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656 lines
20 KiB
Markdown
656 lines
20 KiB
Markdown
# BBGO
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A trading bot framework written in Go. The name bbgo comes from the BB8 bot in the Star Wars movie.
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## Current Status
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[![Go](https://github.com/c9s/bbgo/actions/workflows/go.yml/badge.svg?branch=main)](https://github.com/c9s/bbgo/actions/workflows/go.yml)
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[![GoDoc](https://godoc.org/github.com/c9s/bbgo?status.svg)](https://pkg.go.dev/github.com/c9s/bbgo)
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[![Go Report Card](https://goreportcard.com/badge/github.com/c9s/bbgo)](https://goreportcard.com/report/github.com/c9s/bbgo)
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[![DockerHub](https://img.shields.io/docker/pulls/yoanlin/bbgo.svg)](https://hub.docker.com/r/yoanlin/bbgo)
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[![Coverage Status](http://codecov.io/github/c9s/bbgo/coverage.svg?branch=main)](http://codecov.io/github/c9s/bbgo?branch=main)
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<img alt="open collective badge" src="https://opencollective.com/bbgo/tiers/badge.svg">
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<img alt="open collective badge" src="https://opencollective.com/bbgo/tiers/backer/badge.svg?label=backer&color=brightgreen" />
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## Community
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[![Telegram Global](https://img.shields.io/badge/telegram-global-blue.svg)](https://t.me/bbgo_intl)
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[![Telegram Taiwan](https://img.shields.io/badge/telegram-tw-blue.svg)](https://t.me/bbgocrypto)
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[![Twitter](https://img.shields.io/twitter/follow/bbgotrading?label=Follow&style=social)](https://twitter.com/bbgotrading)
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## What You Can Do With BBGO
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### Trading Bot Users 💁♀️ 💁♂️
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You can use BBGO to run the built-in strategies.
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### Strategy Developers 🥷
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You can use BBGO's trading unit and back-test unit to implement your own strategies.
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### Trading Unit Developers 🧑💻
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You can use BBGO's underlying common exchange API, currently it supports 4+ major exchanges, so you don't have to repeat the implementation.
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## Features
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- Exchange abstraction interface.
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- Stream integration (user data websocket, market data websocket).
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- Real-time orderBook integration through websocket.
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- TWAP order execution support. See [TWAP Order Execution](./doc/topics/twap.md)
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- PnL calculation.
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- Slack/Telegram notification.
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- Back-testing: KLine-based back-testing engine. See [Back-testing](./doc/topics/back-testing.md)
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- Built-in parameter optimization tool.
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- Built-in Grid strategy and many other built-in strategies.
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- Multi-exchange session support: you can connect to more than 2 exchanges with different accounts or subaccounts.
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- Indicators with interface similar to `pandas.Series`([series](https://github.com/c9s/bbgo/blob/main/doc/development/series.md))([usage](https://github.com/c9s/bbgo/blob/main/doc/development/indicator.md)):
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- [Accumulation/Distribution Indicator](./pkg/indicator/ad.go)
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- [Arnaud Legoux Moving Average](./pkg/indicator/alma.go)
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- [Average True Range](./pkg/indicator/atr.go)
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- [Bollinger Bands](./pkg/indicator/boll.go)
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- [Commodity Channel Index](./pkg/indicator/cci.go)
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- [Cumulative Moving Average](./pkg/indicator/cma.go)
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- [Double Exponential Moving Average](./pkg/indicator/dema.go)
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- [Directional Movement Index](./pkg/indicator/dmi.go)
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- [Brownian Motion's Drift Factor](./pkg/indicator/drift.go)
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- [Ease of Movement](./pkg/indicator/emv.go)
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- [Exponentially Weighted Moving Average](./pkg/indicator/ewma.go)
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- [Hull Moving Average](./pkg/indicator/hull.go)
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- [Trend Line (Tool)](./pkg/indicator/line.go)
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- [Moving Average Convergence Divergence Indicator](./pkg/indicator/macd.go)
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- [On-Balance Volume](./pkg/indicator/obv.go)
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- [Pivot](./pkg/indicator/pivot.go)
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- [Running Moving Average](./pkg/indicator/rma.go)
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- [Relative Strength Index](./pkg/indicator/rsi.go)
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- [Simple Moving Average](./pkg/indicator/sma.go)
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- [Ehler's Super Smoother Filter](./pkg/indicator/ssf.go)
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- [Stochastic Oscillator](./pkg/indicator/stoch.go)
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- [SuperTrend](./pkg/indicator/supertrend.go)
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- [Triple Exponential Moving Average](./pkg/indicator/tema.go)
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- [Tillson T3 Moving Average](./pkg/indicator/till.go)
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- [Triangular Moving Average](./pkg/indicator/tma.go)
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- [Variable Index Dynamic Average](./pkg/indicator/vidya.go)
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- [Volatility Indicator](./pkg/indicator/volatility.go)
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- [Volume Weighted Average Price](./pkg/indicator/vwap.go)
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- [Zero Lag Exponential Moving Average](./pkg/indicator/zlema.go)
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- And more...
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- HeikinAshi OHLC / Normal OHLC (check [this config](https://github.com/c9s/bbgo/blob/main/config/skeleton.yaml#L5))
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- React-powered Web Dashboard.
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- Docker image ready.
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- Kubernetes support.
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- Helm chart ready.
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- High precision float point (up to 16 digits, run with `-tags dnum`).
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## Screenshots
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![bbgo dashboard](assets/screenshots/dashboard.jpeg)
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![bbgo backtest report](assets/screenshots/backtest-report.jpg)
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## Supported Exchanges
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- Binance Spot Exchange (and binance.us)
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- FTX Spot Exchange
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- OKEx Spot Exchange
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- Kucoin Spot Exchange
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- MAX Spot Exchange (located in Taiwan)
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## Documentation and General Topics
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- Check the [documentation index](doc/README.md)
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## BBGO Tokenomics
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To support the development of BBGO, we have created a bounty pool to support contributors by giving away $BBG tokens.
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Check the details in [$BBG Contract Page](contracts/README.md) and our [official website](https://bbgo.finance)
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## Requirements
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Get your exchange API key and secret after you register the accounts (you can choose one or more exchanges):
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- MAX: <https://max.maicoin.com/signup?r=c7982718>
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- Binance: <https://accounts.binance.com/en/register?ref=38192708>
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- FTX: <https://ftx.com/#a=7710474>
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- OKEx: <https://www.okex.com/join/2412712?src=from:ios-share>
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- Kucoin: <https://www.kucoin.com/ucenter/signup?rcode=r3KX2D4>
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This project is maintained and supported by a small group of team. If you would like to support this project, please register on the exchanges using the provided links with referral codes above.
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## Installation
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### Install from binary
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The following script will help you set up a config file and a dotenv file:
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```sh
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# grid trading strategy for binance exchange
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bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/setup-grid.sh) binance
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# grid trading strategy for max exchange
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bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/setup-grid.sh) max
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# bollinger grid trading strategy for binance exchange
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bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/setup-bollgrid.sh) binance
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# bollinger grid trading strategy for max exchange
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bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/setup-bollgrid.sh) max
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```
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If you already have configuration somewhere, a download-only script might be suitable for you:
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```sh
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bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/download.sh)
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```
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Or refer to the [Release Page](https://github.com/c9s/bbgo/releases) and download manually.
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Since v2, we've added new float point implementation from dnum to support decimals with higher precision.
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To download & setup, please refer to [Dnum Installation](doc/topics/dnum-binary.md)
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### One-click Linode StackScript
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- BBGO Grid Trading on Binance <https://cloud.linode.com/stackscripts/950715>
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- BBGO USDT/TWD Grid Trading on MAX <https://cloud.linode.com/stackscripts/793380>
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- BBGO USDC/TWD Grid Trading on MAX <https://cloud.linode.com/stackscripts/797776>
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- BBGO LINK/TWD Grid Trading on MAX <https://cloud.linode.com/stackscripts/797774>
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- BBGO USDC/USDT Grid Trading on MAX <https://cloud.linode.com/stackscripts/797777>
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- BBGO Standard Grid Trading on MAX <https://cloud.linode.com/stackscripts/795788>
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### Build from source
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See [Build from source](./doc/build-from-source.md)
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## Configuration
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Add your dotenv file:
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```sh
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# for Binance Exchange, if you have one
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BINANCE_API_KEY=
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BINANCE_API_SECRET=
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# if you want to use binance.us, change this to 1
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BINANCE_US=0
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# for MAX exchange, if you have one
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MAX_API_KEY=
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MAX_API_SECRET=
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# for FTX exchange, if you have one
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FTX_API_KEY=
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FTX_API_SECRET=
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# specify it if credentials are for subaccount
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FTX_SUBACCOUNT=
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# for OKEx exchange, if you have one
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OKEX_API_KEY=
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OKEX_API_SECRET=
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OKEX_API_PASSPHRASE
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# for kucoin exchange, if you have one
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KUCOIN_API_KEY=
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KUCOIN_API_SECRET=
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KUCOIN_API_PASSPHRASE=
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KUCOIN_API_KEY_VERSION=2
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```
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Prepare your dotenv file `.env.local` and BBGO yaml config file `bbgo.yaml`.
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To check the available environment variables, please see [Environment Variables](./doc/configuration/envvars.md)
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The minimal bbgo.yaml could be generated by:
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```sh
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curl -o bbgo.yaml https://raw.githubusercontent.com/c9s/bbgo/main/config/minimal.yaml
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```
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To run strategy:
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```sh
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bbgo run
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```
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To start bbgo with the frontend dashboard:
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```sh
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bbgo run --enable-webserver
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```
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If you want to switch to other dotenv file, you can add an `--dotenv` option or `--config`:
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```sh
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bbgo sync --dotenv .env.dev --config config/grid.yaml --session binance
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```
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To query transfer history:
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```sh
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bbgo transfer-history --session max --asset USDT --since "2019-01-01"
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```
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<!--
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To calculate pnl:
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```sh
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bbgo pnl --exchange binance --asset BTC --since "2019-01-01"
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```
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--->
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## Advanced Configuration
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### Testnet (Paper Trading)
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Currently only supports binance testnet.
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To run bbgo in testnet, apply new API keys from [Binance Test Network](https://testnet.binance.vision), and set the following env before you start bbgo:
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```bash
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export PAPER_TRADE=1
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export DISABLE_MARKET_CACHE=1 # the symbols supported in testnet is far less than the mainnet
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```
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### Notification
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- [Setting up Telegram notification](./doc/configuration/telegram.md)
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- [Setting up Slack notification](./doc/configuration/slack.md)
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### Synchronizing Trading Data
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By default, BBGO does not sync your trading data from the exchange sessions, so it's hard to calculate your profit and
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loss correctly.
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By synchronizing trades and orders to the local database, you can earn some benefits like PnL calculations, backtesting
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and asset calculation.
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You can only use one database driver MySQL or SQLite to store your trading data.
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**Notice**: SQLite is not fully supported, we recommend you use MySQL instead of SQLite.
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#### Configure MySQL Database
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To use MySQL database for data syncing, first you need to install your mysql server:
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```sh
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# For Ubuntu Linux
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sudo apt-get install -y mysql-server
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# For newer Ubuntu Linux
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sudo apt install -y mysql-server
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```
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Or [run it in docker](https://hub.docker.com/_/mysql)
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Create your mysql database:
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```sh
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mysql -uroot -e "CREATE DATABASE bbgo CHARSET utf8"
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```
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Then put these environment variables in your `.env.local` file:
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```sh
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DB_DRIVER=mysql
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DB_DSN="user:password@tcp(127.0.0.1:3306)/bbgo"
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```
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#### Configure Sqlite3 Database
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To use SQLite3 instead of MySQL, simply put these environment variables in your `.env.local` file:
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```sh
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DB_DRIVER=sqlite3
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DB_DSN=bbgo.sqlite3
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```
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## Synchronizing your own trading data
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Once you have your database configured, you can sync your own trading data from the exchange.
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See [Configure Sync For Private Trading Data](./doc/configuration/sync.md)
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## Using Redis to keep persistence between BBGO sessions
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To use Redis, first you need to install your Redis server:
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```sh
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# For Ubuntu/Debian Linux
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sudo apt-get install -y redis
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# For newer Ubuntu/Debian Linux
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sudo apt install -y redis
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```
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Set the following environment variables in your `bbgo.yaml`:
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```yaml
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persistence:
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redis:
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host: 127.0.0.1 # The IP address or the hostname to your Redis server, 127.0.0.1 if same as BBGO
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port: 6379 # Port to Redis server, default 6379
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db: 0 # DB number to use. You can set to another DB to avoid conflict if other applications are using Redis too.
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```
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## Built-in Strategies
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Check out the strategy directory [strategy](pkg/strategy) for all built-in strategies:
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- `pricealert` strategy demonstrates how to use the notification system [pricealert](pkg/strategy/pricealert). See
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[document](./doc/strategy/pricealert.md).
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- `xpuremaker` strategy demonstrates how to maintain the orderbook and submit maker
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orders [xpuremaker](pkg/strategy/xpuremaker)
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- `buyandhold` strategy demonstrates how to subscribe kline events and submit market
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order [buyandhold](pkg/strategy/pricedrop)
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- `bollgrid` strategy implements a basic grid strategy with the built-in bollinger
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indicator [bollgrid](pkg/strategy/bollgrid)
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- `grid` strategy implements the fixed price band grid strategy [grid](pkg/strategy/grid). See
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[document](./doc/strategy/grid.md).
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- `supertrend` strategy uses Supertrend indicator as trend, and DEMA indicator as noise filter [supertrend](pkg/strategy/supertrend). See
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[document](./doc/strategy/supertrend.md).
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- `support` strategy uses K-lines with high volume as support [support](pkg/strategy/support). See
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[document](./doc/strategy/support.md).
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- `flashcrash` strategy implements a strategy that catches the flashcrash [flashcrash](pkg/strategy/flashcrash)
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To run these built-in strategies, just modify the config file to make the configuration suitable for you, for example if
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you want to run
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`buyandhold` strategy:
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```sh
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vim config/buyandhold.yaml
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# run bbgo with the config
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bbgo run --config config/buyandhold.yaml
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```
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## Back-testing
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See [Back-testing](./doc/topics/back-testing.md)
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## Adding New Built-in Strategy
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Fork and clone this repository, Create a directory under `pkg/strategy/newstrategy`, write your strategy
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at `pkg/strategy/newstrategy/strategy.go`.
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Define a strategy struct:
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```go
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package newstrategy
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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type Strategy struct {
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Symbol string `json:"symbol"`
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Param1 int `json:"param1"`
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Param2 int `json:"param2"`
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Param3 fixedpoint.Value `json:"param3"`
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}
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```
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Register your strategy:
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```go
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package newstrategy
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const ID = "newstrategy"
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const stateKey = "state-v1"
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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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```
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Implement the strategy methods:
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```go
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package newstrategy
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "2m"})
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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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// ....
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return nil
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}
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```
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Edit `pkg/cmd/builtin.go`, and import the package, like this:
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```go
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package cmd
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// import built-in strategies
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import (
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_ "github.com/c9s/bbgo/pkg/strategy/bollgrid"
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_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
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_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/support"
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_ "github.com/c9s/bbgo/pkg/strategy/swing"
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_ "github.com/c9s/bbgo/pkg/strategy/trailingstop"
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_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
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)
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```
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## Write your own private strategy
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Create your go package, and initialize the repository with `go mod` and add bbgo as a dependency:
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```sh
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go mod init
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go get github.com/c9s/bbgo@main
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```
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Write your own strategy in the strategy file:
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```sh
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vim strategy.go
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```
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You can grab the skeleton strategy from <https://github.com/c9s/bbgo/blob/main/pkg/strategy/skeleton/strategy.go>
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Now add your config:
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```sh
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mkdir config
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(cd config && curl -o bbgo.yaml https://raw.githubusercontent.com/c9s/bbgo/main/config/minimal.yaml)
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```
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Add your strategy package path to the config file `config/bbgo.yaml`
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```yaml
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---
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build:
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dir: build
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imports:
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- github.com/your_id/your_swing
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targets:
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- name: swing-amd64-linux
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os: linux
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arch: amd64
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- name: swing-amd64-darwin
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os: darwin
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arch: amd64
|
|
```
|
|
|
|
Run `bbgo run` command, bbgo will compile a wrapper binary that imports your strategy:
|
|
|
|
```sh
|
|
dotenv -f .env.local -- bbgo run --config config/bbgo.yaml
|
|
```
|
|
|
|
Or you can build your own wrapper binary via:
|
|
|
|
```shell
|
|
bbgo build --config config/bbgo.yaml
|
|
```
|
|
|
|
See also:
|
|
|
|
- <https://github.com/narumiruna/bbgo-template>
|
|
- <https://github.com/narumiruna/bbgo-marketcap>
|
|
- <https://github.com/austin362667/shadow>
|
|
- <https://github.com/jnlin/bbgo-strategy-infinite-grid>
|
|
|
|
## Command Usages
|
|
|
|
### Submitting Orders to a specific exchagne session
|
|
|
|
```shell
|
|
bbgo submit-order --session=okex --symbol=OKBUSDT --side=buy --price=10.0 --quantity=1
|
|
```
|
|
|
|
### Listing Open Orders of a specific exchange session
|
|
|
|
```sh
|
|
bbgo list-orders open --session=okex --symbol=OKBUSDT
|
|
bbgo list-orders open --session=ftx --symbol=FTTUSDT
|
|
bbgo list-orders open --session=max --symbol=MAXUSDT
|
|
bbgo list-orders open --session=binance --symbol=BNBUSDT
|
|
```
|
|
|
|
### Canceling an open order
|
|
|
|
```shell
|
|
# both order id and symbol is required for okex
|
|
bbgo cancel-order --session=okex --order-id=318223238325248000 --symbol=OKBUSDT
|
|
|
|
# for max, you can just give your order id
|
|
bbgo cancel-order --session=max --order-id=1234566
|
|
```
|
|
|
|
### Debugging user data stream
|
|
|
|
```shell
|
|
bbgo userdatastream --session okex
|
|
bbgo userdatastream --session max
|
|
bbgo userdatastream --session binance
|
|
```
|
|
|
|
## Dynamic Injection
|
|
|
|
In order to minimize the strategy code, bbgo supports dynamic dependency injection.
|
|
|
|
Before executing your strategy, bbgo injects the components into your strategy object if it found the embedded field
|
|
that is using bbgo component. for example:
|
|
|
|
```go
|
|
type Strategy struct {
|
|
*bbgo.Notifiability
|
|
}
|
|
```
|
|
|
|
And then, in your code, you can call the methods of Notifiability.
|
|
|
|
Supported components (single exchange strategy only for now):
|
|
|
|
- `*bbgo.Notifiability`
|
|
- `bbgo.OrderExecutor`
|
|
|
|
If you have `Symbol string` field in your strategy, your strategy will be detected as a symbol-based strategy, then the
|
|
following types could be injected automatically:
|
|
|
|
- `*bbgo.ExchangeSession`
|
|
- `types.Market`
|
|
|
|
## Strategy Execution Phases
|
|
|
|
1. Load config from the config file.
|
|
2. Allocate and initialize exchange sessions.
|
|
3. Add exchange sessions to the environment (the data layer).
|
|
4. Use the given environment to initialize the trader object (the logic layer).
|
|
5. The trader initializes the environment and start the exchange connections.
|
|
6. Call strategy.Run() method sequentially.
|
|
|
|
## Exchange API Examples
|
|
|
|
Please check out the example directory: [examples](examples)
|
|
|
|
Initialize MAX API:
|
|
|
|
```go
|
|
key := os.Getenv("MAX_API_KEY")
|
|
secret := os.Getenv("MAX_API_SECRET")
|
|
|
|
maxRest := maxapi.NewRestClient(maxapi.ProductionAPIURL)
|
|
maxRest.Auth(key, secret)
|
|
```
|
|
|
|
Creating user data stream to get the orderbook (depth):
|
|
|
|
```go
|
|
stream := max.NewStream(key, secret)
|
|
stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
|
|
|
|
streambook := types.NewStreamBook(symbol)
|
|
streambook.BindStream(stream)
|
|
```
|
|
|
|
## Deployment
|
|
|
|
- [Helm Chart](./doc/deployment/helm-chart.md)
|
|
- Baremetal machine or a VPS
|
|
|
|
## Development
|
|
|
|
- [Adding New Exchange](./doc/development/adding-new-exchange.md)
|
|
- [Migration](./doc/development/migration.md)
|
|
|
|
### Setting up your local repository
|
|
|
|
1. Click the "Fork" button from the GitHub repository.
|
|
2. Clone your forked repository into `$GOPATH/github.com/c9s/bbgo`.
|
|
3. Change directory into `$GOPATH/github.com/c9s/bbgo`.
|
|
4. Create a branch and start your development.
|
|
5. Test your changes.
|
|
6. Push your changes to your fork.
|
|
7. Send a pull request.
|
|
|
|
### Testing Desktop App
|
|
|
|
for webview
|
|
|
|
```sh
|
|
make embed && go run -tags web ./cmd/bbgo-webview
|
|
```
|
|
|
|
for lorca
|
|
|
|
```sh
|
|
make embed && go run -tags web ./cmd/bbgo-lorca
|
|
```
|
|
|
|
## FAQ
|
|
|
|
What's Position?
|
|
|
|
- Base Currency & Quote Currency <https://www.ig.com/au/glossary-trading-terms/base-currency-definition>
|
|
- How to calculate average cost? <https://www.janushenderson.com/en-us/investor/planning/calculate-average-cost/>
|
|
|
|
## Looking For A New Strategy?
|
|
|
|
You can write an article about BBGO in any topic, in 750-1500 words for exchange, and I can implement the strategy for you (depends on the complexity and efforts).
|
|
If you're interested in, DM me in telegram <https://t.me/c123456789s> or twitter <https://twitter.com/c9s>, we can discuss.
|
|
|
|
## Contributing
|
|
|
|
See [Contributing](./CONTRIBUTING.md)
|
|
|
|
### Financial Contributors
|
|
|
|
<object type="image/svg+xml" data="https://opencollective.com/bbgo/tiers/backer.svg?avatarHeight=36&width=600"></object>
|
|
|
|
## Supporter
|
|
|
|
- GitBook
|
|
|
|
## License
|
|
|
|
AGPL License
|