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integrate bollband indicator into xmaker

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This commit is contained in:
c9s 2021-05-17 20:03:42 +08:00
parent b8fe100b5e
commit f6f1226bd0
2 changed files with 79 additions and 6 deletions
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3
pkg/bbgo/environment.go
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@ -503,8 +503,7 @@ func (environ *Environment) Connect(ctx context.Context) error {
var logger = log.WithField("session", n)
if len(session.Subscriptions) == 0 {
logger.Warnf("exchange session %s has no subscriptions, skipping", session.Name)
continue
logger.Warnf("exchange session %s has no subscriptions", session.Name)
} else {
// add the subscribe requests to the stream
for _, s := range session.Subscriptions {

82
pkg/strategy/xmaker/strategy.go
View File

@ -8,6 +8,7 @@ import (
"sync"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
@ -65,6 +66,11 @@ type Strategy struct {
BidMargin fixedpoint.Value `json:"bidMargin"`
AskMargin fixedpoint.Value `json:"askMargin"`
EnableBollBandMargin bool `json:"enableBollBandMargin"`
BollBandInterval types.Interval `json:"bollBandInterval"`
BollBandMargin fixedpoint.Value `json:"bollBandMargin"`
BollBandMarginFactor fixedpoint.Value `json:"bollBandMarginFactor"`
StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
@ -96,6 +102,9 @@ type Strategy struct {
sourceMarket types.Market
makerMarket types.Market
// boll is the BOLLINGER indicator we used for predicting the price.
boll *indicator.BOLL
state *State
book *types.StreamOrderBook
@ -252,12 +261,54 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
bestBidPrice := sourceBook.Bids[0].Price
bestAskPrice := sourceBook.Asks[0].Price
log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64())
log.Infof("%s book ticker: best ask / best bid = %f / %f", s.Symbol, bestAskPrice.Float64(), bestBidPrice.Float64())
var submitOrders []types.SubmitOrder
var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
var bidQuantity = s.Quantity
var askQuantity = s.Quantity
var bidMargin = s.BidMargin
var askMargin = s.AskMargin
if s.EnableBollBandMargin {
lastDownBand := s.boll.LastDownBand()
lastUpBand := s.boll.LastUpBand()
// when bid price is lower than the down band, then it's in the downtrend
// when ask price is higher than the up band, then it's in the uptrend
if bestBidPrice.Float64() < lastDownBand {
// ratio here should be greater than 1.00
ratio := lastDownBand / bestBidPrice.Float64()
// so that the original bid margin can be multiplied by 1.x
bollMargin := s.BollBandMargin.MulFloat64(ratio).Mul(s.BollBandMarginFactor)
log.Infof("%s bollband downtrend: adjusting ask margin %f + %f = %f",
s.Symbol,
askMargin.Float64(),
bollMargin.Float64(),
(askMargin + bollMargin).Float64())
askMargin = askMargin + bollMargin
}
if bestAskPrice.Float64() > lastUpBand {
// ratio here should be greater than 1.00
ratio := bestAskPrice.Float64() / lastUpBand
// so that the original bid margin can be multiplied by 1.x
bollMargin := s.BollBandMargin.MulFloat64(ratio).Mul(s.BollBandMarginFactor)
log.Infof("%s bollband uptrend adjusting bid margin %f + %f = %f",
s.Symbol,
bidMargin.Float64(),
bollMargin.Float64(),
(bidMargin + bollMargin).Float64())
bidMargin = bidMargin + bollMargin
}
}
for i := 0; i < s.NumLayers; i++ {
// for maker bid orders
if !disableMakerBid {
@ -268,7 +319,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
return
}
log.Infof("scaling quantity to %f by layer: %d", qf, i+1)
log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
// override the default bid quantity
bidQuantity = fixedpoint.NewFromFloat(qf)
@ -276,7 +327,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
accumulativeBidQuantity += bidQuantity
bidPrice := aggregatePrice(sourceBook.Bids, accumulativeBidQuantity)
bidPrice = bidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
bidPrice = bidPrice.MulFloat64(1.0 - bidMargin.Float64())
if i > 0 && s.Pips > 0 {
bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
}
@ -314,13 +365,15 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
return
}
log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
// override the default bid quantity
askQuantity = fixedpoint.NewFromFloat(qf)
}
accumulativeAskQuantity += askQuantity
askPrice := aggregatePrice(sourceBook.Asks, accumulativeAskQuantity)
askPrice = askPrice.MulFloat64(1.0 + s.AskMargin.Float64())
askPrice = askPrice.MulFloat64(1.0 + askMargin.Float64())
if i > 0 && s.Pips > 0 {
askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
}
@ -527,6 +580,17 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
if s.BollBandInterval == "" {
s.BollBandInterval = types.Interval1m
}
if s.BollBandMarginFactor == 0 {
s.BollBandMarginFactor = fixedpoint.NewFromFloat(1.0)
}
if s.BollBandMargin == 0 {
s.BollBandMargin = fixedpoint.NewFromFloat(0.001)
}
// configure default values
if s.UpdateInterval == 0 {
s.UpdateInterval = types.Duration(time.Second)
@ -581,6 +645,16 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
}
standardIndicatorSet, ok := s.sourceSession.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("%s standard indicator set not found", s.Symbol)
}
s.boll = standardIndicatorSet.BOLL(types.IntervalWindow{
Interval: s.BollBandInterval,
Window: 21,
}, 1.0)
// restore state
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
s.groupID = max.GenerateGroupID(instanceID)