package bollpp import ( "context" "fmt" "sync" "time" "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 = "bollpp" const stateKey = "state-v1" var defaultFeeRate = fixedpoint.NewFromFloat(0.001) var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type State struct { Position *bbgo.Position `json:"position,omitempty"` AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"` AccumulatedPnL fixedpoint.Value `json:"accumulatedPnL,omitempty"` AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty"` AccumulatedLoss fixedpoint.Value `json:"accumulatedLoss,omitempty"` AccumulatedSince int64 `json:"accumulatedSince,omitempty"` } type Strategy struct { *bbgo.Graceful *bbgo.Notifiability *bbgo.Persistence Symbol string `json:"symbol"` Interval types.Interval `json:"interval"` Quantity fixedpoint.Value `json:"quantity"` MinSpread fixedpoint.Value `json:"minSpread"` Spread fixedpoint.Value `json:"spread"` session *bbgo.ExchangeSession book *types.StreamOrderBook market types.Market state *State activeMakerOrders *bbgo.LocalActiveOrderBook orderStore *bbgo.OrderStore tradeCollector *bbgo.TradeCollector groupID uint32 stopC chan struct{} } 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), }) } func (s *Strategy) Validate() error { if len(s.Symbol) == 0 { return errors.New("symbol is required") } return nil } func (s *Strategy) SaveState() error { if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil { return err } else { log.Infof("state is saved => %+v", s.state) } return nil } func (s *Strategy) LoadState() error { var state State // load position if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil { if err != service.ErrPersistenceNotExists { return err } s.state = &State{} } else { s.state = &state log.Infof("state is restored: %+v", s.state) } // if position is nil, we need to allocate a new position for calculation if s.state.Position == nil { s.state.Position = bbgo.NewPositionFromMarket(s.market) } if s.state.AccumulatedSince == 0 { s.state.AccumulatedSince = time.Now().Unix() } return nil } func (s *Strategy) cancelOrders(ctx context.Context) { if err := s.session.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil { log.WithError(err).Errorf("can not cancel %s orders", s.Symbol) } time.Sleep(30 * time.Millisecond) for s.activeMakerOrders.NumOfOrders() > 0 { orders := s.activeMakerOrders.Orders() log.Warnf("%d orders are not cancelled yet:", len(orders)) s.activeMakerOrders.Print() if err := s.session.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil { log.WithError(err).Errorf("can not cancel %s orders", s.Symbol) continue } log.Infof("waiting for orders to be cancelled...") select { case <-time.After(3 * time.Second): case <-ctx.Done(): break } // verify the current open orders via the RESTful API if s.activeMakerOrders.NumOfOrders() > 0 { log.Warnf("there are orders not cancelled, using REStful API to verify...") openOrders, err := s.session.Exchange.QueryOpenOrders(ctx, s.Symbol) if err != nil { log.WithError(err).Errorf("can not query %s open orders", s.Symbol) continue } openOrderStore := bbgo.NewOrderStore(s.Symbol) openOrderStore.Add(openOrders...) for _, o := range s.activeMakerOrders.Orders() { // if it does not exist, we should remove it if !openOrderStore.Exists(o.OrderID) { s.activeMakerOrders.Remove(o) } } } } } func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) { ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol) if err != nil { return } midPrice := fixedpoint.NewFromFloat((ticker.Buy + ticker.Sell) / 2) one := fixedpoint.NewFromFloat(1.0) askPrice := midPrice.Mul(one + s.Spread) bidPrice := midPrice.Mul(one - s.Spread) base := s.state.Position.Base sellOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeSell, Type: types.OrderTypeLimitMaker, Quantity: s.Quantity.Float64(), Price: askPrice.Float64(), Market: s.market, TimeInForce: "GTC", GroupID: s.groupID, } buyOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeBuy, Type: types.OrderTypeLimitMaker, Quantity: s.Quantity.Float64(), Price: bidPrice.Float64(), Market: s.market, TimeInForce: "GTC", GroupID: s.groupID, } var submitOrders []types.SubmitOrder minQuantity := fixedpoint.NewFromFloat(s.market.MinQuantity) if base > -minQuantity && base < minQuantity { submitOrders = append(submitOrders, sellOrder, buyOrder) } else if base > minQuantity { sellOrder.Quantity = base.Float64() submitOrders = append(submitOrders, sellOrder) } else if base < -minQuantity { buyOrder.Quantity = base.Float64() submitOrders = append(submitOrders, buyOrder) } createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...) if err != nil { log.WithError(err).Errorf("can not place ping pong orders") } s.orderStore.Add(createdOrders...) s.activeMakerOrders.Add(createdOrders...) } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { // initial required information s.session = session market, ok := session.Market(s.Symbol) if !ok { return fmt.Errorf("market %s not found", s.Symbol) } s.market = market // calculate group id for orders instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol) s.groupID = max.GenerateGroupID(instanceID) log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID) // restore state if err := s.LoadState(); err != nil { return err } s.stopC = make(chan struct{}) s.activeMakerOrders = bbgo.NewLocalActiveOrderBook() s.activeMakerOrders.BindStream(session.UserDataStream) s.orderStore = bbgo.NewOrderStore(s.Symbol) s.orderStore.BindStream(session.UserDataStream) s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore) s.tradeCollector.OnProfit(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) { profitMargin := profit.DivFloat64(trade.QuoteQuantity) s.Notify("%s maker profit %s %f %s (%.3f%%), net profit =~ %f %s", s.Symbol, pnlEmoji(profit), profit.Float64(), s.market.QuoteCurrency, profitMargin.Float64()*100.0, netProfit.Float64(), s.market.QuoteCurrency) }) s.tradeCollector.OnTrade(func(trade types.Trade) { s.Notifiability.Notify(trade) log.Infof("%s", trade) }) s.tradeCollector.OnPositionUpdate(func(position *bbgo.Position) { s.Notifiability.Notify(position) }) s.tradeCollector.BindStream(session.UserDataStream) // s.tradeCollector.BindStreamForBackground(session.UserDataStream) // go s.tradeCollector.Run(ctx) session.UserDataStream.OnStart(func() { s.placeOrders(ctx, orderExecutor) }) session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { if kline.Symbol != s.Symbol { return } s.tradeCollector.Process() s.cancelOrders(ctx) s.placeOrders(ctx, orderExecutor) }) // s.book = types.NewStreamBook(s.Symbol) // s.book.BindStreamForBackground(session.MarketDataStream) s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() close(s.stopC) s.cancelOrders(ctx) if err := s.SaveState(); err != nil { log.WithError(err).Errorf("can not save state: %+v", s.state) } }) return nil } // lets move this to the fun package var lossEmoji = "🔥" var profitEmoji = "💰" func pnlEmoji(pnl fixedpoint.Value) string { if pnl < 0 { return lossEmoji } if pnl == 0 { return "" } return profitEmoji }