package fmaker import ( "context" "fmt" "math" "github.com/sajari/regression" "github.com/sirupsen/logrus" "gonum.org/v1/gonum/floats" "github.com/c9s/bbgo/pkg/bbgo" floats2 "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) const ID = "fmaker" var fifteen = fixedpoint.NewFromInt(15) var three = fixedpoint.NewFromInt(3) var two = fixedpoint.NewFromInt(2) var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type IntervalWindowSetting struct { types.IntervalWindow } type Strategy struct { *bbgo.Persistence Environment *bbgo.Environment Symbol string `json:"symbol"` Market types.Market Interval types.Interval `json:"interval"` Quantity fixedpoint.Value `json:"quantity"` // persistence fields Position *types.Position `json:"position,omitempty" persistence:"position"` ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"` Spread fixedpoint.Value `json:"spread" persistence:"spread"` activeMakerOrders *bbgo.ActiveOrderBook // closePositionOrders *bbgo.LocalActiveOrderBook orderStore *bbgo.OrderStore tradeCollector *bbgo.TradeCollector session *bbgo.ExchangeSession bbgo.QuantityOrAmount S0 *S0 S1 *S1 S2 *S2 S3 *S3 S4 *S4 S5 *S5 S6 *S6 S7 *S7 A2 *A2 A3 *A3 A18 *A18 A34 *A34 R *R // StrategyController bbgo.StrategyController } func (s *Strategy) ID() string { return ID } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { log.Infof("subscribe %s", s.Symbol) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval15m}) } func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) { submitOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeSell, Type: types.OrderTypeLimit, Price: price, Quantity: qty, } createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder) if err != nil { log.WithError(err).Errorf("can not place orders") } s.orderStore.Add(createdOrders...) s.activeMakerOrders.Add(createdOrders...) // s.tradeCollector.Process() } func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error { base := s.Position.GetBase() if base.IsZero() { return fmt.Errorf("no opened %s position", s.Position.Symbol) } // make it negative quantity := base.Mul(percentage).Abs() side := types.SideTypeBuy if base.Sign() > 0 { side = types.SideTypeSell } if quantity.Compare(s.Market.MinQuantity) < 0 { return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity) } submitOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: side, Type: types.OrderTypeMarket, Quantity: quantity, // Price: closePrice, Market: s.Market, } // s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder) createdOrder, err := s.session.Exchange.SubmitOrder(ctx, submitOrder) if err != nil { log.WithError(err).Errorf("can not place position close order") } else if createdOrder != nil { s.orderStore.Add(*createdOrder) s.activeMakerOrders.Add(*createdOrder) } return err } func (s *Strategy) InstanceID() string { return fmt.Sprintf("%s:%s", ID, s.Symbol) } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { // initial required information s.session = session // s.prevClose = fixedpoint.Zero // first we need to get market data store(cached market data) from the exchange session // st, _ := session.MarketDataStore(s.Symbol) s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol) s.activeMakerOrders.BindStream(session.UserDataStream) // s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol) // s.closePositionOrders.BindStream(session.UserDataStream) s.orderStore = bbgo.NewOrderStore(s.Symbol) s.orderStore.BindStream(session.UserDataStream) if s.Position == nil { s.Position = types.NewPositionFromMarket(s.Market) } // calculate group id for orders instanceID := s.InstanceID() // s.groupID = util.FNV32(instanceID) // Always update the position fields s.Position.Strategy = ID s.Position.StrategyInstanceID = instanceID s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore) s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) { // StrategyController if s.Status != types.StrategyStatusRunning { return } bbgo.Notify(trade) s.ProfitStats.AddTrade(trade) if profit.Compare(fixedpoint.Zero) == 0 { s.Environment.RecordPosition(s.Position, trade, nil) } else { log.Infof("%s generated profit: %v", s.Symbol, profit) p := s.Position.NewProfit(trade, profit, netProfit) p.Strategy = ID p.StrategyInstanceID = instanceID bbgo.Notify(&p) s.ProfitStats.AddProfit(p) bbgo.Notify(&s.ProfitStats) s.Environment.RecordPosition(s.Position, trade, &p) } }) s.tradeCollector.OnPositionUpdate(func(position *types.Position) { log.Infof("position changed: %s", s.Position) bbgo.Notify(s.Position) }) s.tradeCollector.BindStream(session.UserDataStream) st, _ := session.MarketDataStore(s.Symbol) riw := types.IntervalWindow{Window: 1, Interval: s.Interval} s.R = &R{IntervalWindow: riw} s.R.Bind(st) s0iw := types.IntervalWindow{Window: 20, Interval: s.Interval} s.S0 = &S0{IntervalWindow: s0iw} s.S0.Bind(st) s1iw := types.IntervalWindow{Window: 20, Interval: s.Interval} s.S1 = &S1{IntervalWindow: s1iw} s.S1.Bind(st) s2iw := types.IntervalWindow{Window: 20, Interval: s.Interval} s.S2 = &S2{IntervalWindow: s2iw} s.S2.Bind(st) s3iw := types.IntervalWindow{Window: 2, Interval: s.Interval} s.S3 = &S3{IntervalWindow: s3iw} s.S3.Bind(st) s4iw := types.IntervalWindow{Window: 2, Interval: s.Interval} s.S4 = &S4{IntervalWindow: s4iw} s.S4.Bind(st) s5iw := types.IntervalWindow{Window: 10, Interval: s.Interval} s.S5 = &S5{IntervalWindow: s5iw} s.S5.Bind(st) s6iw := types.IntervalWindow{Window: 2, Interval: s.Interval} s.S6 = &S6{IntervalWindow: s6iw} s.S6.Bind(st) s7iw := types.IntervalWindow{Window: 2, Interval: s.Interval} s.S7 = &S7{IntervalWindow: s7iw} s.S7.Bind(st) a2iw := types.IntervalWindow{Window: 2, Interval: s.Interval} s.A2 = &A2{IntervalWindow: a2iw} s.A2.Bind(st) a3iw := types.IntervalWindow{Window: 8, Interval: s.Interval} s.A3 = &A3{IntervalWindow: a3iw} s.A3.Bind(st) a18iw := types.IntervalWindow{Window: 5, Interval: s.Interval} s.A18 = &A18{IntervalWindow: a18iw} s.A18.Bind(st) a34iw := types.IntervalWindow{Window: 12, Interval: s.Interval} s.A34 = &A34{IntervalWindow: a34iw} s.A34.Bind(st) session.UserDataStream.OnStart(func() { log.Infof("connected") }) outlook := 1 // futuresMode := s.session.Futures || s.session.IsolatedFutures cnt := 0 // var prevEr float64 session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { // if kline.Interval == types.Interval15m && kline.Symbol == s.Symbol && !s.Market.IsDustQuantity(s.Position.GetBase(), kline.Close) { // if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { // log.WithError(err).Errorf("graceful cancel order error") // } // s.ClosePosition(ctx, fixedpoint.One) // s.tradeCollector.Process() // } if kline.Symbol != s.Symbol || kline.Interval != s.Interval { return } if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { log.WithError(err).Errorf("graceful cancel order error") } cnt += 1 if cnt < 15+1+outlook { return } r := new(regression.Regression) r.SetObserved("Return Rate Per Interval") r.SetVar(0, "S0") r.SetVar(1, "S1") r.SetVar(2, "S2") // r.SetVar(2, "S3") r.SetVar(3, "S4") r.SetVar(4, "S5") r.SetVar(5, "S6") r.SetVar(6, "S7") r.SetVar(7, "A2") r.SetVar(8, "A3") r.SetVar(9, "A18") r.SetVar(10, "A34") var rdps regression.DataPoints for i := 1; i <= 15; i++ { s0 := s.S0.Values[len(s.S0.Values)-i-outlook] s1 := s.S1.Values[len(s.S1.Values)-i-outlook] s2 := s.S2.Values[len(s.S2.Values)-i-outlook] // s3 := s.S3.Values[len(s.S3.Values)-i-1] s4 := s.S4.Values[len(s.S4.Values)-i-outlook] s5 := s.S5.Values[len(s.S5.Values)-i-outlook] s6 := s.S6.Values[len(s.S6.Values)-i-outlook] s7 := s.S7.Values[len(s.S7.Values)-i-outlook] a2 := s.A2.Values[len(s.A2.Values)-i-outlook] a3 := s.A3.Values[len(s.A3.Values)-i-outlook] a18 := s.A18.Values[len(s.A18.Values)-i-outlook] a34 := s.A34.Values[len(s.A34.Values)-i-outlook] ret := s.R.Values[len(s.R.Values)-i] rdps = append(rdps, regression.DataPoint(ret, floats2.Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34})) } // for i := 40; i > 20; i-- { // s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook]) // s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook]) // s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook]) // //s3 := s.S3.Values[len(s.S3.Values)-i-1] // s4 := preprocessing(s.S4.Values[len(s.S4.Values)-i : len(s.S4.Values)-i+20-outlook]) // s5 := preprocessing(s.S5.Values[len(s.S5.Values)-i : len(s.S5.Values)-i+20-outlook]) // a2 := preprocessing(s.A2.Values[len(s.A2.Values)-i : len(s.A2.Values)-i+20-outlook]) // a3 := preprocessing(s.A3.Values[len(s.A3.Values)-i : len(s.A3.Values)-i+20-outlook]) // a18 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook]) // a34 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook]) // // ret := s.R.Values[len(s.R.Values)-i] // rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})) // } r.Train(rdps...) r.Run() er, _ := r.Predict(floats2.Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last()}) log.Infof("Expected Return Rate: %f", er) q := new(regression.Regression) q.SetObserved("Order Quantity Per Interval") q.SetVar(0, "S0") q.SetVar(1, "S1") q.SetVar(2, "S2") // q.SetVar(2, "S3") q.SetVar(3, "S4") q.SetVar(4, "S5") q.SetVar(5, "S6") q.SetVar(6, "S7") q.SetVar(7, "A2") q.SetVar(8, "A3") q.SetVar(9, "A18") q.SetVar(10, "A34") var qdps regression.DataPoints for i := 1; i <= 15; i++ { s0 := math.Pow(s.S0.Values[len(s.S0.Values)-i-outlook], 1) s1 := math.Pow(s.S1.Values[len(s.S1.Values)-i-outlook], 1) s2 := math.Pow(s.S2.Values[len(s.S2.Values)-i-outlook], 1) // s3 := s.S3.Values[len(s.S3.Values)-i-1] s4 := math.Pow(s.S4.Values[len(s.S4.Values)-i-outlook], 1) s5 := math.Pow(s.S5.Values[len(s.S5.Values)-i-outlook], 1) s6 := s.S6.Values[len(s.S6.Values)-i-outlook] s7 := s.S7.Values[len(s.S7.Values)-i-outlook] a2 := math.Pow(s.A2.Values[len(s.A2.Values)-i-outlook], 1) a3 := math.Pow(s.A3.Values[len(s.A3.Values)-i-outlook], 1) a18 := math.Pow(s.A18.Values[len(s.A18.Values)-i-outlook], 1) a34 := math.Pow(s.A34.Values[len(s.A34.Values)-i-outlook], 1) ret := s.R.Values[len(s.R.Values)-i] qty := math.Abs(ret) qdps = append(qdps, regression.DataPoint(qty, floats2.Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34})) } // for i := 40; i > 20; i-- { // s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook]) // s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook]) // s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook]) // //s3 := s.S3.Values[len(s.S3.Values)-i-1] // s4 := preprocessing(s.S4.Values[len(s.S4.Values)-i : len(s.S4.Values)-i+20-outlook]) // s5 := preprocessing(s.S5.Values[len(s.S5.Values)-i : len(s.S5.Values)-i+20-outlook]) // a2 := preprocessing(s.A2.Values[len(s.A2.Values)-i : len(s.A2.Values)-i+20-outlook]) // a3 := preprocessing(s.A3.Values[len(s.A3.Values)-i : len(s.A3.Values)-i+20-outlook]) // a18 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook]) // a34 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook]) // // ret := s.R.Values[len(s.R.Values)-i] // qty := math.Abs(ret) // qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})) // } q.Train(qdps...) q.Run() log.Info(s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S3.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last()) log.Infof("Return Rate Regression formula:\n%v", r.Formula) log.Infof("Order Quantity Regression formula:\n%v", q.Formula) // s0 := preprocessing(s.S0.Values[len(s.S0.Values)-20 : len(s.S0.Values)-1]) // s1 := preprocessing(s.S1.Values[len(s.S1.Values)-20 : len(s.S1.Values)-1-outlook]) // s2 := preprocessing(s.S2.Values[len(s.S2.Values)-20 : len(s.S2.Values)-1-outlook]) // //s3 := s.S3.Values[len(s.S3.Values)-i-1] // s4 := preprocessing(s.S4.Values[len(s.S4.Values)-20 : len(s.S4.Values)-1-outlook]) // s5 := preprocessing(s.S5.Values[len(s.S5.Values)-20 : len(s.S5.Values)-1-outlook]) // a2 := preprocessing(s.A2.Values[len(s.A2.Values)-20 : len(s.A2.Values)-1-outlook]) // a3 := preprocessing(s.A3.Values[len(s.A3.Values)-20 : len(s.A3.Values)-1-outlook]) // a18 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook]) // a34 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook]) // er, _ := r.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}) // eq, _ := q.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}) eq, _ := q.Predict(floats2.Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last(), er}) log.Infof("Expected Order Quantity: %f", eq) // if float64(s.Position.GetBase().Sign())*er < 0 { // s.ClosePosition(ctx, fixedpoint.One, kline.Close) // s.tradeCollector.Process() // } // prevEr = er // spd := s.Spread.Float64() // inventory = m * alpha + spread AskAlphaBoundary := (s.Position.GetBase().Mul(kline.Close).Float64() - 100) / 10000 BidAlphaBoundary := (s.Position.GetBase().Mul(kline.Close).Float64() + 100) / 10000 log.Info(s.Position.GetBase().Mul(kline.Close).Float64(), AskAlphaBoundary, er, BidAlphaBoundary) BidPrice := kline.Close.Mul(fixedpoint.One.Sub(s.Spread)) BidQty := s.QuantityOrAmount.CalculateQuantity(BidPrice) BidQty = BidQty // .Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq))) AskPrice := kline.Close.Mul(fixedpoint.One.Add(s.Spread)) AskQty := s.QuantityOrAmount.CalculateQuantity(AskPrice) AskQty = AskQty // .Mul(fixedpoint.One.Add(fixedpoint.NewFromFloat(eq))) if er > 0 || (er < 0 && er > AskAlphaBoundary/kline.Close.Float64()) { submitOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeBuy, Type: types.OrderTypeLimitMaker, Price: BidPrice, Quantity: BidQty, // 0.0005 } createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder) if err != nil { log.WithError(err).Errorf("can not place orders") } s.orderStore.Add(createdOrders...) s.activeMakerOrders.Add(createdOrders...) s.tradeCollector.Process() // submitOrder = types.SubmitOrder{ // Symbol: s.Symbol, // Side: types.SideTypeSell, // Type: types.OrderTypeLimitMaker, // Price: kline.Close.Mul(fixedpoint.One.Add(s.Spread)), // Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005 // } // createdOrders, err = orderExecutor.SubmitOrder(ctx, submitOrder) // if err != nil { // log.WithError(err).Errorf("can not place orders") // } // s.orderStore.Add(createdOrders...) // s.activeMakerOrders.Add(createdOrders...) // s.tradeCollector.Process() } if er < 0 || (er > 0 && er < BidAlphaBoundary/kline.Close.Float64()) { submitOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeSell, Type: types.OrderTypeLimitMaker, Price: AskPrice, Quantity: AskQty, // 0.0005 } createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder) if err != nil { log.WithError(err).Errorf("can not place orders") } s.orderStore.Add(createdOrders...) s.activeMakerOrders.Add(createdOrders...) s.tradeCollector.Process() // submitOrder = types.SubmitOrder{ // Symbol: s.Symbol, // Side: types.SideTypeBuy, // Type: types.OrderTypeLimitMaker, // Price: kline.Close.Mul(fixedpoint.One.Sub(s.Spread)), // Quantity: fixedpoint.NewFromFloat(math.Max(math.Min(eq, 0.003), 0.0005)), //0.0005 // } // createdOrders, err = orderExecutor.SubmitOrder(ctx, submitOrder) // if err != nil { // log.WithError(err).Errorf("can not place orders") // } // s.orderStore.Add(createdOrders...) // s.activeMakerOrders.Add(createdOrders...) // s.tradeCollector.Process() } }) return nil } func tanh(x float64) float64 { y := (math.Exp(x) - math.Exp(-x)) / (math.Exp(x) + math.Exp(-x)) return y } func mean(xs []float64) float64 { return floats.Sum(xs) / float64(len(xs)) } func stddev(xs []float64) float64 { mu := mean(xs) squaresum := 0. for _, x := range xs { squaresum += (x - mu) * (x - mu) } return math.Sqrt(squaresum / float64(len(xs)-1)) } func preprocessing(xs []float64) float64 { // return 0.5 * tanh(0.01*((xs[len(xs)-1]-mean(xs))/stddev(xs))) // tanh estimator return tanh((xs[len(xs)-1] - mean(xs)) / stddev(xs)) // tanh z-score return (xs[len(xs)-1] - mean(xs)) / stddev(xs) // z-score }