package xalign import ( "context" "errors" "fmt" "strings" "sync" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) const ID = "xalign" func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type QuoteCurrencyPreference struct { Buy []string `json:"buy"` Sell []string `json:"sell"` } type Strategy struct { *bbgo.Environment Interval types.Interval `json:"interval"` PreferredSessions []string `json:"sessions"` PreferredQuoteCurrencies *QuoteCurrencyPreference `json:"quoteCurrencies"` ExpectedBalances map[string]fixedpoint.Value `json:"expectedBalances"` UseTakerOrder bool `json:"useTakerOrder"` DryRun bool `json:"dryRun"` sessions map[string]*bbgo.ExchangeSession orderBooks map[string]*bbgo.ActiveOrderBook orderStore *bbgo.OrderStore } func (s *Strategy) ID() string { return ID } func (s *Strategy) InstanceID() string { var cs []string for cur := range s.ExpectedBalances { cs = append(cs, cur) } return ID + strings.Join(s.PreferredSessions, "-") + strings.Join(cs, "-") } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { // session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) } func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) { } func (s *Strategy) Validate() error { if s.PreferredQuoteCurrencies == nil { return errors.New("quoteCurrencies is not defined") } return nil } func (s *Strategy) aggregateBalances(ctx context.Context, sessions map[string]*bbgo.ExchangeSession) (totalBalances types.BalanceMap, sessionBalances map[string]types.BalanceMap) { totalBalances = make(types.BalanceMap) sessionBalances = make(map[string]types.BalanceMap) // iterate the sessions and record them for sessionName, session := range sessions { // update the account balances and the margin information if _, err := session.UpdateAccount(ctx); err != nil { log.WithError(err).Errorf("can not update account") return } account := session.GetAccount() balances := account.Balances() sessionBalances[sessionName] = balances totalBalances = totalBalances.Add(balances) } return totalBalances, sessionBalances } func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[string]*bbgo.ExchangeSession, currency string, changeQuantity fixedpoint.Value) (*bbgo.ExchangeSession, *types.SubmitOrder) { for _, sessionName := range s.PreferredSessions { session := sessions[sessionName] var taker = s.UseTakerOrder var side types.SideType var quoteCurrencies []string if changeQuantity.Sign() > 0 { quoteCurrencies = s.PreferredQuoteCurrencies.Buy side = types.SideTypeBuy } else { quoteCurrencies = s.PreferredQuoteCurrencies.Sell side = types.SideTypeSell } for _, quoteCurrency := range quoteCurrencies { symbol := currency + quoteCurrency market, ok := session.Market(symbol) if !ok { continue } ticker, err := session.Exchange.QueryTicker(ctx, symbol) if err != nil { log.WithError(err).Errorf("unable to query ticker on %s", symbol) continue } spread := ticker.Sell.Sub(ticker.Buy) // changeQuantity > 0 = buy // changeQuantity < 0 = sell q := changeQuantity.Abs() if q.Compare(market.MinQuantity) < 0 { log.Infof("skip dust quantity: %f", q.Float64()) continue } log.Infof("%s changeQuantity: %f ticker: %+v market: %+v", symbol, changeQuantity.Float64(), ticker, market) switch side { case types.SideTypeBuy: quoteBalance, ok := session.Account.Balance(quoteCurrency) if !ok { continue } price := ticker.Sell if taker { price = ticker.Sell } else if spread.Compare(market.TickSize) > 0 { price = ticker.Sell.Sub(market.TickSize) } else { price = ticker.Buy } requiredQuoteAmount := q.Mul(price) requiredQuoteAmount = requiredQuoteAmount.Round(market.PricePrecision, fixedpoint.Up) if requiredQuoteAmount.Compare(quoteBalance.Available) > 0 { log.Warnf("required quote amount %f > quote balance %v, skip", requiredQuoteAmount.Float64(), quoteBalance) continue } if market.IsDustQuantity(q, price) { log.Infof("%s ignore dust quantity: %f", currency, q.Float64()) return nil, nil } q = market.AdjustQuantityByMinNotional(q, price) return session, &types.SubmitOrder{ Symbol: symbol, Side: side, Type: types.OrderTypeLimit, Quantity: q, Price: price, Market: market, TimeInForce: "GTC", } case types.SideTypeSell: baseBalance, ok := session.Account.Balance(currency) if !ok { continue } if q.Compare(baseBalance.Available) > 0 { log.Warnf("required base amount %f < available base balance %v, skip", q.Float64(), baseBalance) continue } price := ticker.Buy if taker { price = ticker.Buy } else if spread.Compare(market.TickSize) > 0 { price = ticker.Buy.Add(market.TickSize) } else { price = ticker.Sell } if market.IsDustQuantity(q, price) { log.Infof("%s ignore dust quantity: %f", currency, q.Float64()) return nil, nil } return session, &types.SubmitOrder{ Symbol: symbol, Side: side, Type: types.OrderTypeLimit, Quantity: q, Price: price, Market: market, TimeInForce: "GTC", } } } } return nil, nil } func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error { instanceID := s.InstanceID() _ = instanceID s.sessions = make(map[string]*bbgo.ExchangeSession) s.orderBooks = make(map[string]*bbgo.ActiveOrderBook) s.orderStore = bbgo.NewOrderStore("") for _, sessionName := range s.PreferredSessions { session, ok := sessions[sessionName] if !ok { return fmt.Errorf("incorrect preferred session name: %s is not defined", sessionName) } s.orderStore.BindStream(session.UserDataStream) orderBook := bbgo.NewActiveOrderBook("") orderBook.BindStream(session.UserDataStream) s.orderBooks[sessionName] = orderBook s.sessions[sessionName] = session } bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() for n, session := range s.sessions { if ob, ok := s.orderBooks[n]; ok { _ = ob.GracefulCancel(ctx, session.Exchange) } } }) go func() { s.align(ctx, s.sessions) ticker := time.NewTicker(s.Interval.Duration()) defer ticker.Stop() for { select { case <-ctx.Done(): return case <-ticker.C: s.align(ctx, s.sessions) } } }() return nil } func (s *Strategy) align(ctx context.Context, sessions map[string]*bbgo.ExchangeSession) { totalBalances, sessionBalances := s.aggregateBalances(ctx, sessions) _ = sessionBalances for sessionName, session := range sessions { ob, ok := s.orderBooks[sessionName] if !ok { log.Errorf("orderbook on session %s not found", sessionName) return } if ok { if err := ob.GracefulCancel(ctx, session.Exchange); err != nil { log.WithError(err).Errorf("can not cancel order") } } } for currency, expectedBalance := range s.ExpectedBalances { q := s.calculateRefillQuantity(totalBalances, currency, expectedBalance) selectedSession, submitOrder := s.selectSessionForCurrency(ctx, sessions, currency, q) if selectedSession != nil && submitOrder != nil { log.Infof("placing order on %s: %+v", selectedSession.Name, submitOrder) bbgo.Notify("Aligning position on exchange session %s, delta: %f", selectedSession.Name, q.Float64(), submitOrder) if s.DryRun { return } createdOrder, err := selectedSession.Exchange.SubmitOrder(ctx, *submitOrder) if err != nil { log.WithError(err).Errorf("can not place order") return } if createdOrder != nil { if ob, ok := s.orderBooks[selectedSession.Name]; ok { ob.Add(*createdOrder) } else { log.Errorf("orderbook %s not found", selectedSession.Name) } s.orderBooks[selectedSession.Name].Add(*createdOrder) } } } } func (s *Strategy) calculateRefillQuantity(totalBalances types.BalanceMap, currency string, expectedBalance fixedpoint.Value) fixedpoint.Value { if b, ok := totalBalances[currency]; ok { netBalance := b.Net() return expectedBalance.Sub(netBalance) } return expectedBalance }