mirror of
https://github.com/c9s/bbgo.git
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535 lines
18 KiB
Go
535 lines
18 KiB
Go
package fmaker
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import (
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"context"
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"fmt"
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"math"
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"github.com/sajari/regression"
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"github.com/sirupsen/logrus"
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"gonum.org/v1/gonum/floats"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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floats2 "github.com/c9s/bbgo/pkg/datatype/floats"
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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 = "fmaker"
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var fifteen = fixedpoint.NewFromInt(15)
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var three = fixedpoint.NewFromInt(3)
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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 IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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Quantity fixedpoint.Value `json:"quantity"`
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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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Spread fixedpoint.Value `json:"spread" persistence:"spread"`
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activeMakerOrders *bbgo.ActiveOrderBook
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// closePositionOrders *bbgo.LocalActiveOrderBook
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orderStore *core.OrderStore
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tradeCollector *core.TradeCollector
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session *bbgo.ExchangeSession
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bbgo.QuantityOrAmount
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S0 *S0
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S1 *S1
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S2 *S2
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S3 *S3
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S4 *S4
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S5 *S5
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S6 *S6
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S7 *S7
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A2 *A2
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A3 *A3
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A18 *A18
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A34 *A34
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R *R
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// StrategyController
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bbgo.StrategyController
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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) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("subscribe %s", s.Symbol)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval15m})
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}
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func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: price,
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Quantity: qty,
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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// s.tradeCollector.Process()
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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// Price: closePrice,
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Market: s.Market,
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}
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// s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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createdOrder, err := s.session.Exchange.SubmitOrder(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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} else if createdOrder != nil {
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s.orderStore.Add(*createdOrder)
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s.activeMakerOrders.Add(*createdOrder)
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}
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return err
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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) 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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// s.prevClose = fixedpoint.Zero
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// first we need to get market data store(cached market data) from the exchange session
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// st, _ := session.MarketDataStore(s.Symbol)
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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// s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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// s.closePositionOrders.BindStream(session.UserDataStream)
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s.orderStore = core.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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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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// 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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// 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.tradeCollector = core.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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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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bbgo.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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bbgo.Notify(&p)
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s.ProfitStats.AddProfit(&p)
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bbgo.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.Position) {
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log.Infof("position changed: %s", s.Position)
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bbgo.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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st, _ := session.MarketDataStore(s.Symbol)
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riw := types.IntervalWindow{Window: 1, Interval: s.Interval}
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s.R = &R{IntervalWindow: riw}
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s.R.Bind(st)
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s0iw := types.IntervalWindow{Window: 20, Interval: s.Interval}
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s.S0 = &S0{IntervalWindow: s0iw}
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s.S0.Bind(st)
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s1iw := types.IntervalWindow{Window: 20, Interval: s.Interval}
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s.S1 = &S1{IntervalWindow: s1iw}
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s.S1.Bind(st)
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s2iw := types.IntervalWindow{Window: 20, Interval: s.Interval}
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s.S2 = &S2{IntervalWindow: s2iw}
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s.S2.Bind(st)
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s3iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
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s.S3 = &S3{IntervalWindow: s3iw}
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s.S3.Bind(st)
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s4iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
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s.S4 = &S4{IntervalWindow: s4iw}
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s.S4.Bind(st)
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s5iw := types.IntervalWindow{Window: 10, Interval: s.Interval}
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s.S5 = &S5{IntervalWindow: s5iw}
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s.S5.Bind(st)
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s6iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
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s.S6 = &S6{IntervalWindow: s6iw}
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s.S6.Bind(st)
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s7iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
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s.S7 = &S7{IntervalWindow: s7iw}
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s.S7.Bind(st)
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a2iw := types.IntervalWindow{Window: 2, Interval: s.Interval}
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s.A2 = &A2{IntervalWindow: a2iw}
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s.A2.Bind(st)
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a3iw := types.IntervalWindow{Window: 8, Interval: s.Interval}
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s.A3 = &A3{IntervalWindow: a3iw}
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s.A3.Bind(st)
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a18iw := types.IntervalWindow{Window: 5, Interval: s.Interval}
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s.A18 = &A18{IntervalWindow: a18iw}
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s.A18.Bind(st)
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a34iw := types.IntervalWindow{Window: 12, Interval: s.Interval}
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s.A34 = &A34{IntervalWindow: a34iw}
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s.A34.Bind(st)
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session.UserDataStream.OnStart(func() {
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log.Infof("connected")
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})
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outlook := 1
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// futuresMode := s.session.Futures || s.session.IsolatedFutures
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cnt := 0
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// var prevEr float64
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// if kline.Interval == types.Interval15m && kline.Symbol == s.Symbol && !s.Market.IsDustQuantity(s.Position.GetBase(), kline.Close) {
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// if err := s.activeMakerOrders.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.ClosePosition(ctx, fixedpoint.One)
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// s.tradeCollector.Process()
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// }
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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if err := s.activeMakerOrders.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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cnt += 1
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if cnt < 15+1+outlook {
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return
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}
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r := new(regression.Regression)
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r.SetObserved("Return Rate Per Interval")
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r.SetVar(0, "S0")
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r.SetVar(1, "S1")
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r.SetVar(2, "S2")
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// r.SetVar(2, "S3")
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r.SetVar(3, "S4")
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r.SetVar(4, "S5")
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r.SetVar(5, "S6")
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r.SetVar(6, "S7")
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r.SetVar(7, "A2")
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r.SetVar(8, "A3")
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r.SetVar(9, "A18")
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r.SetVar(10, "A34")
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var rdps regression.DataPoints
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for i := 1; i <= 15; i++ {
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s0 := s.S0.Values[len(s.S0.Values)-i-outlook]
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s1 := s.S1.Values[len(s.S1.Values)-i-outlook]
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s2 := s.S2.Values[len(s.S2.Values)-i-outlook]
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// s3 := s.S3.Values[len(s.S3.Values)-i-1]
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s4 := s.S4.Values[len(s.S4.Values)-i-outlook]
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s5 := s.S5.Values[len(s.S5.Values)-i-outlook]
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s6 := s.S6.Values[len(s.S6.Values)-i-outlook]
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s7 := s.S7.Values[len(s.S7.Values)-i-outlook]
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a2 := s.A2.Values[len(s.A2.Values)-i-outlook]
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a3 := s.A3.Values[len(s.A3.Values)-i-outlook]
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a18 := s.A18.Values[len(s.A18.Values)-i-outlook]
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a34 := s.A34.Values[len(s.A34.Values)-i-outlook]
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ret := s.R.Values[len(s.R.Values)-i]
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rdps = append(rdps, regression.DataPoint(ret, floats2.Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
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}
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// for i := 40; i > 20; i-- {
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// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
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// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook])
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// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook])
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// //s3 := s.S3.Values[len(s.S3.Values)-i-1]
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// s4 := preprocessing(s.S4.Values[len(s.S4.Values)-i : len(s.S4.Values)-i+20-outlook])
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// s5 := preprocessing(s.S5.Values[len(s.S5.Values)-i : len(s.S5.Values)-i+20-outlook])
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// a2 := preprocessing(s.A2.Values[len(s.A2.Values)-i : len(s.A2.Values)-i+20-outlook])
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// a3 := preprocessing(s.A3.Values[len(s.A3.Values)-i : len(s.A3.Values)-i+20-outlook])
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// a18 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
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// a34 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
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//
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// ret := s.R.Values[len(s.R.Values)-i]
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// rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}))
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// }
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r.Train(rdps...)
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r.Run()
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er, _ := r.Predict(floats2.Slice{s.S0.Last(0), s.S1.Last(0), s.S2.Last(0), s.S4.Last(0), s.S5.Last(0), s.S6.Last(0), s.S7.Last(0), s.A2.Last(0), s.A3.Last(0), s.A18.Last(0), s.A34.Last(0)})
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log.Infof("Expected Return Rate: %f", er)
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q := new(regression.Regression)
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q.SetObserved("Order Quantity Per Interval")
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q.SetVar(0, "S0")
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q.SetVar(1, "S1")
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q.SetVar(2, "S2")
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// q.SetVar(2, "S3")
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q.SetVar(3, "S4")
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q.SetVar(4, "S5")
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q.SetVar(5, "S6")
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q.SetVar(6, "S7")
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q.SetVar(7, "A2")
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q.SetVar(8, "A3")
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q.SetVar(9, "A18")
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q.SetVar(10, "A34")
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var qdps regression.DataPoints
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for i := 1; i <= 15; i++ {
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s0 := math.Pow(s.S0.Values[len(s.S0.Values)-i-outlook], 1)
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s1 := math.Pow(s.S1.Values[len(s.S1.Values)-i-outlook], 1)
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s2 := math.Pow(s.S2.Values[len(s.S2.Values)-i-outlook], 1)
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// s3 := s.S3.Values[len(s.S3.Values)-i-1]
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s4 := math.Pow(s.S4.Values[len(s.S4.Values)-i-outlook], 1)
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s5 := math.Pow(s.S5.Values[len(s.S5.Values)-i-outlook], 1)
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s6 := s.S6.Values[len(s.S6.Values)-i-outlook]
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s7 := s.S7.Values[len(s.S7.Values)-i-outlook]
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a2 := math.Pow(s.A2.Values[len(s.A2.Values)-i-outlook], 1)
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a3 := math.Pow(s.A3.Values[len(s.A3.Values)-i-outlook], 1)
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a18 := math.Pow(s.A18.Values[len(s.A18.Values)-i-outlook], 1)
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a34 := math.Pow(s.A34.Values[len(s.A34.Values)-i-outlook], 1)
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ret := s.R.Values[len(s.R.Values)-i]
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qty := math.Abs(ret)
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qdps = append(qdps, regression.DataPoint(qty, floats2.Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
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}
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// for i := 40; i > 20; i-- {
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// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
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// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-i : len(s.S1.Values)-i+20-outlook])
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// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-i : len(s.S2.Values)-i+20-outlook])
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// //s3 := s.S3.Values[len(s.S3.Values)-i-1]
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// s4 := preprocessing(s.S4.Values[len(s.S4.Values)-i : len(s.S4.Values)-i+20-outlook])
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// s5 := preprocessing(s.S5.Values[len(s.S5.Values)-i : len(s.S5.Values)-i+20-outlook])
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// a2 := preprocessing(s.A2.Values[len(s.A2.Values)-i : len(s.A2.Values)-i+20-outlook])
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// a3 := preprocessing(s.A3.Values[len(s.A3.Values)-i : len(s.A3.Values)-i+20-outlook])
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// a18 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
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// a34 := preprocessing(s.A18.Values[len(s.A18.Values)-i : len(s.A18.Values)-i+20-outlook])
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//
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// ret := s.R.Values[len(s.R.Values)-i]
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// qty := math.Abs(ret)
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// qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34}))
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// }
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q.Train(qdps...)
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q.Run()
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log.Info(s.S0.Last(0), s.S1.Last(0), s.S2.Last(0), s.S3.Last(0), s.S4.Last(0), s.S5.Last(0), s.S6.Last(0), s.S7.Last(0), s.A2.Last(0), s.A3.Last(0), s.A18.Last(0), s.A34.Last(0))
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log.Infof("Return Rate Regression formula:\n%v", r.Formula)
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log.Infof("Order Quantity Regression formula:\n%v", q.Formula)
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// s0 := preprocessing(s.S0.Values[len(s.S0.Values)-20 : len(s.S0.Values)-1])
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// s1 := preprocessing(s.S1.Values[len(s.S1.Values)-20 : len(s.S1.Values)-1-outlook])
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// s2 := preprocessing(s.S2.Values[len(s.S2.Values)-20 : len(s.S2.Values)-1-outlook])
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// //s3 := s.S3.Values[len(s.S3.Values)-i-1]
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// 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(0), s.S1.Last(0), s.S2.Last(0), s.S4.Last(0), s.S5.Last(0), s.S6.Last(0), s.S7.Last(0), s.A2.Last(0), s.A3.Last(0), s.A18.Last(0), s.A34.Last(0), 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
|
|
}
|