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xmaker: enhance DelayedHedge

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c9s 2024-11-20 17:56:45 +08:00
parent 6e38210af8
commit f2366908c3
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1 changed files with 85 additions and 17 deletions
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100
pkg/strategy/xmaker/strategy.go
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@ -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
@ -136,7 +158,7 @@ type Strategy struct {
SignalConfigList []SignalConfig `json:"signals"`
SignalReverseSideMargin *SignalMargin `json:"signalReverseSideMargin,omitempty"`
SignalTrendSideMargin *SignalMargin `json:"signalTrendSideMargin,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")
}