs)
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if err != nil {
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@ -678,12 +744,36 @@ func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook, maxLa
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accumulatedBidQuantity = accumulatedBidQuantity.Add(quantity)
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quoteQuantity := fixedpoint.Mul(quantity, depthPrice)
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quoteQuantity = quoteQuantity.Round(s.makerMarket.PricePrecision, fixedpoint.Up)
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if !availableSideBalance.Eq(fixedpoint.PosInf) && availableSideBalance.Compare(quoteQuantity) <= 0 {
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quoteQuantity = availableSideBalance
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quantity = quoteQuantity.Div(depthPrice).Round(s.makerMarket.PricePrecision, fixedpoint.Down)
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}
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if quantity.Compare(s.makerMarket.MinQuantity) <= 0 || quoteQuantity.Compare(s.makerMarket.MinNotional) <= 0 {
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break layerLoop
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}
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availableSideBalance = availableSideBalance.Sub(quoteQuantity)
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accumulatedBidQuoteQuantity = accumulatedBidQuoteQuantity.Add(quoteQuantity)
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case types.SideTypeSell:
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quantity = quantity.Sub(accumulatedAskQuantity)
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accumulatedAskQuantity = accumulatedAskQuantity.Add(quantity)
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quoteQuantity := quantity.Mul(depthPrice)
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// balance check
|
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if !availableSideBalance.Eq(fixedpoint.PosInf) && availableSideBalance.Compare(quantity) <= 0 {
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break layerLoop
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}
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if quantity.Compare(s.makerMarket.MinQuantity) <= 0 || quoteQuantity.Compare(s.makerMarket.MinNotional) <= 0 {
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break layerLoop
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}
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availableSideBalance = availableSideBalance.Sub(quantity)
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accumulatedAskQuantity = accumulatedAskQuantity.Add(quantity)
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}
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submitOrders = append(submitOrders, types.SubmitOrder{
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@ -747,20 +837,38 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
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bookLastUpdateTime := s.pricingBook.LastUpdateTime()
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if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
|
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log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
|
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log.WithError(err).Warnf("quote update error, %s price not updating, order book last update: %s ago",
|
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s.Symbol,
|
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time.Since(bookLastUpdateTime))
|
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return
|
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}
|
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|
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if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
|
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log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
|
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log.WithError(err).Warnf("quote update error, %s price not updating, order book last update: %s ago",
|
||||
s.Symbol,
|
||||
time.Since(bookLastUpdateTime))
|
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}
|
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|
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balances, err := s.MakerOrderExecutor.Session().Exchange.QueryAccountBalances(ctx)
|
||||
if err != nil {
|
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log.WithError(err).Errorf("balance query error")
|
||||
return
|
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}
|
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|
||||
submitOrders, err := s.generateMakerOrders(s.pricingBook, maxLayer)
|
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log.Infof("balances: %+v", balances.NotZero())
|
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|
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quoteBalance, ok := balances[s.makerMarket.QuoteCurrency]
|
||||
if !ok {
|
||||
return
|
||||
}
|
||||
|
||||
baseBalance, ok := balances[s.makerMarket.BaseCurrency]
|
||||
if !ok {
|
||||
return
|
||||
}
|
||||
|
||||
log.Infof("quote balance: %s, base balance: %s", quoteBalance, baseBalance)
|
||||
|
||||
submitOrders, err := s.generateMakerOrders(s.pricingBook, maxLayer, baseBalance.Available, quoteBalance.Available)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("generate order error")
|
||||
return
|
||||
|
@ -780,6 +888,19 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
|
|||
s.orderStore.Add(createdOrders...)
|
||||
}
|
||||
|
||||
func (s *Strategy) cleanUpOpenOrders(ctx context.Context) error {
|
||||
openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, s.makerSession.Exchange, s.Symbol)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
if err := s.makerSession.Exchange.CancelOrders(ctx, openOrders...); err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func selectSessions2(
|
||||
sessions map[string]*bbgo.ExchangeSession, n1, n2 string,
|
||||
) (s1, s2 *bbgo.ExchangeSession, err error) {
|
||||
|
@ -820,3 +941,14 @@ func min(a, b int) int {
|
|||
|
||||
return b
|
||||
}
|
||||
|
||||
func bindAuthSignal(ctx context.Context, stream types.Stream, c chan<- struct{}) {
|
||||
stream.OnAuth(func() {
|
||||
select {
|
||||
case <-ctx.Done():
|
||||
return
|
||||
case c <- struct{}{}:
|
||||
default:
|
||||
}
|
||||
})
|
||||
}
|
||||
|
|
|
@ -9,6 +9,7 @@ import (
|
|||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
. "github.com/c9s/bbgo/pkg/testing/testhelper"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
@ -44,7 +45,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
|
|||
}
|
||||
|
||||
pricingBook := types.NewStreamBook("BTCUSDT")
|
||||
pricingBook.OrderBook.Load(types.SliceOrderBook{
|
||||
pricingBook.Load(types.SliceOrderBook{
|
||||
Symbol: "BTCUSDT",
|
||||
Bids: types.PriceVolumeSlice{
|
||||
{Price: Number("25000.00"), Volume: Number("0.1")},
|
||||
|
@ -61,7 +62,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
|
|||
Time: time.Now(),
|
||||
})
|
||||
|
||||
orders, err := s.generateMakerOrders(pricingBook, 0)
|
||||
orders, err := s.generateMakerOrders(pricingBook, 0, fixedpoint.PosInf, fixedpoint.PosInf)
|
||||
assert.NoError(t, err)
|
||||
AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
|
||||
{Side: types.SideTypeBuy, Price: Number("25000"), Quantity: Number("0.04")}, // =~ $1000.00
|
||||
|
|
|
@ -26,8 +26,9 @@ type OrderBook interface {
|
|||
type MutexOrderBook struct {
|
||||
sync.Mutex
|
||||
|
||||
Symbol string
|
||||
OrderBook OrderBook
|
||||
Symbol string
|
||||
|
||||
orderBook OrderBook
|
||||
}
|
||||
|
||||
func NewMutexOrderBook(symbol string) *MutexOrderBook {
|
||||
|
@ -39,20 +40,27 @@ func NewMutexOrderBook(symbol string) *MutexOrderBook {
|
|||
|
||||
return &MutexOrderBook{
|
||||
Symbol: symbol,
|
||||
OrderBook: book,
|
||||
orderBook: book,
|
||||
}
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) IsValid() (ok bool, err error) {
|
||||
b.Lock()
|
||||
ok, err = b.OrderBook.IsValid()
|
||||
ok, err = b.orderBook.IsValid()
|
||||
b.Unlock()
|
||||
return ok, err
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) SideBook(sideType SideType) PriceVolumeSlice {
|
||||
b.Lock()
|
||||
sideBook := b.orderBook.SideBook(sideType)
|
||||
b.Unlock()
|
||||
return sideBook
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) LastUpdateTime() time.Time {
|
||||
b.Lock()
|
||||
t := b.OrderBook.LastUpdateTime()
|
||||
t := b.orderBook.LastUpdateTime()
|
||||
b.Unlock()
|
||||
return t
|
||||
}
|
||||
|
@ -60,8 +68,8 @@ func (b *MutexOrderBook) LastUpdateTime() time.Time {
|
|||
func (b *MutexOrderBook) BestBidAndAsk() (bid, ask PriceVolume, ok bool) {
|
||||
var ok1, ok2 bool
|
||||
b.Lock()
|
||||
bid, ok1 = b.OrderBook.BestBid()
|
||||
ask, ok2 = b.OrderBook.BestAsk()
|
||||
bid, ok1 = b.orderBook.BestBid()
|
||||
ask, ok2 = b.orderBook.BestAsk()
|
||||
b.Unlock()
|
||||
ok = ok1 && ok2
|
||||
return bid, ask, ok
|
||||
|
@ -69,48 +77,49 @@ func (b *MutexOrderBook) BestBidAndAsk() (bid, ask PriceVolume, ok bool) {
|
|||
|
||||
func (b *MutexOrderBook) BestBid() (pv PriceVolume, ok bool) {
|
||||
b.Lock()
|
||||
pv, ok = b.OrderBook.BestBid()
|
||||
pv, ok = b.orderBook.BestBid()
|
||||
b.Unlock()
|
||||
return pv, ok
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) BestAsk() (pv PriceVolume, ok bool) {
|
||||
b.Lock()
|
||||
pv, ok = b.OrderBook.BestAsk()
|
||||
pv, ok = b.orderBook.BestAsk()
|
||||
b.Unlock()
|
||||
return pv, ok
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) Load(book SliceOrderBook) {
|
||||
b.Lock()
|
||||
b.OrderBook.Load(book)
|
||||
b.orderBook.Load(book)
|
||||
b.Unlock()
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) Reset() {
|
||||
b.Lock()
|
||||
b.OrderBook.Reset()
|
||||
b.orderBook.Reset()
|
||||
b.Unlock()
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) CopyDepth(depth int) OrderBook {
|
||||
b.Lock()
|
||||
book := b.OrderBook.CopyDepth(depth)
|
||||
b.Unlock()
|
||||
return book
|
||||
defer b.Unlock()
|
||||
|
||||
return b.orderBook.CopyDepth(depth)
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) Copy() OrderBook {
|
||||
b.Lock()
|
||||
book := b.OrderBook.Copy()
|
||||
b.Unlock()
|
||||
return book
|
||||
defer b.Unlock()
|
||||
|
||||
return b.orderBook.Copy()
|
||||
}
|
||||
|
||||
func (b *MutexOrderBook) Update(update SliceOrderBook) {
|
||||
b.Lock()
|
||||
b.OrderBook.Update(update)
|
||||
b.Unlock()
|
||||
defer b.Unlock()
|
||||
|
||||
b.orderBook.Update(update)
|
||||
}
|
||||
|
||||
type BookSignalType string
|
||||
|
|
|
@ -17,7 +17,7 @@ func (p PriceVolume) Equals(b PriceVolume) bool {
|
|||
}
|
||||
|
||||
func (p PriceVolume) String() string {
|
||||
return fmt.Sprintf("PriceVolume{ price: %s, volume: %s }", p.Price.String(), p.Volume.String())
|
||||
return fmt.Sprintf("PriceVolume{ Price: %s, Volume: %s }", p.Price.String(), p.Volume.String())
|
||||
}
|
||||
|
||||
type PriceVolumeSlice []PriceVolume
|
||||
|
|
27
pkg/types/sliceorderbook_test.go
Normal file
27
pkg/types/sliceorderbook_test.go
Normal file
|
@ -0,0 +1,27 @@
|
|||
package types
|
||||
|
||||
import (
|
||||
"testing"
|
||||
|
||||
"github.com/stretchr/testify/assert"
|
||||
)
|
||||
|
||||
func TestSliceOrderBook_CopyDepth(t *testing.T) {
|
||||
b := &SliceOrderBook{
|
||||
Bids: PriceVolumeSlice{
|
||||
{Price: number(0.119), Volume: number(100.0)},
|
||||
{Price: number(0.118), Volume: number(100.0)},
|
||||
{Price: number(0.117), Volume: number(100.0)},
|
||||
{Price: number(0.116), Volume: number(100.0)},
|
||||
},
|
||||
Asks: PriceVolumeSlice{
|
||||
{Price: number(0.120), Volume: number(100.0)},
|
||||
{Price: number(0.121), Volume: number(100.0)},
|
||||
{Price: number(0.122), Volume: number(100.0)},
|
||||
},
|
||||
}
|
||||
|
||||
copied := b.CopyDepth(0)
|
||||
assert.Equal(t, 3, len(copied.SideBook(SideTypeSell)))
|
||||
assert.Equal(t, 4, len(copied.SideBook(SideTypeBuy)))
|
||||
}
|
Loading…
Reference in New Issue
Block a user