From f2366908c3ac3324b9b12b92412c9440251d45c0 Mon Sep 17 00:00:00 2001 From: c9s Date: Wed, 20 Nov 2024 17:56:45 +0800 Subject: [PATCH] xmaker: enhance DelayedHedge --- pkg/strategy/xmaker/strategy.go | 102 ++++++++++++++++++++++++++------ 1 file changed, 85 insertions(+), 17 deletions(-) diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go index 763de64c7..e03650bf4 100644 --- a/pkg/strategy/xmaker/strategy.go +++ b/pkg/strategy/xmaker/strategy.go @@ -3,10 +3,13 @@ package xmaker import ( "context" "fmt" + "io" "math" + "os" "sync" "time" + "github.com/jedib0t/go-pretty/v6/table" "github.com/pkg/errors" "github.com/prometheus/client_golang/prometheus" "github.com/sirupsen/logrus" @@ -14,12 +17,14 @@ import ( "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/core" + "github.com/c9s/bbgo/pkg/dynamic" "github.com/c9s/bbgo/pkg/fixedpoint" indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2" "github.com/c9s/bbgo/pkg/pricesolver" "github.com/c9s/bbgo/pkg/profile/timeprofile" "github.com/c9s/bbgo/pkg/risk/circuitbreaker" "github.com/c9s/bbgo/pkg/strategy/common" + "github.com/c9s/bbgo/pkg/style" "github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/util" "github.com/c9s/bbgo/pkg/util/timejitter" @@ -115,6 +120,23 @@ type SignalMargin struct { Threshold float64 `json:"threshold,omitempty"` } +type DelayedHedge struct { + // EnableDelayHedge enables the delay hedge feature + Enabled bool `json:"enabled"` + + // MaxDelayDuration is the maximum delay duration to hedge the position + MaxDelayDuration types.Duration `json:"maxDelay"` + + // FixedDelayDuration is the fixed delay duration + FixedDelayDuration types.Duration `json:"fixedDelay"` + + // SignalThreshold is the signal threshold to trigger the delay hedge + SignalThreshold float64 `json:"signalThreshold"` + + // DynamicDelayScale is the dynamic delay scale + DynamicDelayScale *bbgo.SlideRule `json:"dynamicDelayScale,omitempty"` +} + type Strategy struct { Environment *bbgo.Environment @@ -135,8 +157,8 @@ type Strategy struct { EnableSignalMargin bool `json:"enableSignalMargin"` SignalConfigList []SignalConfig `json:"signals"` - SignalReverseSideMargin *SignalMargin `json:"signalReverseSideMargin,omitempty"` - SignalTrendSideMargin *SignalMargin `json:"signalTrendSideMargin,omitempty"` + SignalReverseSideMargin *SignalMargin `json:"signalReverseSideMargin,omitempty"` + SignalTrendSideMarginDiscount *SignalMargin `json:"signalTrendSideMarginDiscount,omitempty"` // Margin is the default margin for the quote Margin fixedpoint.Value `json:"margin"` @@ -156,6 +178,8 @@ type Strategy struct { MaxDelayHedgeDuration types.Duration `json:"maxHedgeDelayDuration"` DelayHedgeSignalThreshold float64 `json:"delayHedgeSignalThreshold"` + DelayedHedge *DelayedHedge `json:"delayedHedge,omitempty"` + EnableBollBandMargin bool `json:"enableBollBandMargin"` BollBandInterval types.Interval `json:"bollBandInterval"` BollBandMargin fixedpoint.Value `json:"bollBandMargin"` @@ -344,8 +368,8 @@ func (s *Strategy) Initialize() error { } } - if s.SignalTrendSideMargin != nil && s.SignalTrendSideMargin.Scale != nil { - scale, err := s.SignalTrendSideMargin.Scale.Scale() + if s.SignalTrendSideMarginDiscount != nil && s.SignalTrendSideMarginDiscount.Scale != nil { + scale, err := s.SignalTrendSideMarginDiscount.Scale.Scale() if err != nil { return err } @@ -355,9 +379,27 @@ func (s *Strategy) Initialize() error { } } + if s.DelayedHedge != nil && s.DelayedHedge.DynamicDelayScale != nil { + if scale, _ := s.DelayedHedge.DynamicDelayScale.Scale(); scale != nil { + if err := scale.Solve(); err != nil { + return err + } + } + } + + s.PrintConfig(os.Stdout, true, false) return nil } +func (s *Strategy) PrintConfig(f io.Writer, pretty bool, withColor ...bool) { + var tableStyle *table.Style + if pretty { + tableStyle = style.NewDefaultTableStyle() + } + + dynamic.PrintConfig(s, f, tableStyle, len(withColor) > 0 && withColor[0], dynamic.DefaultWhiteList()...) +} + // getBollingerTrend returns -1 when the price is in the downtrend, 1 when the price is in the uptrend, 0 when the price is in the band func (s *Strategy) getBollingerTrend(quote *Quote) int { // when bid price is lower than the down band, then it's in the downtrend @@ -419,13 +461,13 @@ func (s *Strategy) applySignalMargin(ctx context.Context, quote *Quote) error { var trendSideMarginDiscount, reverseSideMargin float64 var trendSideMarginDiscountFp, reverseSideMarginFp fixedpoint.Value - if s.SignalTrendSideMargin != nil && s.SignalTrendSideMargin.Enabled { - trendSideMarginScale, err := s.SignalTrendSideMargin.Scale.Scale() + if s.SignalTrendSideMarginDiscount != nil && s.SignalTrendSideMarginDiscount.Enabled { + trendSideMarginScale, err := s.SignalTrendSideMarginDiscount.Scale.Scale() if err != nil { return err } - if signalAbs > s.SignalTrendSideMargin.Threshold { + if signalAbs > s.SignalTrendSideMarginDiscount.Threshold { // trendSideMarginDiscount is the discount for the trend side margin trendSideMarginDiscount = trendSideMarginScale.Call(math.Abs(signal)) trendSideMarginDiscountFp = fixedpoint.NewFromFloat(trendSideMarginDiscount) @@ -1256,14 +1298,16 @@ func AdjustHedgeQuantityWithAvailableBalance( return market.TruncateQuantity(quantity) } -func (s *Strategy) canDelayHedge(side types.SideType, pos fixedpoint.Value) bool { - if !s.EnableDelayHedge { +// canDelayHedge returns true if the hedge can be delayed +func (s *Strategy) canDelayHedge(hedgeSide types.SideType, pos fixedpoint.Value) bool { + if s.DelayedHedge == nil || !s.DelayedHedge.Enabled { return false } signal := s.lastAggregatedSignal.Get() - if math.Abs(signal) < s.DelayHedgeSignalThreshold { + signalAbs := math.Abs(signal) + if signalAbs < s.DelayedHedge.SignalThreshold { return false } @@ -1273,8 +1317,21 @@ func (s *Strategy) canDelayHedge(side types.SideType, pos fixedpoint.Value) bool return false } - if (signal > 0 && side == types.SideTypeSell) || (signal < 0 && side == types.SideTypeBuy) { - if period < s.MaxDelayHedgeDuration.Duration() { + var maxDelay = s.DelayedHedge.MaxDelayDuration.Duration() + var delay = s.DelayedHedge.FixedDelayDuration.Duration() + + if s.DelayedHedge.DynamicDelayScale != nil { + if scale, _ := s.DelayedHedge.DynamicDelayScale.Scale(); scale != nil { + delay = time.Duration(scale.Call(signalAbs)) * time.Millisecond + } + } + + if delay > maxDelay { + delay = maxDelay + } + + if (signal > 0 && hedgeSide == types.SideTypeSell) || (signal < 0 && hedgeSide == types.SideTypeBuy) { + if period < delay { s.logger.Infof("delay hedge enabled, signal %f is strong enough, waiting for the next tick to hedge %s quantity (max period %s)", signal, pos, s.MaxDelayHedgeDuration.Duration().String()) delayHedgeCounterMetrics.With(s.metricsLabels).Inc() @@ -1500,8 +1557,8 @@ func (s *Strategy) Defaults() error { } } - if s.SignalTrendSideMargin.Scale == nil { - s.SignalTrendSideMargin.Scale = &bbgo.SlideRule{ + if s.SignalTrendSideMarginDiscount.Scale == nil { + s.SignalTrendSideMarginDiscount.Scale = &bbgo.SlideRule{ ExpScale: &bbgo.ExponentialScale{ Domain: [2]float64{0, 2.0}, Range: [2]float64{0.00010, 0.00500}, @@ -1509,8 +1566,19 @@ func (s *Strategy) Defaults() error { } } - if s.SignalTrendSideMargin.Threshold == 0.0 { - s.SignalTrendSideMargin.Threshold = 1.0 + if s.SignalTrendSideMarginDiscount.Threshold == 0.0 { + s.SignalTrendSideMarginDiscount.Threshold = 1.0 + } + } + + if s.DelayedHedge != nil { + // default value protection for delayed hedge + if s.DelayedHedge.MaxDelayDuration == 0 { + s.DelayedHedge.MaxDelayDuration = types.Duration(3 * time.Second) + } + + if s.DelayedHedge.SignalThreshold == 0.0 { + s.DelayedHedge.SignalThreshold = 0.5 } } @@ -1869,7 +1937,7 @@ func (s *Strategy) CrossRun( return errors.New("signalReverseSideMarginScale can not be nil when signal margin is enabled") } - if s.SignalTrendSideMargin == nil || s.SignalTrendSideMargin.Scale == nil { + if s.SignalTrendSideMarginDiscount == nil || s.SignalTrendSideMarginDiscount.Scale == nil { return errors.New("signalTrendSideMarginScale can not be nil when signal margin is enabled") }