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612 lines
19 KiB
Go
612 lines
19 KiB
Go
package support
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import (
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"context"
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"fmt"
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"sync"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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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 = "support"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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var zeroiw = types.IntervalWindow{}
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type State struct {
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Position *types.Position `json:"position,omitempty"`
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}
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type Target struct {
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ProfitPercentage float64 `json:"profitPercentage"`
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QuantityPercentage float64 `json:"quantityPercentage"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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// PercentageTargetStop is a kind of stop order by setting fixed percentage target
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type PercentageTargetStop struct {
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Targets []Target `json:"targets"`
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}
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// GenerateOrders generates the orders from the given targets
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func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *types.Position) []types.SubmitOrder {
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var price = pos.AverageCost
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var quantity = pos.GetBase()
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// submit target orders
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var targetOrders []types.SubmitOrder
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for _, target := range stop.Targets {
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targetPrice := price.Float64() * (1.0 + target.ProfitPercentage)
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targetQuantity := quantity.Float64() * target.QuantityPercentage
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targetQuoteQuantity := targetPrice * targetQuantity
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if targetQuoteQuantity <= market.MinNotional {
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continue
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}
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if targetQuantity <= market.MinQuantity {
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continue
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}
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targetOrders = append(targetOrders, types.SubmitOrder{
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Symbol: market.Symbol,
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Market: market,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: targetPrice,
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Quantity: targetQuantity,
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MarginSideEffect: target.MarginOrderSideEffect,
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TimeInForce: "GTC",
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})
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}
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return targetOrders
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}
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type TrailingStopTarget struct {
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TrailingStopCallBackRatio float64 `json:"trailingStopCallBackRatio"`
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MinimumProfitPercentage float64 `json:"minimumProfitPercentage"`
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}
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type TrailingStopControl struct {
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symbol string
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market types.Market
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marginSideEffect types.MarginOrderSideEffectType
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trailingStopCallBackRatio float64
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minimumProfitPercentage float64
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CurrentHighestPrice fixedpoint.Value
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OrderID uint64
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}
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func NewTrailingStopControl(symbol string, market types.Market, marginSideEffect types.MarginOrderSideEffectType, trailingStopCallBackRatio float64, minimumProfitPercentage float64) *TrailingStopControl {
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return &TrailingStopControl{
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symbol: symbol,
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market: market,
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marginSideEffect: marginSideEffect,
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CurrentHighestPrice: fixedpoint.NewFromInt(0),
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trailingStopCallBackRatio: trailingStopCallBackRatio,
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minimumProfitPercentage: minimumProfitPercentage,
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}
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}
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func (control *TrailingStopControl) IsHigherThanMin(minTargetPrice float64) bool {
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio)
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return targetPrice >= minTargetPrice
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}
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func (control *TrailingStopControl) GenerateStopOrder(quantity float64) types.SubmitOrder {
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio)
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orderForm := types.SubmitOrder{
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Symbol: control.symbol,
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Market: control.market,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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Quantity: quantity,
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MarginSideEffect: control.marginSideEffect,
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TimeInForce: "GTC",
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Price: targetPrice,
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StopPrice: targetPrice,
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}
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return orderForm
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}
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// Not implemented yet
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// ResistanceStop is a kind of stop order by detecting resistance
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//type ResistanceStop struct {
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// Interval types.Interval `json:"interval"`
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// sensitivity fixedpoint.Value `json:"sensitivity"`
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// MinVolume fixedpoint.Value `json:"minVolume"`
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// TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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//}
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type Strategy struct {
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*bbgo.Notifiability `json:"-"`
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*bbgo.Persistence
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*bbgo.Graceful `json:"-"`
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Symbol string `json:"symbol"`
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Market types.Market `json:"-"`
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// Interval for checking support
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Interval types.Interval `json:"interval"`
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// moving average window for checking support (support should be under the moving average line)
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TriggerMovingAverage types.IntervalWindow `json:"triggerMovingAverage"`
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// LongTermMovingAverage is the second moving average line for checking support position
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LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
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Quantity fixedpoint.Value `json:"quantity"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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Sensitivity fixedpoint.Value `json:"sensitivity"`
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TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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Targets []Target `json:"targets"`
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// Not implemented yet
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// ResistanceStop *ResistanceStop `json:"resistanceStop"`
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//
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//ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
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// Min BaseAsset balance to keep
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MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
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// Max BaseAsset balance to buy
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MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
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MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
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ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
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tradeCollector *bbgo.TradeCollector
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orderStore *bbgo.OrderStore
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state *State
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triggerEMA *indicator.EWMA
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longTermEMA *indicator.EWMA
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// Trailing stop
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TrailingStopTarget TrailingStopTarget `json:"trailingStopTarget"`
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trailingStopControl *TrailingStopControl
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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) Validate() error {
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if s.Quantity == 0 && s.ScaleQuantity == nil {
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return fmt.Errorf("quantity or scaleQuantity can not be zero")
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}
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if s.MinVolume == 0 && s.Sensitivity == 0 {
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return fmt.Errorf("either minVolume nor sensitivity 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) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
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if s.TriggerMovingAverage != zeroiw {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.TriggerMovingAverage.Interval)})
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}
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if s.LongTermMovingAverage != zeroiw {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.LongTermMovingAverage.Interval)})
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}
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}
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func (s *Strategy) SaveState() error {
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if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
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return err
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} else {
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log.Infof("state is saved => %+v", s.state)
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}
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return nil
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}
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func (s *Strategy) LoadState() error {
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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}
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if s.state.Position == nil {
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s.state.Position = types.NewPositionFromMarket(s.Market)
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}
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return nil
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) (types.OrderSlice, error) {
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for _, o := range orderForms {
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s.Notifiability.Notify(o)
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForms...)
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if err != nil {
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return nil, err
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}
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s.orderStore.Add(createdOrders...)
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s.tradeCollector.Emit()
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return createdOrders, nil
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}
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// Cancel order
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func (s *Strategy) cancelOrder(orderID uint64, ctx context.Context, session *bbgo.ExchangeSession) error {
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// Cancel the original order
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order, ok := s.orderStore.Get(orderID)
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if ok {
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switch order.Status {
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case types.OrderStatusCanceled, types.OrderStatusRejected, types.OrderStatusFilled:
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// Do nothing
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default:
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if err := session.Exchange.CancelOrders(ctx, order); err != nil {
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return err
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}
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}
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}
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return nil
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}
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func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.SideType, closePrice fixedpoint.Value, volume float64) (fixedpoint.Value, error) {
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var quantity fixedpoint.Value
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if s.Quantity > 0 {
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quantity = s.Quantity
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} else if s.ScaleQuantity != nil {
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qf, err := s.ScaleQuantity.Scale(closePrice.Float64(), volume)
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if err != nil {
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return 0, err
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}
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quantity = fixedpoint.NewFromFloat(qf)
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}
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baseBalance, _ := session.Account.Balance(s.Market.BaseCurrency)
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if side == types.SideTypeSell {
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// quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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if s.MinBaseAssetBalance > 0 && (baseBalance.Total()-quantity) < s.MinBaseAssetBalance {
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quota := baseBalance.Available - s.MinBaseAssetBalance
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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} else if side == types.SideTypeBuy {
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if s.MaxBaseAssetBalance > 0 && baseBalance.Total()+quantity > s.MaxBaseAssetBalance {
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quota := s.MaxBaseAssetBalance - baseBalance.Total()
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
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if !ok {
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return 0, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
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}
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// for spot, we need to modify the quantity according to the quote balance
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if !session.Margin {
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// add 0.3% for price slippage
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notional := closePrice.Mul(quantity).MulFloat64(1.003)
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if s.MinQuoteAssetBalance > 0 && quoteBalance.Available-notional < s.MinQuoteAssetBalance {
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log.Warnf("modifying quantity %f according to the min quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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s.Market.QuoteCurrency)
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quota := quoteBalance.Available - s.MinQuoteAssetBalance
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quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
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} else if notional > quoteBalance.Available {
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log.Warnf("modifying quantity %f according to the quote asset balance %f %s",
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quantity.Float64(),
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quoteBalance.Available.Float64(),
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s.Market.QuoteCurrency)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
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}
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}
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}
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return quantity, nil
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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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// set default values
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if s.Interval == "" {
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s.Interval = types.Interval5m
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}
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if s.Sensitivity > 0 {
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volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
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if err != nil {
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return err
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}
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s.MinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1]-volRange[0]).Mul(fixedpoint.NewFromFloat(1.0)-s.Sensitivity)
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log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
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}
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market, ok := session.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("market %s is not defined", s.Symbol)
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}
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s.Market = market
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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
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if !ok {
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return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
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}
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if s.TriggerMovingAverage != zeroiw {
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s.triggerEMA = standardIndicatorSet.EWMA(s.TriggerMovingAverage)
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} else {
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s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: s.Interval,
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Window: 99, // default window
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})
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}
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if s.LongTermMovingAverage != zeroiw {
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s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
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}
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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if err := s.LoadState(); err != nil {
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return err
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} else {
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s.Notify("%s state is restored => %+v", s.Symbol, s.state)
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}
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if s.TrailingStopTarget.TrailingStopCallBackRatio != 0 {
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s.trailingStopControl = NewTrailingStopControl(s.Symbol, s.Market, s.MarginOrderSideEffect, s.TrailingStopTarget.TrailingStopCallBackRatio, s.TrailingStopTarget.MinimumProfitPercentage)
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}
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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if s.TrailingStopTarget.TrailingStopCallBackRatio != 0 {
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// Update trailing stop when the position changes
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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if position.Base.Float64() > 0 { // Update order if we have a position
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// Cancel the original order
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if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session); err != nil {
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log.WithError(err).Errorf("Can not cancel the original trailing stop order!")
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}
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice float64 = 0.0
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if s.trailingStopControl.minimumProfitPercentage > 0 {
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minTargetPrice = position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage)
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateStopOrder(position.Base.Float64())
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orders, err := s.submitOrders(ctx, orderExecutor, orderForm)
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if err != nil {
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log.WithError(err).Error("submit profit trailing stop order error")
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} else {
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s.trailingStopControl.OrderID = orders.IDs()[0]
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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.tradeCollector.BindStream(session.UserDataStream)
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// s.tradeCollector.BindStreamForBackground(session.UserDataStream)
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// go s.tradeCollector.Run(ctx)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol {
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return
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}
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if kline.Interval != s.Interval {
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return
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}
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closePriceF := kline.GetClose()
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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highPriceF := kline.GetHigh()
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highPrice := fixedpoint.NewFromFloat(highPriceF)
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if s.TrailingStopTarget.TrailingStopCallBackRatio > 0 {
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if s.state.Position.Base.Float64() <= 0 { // Without a position
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// Update trailing orders with current high price
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s.trailingStopControl.CurrentHighestPrice = highPrice
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} else if s.trailingStopControl.CurrentHighestPrice.Float64() < highPriceF { // With a position
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// Update trailing orders with current high price if it's higher
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s.trailingStopControl.CurrentHighestPrice = highPrice
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// Cancel the original order
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if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session); err != nil {
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log.WithError(err).Errorf("Can not cancel the original trailing stop order!")
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}
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice float64 = 0.0
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if s.trailingStopControl.minimumProfitPercentage > 0 {
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minTargetPrice = s.state.Position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage)
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateStopOrder(s.state.Position.Base.Float64())
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orders, err := s.submitOrders(ctx, orderExecutor, orderForm)
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if err != nil {
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log.WithError(err).Error("submit profit trailing stop order error")
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} else {
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s.trailingStopControl.OrderID = orders.IDs()[0]
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}
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}
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}
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}
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// check support volume
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if kline.Volume < s.MinVolume.Float64() {
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return
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}
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// check taker buy ratio, we need strong buy taker
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if s.TakerBuyRatio > 0 {
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takerBuyRatio := kline.TakerBuyBaseAssetVolume / kline.Volume
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takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
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if takerBuyRatio < s.TakerBuyRatio.Float64() {
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s.Notify("%s: taker buy base volume %f (volume ratio %f) is less than %f (volume ratio %f)",
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s.Symbol,
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kline.TakerBuyBaseAssetVolume,
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takerBuyRatio,
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takerBuyBaseVolumeThreshold,
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kline.Volume,
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s.TakerBuyRatio.Float64(),
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kline,
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)
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return
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}
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}
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if s.longTermEMA != nil && closePriceF < s.longTermEMA.Last() {
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s.Notify("%s: closed price is below the long term moving average line %f, skipping this support",
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s.Symbol,
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s.longTermEMA.Last(),
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kline,
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)
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return
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}
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if s.triggerEMA != nil && closePriceF > s.triggerEMA.Last() {
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s.Notify("%s: closed price is above the trigger moving average line %f, skipping this support",
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s.Symbol,
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s.triggerEMA.Last(),
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kline,
|
|
)
|
|
return
|
|
}
|
|
|
|
if s.triggerEMA != nil && s.longTermEMA != nil {
|
|
s.Notify("Found %s support: the close price %f is below trigger EMA %f and above long term EMA %f and volume %f > minimum volume %f",
|
|
s.Symbol,
|
|
closePrice.Float64(),
|
|
s.triggerEMA.Last(),
|
|
s.longTermEMA.Last(),
|
|
kline.Volume,
|
|
s.MinVolume.Float64(),
|
|
kline)
|
|
} else {
|
|
s.Notify("Found %s support: the close price %f and volume %f > minimum volume %f",
|
|
s.Symbol,
|
|
closePrice.Float64(),
|
|
kline.Volume,
|
|
s.MinVolume.Float64(),
|
|
kline)
|
|
}
|
|
|
|
quantity, err := s.calculateQuantity(session, types.SideTypeBuy, closePrice, kline.Volume)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("%s quantity calculation error", s.Symbol)
|
|
return
|
|
}
|
|
|
|
orderForm := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Market: market,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeMarket,
|
|
Quantity: quantity.Float64(),
|
|
MarginSideEffect: s.MarginOrderSideEffect,
|
|
}
|
|
|
|
s.Notify("Submitting %s market order buy with quantity %f according to the base volume %f, taker buy base volume %f",
|
|
s.Symbol,
|
|
quantity.Float64(),
|
|
kline.Volume,
|
|
kline.TakerBuyBaseAssetVolume,
|
|
orderForm)
|
|
|
|
if _, err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
|
|
log.WithError(err).Error("submit order error")
|
|
return
|
|
}
|
|
|
|
if s.TrailingStopTarget.TrailingStopCallBackRatio == 0 { // submit fixed target orders
|
|
var targetOrders []types.SubmitOrder
|
|
for _, target := range s.Targets {
|
|
targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
|
|
targetQuantity := quantity.Float64() * target.QuantityPercentage
|
|
targetQuoteQuantity := targetPrice * targetQuantity
|
|
|
|
if targetQuoteQuantity <= market.MinNotional {
|
|
continue
|
|
}
|
|
|
|
if targetQuantity <= market.MinQuantity {
|
|
continue
|
|
}
|
|
|
|
targetOrders = append(targetOrders, types.SubmitOrder{
|
|
Symbol: kline.Symbol,
|
|
Market: market,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: targetPrice,
|
|
Quantity: targetQuantity,
|
|
|
|
MarginSideEffect: target.MarginOrderSideEffect,
|
|
TimeInForce: "GTC",
|
|
})
|
|
}
|
|
|
|
if _, err := s.submitOrders(ctx, orderExecutor, targetOrders...); err != nil {
|
|
log.WithError(err).Error("submit profit target order error")
|
|
return
|
|
}
|
|
}
|
|
|
|
s.tradeCollector.Process()
|
|
})
|
|
|
|
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
if err := s.SaveState(); err != nil {
|
|
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
|
} else {
|
|
s.Notify("%s position is saved", s.Symbol, s.state.Position)
|
|
}
|
|
})
|
|
|
|
return nil
|
|
}
|