From eac0117e02137e37d3cf84f73ec520fba372f1ce Mon Sep 17 00:00:00 2001 From: c9s Date: Fri, 13 May 2022 13:01:03 +0800 Subject: [PATCH] add adjustment orders --- pkg/strategy/wall/strategy.go | 158 +++++++++++++++++++++++++++++++--- pkg/types/market.go | 4 + 2 files changed, 150 insertions(+), 12 deletions(-) diff --git a/pkg/strategy/wall/strategy.go b/pkg/strategy/wall/strategy.go index 97b585ca6..7fed0615c 100644 --- a/pkg/strategy/wall/strategy.go +++ b/pkg/strategy/wall/strategy.go @@ -58,15 +58,19 @@ type Strategy struct { // QuantityScale helps user to define the quantity by layer scale QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"` + AdjustmentMinSpread fixedpoint.Value `json:"adjustmentMinSpread"` + AdjustmentQuantity fixedpoint.Value `json:"adjustmentQuantity"` + session *bbgo.ExchangeSession // persistence fields Position *types.Position `json:"position,omitempty" persistence:"position"` ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"` - activeMakerOrders *bbgo.LocalActiveOrderBook - orderStore *bbgo.OrderStore - tradeCollector *bbgo.TradeCollector + activeAdjustmentOrders *bbgo.LocalActiveOrderBook + activeWallOrders *bbgo.LocalActiveOrderBook + orderStore *bbgo.OrderStore + tradeCollector *bbgo.TradeCollector groupID uint32 @@ -107,9 +111,94 @@ func (s *Strategy) CurrentPosition() *types.Position { return s.Position } -func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error { +func (s *Strategy) placeAdjustmentOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error { var submitOrders []types.SubmitOrder + // position adjustment orders + base := s.Position.GetBase() + if base.IsZero() { + return nil + } + ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol) + if err != nil { + return err + } + + if s.Market.IsDustQuantity(base, ticker.Last) { + return nil + } + + switch s.Side { + case types.SideTypeBuy: + askPrice := ticker.Sell.Mul(s.AdjustmentMinSpread.Add(fixedpoint.One)) + + if s.Position.AverageCost.Compare(askPrice) <= 0 { + return nil + } + + if base.Sign() < 0 { + return nil + } + + quantity := base.Abs() + if quantity.Compare(s.AdjustmentQuantity) >= 0 { + quantity = s.AdjustmentQuantity + } + + submitOrders = append(submitOrders, types.SubmitOrder{ + Symbol: s.Symbol, + Side: s.Side.Reverse(), + Type: types.OrderTypeLimitMaker, + Price: askPrice, + Quantity: quantity, + Market: s.Market, + GroupID: s.groupID, + }) + + case types.SideTypeSell: + bidPrice := ticker.Sell.Mul(fixedpoint.One.Sub(s.AdjustmentMinSpread)) + + if s.Position.AverageCost.Compare(bidPrice) >= 0 { + return nil + } + + if base.Sign() > 0 { + return nil + } + + quantity := base.Abs() + if quantity.Compare(s.AdjustmentQuantity) >= 0 { + quantity = s.AdjustmentQuantity + } + + submitOrders = append(submitOrders, types.SubmitOrder{ + Symbol: s.Symbol, + Side: s.Side.Reverse(), + Type: types.OrderTypeLimitMaker, + Price: bidPrice, + Quantity: quantity, + Market: s.Market, + GroupID: s.groupID, + }) + } + + // condition for lower the average cost + if len(submitOrders) == 0 { + return nil + } + + createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...) + if err != nil { + return err + } + + s.orderStore.Add(createdOrders...) + s.activeAdjustmentOrders.Add(createdOrders...) + return nil +} + +func (s *Strategy) placeWallOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error { + var submitOrders []types.SubmitOrder var startPrice = s.FixedPrice for i := 0; i < s.NumLayers; i++ { var price = startPrice @@ -155,7 +244,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec } s.orderStore.Add(createdOrders...) - s.activeMakerOrders.Add(createdOrders...) + s.activeWallOrders.Add(createdOrders...) return err } @@ -182,8 +271,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.stopC = make(chan struct{}) - s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol) - s.activeMakerOrders.BindStream(session.UserDataStream) + s.activeWallOrders = bbgo.NewLocalActiveOrderBook(s.Symbol) + s.activeWallOrders.BindStream(session.UserDataStream) + + s.activeAdjustmentOrders = bbgo.NewLocalActiveOrderBook(s.Symbol) + s.activeAdjustmentOrders.BindStream(session.UserDataStream) s.orderStore = bbgo.NewOrderStore(s.Symbol) s.orderStore.BindStream(session.UserDataStream) @@ -218,7 +310,45 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.tradeCollector.BindStream(session.UserDataStream) session.UserDataStream.OnStart(func() { - if err := s.placeOrders(ctx, orderExecutor); err != nil { + if err := s.placeWallOrders(ctx, orderExecutor); err != nil { + log.WithError(err).Errorf("can not place order") + } + }) + + s.activeAdjustmentOrders.OnFilled(func(o types.Order) { + if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { + log.WithError(err).Errorf("graceful cancel order error") + } + + // check if there is a canceled order had partially filled. + s.tradeCollector.Process() + + if err := s.placeAdjustmentOrders(ctx, orderExecutor); err != nil { + log.WithError(err).Errorf("can not place order") + } + }) + + s.activeWallOrders.OnFilled(func(o types.Order) { + if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { + log.WithError(err).Errorf("graceful cancel order error") + } + + // check if there is a canceled order had partially filled. + s.tradeCollector.Process() + + if err := s.placeWallOrders(ctx, orderExecutor); err != nil { + log.WithError(err).Errorf("can not place order") + } + + + if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { + log.WithError(err).Errorf("graceful cancel order error") + } + + // check if there is a canceled order had partially filled. + s.tradeCollector.Process() + + if err := s.placeAdjustmentOrders(ctx, orderExecutor); err != nil { log.WithError(err).Errorf("can not place order") } }) @@ -232,16 +362,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se return case <-ticker.C: - orders := s.activeMakerOrders.Orders() + orders := s.activeWallOrders.Orders() if anyOrderFilled(orders) { - if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { + if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { log.WithError(err).Errorf("graceful cancel order error") } // check if there is a canceled order had partially filled. s.tradeCollector.Process() - if err := s.placeOrders(ctx, orderExecutor); err != nil { + if err := s.placeWallOrders(ctx, orderExecutor); err != nil { log.WithError(err).Errorf("can not place order") } } @@ -253,7 +383,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se defer wg.Done() close(s.stopC) - if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { + if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { + log.WithError(err).Errorf("graceful cancel order error") + } + + if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { log.WithError(err).Errorf("graceful cancel order error") } diff --git a/pkg/types/market.go b/pkg/types/market.go index b50bbef76..665c286b0 100644 --- a/pkg/types/market.go +++ b/pkg/types/market.go @@ -94,6 +94,10 @@ type Market struct { TickSize fixedpoint.Value `json:"tickSize,omitempty"` } +func (m Market) IsDustQuantity(quantity, price fixedpoint.Value) bool { + return quantity.Compare(m.MinQuantity) <= 0 || quantity.Mul(price).Compare(m.MinNotional) <= 0 +} + // TruncateQuantity uses the step size to truncate floating number, in order to avoid the rounding issue func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value { stepRound := math.Pow10(-int(math.Log10(m.StepSize.Float64())))