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xdepthmaker: refactor CrossRun with CrossExchangeMarketMakingStrategy

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c9s 2023-11-28 15:54:06 +08:00
parent e67fa19323
commit ed63b23e2a
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2 changed files with 165 additions and 92 deletions
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6
pkg/bbgo/order_executor_general.go
View File

@ -68,8 +68,12 @@ type GeneralOrderExecutor struct {
disableNotify bool
}
// NewGeneralOrderExecutor allocates a GeneralOrderExecutor
// which has its own order store, trade collector
func NewGeneralOrderExecutor(
session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position,
session *ExchangeSession,
symbol, strategy, strategyInstanceID string,
position *types.Position,
) *GeneralOrderExecutor {
// Always update the position fields
position.Strategy = strategy

251
pkg/strategy/xdepthmaker/strategy.go
View File

@ -33,13 +33,119 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
func notifyTrade(trade types.Trade, _, _ fixedpoint.Value) {
bbgo.Notify(trade)
}
type CrossExchangeMarketMakingStrategy struct {
ctx, parent context.Context
cancel context.CancelFunc
Environ *bbgo.Environment
makerSession, hedgeSession *bbgo.ExchangeSession
makerMarket, hedgeMarket types.Market
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
// orderStore is a shared order store between the maker session and the hedge session
orderStore *core.OrderStore
// tradeCollector is a shared trade collector between the maker session and the hedge session
tradeCollector *core.TradeCollector
}
func (s *CrossExchangeMarketMakingStrategy) Initialize(
ctx context.Context, environ *bbgo.Environment,
makerSession, hedgeSession *bbgo.ExchangeSession,
symbol, strategyID, instanceID string,
) error {
s.parent = ctx
s.ctx, s.cancel = context.WithCancel(ctx)
s.Environ = environ
s.makerSession = makerSession
s.hedgeSession = hedgeSession
var ok bool
s.hedgeMarket, ok = s.hedgeSession.Market(symbol)
if !ok {
return fmt.Errorf("source session market %s is not defined", symbol)
}
s.makerMarket, ok = s.makerSession.Market(symbol)
if !ok {
return fmt.Errorf("maker session market %s is not defined", symbol)
}
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.makerMarket)
}
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.makerMarket)
}
// Always update the position fields
s.Position.Strategy = strategyID
s.Position.StrategyInstanceID = instanceID
// if anyone of the fee rate is defined, this assumes that both are defined.
// so that zero maker fee could be applied
for _, ses := range []*bbgo.ExchangeSession{makerSession, hedgeSession} {
if ses.MakerFeeRate.Sign() > 0 || ses.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(ses.ExchangeName, types.ExchangeFee{
MakerFeeRate: ses.MakerFeeRate,
TakerFeeRate: ses.TakerFeeRate,
})
}
}
s.MakerOrderExecutor = bbgo.NewGeneralOrderExecutor(
makerSession,
s.makerMarket.Symbol,
strategyID, instanceID,
s.Position)
s.MakerOrderExecutor.BindEnvironment(environ)
s.MakerOrderExecutor.BindProfitStats(s.ProfitStats)
s.MakerOrderExecutor.Bind()
s.MakerOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
// bbgo.Sync(ctx, s)
})
s.HedgeOrderExecutor = bbgo.NewGeneralOrderExecutor(
hedgeSession,
s.hedgeMarket.Symbol,
strategyID, instanceID,
s.Position)
s.HedgeOrderExecutor.BindEnvironment(environ)
s.HedgeOrderExecutor.BindProfitStats(s.ProfitStats)
s.HedgeOrderExecutor.Bind()
s.HedgeOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
// bbgo.Sync(ctx, s)
})
s.orderStore = core.NewOrderStore(s.Position.Symbol)
s.orderStore.BindStream(hedgeSession.UserDataStream)
s.orderStore.BindStream(makerSession.UserDataStream)
s.tradeCollector = core.NewTradeCollector(s.Position.Symbol, s.Position, s.orderStore)
return nil
}
type Strategy struct {
*CrossExchangeMarketMakingStrategy
Environment *bbgo.Environment
Symbol string `json:"symbol"`
// SourceExchange session name
SourceExchange string `json:"sourceExchange"`
// HedgeExchange session name
HedgeExchange string `json:"hedgeExchange"`
// MakerExchange session name
MakerExchange string `json:"makerExchange"`
@ -54,8 +160,6 @@ type Strategy struct {
UseDepthPrice bool `json:"useDepthPrice"`
DepthQuantity fixedpoint.Value `json:"depthQuantity"`
EnableBollBandMargin bool `json:"enableBollBandMargin"`
StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
@ -85,15 +189,9 @@ type Strategy struct {
// --------------------------------
// private fields
// --------------------------------
makerSession, sourceSession *bbgo.ExchangeSession
makerMarket, sourceMarket types.Market
state *State
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
book *types.StreamOrderBook
@ -102,13 +200,9 @@ type Strategy struct {
hedgeErrorLimiter *rate.Limiter
hedgeErrorRateReservation *rate.Reservation
orderStore *core.OrderStore
tradeCollector *core.TradeCollector
askPriceHeartBeat, bidPriceHeartBeat types.PriceHeartBeat
lastPrice fixedpoint.Value
groupID uint32
stopC chan struct{}
}
@ -122,9 +216,9 @@ func (s *Strategy) InstanceID() string {
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
sourceSession, ok := sessions[s.SourceExchange]
sourceSession, ok := sessions[s.HedgeExchange]
if !ok {
panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
panic(fmt.Errorf("source session %s is not defined", s.HedgeExchange))
}
sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
@ -194,50 +288,16 @@ func (s *Strategy) Initialize() error {
func (s *Strategy) CrossRun(
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
) error {
// configure sessions
sourceSession, ok := sessions[s.SourceExchange]
if !ok {
return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
}
s.sourceSession = sourceSession
makerSession, ok := sessions[s.MakerExchange]
if !ok {
return fmt.Errorf("maker exchange session %s is not defined", s.MakerExchange)
}
s.makerSession = makerSession
s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("source session market %s is not defined", s.Symbol)
}
s.makerMarket, ok = s.makerSession.Market(s.Symbol)
if !ok {
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
}
// restore state
instanceID := s.InstanceID()
s.groupID = util.FNV32(instanceID)
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.makerMarket)
// force update for legacy code
s.Position.Market = s.makerMarket
makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
if err != nil {
return err
}
bbgo.Notify("xdepthmaker: %s position is restored", s.Symbol, s.Position)
if s.ProfitStats == nil {
s.ProfitStats = &ProfitStats{
ProfitStats: types.NewProfitStats(s.makerMarket),
MakerExchange: s.makerSession.ExchangeName,
}
s.CrossExchangeMarketMakingStrategy = &CrossExchangeMarketMakingStrategy{}
if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx, s.Environment, makerSession, hedgeSession, s.Symbol, ID, s.InstanceID()); err != nil {
return err
}
if s.CoveredPosition.IsZero() {
@ -253,34 +313,31 @@ func (s *Strategy) CrossRun(
})
}
if s.sourceSession.MakerFeeRate.Sign() > 0 || s.sourceSession.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
MakerFeeRate: s.sourceSession.MakerFeeRate,
TakerFeeRate: s.sourceSession.TakerFeeRate,
if s.hedgeSession.MakerFeeRate.Sign() > 0 || s.hedgeSession.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(types.ExchangeName(s.HedgeExchange), types.ExchangeFee{
MakerFeeRate: s.hedgeSession.MakerFeeRate,
TakerFeeRate: s.hedgeSession.TakerFeeRate,
})
}
s.book = types.NewStreamBook(s.Symbol)
s.book.BindStream(s.sourceSession.MarketDataStream)
s.book.BindStream(s.hedgeSession.MarketDataStream)
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
s.orderStore = core.NewOrderStore(s.Symbol)
s.orderStore.BindStream(s.sourceSession.UserDataStream)
s.orderStore.BindStream(s.hedgeSession.UserDataStream)
s.orderStore.BindStream(s.makerSession.UserDataStream)
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
if s.NotifyTrade {
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
bbgo.Notify(trade)
})
s.tradeCollector.OnTrade(notifyTrade)
}
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange()
if trade.Exchange == s.sourceSession.ExchangeName {
if trade.Exchange == s.hedgeSession.ExchangeName {
s.CoveredPosition = s.CoveredPosition.Add(c)
}
@ -307,7 +364,7 @@ func (s *Strategy) CrossRun(
s.tradeCollector.OnRecover(func(trade types.Trade) {
bbgo.Notify("Recovered trade", trade)
})
s.tradeCollector.BindStream(s.sourceSession.UserDataStream)
s.tradeCollector.BindStream(s.hedgeSession.UserDataStream)
s.tradeCollector.BindStream(s.makerSession.UserDataStream)
s.stopC = make(chan struct{})
@ -366,7 +423,7 @@ func (s *Strategy) CrossRun(
uncoverPosition := position.Sub(s.CoveredPosition)
absPos := uncoverPosition.Abs()
if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
if !s.DisableHedge && absPos.Compare(s.hedgeMarket.MinQuantity) > 0 {
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
s.Symbol,
position,
@ -429,28 +486,28 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
}
notional := quantity.Mul(lastPrice)
if notional.Compare(s.sourceMarket.MinNotional) <= 0 {
if notional.Compare(s.hedgeMarket.MinNotional) <= 0 {
log.Warnf("%s %v less than min notional, skipping hedge", s.Symbol, notional)
return
}
// adjust quantity according to the balances
account := s.sourceSession.GetAccount()
account := s.hedgeSession.GetAccount()
switch side {
case types.SideTypeBuy:
// check quote quantity
if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
if quote, ok := account.Balance(s.hedgeMarket.QuoteCurrency); ok {
if quote.Available.Compare(notional) < 0 {
// adjust price to higher 0.1%, so that we can ensure that the order can be executed
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
quantity = s.sourceMarket.TruncateQuantity(quantity)
quantity = s.hedgeMarket.TruncateQuantity(quantity)
}
}
case types.SideTypeSell:
// check quote quantity
if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
if base, ok := account.Balance(s.hedgeMarket.BaseCurrency); ok {
if base.Available.Compare(quantity) < 0 {
quantity = base.Available
}
@ -458,15 +515,15 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
}
// truncate quantity for the supported precision
quantity = s.sourceMarket.TruncateQuantity(quantity)
quantity = s.hedgeMarket.TruncateQuantity(quantity)
if notional.Compare(s.sourceMarket.MinNotional.Mul(minGap)) <= 0 {
log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.sourceMarket.MinNotional)
if notional.Compare(s.hedgeMarket.MinNotional.Mul(minGap)) <= 0 {
log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.hedgeMarket.MinNotional)
return
}
if quantity.Compare(s.sourceMarket.MinQuantity.Mul(minGap)) <= 0 {
log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.sourceMarket.MinQuantity)
if quantity.Compare(s.hedgeMarket.MinQuantity.Mul(minGap)) <= 0 {
log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.hedgeMarket.MinQuantity)
return
}
@ -481,9 +538,9 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.hedgeSession}
returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Market: s.sourceMarket,
Market: s.hedgeMarket,
Symbol: s.Symbol,
Type: types.OrderTypeMarket,
Side: side,
@ -528,7 +585,7 @@ func (s *Strategy) tradeRecover(ctx context.Context) {
if s.RecoverTrade {
startTime := time.Now().Add(-tradeScanInterval).Add(-tradeScanOverlapBufferPeriod)
if err := s.tradeCollector.Recover(ctx, s.sourceSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
if err := s.tradeCollector.Recover(ctx, s.hedgeSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
log.WithError(err).Errorf("query trades error")
}
@ -605,20 +662,20 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
}
}
hedgeBalances := s.sourceSession.GetAccount().Balances()
hedgeBalances := s.hedgeSession.GetAccount().Balances()
hedgeQuota := &bbgo.QuotaTransaction{}
if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
if b, ok := hedgeBalances[s.hedgeMarket.BaseCurrency]; ok {
// to make bid orders, we need enough base asset in the foreign exchange,
// if the base asset balance is not enough for selling
if s.StopHedgeBaseBalance.Sign() > 0 {
minAvailable := s.StopHedgeBaseBalance.Add(s.sourceMarket.MinQuantity)
minAvailable := s.StopHedgeBaseBalance.Add(s.hedgeMarket.MinQuantity)
if b.Available.Compare(minAvailable) > 0 {
hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
} else {
log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
disableMakerBid = true
}
} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
} else if b.Available.Compare(s.hedgeMarket.MinQuantity) > 0 {
hedgeQuota.BaseAsset.Add(b.Available)
} else {
log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
@ -626,18 +683,18 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
}
}
if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
if b, ok := hedgeBalances[s.hedgeMarket.QuoteCurrency]; ok {
// to make ask orders, we need enough quote asset in the foreign exchange,
// if the quote asset balance is not enough for buying
if s.StopHedgeQuoteBalance.Sign() > 0 {
minAvailable := s.StopHedgeQuoteBalance.Add(s.sourceMarket.MinNotional)
minAvailable := s.StopHedgeQuoteBalance.Add(s.hedgeMarket.MinNotional)
if b.Available.Compare(minAvailable) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
} else {
log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
disableMakerAsk = true
}
} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
} else if b.Available.Compare(s.hedgeMarket.MinNotional) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available)
} else {
log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
@ -719,7 +776,6 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
Price: bidPrice,
Quantity: bidQuantity,
TimeInForce: types.TimeInForceGTC,
GroupID: s.groupID,
})
makerQuota.Commit()
@ -769,7 +825,6 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
Price: askPrice,
Quantity: askQuantity,
TimeInForce: types.TimeInForceGTC,
GroupID: s.groupID,
})
makerQuota.Commit()
hedgeQuota.Commit()
@ -795,3 +850,17 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
s.activeMakerOrders.Add(makerOrders...)
s.orderStore.Add(makerOrders...)
}
func selectSessions2(
sessions map[string]*bbgo.ExchangeSession, n1, n2 string,
) (s1, s2 *bbgo.ExchangeSession, err error) {
for _, n := range []string{n1, n2} {
if _, ok := sessions[n]; !ok {
return nil, nil, fmt.Errorf("session %s is not defined", n)
}
}
s1 = sessions[n1]
s2 = sessions[n2]
return s1, s2, nil
}