package funding import ( "context" "errors" "fmt" "strings" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/exchange/binance" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/types" ) const ID = "funding" 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{}) } type Strategy struct { *bbgo.Notifiability // These fields will be filled from the config file (it translates YAML to JSON) Symbol string `json:"symbol"` Market types.Market `json:"-"` Quantity fixedpoint.Value `json:"quantity,omitempty"` MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"` //Interval types.Interval `json:"interval"` FundingRate *struct { High fixedpoint.Value `json:"high"` Neutral fixedpoint.Value `json:"neutral"` DiffThreshold fixedpoint.Value `json:"diffThreshold"` } `json:"fundingRate"` SupportDetection []struct { Interval types.Interval `json:"interval"` // MovingAverageType is the moving average indicator type that we want to use, // it could be SMA or EWMA MovingAverageType string `json:"movingAverageType"` // MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate, // it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from // the k-line data we subscribed //MovingAverageInterval types.Interval `json:"movingAverageInterval"` // //// MovingAverageWindow is the number of the window size of the moving average indicator. //// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView. //MovingAverageWindow int `json:"movingAverageWindow"` MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"` MinVolume fixedpoint.Value `json:"minVolume"` MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"` } `json:"supportDetection"` } func (s *Strategy) ID() string { return ID } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { // session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{}) //session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{ // Interval: string(s.Interval), //}) for _, detection := range s.SupportDetection { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{ Interval: detection.Interval, }) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{ Interval: detection.MovingAverageIntervalWindow.Interval, }) } } func (s *Strategy) Validate() error { if len(s.Symbol) == 0 { return errors.New("symbol is required") } return nil } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol) if !ok { return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol) } //binanceExchange, ok := session.Exchange.(*binance.Exchange) //if !ok { // log.Error("exchange failed") //} if !session.Futures { log.Error("futures not enabled in config for this strategy") return nil } //if s.FundingRate != nil { // go s.listenToFundingRate(ctx, binanceExchange) //} premiumIndex, err := session.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol) if err != nil { log.Error("exchange does not support funding rate api") } var ma types.Float64Indicator for _, detection := range s.SupportDetection { switch strings.ToLower(detection.MovingAverageType) { case "sma": ma = standardIndicatorSet.SMA(types.IntervalWindow{ Interval: detection.MovingAverageIntervalWindow.Interval, Window: detection.MovingAverageIntervalWindow.Window, }) case "ema", "ewma": ma = standardIndicatorSet.EWMA(types.IntervalWindow{ Interval: detection.MovingAverageIntervalWindow.Interval, Window: detection.MovingAverageIntervalWindow.Window, }) default: ma = standardIndicatorSet.EWMA(types.IntervalWindow{ Interval: detection.MovingAverageIntervalWindow.Interval, Window: detection.MovingAverageIntervalWindow.Window, }) } } session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { // skip k-lines from other symbols if kline.Symbol != s.Symbol { return } for _, detection := range s.SupportDetection { var lastMA = ma.Last() closePrice := kline.GetClose() closePriceF := closePrice.Float64() // skip if the closed price is under the moving average if closePriceF < lastMA { log.Infof("skip %s closed price %v < last ma %f", s.Symbol, closePrice, lastMA) return } fundingRate := premiumIndex.LastFundingRate if fundingRate.Compare(s.FundingRate.High) >= 0 { s.Notifiability.Notify("%s funding rate %s is too high! threshold %s", s.Symbol, fundingRate.Percentage(), s.FundingRate.High.Percentage(), ) } else { log.Infof("skip funding rate is too low") return } prettyBaseVolume := s.Market.BaseCurrencyFormatter() prettyQuoteVolume := s.Market.QuoteCurrencyFormatter() if detection.MinVolume.Sign() > 0 && kline.Volume.Compare(detection.MinVolume) > 0 { s.Notifiability.Notify("Detected %s %s resistance base volume %s > min base volume %s, quote volume %s", s.Symbol, detection.Interval.String(), prettyBaseVolume.FormatMoney(kline.Volume.Trunc()), prettyBaseVolume.FormatMoney(detection.MinVolume.Trunc()), prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()), ) s.Notifiability.Notify(kline) baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency) if !ok { return } if baseBalance.Available.Sign() > 0 && baseBalance.Total().Compare(s.MaxExposurePosition) < 0 { log.Infof("opening a short position") _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: kline.Symbol, Side: types.SideTypeSell, Type: types.OrderTypeMarket, Quantity: s.Quantity, }) if err != nil { log.WithError(err).Error("submit order error") } } } else if detection.MinQuoteVolume.Sign() > 0 && kline.QuoteVolume.Compare(detection.MinQuoteVolume) > 0 { s.Notifiability.Notify("Detected %s %s resistance quote volume %s > min quote volume %s, base volume %s", s.Symbol, detection.Interval.String(), prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()), prettyQuoteVolume.FormatMoney(detection.MinQuoteVolume.Trunc()), prettyBaseVolume.FormatMoney(kline.Volume.Trunc()), ) s.Notifiability.Notify(kline) } } }) return nil }