mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 19:13:52 +00:00
305 lines
7.8 KiB
Go
305 lines
7.8 KiB
Go
package mirrormaker
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
var defaultMargin = fixedpoint.NewFromFloat(0.01)
|
|
|
|
var defaultQuantity = fixedpoint.NewFromFloat(0.001)
|
|
|
|
var log = logrus.WithField("strategy", "mirrormaker")
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy("mirrormaker", &Strategy{})
|
|
}
|
|
|
|
type Strategy struct {
|
|
*bbgo.Graceful
|
|
*bbgo.Persistence
|
|
|
|
Symbol string `json:"symbol"`
|
|
SourceExchange string `json:"sourceExchange"`
|
|
MakerExchange string `json:"makerExchange"`
|
|
|
|
UpdateInterval time.Duration `json:"updateInterval"`
|
|
Margin fixedpoint.Value `json:"margin"`
|
|
BidMargin fixedpoint.Value `json:"bidMargin"`
|
|
AskMargin fixedpoint.Value `json:"askMargin"`
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`
|
|
|
|
NumLayers int `json:"numLayers"`
|
|
Pips int `json:"pips"`
|
|
|
|
makerSession *bbgo.ExchangeSession
|
|
sourceSession *bbgo.ExchangeSession
|
|
|
|
sourceMarket types.Market
|
|
makerMarket types.Market
|
|
|
|
book *types.StreamOrderBook
|
|
activeMakerOrders *bbgo.LocalActiveOrderBook
|
|
|
|
orderStore *bbgo.OrderStore
|
|
|
|
Position fixedpoint.Value
|
|
lastPrice float64
|
|
|
|
stopC chan struct{}
|
|
}
|
|
|
|
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
|
|
sourceSession, ok := sessions[s.SourceExchange]
|
|
if !ok {
|
|
panic(fmt.Errorf("source exchange %s is not defined", s.SourceExchange))
|
|
}
|
|
|
|
log.Infof("subscribing %s from %s", s.Symbol, s.SourceExchange)
|
|
sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
|
|
}
|
|
|
|
func (s *Strategy) updateQuote(ctx context.Context) {
|
|
if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
|
|
log.WithError(err).Errorf("can not cancel orders")
|
|
return
|
|
}
|
|
|
|
// avoid unlock issue
|
|
time.Sleep(100 * time.Millisecond)
|
|
|
|
sourceBook := s.book.Get()
|
|
if len(sourceBook.Bids) == 0 || len(sourceBook.Asks) == 0 {
|
|
return
|
|
}
|
|
|
|
bestBidPrice := sourceBook.Bids[0].Price
|
|
bestAskPrice := sourceBook.Asks[0].Price
|
|
log.Infof("best bid price %f, best ask price: %f", bestBidPrice.Float64(), bestAskPrice.Float64())
|
|
|
|
bidQuantity := s.Quantity
|
|
bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
|
|
|
|
askQuantity := s.Quantity
|
|
askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64())
|
|
|
|
log.Infof("quote bid price: %f ask price: %f", bidPrice.Float64(), askPrice.Float64())
|
|
|
|
var submitOrders []types.SubmitOrder
|
|
|
|
balances := s.makerSession.Account.Balances()
|
|
makerQuota := &bbgo.QuotaTransaction{}
|
|
if b, ok := balances[s.makerMarket.BaseCurrency]; ok {
|
|
makerQuota.BaseAsset.Add(b.Available)
|
|
}
|
|
if b, ok := balances[s.makerMarket.QuoteCurrency]; ok {
|
|
makerQuota.QuoteAsset.Add(b.Available)
|
|
}
|
|
|
|
hedgeBalances := s.sourceSession.Account.Balances()
|
|
hedgeQuota := &bbgo.QuotaTransaction{}
|
|
if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
|
|
hedgeQuota.BaseAsset.Add(b.Available)
|
|
}
|
|
if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
|
|
hedgeQuota.QuoteAsset.Add(b.Available)
|
|
}
|
|
|
|
log.Infof("maker quota: %+v", makerQuota)
|
|
log.Infof("hedge quota: %+v", hedgeQuota)
|
|
|
|
for i := 0; i < s.NumLayers; i++ {
|
|
// bid orders
|
|
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
|
|
// if we bought, then we need to sell the base from the hedge session
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeBuy,
|
|
Price: bidPrice.Float64(),
|
|
Quantity: bidQuantity.Float64(),
|
|
TimeInForce: "GTC",
|
|
})
|
|
|
|
makerQuota.Commit()
|
|
hedgeQuota.Commit()
|
|
} else {
|
|
makerQuota.Rollback()
|
|
hedgeQuota.Rollback()
|
|
}
|
|
|
|
// ask orders
|
|
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
|
|
// if we bought, then we need to sell the base from the hedge session
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: askPrice.Float64(),
|
|
Quantity: askQuantity.Float64(),
|
|
TimeInForce: "GTC",
|
|
})
|
|
makerQuota.Commit()
|
|
hedgeQuota.Commit()
|
|
} else {
|
|
makerQuota.Rollback()
|
|
hedgeQuota.Rollback()
|
|
}
|
|
|
|
bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
|
|
askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
|
|
|
|
askQuantity = askQuantity.Mul(s.QuantityMultiplier)
|
|
bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
|
|
}
|
|
|
|
if len(submitOrders) == 0 {
|
|
return
|
|
}
|
|
|
|
makerOrderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.makerSession}
|
|
makerOrders, err := makerOrderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("order submit error")
|
|
return
|
|
}
|
|
|
|
s.activeMakerOrders.Add(makerOrders...)
|
|
s.orderStore.Add(makerOrders...)
|
|
}
|
|
|
|
func (s *Strategy) handleTradeUpdate(trade types.Trade) {
|
|
log.Infof("received trade %+v", trade)
|
|
if s.orderStore.Exists(trade.OrderID) {
|
|
log.Infof("identified trade %d with an existing order: %d", trade.ID, trade.OrderID)
|
|
|
|
q := fixedpoint.NewFromFloat(trade.Quantity)
|
|
if trade.Side == types.SideTypeSell {
|
|
q = -q
|
|
}
|
|
|
|
s.Position.AtomicAdd(q)
|
|
|
|
pos := s.Position.AtomicLoad()
|
|
log.Warnf("position changed: %f", pos.Float64())
|
|
|
|
s.lastPrice = trade.Price
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
|
|
if s.UpdateInterval == 0 {
|
|
s.UpdateInterval = time.Second
|
|
}
|
|
|
|
if s.NumLayers == 0 {
|
|
s.NumLayers = 1
|
|
}
|
|
|
|
if s.BidMargin == 0 {
|
|
if s.Margin != 0 {
|
|
s.BidMargin = s.Margin
|
|
} else {
|
|
s.BidMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
if s.AskMargin == 0 {
|
|
if s.Margin != 0 {
|
|
s.AskMargin = s.Margin
|
|
} else {
|
|
s.AskMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
if s.Quantity == 0 {
|
|
s.Quantity = defaultQuantity
|
|
}
|
|
|
|
sourceSession, ok := sessions[s.SourceExchange]
|
|
if !ok {
|
|
return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
|
|
}
|
|
|
|
s.sourceSession = sourceSession
|
|
|
|
makerSession, ok := sessions[s.MakerExchange]
|
|
if !ok {
|
|
return fmt.Errorf("maker exchange session %s is not defined", s.MakerExchange)
|
|
}
|
|
|
|
s.makerSession = makerSession
|
|
|
|
s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("source session market %s is not defined", s.Symbol)
|
|
}
|
|
|
|
s.makerMarket, ok = s.makerSession.Market(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
|
|
}
|
|
|
|
s.book = types.NewStreamBook(s.Symbol)
|
|
s.book.BindStream(s.sourceSession.Stream)
|
|
|
|
s.makerSession.Stream.OnTradeUpdate(s.handleTradeUpdate)
|
|
|
|
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
|
|
s.activeMakerOrders.BindStream(s.makerSession.Stream)
|
|
|
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(s.makerSession.Stream)
|
|
|
|
s.stopC = make(chan struct{})
|
|
|
|
if err := s.Persistence.Load(&s.Position, "position"); err != nil {
|
|
log.WithError(err).Warnf("can not load position")
|
|
} else {
|
|
log.Infof("position is loaded successfully, position=%f", s.Position.Float64())
|
|
}
|
|
|
|
go func() {
|
|
ticker := time.NewTicker(s.UpdateInterval)
|
|
defer ticker.Stop()
|
|
for {
|
|
select {
|
|
|
|
case <-s.stopC:
|
|
return
|
|
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-ticker.C:
|
|
s.updateQuote(ctx)
|
|
}
|
|
}
|
|
}()
|
|
|
|
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
close(s.stopC)
|
|
|
|
if err := s.Persistence.Save(&s.Position, "position"); err != nil {
|
|
log.WithError(err).Error("persistence save error")
|
|
}
|
|
|
|
if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
|
|
log.WithError(err).Errorf("can not cancel orders")
|
|
}
|
|
})
|
|
|
|
return nil
|
|
}
|