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liquiditymaker: first commit
This commit is contained in:
c9s
parent
d2dab58193
commit
dda2cfb73d
440
pkg/strategy/liquiditymaker/strategy.go
Normal file
440
pkg/strategy/liquiditymaker/strategy.go
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package liquiditymaker
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import (
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"context"
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"fmt"
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"math"
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"sync"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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. "github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "liquiditymaker"
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type advancedOrderCancelApi interface {
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CancelAllOrders(ctx context.Context) ([]types.Order, error)
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CancelOrdersBySymbol(ctx context.Context, symbol string) ([]types.Order, error)
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}
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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// Strategy is the strategy struct of LiquidityMaker
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// liquidity maker does not care about the current price, it tries to place liquidity orders (limit maker orders)
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// around the current mid price
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// liquidity maker's target:
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// - place enough total liquidity amount on the order book, for example, 20k USDT value liquidity on both sell and buy
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// - ensure the spread by placing the orders from the mid price (or the last trade price)
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type Strategy struct {
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*common.Strategy
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Environment *bbgo.Environment
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Market types.Market
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Symbol string `json:"symbol"`
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LiquidityUpdateInterval types.Interval `json:"liquidityUpdateInterval"`
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AdjustmentUpdateInterval types.Interval `json:"adjustmentUpdateInterval"`
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NumOfLiquidityLayers int `json:"numOfLiquidityLayers"`
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LiquiditySlideRule *bbgo.SlideRule `json:"liquidityScale"`
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LiquidityLayerTickSize fixedpoint.Value `json:"liquidityLayerTickSize"`
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LiquiditySkew fixedpoint.Value `json:"liquiditySkew"`
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LiquidityPriceRange fixedpoint.Value `json:"liquidityPriceRange"`
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Spread fixedpoint.Value `json:"spread"`
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MaxPrice fixedpoint.Value `json:"maxPrice"`
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MinPrice fixedpoint.Value `json:"minPrice"`
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MaxExposure fixedpoint.Value `json:"maxExposure"`
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MinProfit fixedpoint.Value `json:"minProfit"`
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liquidityOrderBook, adjustmentOrderBook *bbgo.ActiveOrderBook
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book *types.StreamOrderBook
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liquidityScale bbgo.Scale
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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) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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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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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.AdjustmentUpdateInterval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LiquidityUpdateInterval})
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}
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.Strategy = &common.Strategy{}
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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s.book = types.NewStreamBook(s.Symbol)
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s.book.BindStream(session.MarketDataStream)
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s.liquidityOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
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s.liquidityOrderBook.BindStream(session.UserDataStream)
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s.adjustmentOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
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s.adjustmentOrderBook.BindStream(session.UserDataStream)
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scale, err := s.LiquiditySlideRule.Scale()
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if err != nil {
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return err
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}
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if err := scale.Solve(); err != nil {
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return err
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}
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if cancelApi, ok := session.Exchange.(advancedOrderCancelApi); ok {
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_, _ = cancelApi.CancelOrdersBySymbol(ctx, s.Symbol)
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}
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s.liquidityScale = scale
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session.UserDataStream.OnStart(func() {
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s.placeLiquidityOrders(ctx)
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})
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session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
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if k.Interval == s.AdjustmentUpdateInterval {
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s.placeAdjustmentOrders(ctx)
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}
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if k.Interval == s.LiquidityUpdateInterval {
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s.placeLiquidityOrders(ctx)
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}
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})
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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if err := s.liquidityOrderBook.GracefulCancel(ctx, s.Session.Exchange); err != nil {
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logErr(err, "unable to cancel liquidity orders")
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}
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if err := s.adjustmentOrderBook.GracefulCancel(ctx, s.Session.Exchange); err != nil {
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logErr(err, "unable to cancel adjustment orders")
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}
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})
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return nil
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}
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func (s *Strategy) placeAdjustmentOrders(ctx context.Context) {
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_ = s.adjustmentOrderBook.GracefulCancel(ctx, s.Session.Exchange)
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if s.Position.IsDust() {
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return
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}
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ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
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if logErr(err, "unable to query ticker") {
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return
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}
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if _, err := s.Session.UpdateAccount(ctx); err != nil {
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logErr(err, "unable to update account")
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return
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}
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baseBal, _ := s.Session.Account.Balance(s.Market.BaseCurrency)
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quoteBal, _ := s.Session.Account.Balance(s.Market.QuoteCurrency)
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var adjOrders []types.SubmitOrder
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posSize := s.Position.Base.Abs()
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tickSize := s.Market.TickSize
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if s.Position.IsShort() {
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price := profitProtectedPrice(types.SideTypeBuy, s.Position.AverageCost, ticker.Sell.Add(tickSize.Neg()), s.Session.MakerFeeRate, s.MinProfit)
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quoteQuantity := fixedpoint.Min(price.Mul(posSize), quoteBal.Available)
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bidQuantity := quoteQuantity.Div(price)
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if s.Market.IsDustQuantity(bidQuantity, price) {
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return
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}
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adjOrders = append(adjOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeBuy,
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Price: price,
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Quantity: bidQuantity,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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} else if s.Position.IsLong() {
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price := profitProtectedPrice(types.SideTypeSell, s.Position.AverageCost, ticker.Buy.Add(tickSize), s.Session.MakerFeeRate, s.MinProfit)
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askQuantity := fixedpoint.Min(posSize, baseBal.Available)
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if s.Market.IsDustQuantity(askQuantity, price) {
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return
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}
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adjOrders = append(adjOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeSell,
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Price: price,
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Quantity: askQuantity,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, adjOrders...)
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if logErr(err, "unable to place liquidity orders") {
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return
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}
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s.adjustmentOrderBook.Add(createdOrders...)
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}
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func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
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ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
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if logErr(err, "unable to query ticker") {
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return
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}
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if s.IsHalted(ticker.Time) {
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log.Warn("circuitBreakRiskControl: trading halted")
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return
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}
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err = s.liquidityOrderBook.GracefulCancel(ctx, s.Session.Exchange)
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if logErr(err, "unable to cancel orders") {
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return
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}
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if ticker.Buy.IsZero() && ticker.Sell.IsZero() {
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ticker.Sell = ticker.Last.Add(s.Market.TickSize)
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ticker.Buy = ticker.Last.Sub(s.Market.TickSize)
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} else if ticker.Buy.IsZero() {
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ticker.Buy = ticker.Sell.Sub(s.Market.TickSize)
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} else if ticker.Sell.IsZero() {
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ticker.Sell = ticker.Buy.Add(s.Market.TickSize)
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}
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if _, err := s.Session.UpdateAccount(ctx); err != nil {
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logErr(err, "unable to update account")
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return
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}
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baseBal, _ := s.Session.Account.Balance(s.Market.BaseCurrency)
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quoteBal, _ := s.Session.Account.Balance(s.Market.QuoteCurrency)
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lastTradedPrice := ticker.Last
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midPrice := ticker.Sell.Add(ticker.Buy).Div(fixedpoint.Two)
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currentSpread := ticker.Sell.Sub(ticker.Buy)
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tickSize := fixedpoint.Max(s.LiquidityLayerTickSize, s.Market.TickSize)
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sideSpread := s.Spread.Div(fixedpoint.Two)
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log.Infof("current: spread: %f lastTradedPrice: %f midPrice: %f", currentSpread.Float64(), lastTradedPrice.Float64(), midPrice.Float64())
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ask1Price := midPrice.Mul(fixedpoint.One.Add(sideSpread))
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bid1Price := midPrice.Mul(fixedpoint.One.Sub(sideSpread))
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askLastPrice := midPrice.Mul(fixedpoint.One.Add(s.LiquidityPriceRange))
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bidLastPrice := midPrice.Mul(fixedpoint.One.Sub(s.LiquidityPriceRange))
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log.Infof("wanted side spread: %f askRange: %f ~ %f bidRange: %f ~ %f", sideSpread.Float64(),
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ask1Price.Float64(), askLastPrice.Float64(),
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bid1Price.Float64(), bidLastPrice.Float64())
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askLayerSpread := askLastPrice.Sub(ask1Price).Div(fixedpoint.NewFromInt(int64(s.NumOfLiquidityLayers)))
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bidLayerSpread := bid1Price.Sub(bidLastPrice).Div(fixedpoint.NewFromInt(int64(s.NumOfLiquidityLayers)))
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if askLayerSpread.Compare(tickSize) < 0 {
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askLayerSpread = tickSize
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}
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if bidLayerSpread.Compare(tickSize) < 0 {
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bidLayerSpread = tickSize
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}
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sum := s.liquidityScale.Sum(1.0)
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askSum := sum
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bidSum := sum
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log.Infof("liquidity sum: %f / %f", askSum, bidSum)
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skew := s.LiquiditySkew.Float64()
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useSkew := !s.LiquiditySkew.IsZero()
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if useSkew {
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askSum = sum / skew
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bidSum = sum * skew
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log.Infof("adjusted liqudity skew: %f / %f", askSum, bidSum)
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}
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var bidPrices []fixedpoint.Value
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var askPrices []fixedpoint.Value
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// calculate and collect prices
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for i := 0; i <= s.NumOfLiquidityLayers; i++ {
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fi := fixedpoint.NewFromInt(int64(i))
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bidPrice := bid1Price.Sub(bidLayerSpread.Mul(fi))
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askPrice := ask1Price.Add(askLayerSpread.Mul(fi))
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bidPrice = s.Market.TruncatePrice(bidPrice)
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askPrice = s.Market.TruncatePrice(askPrice)
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bidPrices = append(bidPrices, bidPrice)
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askPrices = append(askPrices, askPrice)
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}
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availableBase := baseBal.Available
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availableQuote := quoteBal.Available
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makerQuota := &bbgo.QuotaTransaction{}
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makerQuota.QuoteAsset.Add(availableQuote)
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makerQuota.BaseAsset.Add(availableBase)
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log.Infof("balances before liq orders: %s, %s",
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baseBal.String(),
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quoteBal.String())
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if !s.Position.IsDust() {
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if s.Position.IsLong() {
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availableBase = availableBase.Sub(s.Position.Base)
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availableBase = s.Market.RoundDownQuantityByPrecision(availableBase)
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} else if s.Position.IsShort() {
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posSizeInQuote := s.Position.Base.Mul(ticker.Sell)
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availableQuote = availableQuote.Sub(posSizeInQuote)
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}
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}
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askX := availableBase.Float64() / askSum
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bidX := availableQuote.Float64() / (bidSum * (fixedpoint.Sum(bidPrices).Float64()))
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askX = math.Trunc(askX*1e8) / 1e8
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bidX = math.Trunc(bidX*1e8) / 1e8
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var liqOrders []types.SubmitOrder
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for i := 0; i <= s.NumOfLiquidityLayers; i++ {
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bidQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * bidX)
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askQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * askX)
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bidPrice := bidPrices[i]
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askPrice := askPrices[i]
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log.Infof("liqudity layer #%d %f/%f = %f/%f", i, askPrice.Float64(), bidPrice.Float64(), askQuantity.Float64(), bidQuantity.Float64())
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placeBuy := true
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placeSell := true
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averageCost := s.Position.AverageCost
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// when long position, do not place sell orders below the average cost
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if !s.Position.IsDust() {
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if s.Position.IsLong() && askPrice.Compare(averageCost) < 0 {
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placeSell = false
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}
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if s.Position.IsShort() && bidPrice.Compare(averageCost) > 0 {
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placeBuy = false
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}
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}
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quoteQuantity := bidQuantity.Mul(bidPrice)
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if s.Market.IsDustQuantity(bidQuantity, bidPrice) || !makerQuota.QuoteAsset.Lock(quoteQuantity) {
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placeBuy = false
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}
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if s.Market.IsDustQuantity(askQuantity, askPrice) || !makerQuota.BaseAsset.Lock(askQuantity) {
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placeSell = false
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}
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if placeBuy {
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liqOrders = append(liqOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Quantity: bidQuantity,
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Price: bidPrice,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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if placeSell {
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liqOrders = append(liqOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Quantity: askQuantity,
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Price: askPrice,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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}
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makerQuota.Commit()
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createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, liqOrders...)
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if logErr(err, "unable to place liquidity orders") {
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return
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}
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s.liquidityOrderBook.Add(createdOrders...)
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log.Infof("%d liq orders are placed successfully", len(liqOrders))
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}
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func profitProtectedPrice(
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side types.SideType, averageCost, price, feeRate, minProfit fixedpoint.Value,
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) fixedpoint.Value {
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switch side {
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case types.SideTypeSell:
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minProfitPrice := averageCost.Add(
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averageCost.Mul(feeRate.Add(minProfit)))
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return fixedpoint.Max(minProfitPrice, price)
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case types.SideTypeBuy:
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minProfitPrice := averageCost.Sub(
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averageCost.Mul(feeRate.Add(minProfit)))
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return fixedpoint.Min(minProfitPrice, price)
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}
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return price
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}
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func logErr(err error, msgAndArgs ...interface{}) bool {
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if err == nil {
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return false
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}
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if len(msgAndArgs) == 0 {
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log.WithError(err).Error(err.Error())
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} else if len(msgAndArgs) == 1 {
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msg := msgAndArgs[0].(string)
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log.WithError(err).Error(msg)
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} else if len(msgAndArgs) > 1 {
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msg := msgAndArgs[0].(string)
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log.WithError(err).Errorf(msg, msgAndArgs[1:]...)
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}
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return true
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}
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func preloadKLines(
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inc *KLineStream, session *bbgo.ExchangeSession, symbol string, interval types.Interval,
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) {
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if store, ok := session.MarketDataStore(symbol); ok {
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if kLinesData, ok := store.KLinesOfInterval(interval); ok {
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for _, k := range *kLinesData {
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inc.EmitUpdate(k)
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}
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}
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}
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}
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