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add max-eqmaker
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c9s
parent
38307f0f43
commit
f9a3863a95
252
examples/max-eqmaker/main.go
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252
examples/max-eqmaker/main.go
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package main
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import (
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"context"
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"math"
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"strings"
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"syscall"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/spf13/viper"
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"github.com/c9s/bbgo/cmd/cmdutil"
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"github.com/c9s/bbgo/exchange/max"
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maxapi "github.com/c9s/bbgo/exchange/max/maxapi"
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"github.com/c9s/bbgo/fixedpoint"
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"github.com/c9s/bbgo/types"
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"github.com/c9s/bbgo/util"
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)
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func init() {
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rootCmd.PersistentFlags().String("max-api-key", "", "max api key")
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rootCmd.PersistentFlags().String("max-api-secret", "", "max api secret")
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rootCmd.PersistentFlags().String("symbol", "maxusdt", "symbol")
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rootCmd.Flags().String("side", "buy", "side")
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rootCmd.Flags().Int("num-orders", 5, "number of orders for one side")
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rootCmd.Flags().Float64("behind-volume", 1000.0, "behind volume depth")
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rootCmd.Flags().Float64("base-quantity", 100.0, "base quantity")
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rootCmd.Flags().Float64("price-tick", 0.02, "price tick")
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rootCmd.Flags().Float64("buy-sell-ratio", 1.0, "price tick")
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}
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var rootCmd = &cobra.Command{
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Use: "trade",
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Short: "start trader",
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// SilenceUsage is an option to silence usage when an error occurs.
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SilenceUsage: true,
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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symbol := viper.GetString("symbol")
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if len(symbol) == 0 {
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return errors.New("empty symbol")
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}
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key, secret := viper.GetString("max-api-key"), viper.GetString("max-api-secret")
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if len(key) == 0 || len(secret) == 0 {
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return errors.New("empty key or secret")
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}
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side, err := cmd.Flags().GetString("side")
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if err != nil {
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return err
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}
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iv, err := cmd.Flags().GetInt("num-orders")
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if err != nil {
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return err
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}
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var numOrders = iv
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fv, err := cmd.Flags().GetFloat64("base-quantity")
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if err != nil {
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return err
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}
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var baseQuantity = fixedpoint.NewFromFloat(fv)
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fv, err = cmd.Flags().GetFloat64("price-tick")
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if err != nil {
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return err
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}
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var priceTick = fixedpoint.NewFromFloat(fv)
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fv, err = cmd.Flags().GetFloat64("behind-volume")
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if err != nil {
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return err
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}
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var behindVolume = fixedpoint.NewFromFloat(fv)
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buySellRatio, err := cmd.Flags().GetFloat64("buy-sell-ratio")
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if err != nil {
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return err
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}
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maxRest := maxapi.NewRestClient(maxapi.ProductionAPIURL)
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maxRest.Auth(key, secret)
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stream := max.NewStream(key, secret)
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stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
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streambook := types.NewStreamBook(symbol)
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streambook.BindStream(stream)
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cancelSideOrders := func(symbol string, side string) {
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if err := maxRest.OrderService.CancelAll(side, symbol); err != nil {
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log.WithError(err).Error("cancel all error")
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}
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streambook.C.Drain(2*time.Second, 5*time.Second)
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}
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updateSideOrders := func(symbol string, side string, baseQuantity fixedpoint.Value) {
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book := streambook.Copy()
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var pvs types.PriceVolumeSlice
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switch side {
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case "buy":
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pvs = book.Bids
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case "sell":
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pvs = book.Asks
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}
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if pvs == nil || len(pvs) == 0 {
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log.Warn("empty bids or asks")
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return
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}
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index := pvs.IndexByVolumeDepth(behindVolume)
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if index == -1 {
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// do not place orders
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log.Warn("depth is not enough")
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return
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}
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var price = pvs[index].Price
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var orders = generateOrders(symbol, side, price, priceTick, baseQuantity, numOrders)
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if len(orders) == 0 {
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log.Warn("empty orders")
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return
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}
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log.Infof("submitting %d orders", len(orders))
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retOrders, err := maxRest.OrderService.CreateMulti(symbol, orders)
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if err != nil {
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log.WithError(err).Error("create multi error")
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}
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_ = retOrders
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streambook.C.Drain(2*time.Second, 5*time.Second)
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}
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update := func() {
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switch side {
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case "both":
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cancelSideOrders(symbol, "buy")
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updateSideOrders(symbol, "buy", baseQuantity.MulFloat64(buySellRatio))
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cancelSideOrders(symbol, "sell")
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updateSideOrders(symbol, "sell", baseQuantity.MulFloat64(1.0/buySellRatio))
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default:
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cancelSideOrders(symbol, side)
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updateSideOrders(symbol, side, baseQuantity)
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}
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}
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go func() {
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ticker := time.NewTicker(1 * time.Minute)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-streambook.C:
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streambook.C.Drain(2*time.Second, 5*time.Second)
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update()
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case <-ticker.C:
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update()
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}
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}
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}()
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log.Info("connecting websocket...")
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if err := stream.Connect(ctx); err != nil {
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log.Fatal(err)
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}
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cmdutil.WaitForSignal(ctx, syscall.SIGINT, syscall.SIGTERM)
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return nil
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},
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}
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func generateOrders(symbol, side string, price, priceTick, baseVolume fixedpoint.Value, numOrders int) (orders []maxapi.Order) {
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var expBase = fixedpoint.NewFromFloat(0.0)
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switch side {
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case "buy":
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if priceTick > 0 {
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priceTick = -priceTick
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}
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case "sell":
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if priceTick < 0 {
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priceTick = -priceTick
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}
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}
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for i := 0; i < numOrders; i++ {
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volume := math.Exp(expBase.Float64()) * baseVolume.Float64()
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// skip order less than 10usd
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if volume*price.Float64() < 10.0 {
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log.Warn("amount too small (< 10usd). price=%f volume=%f amount=%f", price, volume, volume*price.Float64())
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continue
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}
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orders = append(orders, maxapi.Order{
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Side: side,
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OrderType: string(maxapi.OrderTypeLimit),
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Market: symbol,
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Price: util.FormatFloat(price.Float64(), 3),
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Volume: util.FormatFloat(volume, 2),
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// GroupID: 0,
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})
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log.Infof("%s order: %.2f @ %.3f", side, volume, price.Float64())
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if len(orders) >= numOrders {
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break
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}
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price = price + priceTick
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declog := math.Log10(math.Abs(priceTick.Float64()))
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expBase += fixedpoint.NewFromFloat(math.Pow10(-int(declog)) * math.Abs(priceTick.Float64()))
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log.Infof("expBase: %f", expBase.Float64())
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}
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return orders
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}
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func main() {
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viper.AutomaticEnv()
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viper.SetEnvKeyReplacer(strings.NewReplacer("-", "_"))
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if err := viper.BindPFlags(rootCmd.PersistentFlags()); err != nil {
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log.WithError(err).Error("bind pflags error")
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}
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if err := rootCmd.ExecuteContext(context.Background()); err != nil {
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log.WithError(err).Error("cmd error")
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}
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}
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