mirror of
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407 lines
9.9 KiB
Go
407 lines
9.9 KiB
Go
package wall
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import (
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"context"
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"fmt"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "wall"
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const stateKey = "state-v1"
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var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
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var two = fixedpoint.NewFromInt(2)
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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StandardIndicatorSet *bbgo.StandardIndicatorSet
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Market types.Market
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// Symbol is the market symbol you want to trade
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Symbol string `json:"symbol"`
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Side types.SideType `json:"side"`
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// Interval is how long do you want to update your order price and quantity
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Interval types.Interval `json:"interval"`
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FixedPrice fixedpoint.Value `json:"fixedPrice"`
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bbgo.QuantityOrAmount
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NumLayers int `json:"numLayers"`
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// LayerSpread is the price spread between each layer
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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// QuantityScale helps user to define the quantity by layer scale
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QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
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AdjustmentMinSpread fixedpoint.Value `json:"adjustmentMinSpread"`
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AdjustmentQuantity fixedpoint.Value `json:"adjustmentQuantity"`
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session *bbgo.ExchangeSession
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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activeAdjustmentOrders *bbgo.LocalActiveOrderBook
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activeWallOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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groupID uint32
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stopC chan struct{}
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
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Depth: types.DepthLevelFull,
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})
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}
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func (s *Strategy) Validate() error {
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if len(s.Symbol) == 0 {
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return errors.New("symbol is required")
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}
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if len(s.Side) == 0 {
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return errors.New("side is required")
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}
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if s.FixedPrice.IsZero() {
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return errors.New("fixedPrice can not be zero")
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}
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return nil
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) placeAdjustmentOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
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var submitOrders []types.SubmitOrder
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// position adjustment orders
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base := s.Position.GetBase()
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if base.IsZero() {
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return nil
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}
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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return err
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}
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if s.Market.IsDustQuantity(base, ticker.Last) {
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return nil
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}
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switch s.Side {
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case types.SideTypeBuy:
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askPrice := ticker.Sell.Mul(s.AdjustmentMinSpread.Add(fixedpoint.One))
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if s.Position.AverageCost.Compare(askPrice) <= 0 {
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return nil
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}
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if base.Sign() < 0 {
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return nil
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}
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quantity := base.Abs()
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if quantity.Compare(s.AdjustmentQuantity) >= 0 {
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quantity = s.AdjustmentQuantity
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}
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: s.Side.Reverse(),
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Type: types.OrderTypeLimitMaker,
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Price: askPrice,
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Quantity: quantity,
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Market: s.Market,
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GroupID: s.groupID,
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})
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case types.SideTypeSell:
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bidPrice := ticker.Sell.Mul(fixedpoint.One.Sub(s.AdjustmentMinSpread))
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if s.Position.AverageCost.Compare(bidPrice) >= 0 {
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return nil
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}
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if base.Sign() > 0 {
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return nil
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}
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quantity := base.Abs()
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if quantity.Compare(s.AdjustmentQuantity) >= 0 {
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quantity = s.AdjustmentQuantity
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}
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: s.Side.Reverse(),
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Type: types.OrderTypeLimitMaker,
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Price: bidPrice,
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Quantity: quantity,
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Market: s.Market,
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GroupID: s.groupID,
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})
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}
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// condition for lower the average cost
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if len(submitOrders) == 0 {
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return nil
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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return err
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}
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s.orderStore.Add(createdOrders...)
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s.activeAdjustmentOrders.Add(createdOrders...)
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return nil
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}
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func (s *Strategy) placeWallOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
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var submitOrders []types.SubmitOrder
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var startPrice = s.FixedPrice
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for i := 0; i < s.NumLayers; i++ {
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var price = startPrice
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var quantity fixedpoint.Value
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if s.QuantityOrAmount.IsSet() {
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quantity = s.QuantityOrAmount.CalculateQuantity(price)
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} else if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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return err
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}
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quantity = fixedpoint.NewFromFloat(qf)
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}
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order := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: s.Side,
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Type: types.OrderTypeLimitMaker,
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Price: price,
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Quantity: quantity,
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Market: s.Market,
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GroupID: s.groupID,
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}
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submitOrders = append(submitOrders, order)
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switch s.Side {
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case types.SideTypeSell:
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startPrice = startPrice.Add(s.LayerSpread)
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case types.SideTypeBuy:
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startPrice = startPrice.Sub(s.LayerSpread)
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}
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}
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// condition for lower the average cost
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if len(submitOrders) == 0 {
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return nil
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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return err
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}
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s.orderStore.Add(createdOrders...)
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s.activeWallOrders.Add(createdOrders...)
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return err
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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// calculate group id for orders
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instanceID := s.InstanceID()
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s.groupID = util.FNV32(instanceID)
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// If position is nil, we need to allocate a new position for calculation
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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s.stopC = make(chan struct{})
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s.activeWallOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.activeWallOrders.BindStream(session.UserDataStream)
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s.activeAdjustmentOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.activeAdjustmentOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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s.Notifiability.Notify(trade)
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s.ProfitStats.AddTrade(trade)
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if profit.Compare(fixedpoint.Zero) == 0 {
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s.Environment.RecordPosition(s.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.Notify(&p)
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s.ProfitStats.AddProfit(p)
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s.Notify(&s.ProfitStats)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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s.tradeCollector.OnPositionUpdate(func(position types.AnyPosition) {
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log.Infof("position changed: %s", s.Position)
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s.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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session.UserDataStream.OnStart(func() {
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if err := s.placeWallOrders(ctx, orderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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})
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s.activeAdjustmentOrders.OnFilled(func(o types.Order) {
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if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.tradeCollector.Process()
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if err := s.placeAdjustmentOrders(ctx, orderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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})
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s.activeWallOrders.OnFilled(func(o types.Order) {
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if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.tradeCollector.Process()
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if err := s.placeWallOrders(ctx, orderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.tradeCollector.Process()
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if err := s.placeAdjustmentOrders(ctx, orderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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})
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ticker := time.NewTicker(s.Interval.Duration())
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go func() {
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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orders := s.activeWallOrders.Orders()
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if anyOrderFilled(orders) {
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if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.tradeCollector.Process()
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if err := s.placeWallOrders(ctx, orderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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}
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}
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}
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}()
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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close(s.stopC)
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if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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s.tradeCollector.Process()
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})
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return nil
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}
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func anyOrderFilled(orders []types.Order) bool {
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for _, o := range orders {
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if o.ExecutedQuantity.Sign() > 0 {
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return true
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}
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}
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return false
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}
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