package grid import ( "context" "fmt" "sync" "github.com/pkg/errors" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/exchange/max" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/service" "github.com/c9s/bbgo/pkg/types" ) const ID = "grid" var log = logrus.WithField("strategy", ID) func init() { // Register the pointer of the strategy struct, // so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON) // Note: built-in strategies need to imported manually in the bbgo cmd package. bbgo.RegisterStrategy(ID, &Strategy{}) } // State is the grid snapshot type State struct { Orders []types.SubmitOrder `json:"orders,omitempty"` FilledBuyGrids map[fixedpoint.Value]struct{} `json:"filledBuyGrids"` FilledSellGrids map[fixedpoint.Value]struct{} `json:"filledSellGrids"` Position *types.Position `json:"position,omitempty"` AccumulativeArbitrageProfit fixedpoint.Value `json:"accumulativeArbitrageProfit"` // any created orders for tracking trades // [source Order ID] -> arbitrage order ArbitrageOrders map[uint64]types.Order `json:"arbitrageOrders"` ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"` } type Strategy struct { // The notification system will be injected into the strategy automatically. // This field will be injected automatically since it's a single exchange strategy. *bbgo.Notifiability `json:"-" yaml:"-"` *bbgo.Graceful `json:"-" yaml:"-"` *bbgo.Persistence // OrderExecutor is an interface for submitting order. // This field will be injected automatically since it's a single exchange strategy. bbgo.OrderExecutor `json:"-" yaml:"-"` // Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc // This field will be injected automatically since we defined the Symbol field. types.Market `json:"-" yaml:"-"` TradeService *service.TradeService `json:"-" yaml:"-"` // These fields will be filled from the config file (it translates YAML to JSON) Symbol string `json:"symbol" yaml:"symbol"` // ProfitSpread is the fixed profit spread you want to submit the sell order ProfitSpread fixedpoint.Value `json:"profitSpread" yaml:"profitSpread"` // GridNum is the grid number, how many orders you want to post on the orderbook. GridNum int `json:"gridNumber" yaml:"gridNumber"` UpperPrice fixedpoint.Value `json:"upperPrice" yaml:"upperPrice"` LowerPrice fixedpoint.Value `json:"lowerPrice" yaml:"lowerPrice"` // Quantity is the quantity you want to submit for each order. Quantity fixedpoint.Value `json:"quantity,omitempty"` // QuantityScale helps user to define the quantity by price scale or volume scale QuantityScale *bbgo.PriceVolumeScale `json:"quantityScale,omitempty"` // FixedAmount is used for fixed amount (dynamic quantity) if you don't want to use fixed quantity. FixedAmount fixedpoint.Value `json:"amount,omitempty" yaml:"amount"` // Side is the initial maker orders side. defaults to "both" Side types.SideType `json:"side" yaml:"side"` // CatchUp let the maker grid catch up with the price change. CatchUp bool `json:"catchUp" yaml:"catchUp"` // Long means you want to hold more base asset than the quote asset. Long bool `json:"long,omitempty" yaml:"long,omitempty"` state *State // orderStore is used to store all the created orders, so that we can filter the trades. orderStore *bbgo.OrderStore // activeOrders is the locally maintained active order book of the maker orders. activeOrders *bbgo.LocalActiveOrderBook tradeCollector *bbgo.TradeCollector // groupID is the group ID used for the strategy instance for canceling orders groupID uint32 } func (s *Strategy) ID() string { return ID } func (s *Strategy) Validate() error { if s.UpperPrice == 0 { return errors.New("upperPrice can not be zero, you forgot to set?") } if s.LowerPrice == 0 { return errors.New("lowerPrice can not be zero, you forgot to set?") } if s.UpperPrice <= s.LowerPrice { return fmt.Errorf("upperPrice (%f) should not be less than or equal to lowerPrice (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64()) } if s.ProfitSpread <= 0 { // If profitSpread is empty or its value is negative return fmt.Errorf("profit spread should bigger than 0") } if s.Quantity == 0 && s.QuantityScale == nil && s.FixedAmount == 0 { return fmt.Errorf("amount, quantity or scaleQuantity can not be zero") } return nil } func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) { currentPriceFloat, ok := session.LastPrice(s.Symbol) if !ok { return nil, fmt.Errorf("can not generate sell orders, %s last price not found", s.Symbol) } currentPrice := fixedpoint.NewFromFloat(currentPriceFloat) if currentPrice > s.UpperPrice { return nil, fmt.Errorf("can not generate sell orders, the current price %f is higher than upper price %f", currentPrice.Float64(), s.UpperPrice.Float64()) } priceRange := s.UpperPrice - s.LowerPrice numGrids := fixedpoint.NewFromInt(s.GridNum) gridSpread := priceRange.Div(numGrids) // find the nearest grid price from the current price startPrice := fixedpoint.Max( s.LowerPrice, s.UpperPrice-(s.UpperPrice-currentPrice).Div(gridSpread).Floor().Mul(gridSpread)) if startPrice > s.UpperPrice { return nil, fmt.Errorf("current price %f exceeded the upper price boundary %f", currentPrice.Float64(), s.UpperPrice.Float64()) } balances := session.Account.Balances() baseBalance, ok := balances[s.Market.BaseCurrency] if !ok { return nil, fmt.Errorf("base balance %s not found", s.Market.BaseCurrency) } if baseBalance.Available == 0 { return nil, fmt.Errorf("base balance %s is zero: %+v", s.Market.BaseCurrency, baseBalance) } log.Infof("placing grid sell orders from %f ~ %f, grid spread %f", startPrice.Float64(), s.UpperPrice.Float64(), gridSpread.Float64()) var orders []types.SubmitOrder for price := startPrice; price <= s.UpperPrice; price += gridSpread { var quantity fixedpoint.Value if s.Quantity > 0 { quantity = s.Quantity } else if s.QuantityScale != nil { qf, err := s.QuantityScale.Scale(price.Float64(), 0) if err != nil { return nil, err } quantity = fixedpoint.NewFromFloat(qf) } else if s.FixedAmount > 0 { quantity = s.FixedAmount.Div(price) } // quoteQuantity := price.Mul(quantity) if baseBalance.Available < quantity { return orders, fmt.Errorf("base balance %s %f is not enough, stop generating sell orders", baseBalance.Currency, baseBalance.Available.Float64()) } if _, filled := s.state.FilledSellGrids[price]; filled { log.Debugf("sell grid at price %f is already filled, skipping", price.Float64()) continue } orders = append(orders, types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeSell, Type: types.OrderTypeLimit, Market: s.Market, Quantity: quantity.Float64(), Price: price.Float64() + s.ProfitSpread.Float64(), TimeInForce: "GTC", GroupID: s.groupID, }) baseBalance.Available -= quantity s.state.FilledSellGrids[price] = struct{}{} } return orders, nil } func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) { // session.Exchange.QueryTicker() currentPriceFloat, ok := session.LastPrice(s.Symbol) if !ok { return nil, fmt.Errorf("%s last price not found, skipping", s.Symbol) } currentPrice := fixedpoint.NewFromFloat(currentPriceFloat) if currentPrice < s.LowerPrice { return nil, fmt.Errorf("current price %f is lower than the lower price %f", currentPrice.Float64(), s.LowerPrice.Float64()) } priceRange := s.UpperPrice - s.LowerPrice numGrids := fixedpoint.NewFromInt(s.GridNum) gridSpread := priceRange.Div(numGrids) // Find the nearest grid price for placing buy orders: // buyRange = currentPrice - lowerPrice // numOfBuyGrids = Floor(buyRange / gridSpread) // startPrice = lowerPrice + numOfBuyGrids * gridSpread // priceOfBuyOrder1 = startPrice // priceOfBuyOrder2 = startPrice - gridSpread // priceOfBuyOrder3 = startPrice - gridSpread * 2 startPrice := fixedpoint.Min( s.UpperPrice, s.LowerPrice+(currentPrice-s.LowerPrice).Div(gridSpread).Floor().Mul(gridSpread)) if startPrice < s.LowerPrice { return nil, fmt.Errorf("current price %f exceeded the lower price boundary %f", currentPrice.Float64(), s.UpperPrice.Float64()) } balances := session.Account.Balances() balance, ok := balances[s.Market.QuoteCurrency] if !ok { return nil, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency) } if balance.Available == 0 { return nil, fmt.Errorf("quote balance %s is zero: %+v", s.Market.QuoteCurrency, balance) } log.Infof("placing grid buy orders from %f to %f, grid spread %f", startPrice.Float64(), s.LowerPrice.Float64(), gridSpread.Float64()) var orders []types.SubmitOrder for price := startPrice; s.LowerPrice <= price; price -= gridSpread { var quantity fixedpoint.Value if s.Quantity > 0 { quantity = s.Quantity } else if s.QuantityScale != nil { qf, err := s.QuantityScale.Scale(price.Float64(), 0) if err != nil { return nil, err } quantity = fixedpoint.NewFromFloat(qf) } else if s.FixedAmount > 0 { quantity = s.FixedAmount.Div(price) } quoteQuantity := price.Mul(quantity) if balance.Available < quoteQuantity { return orders, fmt.Errorf("quote balance %s %f is not enough for %f, stop generating buy orders", balance.Currency, balance.Available.Float64(), quoteQuantity.Float64()) } if _, filled := s.state.FilledBuyGrids[price]; filled { log.Debugf("buy grid at price %f is already filled, skipping", price.Float64()) continue } orders = append(orders, types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeBuy, Type: types.OrderTypeLimit, Market: s.Market, Quantity: quantity.Float64(), Price: price.Float64(), TimeInForce: "GTC", GroupID: s.groupID, }) balance.Available -= quoteQuantity s.state.FilledBuyGrids[price] = struct{}{} } return orders, nil } func (s *Strategy) placeGridSellOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { orderForms, err := s.generateGridSellOrders(session) if len(orderForms) == 0 { if err != nil { return err } return errors.New("none of sell order is generated") } log.Infof("submitting %d sell orders...", len(orderForms)) createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orderForms...) s.activeOrders.Add(createdOrders...) return err } func (s *Strategy) placeGridBuyOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { orderForms, err := s.generateGridBuyOrders(session) if len(orderForms) == 0 { if err != nil { return err } return errors.New("none of buy order is generated") } log.Infof("submitting %d buy orders...", len(orderForms)) createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orderForms...) s.activeOrders.Add(createdOrders...) return err } func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) { log.Infof("placing grid orders on side %s...", s.Side) switch s.Side { case types.SideTypeBuy: if err := s.placeGridBuyOrders(orderExecutor, session); err != nil { log.Warn(err.Error()) } case types.SideTypeSell: if err := s.placeGridSellOrders(orderExecutor, session); err != nil { log.Warn(err.Error()) } case types.SideTypeBoth: if err := s.placeGridSellOrders(orderExecutor, session); err != nil { log.Warn(err.Error()) } if err := s.placeGridBuyOrders(orderExecutor, session); err != nil { log.Warn(err.Error()) } default: log.Errorf("invalid side %s", s.Side) } } func (s *Strategy) handleFilledOrder(filledOrder types.Order) { // generate arbitrage order var side = filledOrder.Side.Reverse() var price = filledOrder.Price var quantity = filledOrder.Quantity var amount = filledOrder.Price * filledOrder.Quantity switch side { case types.SideTypeSell: price += s.ProfitSpread.Float64() case types.SideTypeBuy: price -= s.ProfitSpread.Float64() } if s.FixedAmount > 0 { quantity = s.FixedAmount.Float64() / price } else if s.Long { // long = use the same amount to buy more quantity back quantity = amount / price amount = quantity * price } if quantity < s.Market.MinQuantity { quantity = s.Market.MinQuantity amount = quantity * price } if amount <= s.Market.MinNotional { quantity = bbgo.AdjustFloatQuantityByMinAmount(quantity, price, s.Market.MinNotional*1.001) // update amount amount = quantity * price } submitOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: side, Type: types.OrderTypeLimit, Quantity: quantity, Price: price, TimeInForce: "GTC", GroupID: s.groupID, } log.Infof("submitting arbitrage order: %s against filled order %s", submitOrder.String(), filledOrder.String()) createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder) // create one-way link from the newly created orders for _, o := range createdOrders { s.state.ArbitrageOrders[o.OrderID] = filledOrder } s.orderStore.Add(createdOrders...) s.activeOrders.Add(createdOrders...) if err != nil { log.WithError(err).Errorf("can not place orders: %+v", submitOrder) return } // calculate arbitrage profit // TODO: apply fee rate here if s.Long { switch filledOrder.Side { case types.SideTypeSell: if buyOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok { // use base asset quantity here baseProfit := buyOrder.Quantity - filledOrder.Quantity s.state.AccumulativeArbitrageProfit += fixedpoint.NewFromFloat(baseProfit) s.Notify("%s grid arbitrage profit %f %s, accumulative arbitrage profit %f %s", s.Symbol, baseProfit, s.Market.BaseCurrency, s.state.AccumulativeArbitrageProfit.Float64(), s.Market.BaseCurrency, ) } case types.SideTypeBuy: if sellOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok { // use base asset quantity here baseProfit := filledOrder.Quantity - sellOrder.Quantity s.state.AccumulativeArbitrageProfit += fixedpoint.NewFromFloat(baseProfit) s.Notify("%s grid arbitrage profit %f %s, accumulative arbitrage profit %f %s", s.Symbol, baseProfit, s.Market.BaseCurrency, s.state.AccumulativeArbitrageProfit.Float64(), s.Market.BaseCurrency, ) } } } else if !s.Long && s.Quantity > 0 { switch filledOrder.Side { case types.SideTypeSell: if buyOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok { // use base asset quantity here quoteProfit := (filledOrder.Quantity * filledOrder.Price) - (buyOrder.Quantity * buyOrder.Price) s.state.AccumulativeArbitrageProfit += fixedpoint.NewFromFloat(quoteProfit) s.Notify("%s grid arbitrage profit %f %s, accumulative arbitrage profit %f %s", s.Symbol, quoteProfit, s.Market.QuoteCurrency, s.state.AccumulativeArbitrageProfit.Float64(), s.Market.QuoteCurrency, ) } case types.SideTypeBuy: if sellOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok { // use base asset quantity here quoteProfit := (sellOrder.Quantity * sellOrder.Price) - (filledOrder.Quantity * filledOrder.Price) s.state.AccumulativeArbitrageProfit += fixedpoint.NewFromFloat(quoteProfit) s.Notify("%s grid arbitrage profit %f %s, accumulative arbitrage profit %f %s", s.Symbol, quoteProfit, s.Market.QuoteCurrency, s.state.AccumulativeArbitrageProfit.Float64(), s.Market.QuoteCurrency, ) } } } } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) } func (s *Strategy) LoadState() error { instanceID := s.InstanceID() var state State if s.Persistence != nil { if err := s.Persistence.Load(&state, ID, instanceID); err != nil { if err != service.ErrPersistenceNotExists { return errors.Wrapf(err, "state load error") } s.state = &State{ FilledBuyGrids: make(map[fixedpoint.Value]struct{}), FilledSellGrids: make(map[fixedpoint.Value]struct{}), ArbitrageOrders: make(map[uint64]types.Order), Position: types.NewPositionFromMarket(s.Market), } } else { s.state = &state } } // init profit stats s.state.ProfitStats.Init(s.Market) // field guards if s.state.ArbitrageOrders == nil { s.state.ArbitrageOrders = make(map[uint64]types.Order) } if s.state.FilledBuyGrids == nil { s.state.FilledBuyGrids = make(map[fixedpoint.Value]struct{}) } if s.state.FilledSellGrids == nil { s.state.FilledSellGrids = make(map[fixedpoint.Value]struct{}) } return nil } func (s *Strategy) SaveState() error { if s.Persistence != nil { log.Infof("backing up grid state...") instanceID := s.InstanceID() submitOrders := s.activeOrders.Backup() s.state.Orders = submitOrders if err := s.Persistence.Save(s.state, ID, instanceID); err != nil { return err } } return nil } // InstanceID returns the instance identifier from the current grid configuration parameters func (s *Strategy) InstanceID() string { return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice, s.LowerPrice) } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { // do some basic validation if s.GridNum == 0 { s.GridNum = 10 } if s.Side == "" { s.Side = types.SideTypeBoth } instanceID := s.InstanceID() s.groupID = max.GenerateGroupID(instanceID) log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID) if err := s.LoadState(); err != nil { return err } s.Notify("grid %s position", s.Symbol, s.state.Position) s.orderStore = bbgo.NewOrderStore(s.Symbol) s.orderStore.BindStream(session.UserDataStream) // we don't persist orders so that we can not clear the previous orders for now. just need time to support this. s.activeOrders = bbgo.NewLocalActiveOrderBook(s.Symbol) s.activeOrders.OnFilled(s.handleFilledOrder) s.activeOrders.BindStream(session.UserDataStream) s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore) s.tradeCollector.OnTrade(func(trade types.Trade) { s.Notifiability.Notify(trade) s.state.ProfitStats.AddTrade(trade) }) /* if s.TradeService != nil { s.tradeCollector.OnTrade(func(trade types.Trade) { if err := s.TradeService.Mark(ctx, trade.ID, ID); err != nil { log.WithError(err).Error("trade mark error") } }) } */ s.tradeCollector.OnPositionUpdate(func(position *types.Position) { s.Notifiability.Notify(position) }) s.tradeCollector.BindStream(session.UserDataStream) s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() if err := s.SaveState(); err != nil { log.WithError(err).Errorf("can not save state: %+v", s.state) } else { s.Notify("%s: %s grid is saved", ID, s.Symbol) } // now we can cancel the open orders log.Infof("canceling active orders...") if err := session.Exchange.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil { log.WithError(err).Errorf("cancel order error") } }) session.UserDataStream.OnStart(func() { // if we have orders in the state data, we can restore them if len(s.state.Orders) > 0 { s.Notifiability.Notify("restoring %s %d grid orders...", s.Symbol, len(s.state.Orders)) createdOrders, err := orderExecutor.SubmitOrders(ctx, s.state.Orders...) if err != nil { log.WithError(err).Error("active orders restore error") } s.activeOrders.Add(createdOrders...) s.orderStore.Add(createdOrders...) } else { // or place new orders s.placeGridOrders(orderExecutor, session) } }) if s.CatchUp { session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { log.Infof("catchUp mode is enabled, updating grid orders...") // update grid s.placeGridOrders(orderExecutor, session) }) } return nil }