package techsignal import ( "context" "errors" "fmt" "math" "strings" "time" "github.com/c9s/bbgo/pkg/exchange/binance" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/types" ) const ID = "techsignal" 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:"-"` 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"` 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{}) for _, detection := range s.SupportDetection { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{ Interval: string(detection.Interval), }) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{ Interval: string(detection.MovingAverageInterval), }) } } func (s *Strategy) Validate() error { if len(s.Symbol) == 0 { return errors.New("symbol is required") } return nil } func (s *Strategy) listenToFundingRate(ctx context.Context, exchange *binance.Exchange) { var previousIndex, fundingRate24HoursLowIndex *types.PremiumIndex fundingRateTicker := time.NewTicker(1 * time.Hour) defer fundingRateTicker.Stop() for { select { case <-ctx.Done(): return case <-fundingRateTicker.C: index, err := exchange.QueryPremiumIndex(ctx, s.Symbol) if err != nil { log.WithError(err).Error("can not query last funding rate") continue } fundingRate := index.LastFundingRate if fundingRate >= s.FundingRate.High { s.Notifiability.Notify("%s funding rate %s is too high! threshold %s", s.Symbol, fundingRate.Percentage(), s.FundingRate.High.Percentage(), ) } else { if previousIndex != nil { if s.FundingRate.DiffThreshold == 0 { // 0.6% s.FundingRate.DiffThreshold = fixedpoint.NewFromFloat(0.006 * 0.01) } diff := fundingRate - previousIndex.LastFundingRate if diff.Abs() > s.FundingRate.DiffThreshold { s.Notifiability.Notify("%s funding rate changed %s, current funding rate %s", s.Symbol, diff.SignedPercentage(), fundingRate.Percentage(), ) } } } previousIndex = index if fundingRate24HoursLowIndex != nil { if fundingRate24HoursLowIndex.Time.Before(time.Now().Add(24 * time.Hour)) { fundingRate24HoursLowIndex = index } if fundingRate < fundingRate24HoursLowIndex.LastFundingRate { fundingRate24HoursLowIndex = index } } else { fundingRate24HoursLowIndex = index } } } } 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) } if s.FundingRate != nil { if binanceExchange, ok := session.Exchange.(*binance.Exchange); ok { go s.listenToFundingRate(ctx, binanceExchange) } else { log.Error("exchange does not support funding rate api") } } session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { // skip k-lines from other symbols if kline.Symbol != s.Symbol { return } for _, detection := range s.SupportDetection { if kline.Interval != detection.Interval { continue } closePriceF := kline.GetClose() closePrice := fixedpoint.NewFromFloat(closePriceF) var ma types.Float64Indicator switch strings.ToLower(detection.MovingAverageType) { case "sma": ma = standardIndicatorSet.SMA(types.IntervalWindow{ Interval: detection.MovingAverageInterval, Window: detection.MovingAverageWindow, }) case "ema", "ewma": ma = standardIndicatorSet.EWMA(types.IntervalWindow{ Interval: detection.MovingAverageInterval, Window: detection.MovingAverageWindow, }) default: ma = standardIndicatorSet.EWMA(types.IntervalWindow{ Interval: detection.MovingAverageInterval, Window: detection.MovingAverageWindow, }) } var lastMA = ma.Last() // skip if the closed price is above the moving average if closePrice.Float64() > lastMA { log.Infof("skip %s support closed price %f > last ma %f", s.Symbol, closePrice.Float64(), lastMA) return } prettyBaseVolume := s.Market.BaseCurrencyFormatter() prettyQuoteVolume := s.Market.QuoteCurrencyFormatter() if detection.MinVolume > 0 && kline.Volume > detection.MinVolume.Float64() { s.Notifiability.Notify("Detected %s %s support base volume %s > min base volume %s, quote volume %s", s.Symbol, detection.Interval.String(), prettyBaseVolume.FormatMoney(math.Round(kline.Volume)), prettyBaseVolume.FormatMoney(math.Round(detection.MinVolume.Float64())), prettyQuoteVolume.FormatMoney(math.Round(kline.QuoteVolume)), ) s.Notifiability.Notify(kline) } else if detection.MinQuoteVolume > 0 && kline.QuoteVolume > detection.MinQuoteVolume.Float64() { s.Notifiability.Notify("Detected %s %s support quote volume %s > min quote volume %s, base volume %s", s.Symbol, detection.Interval.String(), prettyQuoteVolume.FormatMoney(math.Round(kline.QuoteVolume)), prettyQuoteVolume.FormatMoney(math.Round(detection.MinQuoteVolume.Float64())), prettyBaseVolume.FormatMoney(math.Round(kline.Volume)), ) s.Notifiability.Notify(kline) } } }) return nil }