mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 06:53:52 +00:00
xmaker: improve bollinger band trend detection
This commit is contained in:
c9s
parent
4ae8ad77b3
commit
f81ce5ce95
|
|
@ -192,6 +192,93 @@ func (s *Strategy) Initialize() error {
|
|||
return nil
|
||||
}
|
||||
|
||||
type Quote struct {
|
||||
BestBidPrice, BestAskPrice fixedpoint.Value
|
||||
|
||||
BidMargin, AskMargin fixedpoint.Value
|
||||
|
||||
// BidLayerPips is the price pips between each layer
|
||||
BidLayerPips, AskLayerPips fixedpoint.Value
|
||||
}
|
||||
|
||||
// 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
|
||||
// when ask price is higher than the up band, then it's in the uptrend
|
||||
lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
|
||||
lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
|
||||
|
||||
log.Infof("bollinger band: up/down = %f/%f, bid/ask = %f/%f",
|
||||
lastUpBand.Float64(),
|
||||
lastDownBand.Float64(),
|
||||
quote.BestBidPrice.Float64(),
|
||||
quote.BestAskPrice.Float64())
|
||||
|
||||
if quote.BestAskPrice.Compare(lastDownBand) < 0 {
|
||||
return -1
|
||||
} else if quote.BestBidPrice.Compare(lastUpBand) > 0 {
|
||||
return 1
|
||||
} else {
|
||||
return 0
|
||||
}
|
||||
}
|
||||
|
||||
// applyBollingerMargin applies the bollinger band margin to the quote
|
||||
func (s *Strategy) applyBollingerMargin(
|
||||
quote *Quote,
|
||||
) error {
|
||||
lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
|
||||
lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
|
||||
|
||||
if lastUpBand.IsZero() || lastDownBand.IsZero() {
|
||||
log.Warnf("bollinger band value is zero, skipping")
|
||||
return nil
|
||||
}
|
||||
|
||||
factor := fixedpoint.Min(s.BollBandMarginFactor, fixedpoint.One)
|
||||
switch s.getBollingerTrend(quote) {
|
||||
case -1:
|
||||
// for the downtrend, increase the bid margin
|
||||
// ratio here should be greater than 1.00
|
||||
ratio := fixedpoint.Min(lastDownBand.Div(quote.BestAskPrice), fixedpoint.One)
|
||||
|
||||
// so that 1.x can multiply the original bid margin
|
||||
bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
|
||||
|
||||
log.Infof("%s bollband downtrend: increasing bid margin %f (bidMargin) + %f (bollMargin) = %f (finalBidMargin)",
|
||||
s.Symbol,
|
||||
quote.BidMargin.Float64(),
|
||||
bollMargin.Float64(),
|
||||
quote.BidMargin.Add(bollMargin).Float64())
|
||||
|
||||
quote.BidMargin = quote.BidMargin.Add(bollMargin)
|
||||
quote.BidLayerPips = quote.BidLayerPips.Mul(ratio)
|
||||
|
||||
case 1:
|
||||
// for the uptrend, increase the ask margin
|
||||
// ratio here should be greater than 1.00
|
||||
ratio := fixedpoint.Min(quote.BestAskPrice.Div(lastUpBand), fixedpoint.One)
|
||||
|
||||
// so that the original bid margin can be multiplied by 1.x
|
||||
bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
|
||||
|
||||
log.Infof("%s bollband uptrend adjusting bid margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
|
||||
s.Symbol,
|
||||
quote.AskMargin.Float64(),
|
||||
bollMargin.Float64(),
|
||||
quote.AskMargin.Add(bollMargin).Float64())
|
||||
|
||||
quote.AskMargin = quote.AskMargin.Add(bollMargin)
|
||||
quote.AskLayerPips = quote.AskLayerPips.Mul(ratio)
|
||||
|
||||
default:
|
||||
// default, in the band
|
||||
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) updateQuote(ctx context.Context) {
|
||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
|
||||
log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
|
||||
|
|
@ -340,55 +427,19 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
|
||||
var bidQuantity = s.Quantity
|
||||
var askQuantity = s.Quantity
|
||||
var bidMargin = s.BidMargin
|
||||
var askMargin = s.AskMargin
|
||||
var pips = s.Pips
|
||||
|
||||
var quote = &Quote{
|
||||
BestBidPrice: bestBidPrice,
|
||||
BestAskPrice: bestAskPrice,
|
||||
BidMargin: s.BidMargin,
|
||||
AskMargin: s.AskMargin,
|
||||
BidLayerPips: s.Pips,
|
||||
AskLayerPips: s.Pips,
|
||||
}
|
||||
|
||||
if s.EnableBollBandMargin {
|
||||
lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
|
||||
lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
|
||||
|
||||
if lastUpBand.IsZero() || lastDownBand.IsZero() {
|
||||
log.Warnf("bollinger band value is zero, skipping")
|
||||
return
|
||||
}
|
||||
|
||||
log.Infof("bollinger band: up/down = %f/%f", lastUpBand.Float64(), lastDownBand.Float64())
|
||||
|
||||
// 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.Compare(lastDownBand) < 0 {
|
||||
// ratio here should be greater than 1.00
|
||||
ratio := lastDownBand.Div(bestBidPrice)
|
||||
|
||||
// so that the original bid margin can be multiplied by 1.x
|
||||
bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
|
||||
|
||||
log.Infof("%s bollband downtrend: adjusting ask margin %v + %v = %v",
|
||||
s.Symbol,
|
||||
askMargin,
|
||||
bollMargin,
|
||||
askMargin.Add(bollMargin))
|
||||
|
||||
askMargin = askMargin.Add(bollMargin)
|
||||
pips = pips.Mul(ratio)
|
||||
}
|
||||
|
||||
if bestAskPrice.Compare(lastUpBand) > 0 {
|
||||
// ratio here should be greater than 1.00
|
||||
ratio := bestAskPrice.Div(lastUpBand)
|
||||
|
||||
// so that the original bid margin can be multiplied by 1.x
|
||||
bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
|
||||
|
||||
log.Infof("%s bollband uptrend adjusting bid margin %v + %v = %v",
|
||||
s.Symbol,
|
||||
bidMargin,
|
||||
bollMargin,
|
||||
bidMargin.Add(bollMargin))
|
||||
|
||||
bidMargin = bidMargin.Add(bollMargin)
|
||||
pips = pips.Mul(ratio)
|
||||
if err := s.applyBollingerMargin(quote); err != nil {
|
||||
log.WithError(err).Errorf("unable to apply bollinger margin")
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -401,11 +452,11 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
|
||||
bidExposureInUsd := fixedpoint.Zero
|
||||
askExposureInUsd := fixedpoint.Zero
|
||||
bidPrice := bestBidPrice
|
||||
askPrice := bestAskPrice
|
||||
bidPrice := quote.BestBidPrice
|
||||
askPrice := quote.BestAskPrice
|
||||
|
||||
bidMarginMetrics.With(labels).Set(bidMargin.Float64())
|
||||
askMarginMetrics.With(labels).Set(askMargin.Float64())
|
||||
bidMarginMetrics.With(labels).Set(quote.BidMargin.Float64())
|
||||
askMarginMetrics.With(labels).Set(quote.AskMargin.Float64())
|
||||
|
||||
for i := 0; i < s.NumLayers; i++ {
|
||||
// for maker bid orders
|
||||
|
|
@ -425,19 +476,20 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
|
||||
accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
|
||||
if s.UseDepthPrice {
|
||||
sideBook := sourceBook.SideBook(types.SideTypeBuy)
|
||||
if s.DepthQuantity.Sign() > 0 {
|
||||
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
|
||||
bidPrice = aggregatePrice(sideBook, s.DepthQuantity)
|
||||
} else {
|
||||
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
|
||||
bidPrice = aggregatePrice(sideBook, accumulativeBidQuantity)
|
||||
}
|
||||
}
|
||||
|
||||
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
|
||||
if i == 0 {
|
||||
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
|
||||
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
|
||||
} else if i > 0 && pips.Sign() > 0 {
|
||||
bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
|
||||
Mul(s.makerMarket.TickSize)))
|
||||
} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
|
||||
pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
|
||||
bidPrice = bidPrice.Sub(pips)
|
||||
}
|
||||
|
||||
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
|
||||
|
|
@ -489,11 +541,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
}
|
||||
}
|
||||
|
||||
askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
|
||||
if i == 0 {
|
||||
askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
|
||||
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
|
||||
} else if i > 0 && pips.Sign() > 0 {
|
||||
askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
|
||||
} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
|
||||
pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
|
||||
askPrice = askPrice.Add(pips)
|
||||
}
|
||||
|
||||
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user