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1038 lines
30 KiB
Go
1038 lines
30 KiB
Go
package xmaker
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import (
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"context"
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"fmt"
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"sync"
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"time"
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"github.com/pkg/errors"
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"github.com/prometheus/client_golang/prometheus"
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"github.com/sirupsen/logrus"
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"golang.org/x/time/rate"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/pricesolver"
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"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var defaultMargin = fixedpoint.NewFromFloat(0.003)
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var two = fixedpoint.NewFromInt(2)
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var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
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var minGap = fixedpoint.NewFromFloat(1.02)
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const priceUpdateTimeout = 30 * time.Second
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const ID = "xmaker"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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// SourceExchange session name
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SourceExchange string `json:"sourceExchange"`
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// MakerExchange session name
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MakerExchange string `json:"makerExchange"`
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UpdateInterval types.Duration `json:"updateInterval"`
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HedgeInterval types.Duration `json:"hedgeInterval"`
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OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`
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Margin fixedpoint.Value `json:"margin"`
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BidMargin fixedpoint.Value `json:"bidMargin"`
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AskMargin fixedpoint.Value `json:"askMargin"`
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UseDepthPrice bool `json:"useDepthPrice"`
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DepthQuantity fixedpoint.Value `json:"depthQuantity"`
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EnableBollBandMargin bool `json:"enableBollBandMargin"`
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BollBandInterval types.Interval `json:"bollBandInterval"`
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BollBandMargin fixedpoint.Value `json:"bollBandMargin"`
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BollBandMarginFactor fixedpoint.Value `json:"bollBandMarginFactor"`
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StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
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StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
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// Quantity is used for fixed quantity of the first layer
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Quantity fixedpoint.Value `json:"quantity"`
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// QuantityMultiplier is the factor that multiplies the quantity of the previous layer
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QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`
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// QuantityScale helps user to define the quantity by layer scale
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QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
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// MaxExposurePosition defines the unhedged quantity of stop
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MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
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DisableHedge bool `json:"disableHedge"`
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NotifyTrade bool `json:"notifyTrade"`
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// RecoverTrade tries to find the missing trades via the REStful API
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RecoverTrade bool `json:"recoverTrade"`
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RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`
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NumLayers int `json:"numLayers"`
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// Pips is the pips of the layer prices
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Pips fixedpoint.Value `json:"pips"`
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// ProfitFixerConfig is the profit fixer configuration
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ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
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// --------------------------------
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// private field
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makerSession, sourceSession *bbgo.ExchangeSession
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makerMarket, sourceMarket types.Market
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// boll is the BOLLINGER indicator we used for predicting the price.
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boll *indicatorv2.BOLLStream
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state *State
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priceSolver *pricesolver.SimplePriceSolver
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CircuitBreaker *circuitbreaker.BasicCircuitBreaker `json:"circuitBreaker"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
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book *types.StreamOrderBook
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activeMakerOrders *bbgo.ActiveOrderBook
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hedgeErrorLimiter *rate.Limiter
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hedgeErrorRateReservation *rate.Reservation
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orderStore *core.OrderStore
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tradeCollector *core.TradeCollector
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askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
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lastPrice fixedpoint.Value
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groupID uint32
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stopC chan struct{}
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reportProfitStatsRateLimiter *rate.Limiter
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circuitBreakerAlertLimiter *rate.Limiter
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
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}
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sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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makerSession, ok := sessions[s.MakerExchange]
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if !ok {
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panic(fmt.Errorf("maker session %s is not defined", s.MakerExchange))
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}
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makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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}
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func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
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q := requiredQuantity
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totalAmount := fixedpoint.Zero
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if len(pvs) == 0 {
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price = fixedpoint.Zero
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return price
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} else if pvs[0].Volume.Compare(requiredQuantity) >= 0 {
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return pvs[0].Price
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}
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for i := 0; i < len(pvs); i++ {
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pv := pvs[i]
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if pv.Volume.Compare(q) >= 0 {
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totalAmount = totalAmount.Add(q.Mul(pv.Price))
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break
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}
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q = q.Sub(pv.Volume)
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totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
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}
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price = totalAmount.Div(requiredQuantity)
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return price
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}
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func (s *Strategy) Initialize() error {
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s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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return nil
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}
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func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter) {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
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log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
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s.activeMakerOrders.Print()
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return
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}
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if s.activeMakerOrders.NumOfOrders() > 0 {
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return
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}
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if s.CircuitBreaker != nil {
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now := time.Now()
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if reason, halted := s.CircuitBreaker.IsHalted(now); halted {
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log.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
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if s.circuitBreakerAlertLimiter.AllowN(now, 1) {
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bbgo.Notify("Strategy is halted, reason: %s", reason)
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}
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return
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}
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}
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bestBid, bestAsk, hasPrice := s.book.BestBidAndAsk()
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if !hasPrice {
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return
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}
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// use mid-price for the last price
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
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s.priceSolver.Update(s.Symbol, s.lastPrice)
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bookLastUpdateTime := s.book.LastUpdateTime()
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if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
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log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.Symbol,
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time.Since(bookLastUpdateTime))
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return
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}
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if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
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log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.Symbol,
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time.Since(bookLastUpdateTime))
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return
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}
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sourceBook := s.book.CopyDepth(10)
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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return
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}
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var disableMakerBid = false
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var disableMakerAsk = false
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// check maker's balance quota
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// we load the balances from the account while we're generating the orders,
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// the balance may have a chance to be deducted by other strategies or manual orders submitted by the user
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makerBalances := s.makerSession.GetAccount().Balances()
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makerQuota := &bbgo.QuotaTransaction{}
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if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
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if b.Available.Compare(s.makerMarket.MinQuantity) > 0 {
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makerQuota.BaseAsset.Add(b.Available)
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} else {
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disableMakerAsk = true
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}
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}
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if b, ok := makerBalances[s.makerMarket.QuoteCurrency]; ok {
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if b.Available.Compare(s.makerMarket.MinNotional) > 0 {
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makerQuota.QuoteAsset.Add(b.Available)
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} else {
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disableMakerBid = true
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}
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}
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hedgeBalances := s.sourceSession.GetAccount().Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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// to make bid orders, we need enough base asset in the foreign exchange,
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// if the base asset balance is not enough for selling
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if s.StopHedgeBaseBalance.Sign() > 0 {
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minAvailable := s.StopHedgeBaseBalance.Add(s.sourceMarket.MinQuantity)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
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} else {
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log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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}
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if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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// to make ask orders, we need enough quote asset in the foreign exchange,
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// if the quote asset balance is not enough for buying
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if s.StopHedgeQuoteBalance.Sign() > 0 {
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minAvailable := s.StopHedgeQuoteBalance.Add(s.sourceMarket.MinNotional)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
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} else {
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log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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}
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// if max exposure position is configured, we should not:
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// 1. place bid orders when we already bought too much
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// 2. place ask orders when we already sold too much
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if s.MaxExposurePosition.Sign() > 0 {
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pos := s.Position.GetBase()
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if pos.Compare(s.MaxExposurePosition.Neg()) > 0 {
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// stop sell if we over-sell
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disableMakerAsk = true
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} else if pos.Compare(s.MaxExposurePosition) > 0 {
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// stop buy if we over buy
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disableMakerBid = true
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}
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}
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if disableMakerAsk && disableMakerBid {
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log.Warnf("%s bid/ask maker is disabled due to insufficient balances", s.Symbol)
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return
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}
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bestBidPrice := bestBid.Price
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bestAskPrice := bestAsk.Price
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log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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var submitOrders []types.SubmitOrder
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var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
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var bidQuantity = s.Quantity
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var askQuantity = s.Quantity
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var bidMargin = s.BidMargin
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var askMargin = s.AskMargin
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var pips = s.Pips
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if s.EnableBollBandMargin {
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lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
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if lastUpBand.IsZero() || lastDownBand.IsZero() {
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log.Warnf("bollinger band value is zero, skipping")
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return
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}
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log.Infof("bollinger band: up/down = %f/%f", lastUpBand.Float64(), lastDownBand.Float64())
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// when bid price is lower than the down band, then it's in the downtrend
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// when ask price is higher than the up band, then it's in the uptrend
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if bestBidPrice.Compare(lastDownBand) < 0 {
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// ratio here should be greater than 1.00
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ratio := lastDownBand.Div(bestBidPrice)
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
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log.Infof("%s bollband downtrend: adjusting ask margin %v + %v = %v",
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s.Symbol,
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askMargin,
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bollMargin,
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askMargin.Add(bollMargin))
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askMargin = askMargin.Add(bollMargin)
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pips = pips.Mul(ratio)
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}
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if bestAskPrice.Compare(lastUpBand) > 0 {
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// ratio here should be greater than 1.00
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ratio := bestAskPrice.Div(lastUpBand)
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
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log.Infof("%s bollband uptrend adjusting bid margin %v + %v = %v",
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s.Symbol,
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bidMargin,
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bollMargin,
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bidMargin.Add(bollMargin))
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bidMargin = bidMargin.Add(bollMargin)
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pips = pips.Mul(ratio)
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}
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}
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labels := prometheus.Labels{
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"strategy_type": ID,
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"strategy_id": s.InstanceID(),
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"exchange": s.MakerExchange,
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"symbol": s.Symbol,
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}
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bidExposureInUsd := fixedpoint.Zero
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askExposureInUsd := fixedpoint.Zero
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bidPrice := bestBidPrice
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askPrice := bestAskPrice
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for i := 0; i < s.NumLayers; i++ {
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// for maker bid orders
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if !disableMakerBid {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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}
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log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
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// override the default bid quantity
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bidQuantity = fixedpoint.NewFromFloat(qf)
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}
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accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
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if s.UseDepthPrice {
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if s.DepthQuantity.Sign() > 0 {
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bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
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} else {
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bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
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}
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}
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
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if i > 0 && pips.Sign() > 0 {
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bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
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Mul(s.makerMarket.TickSize)))
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}
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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// if we bought, then we need to sell the base from the hedge session
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: bidPrice,
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Quantity: bidQuantity,
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TimeInForce: types.TimeInForceGTC,
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GroupID: s.groupID,
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})
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makerQuota.Commit()
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hedgeQuota.Commit()
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bidExposureInUsd = bidExposureInUsd.Add(bidQuantity.Mul(bidPrice))
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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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if s.QuantityMultiplier.Sign() > 0 {
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bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
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}
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}
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// for maker ask orders
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if !disableMakerAsk {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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}
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log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
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// override the default bid quantity
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askQuantity = fixedpoint.NewFromFloat(qf)
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}
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accumulativeAskQuantity = accumulativeAskQuantity.Add(askQuantity)
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if s.UseDepthPrice {
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if s.DepthQuantity.Sign() > 0 {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
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} else {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
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}
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}
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askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
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if i > 0 && pips.Sign() > 0 {
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askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
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}
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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|
|
// if we bought, then we need to sell the base from the hedge session
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Market: s.makerMarket,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: askPrice,
|
|
Quantity: askQuantity,
|
|
TimeInForce: types.TimeInForceGTC,
|
|
GroupID: s.groupID,
|
|
})
|
|
makerQuota.Commit()
|
|
hedgeQuota.Commit()
|
|
|
|
askExposureInUsd = askExposureInUsd.Add(askQuantity.Mul(askPrice))
|
|
} else {
|
|
makerQuota.Rollback()
|
|
hedgeQuota.Rollback()
|
|
}
|
|
|
|
if s.QuantityMultiplier.Sign() > 0 {
|
|
askQuantity = askQuantity.Mul(s.QuantityMultiplier)
|
|
}
|
|
}
|
|
}
|
|
|
|
if len(submitOrders) == 0 {
|
|
log.Warnf("no orders generated")
|
|
return
|
|
}
|
|
|
|
formattedOrders, err := s.makerSession.FormatOrders(submitOrders)
|
|
if err != nil {
|
|
return
|
|
}
|
|
|
|
orderCreateCallback := func(createdOrder types.Order) {
|
|
s.orderStore.Add(createdOrder)
|
|
s.activeMakerOrders.Add(createdOrder)
|
|
}
|
|
|
|
defer s.tradeCollector.Process()
|
|
|
|
createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, orderCreateCallback, formattedOrders...)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
|
|
}
|
|
|
|
openOrderBidExposureInUsdMetrics.With(labels).Set(bidExposureInUsd.Float64())
|
|
openOrderAskExposureInUsdMetrics.With(labels).Set(askExposureInUsd.Float64())
|
|
|
|
_ = errIdx
|
|
_ = createdOrders
|
|
}
|
|
|
|
func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
|
|
side := types.SideTypeBuy
|
|
if pos.IsZero() {
|
|
return
|
|
}
|
|
|
|
quantity := pos.Abs()
|
|
|
|
if pos.Sign() < 0 {
|
|
side = types.SideTypeSell
|
|
}
|
|
|
|
lastPrice := s.lastPrice
|
|
sourceBook := s.book.CopyDepth(1)
|
|
switch side {
|
|
|
|
case types.SideTypeBuy:
|
|
if bestAsk, ok := sourceBook.BestAsk(); ok {
|
|
lastPrice = bestAsk.Price
|
|
}
|
|
|
|
case types.SideTypeSell:
|
|
if bestBid, ok := sourceBook.BestBid(); ok {
|
|
lastPrice = bestBid.Price
|
|
}
|
|
}
|
|
|
|
notional := quantity.Mul(lastPrice)
|
|
if notional.Compare(s.sourceMarket.MinNotional) <= 0 {
|
|
log.Warnf("%s %v less than min notional, skipping hedge", s.Symbol, notional)
|
|
return
|
|
}
|
|
|
|
// adjust quantity according to the balances
|
|
account := s.sourceSession.GetAccount()
|
|
switch side {
|
|
|
|
case types.SideTypeBuy:
|
|
// check quote quantity
|
|
if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
|
|
if quote.Available.Compare(notional) < 0 {
|
|
// adjust price to higher 0.1%, so that we can ensure that the order can be executed
|
|
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
|
|
quantity = s.sourceMarket.TruncateQuantity(quantity)
|
|
}
|
|
}
|
|
|
|
case types.SideTypeSell:
|
|
// check quote quantity
|
|
if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
|
|
if base.Available.Compare(quantity) < 0 {
|
|
quantity = base.Available
|
|
}
|
|
}
|
|
}
|
|
|
|
// truncate quantity for the supported precision
|
|
quantity = s.sourceMarket.TruncateQuantity(quantity)
|
|
|
|
if notional.Compare(s.sourceMarket.MinNotional.Mul(minGap)) <= 0 {
|
|
log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.sourceMarket.MinNotional)
|
|
return
|
|
}
|
|
|
|
if quantity.Compare(s.sourceMarket.MinQuantity.Mul(minGap)) <= 0 {
|
|
log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.sourceMarket.MinQuantity)
|
|
return
|
|
}
|
|
|
|
if s.hedgeErrorRateReservation != nil {
|
|
if !s.hedgeErrorRateReservation.OK() {
|
|
return
|
|
}
|
|
bbgo.Notify("Hit hedge error rate limit, waiting...")
|
|
time.Sleep(s.hedgeErrorRateReservation.Delay())
|
|
s.hedgeErrorRateReservation = nil
|
|
}
|
|
|
|
bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
|
|
|
|
submitOrders := []types.SubmitOrder{
|
|
{
|
|
Market: s.sourceMarket,
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeMarket,
|
|
Side: side,
|
|
Quantity: quantity,
|
|
MarginSideEffect: types.SideEffectTypeMarginBuy,
|
|
},
|
|
}
|
|
|
|
formattedOrders, err := s.sourceSession.FormatOrders(submitOrders)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("unable to format hedge orders")
|
|
return
|
|
}
|
|
|
|
orderCreateCallback := func(createdOrder types.Order) {
|
|
s.orderStore.Add(createdOrder)
|
|
s.activeMakerOrders.Add(createdOrder)
|
|
}
|
|
|
|
defer s.tradeCollector.Process()
|
|
|
|
createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, s.sourceSession.Exchange, orderCreateCallback, formattedOrders...)
|
|
if err != nil {
|
|
s.hedgeErrorRateReservation = s.hedgeErrorLimiter.Reserve()
|
|
log.WithError(err).Errorf("market order submit error: %s", err.Error())
|
|
return
|
|
}
|
|
|
|
log.Infof("submitted hedge orders: %+v", createdOrders)
|
|
|
|
// if it's selling, then we should add a positive position
|
|
if side == types.SideTypeSell {
|
|
s.CoveredPosition = s.CoveredPosition.Add(quantity)
|
|
} else {
|
|
s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) tradeRecover(ctx context.Context) {
|
|
tradeScanInterval := s.RecoverTradeScanPeriod.Duration()
|
|
if tradeScanInterval == 0 {
|
|
tradeScanInterval = 30 * time.Minute
|
|
}
|
|
|
|
tradeScanOverlapBufferPeriod := 5 * time.Minute
|
|
|
|
tradeScanTicker := time.NewTicker(tradeScanInterval)
|
|
defer tradeScanTicker.Stop()
|
|
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-tradeScanTicker.C:
|
|
log.Infof("scanning trades from %s ago...", tradeScanInterval)
|
|
|
|
if s.RecoverTrade {
|
|
startTime := time.Now().Add(-tradeScanInterval).Add(-tradeScanOverlapBufferPeriod)
|
|
|
|
if err := s.tradeCollector.Recover(ctx, s.sourceSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
|
|
log.WithError(err).Errorf("query trades error")
|
|
}
|
|
|
|
if err := s.tradeCollector.Recover(ctx, s.makerSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
|
|
log.WithError(err).Errorf("query trades error")
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) Defaults() error {
|
|
if s.CircuitBreaker == nil {
|
|
s.CircuitBreaker = circuitbreaker.NewBasicCircuitBreaker(ID, s.InstanceID())
|
|
}
|
|
|
|
// circuitBreakerAlertLimiter is for CircuitBreaker alerts
|
|
s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
|
|
s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
if s.Quantity.IsZero() || s.QuantityScale == nil {
|
|
return errors.New("quantity or quantityScale can not be empty")
|
|
}
|
|
|
|
if !s.QuantityMultiplier.IsZero() && s.QuantityMultiplier.Sign() < 0 {
|
|
return errors.New("quantityMultiplier can not be a negative number")
|
|
}
|
|
|
|
if len(s.Symbol) == 0 {
|
|
return errors.New("symbol is required")
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) CrossRun(
|
|
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
|
|
) error {
|
|
if s.BollBandInterval == "" {
|
|
s.BollBandInterval = types.Interval1m
|
|
}
|
|
|
|
if s.BollBandMarginFactor.IsZero() {
|
|
s.BollBandMarginFactor = fixedpoint.One
|
|
}
|
|
if s.BollBandMargin.IsZero() {
|
|
s.BollBandMargin = fixedpoint.NewFromFloat(0.001)
|
|
}
|
|
|
|
// configure default values
|
|
if s.UpdateInterval == 0 {
|
|
s.UpdateInterval = types.Duration(time.Second)
|
|
}
|
|
|
|
if s.HedgeInterval == 0 {
|
|
s.HedgeInterval = types.Duration(10 * time.Second)
|
|
}
|
|
|
|
if s.NumLayers == 0 {
|
|
s.NumLayers = 1
|
|
}
|
|
|
|
if s.BidMargin.IsZero() {
|
|
if !s.Margin.IsZero() {
|
|
s.BidMargin = s.Margin
|
|
} else {
|
|
s.BidMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
if s.AskMargin.IsZero() {
|
|
if !s.Margin.IsZero() {
|
|
s.AskMargin = s.Margin
|
|
} else {
|
|
s.AskMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
|
|
|
|
// configure sessions
|
|
sourceSession, ok := sessions[s.SourceExchange]
|
|
if !ok {
|
|
return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
|
|
}
|
|
|
|
s.sourceSession = sourceSession
|
|
|
|
// initialize the price resolver
|
|
sourceMarkets := s.sourceSession.Markets()
|
|
s.priceSolver = pricesolver.NewSimplePriceResolver(sourceMarkets)
|
|
|
|
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)
|
|
}
|
|
|
|
indicators := s.sourceSession.Indicators(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("%s standard indicator set not found", s.Symbol)
|
|
}
|
|
|
|
s.boll = indicators.BOLL(types.IntervalWindow{
|
|
Interval: s.BollBandInterval,
|
|
Window: 21,
|
|
}, 1.0)
|
|
|
|
// restore state
|
|
instanceID := s.InstanceID()
|
|
s.groupID = util.FNV32(instanceID)
|
|
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
|
|
|
|
if s.Position == nil {
|
|
s.Position = types.NewPositionFromMarket(s.makerMarket)
|
|
s.Position.Strategy = ID
|
|
s.Position.StrategyInstanceID = instanceID
|
|
}
|
|
|
|
bbgo.Notify("xmaker: %s position is restored", s.Symbol, s.Position)
|
|
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = &ProfitStats{
|
|
ProfitStats: types.NewProfitStats(s.makerMarket),
|
|
MakerExchange: s.makerSession.ExchangeName,
|
|
}
|
|
}
|
|
|
|
if s.CoveredPosition.IsZero() {
|
|
if s.state != nil && !s.CoveredPosition.IsZero() {
|
|
s.CoveredPosition = s.state.CoveredPosition
|
|
}
|
|
}
|
|
|
|
if s.makerSession.MakerFeeRate.Sign() > 0 || s.makerSession.TakerFeeRate.Sign() > 0 {
|
|
s.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), types.ExchangeFee{
|
|
MakerFeeRate: s.makerSession.MakerFeeRate,
|
|
TakerFeeRate: s.makerSession.TakerFeeRate,
|
|
})
|
|
}
|
|
|
|
if s.sourceSession.MakerFeeRate.Sign() > 0 || s.sourceSession.TakerFeeRate.Sign() > 0 {
|
|
s.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
|
|
MakerFeeRate: s.sourceSession.MakerFeeRate,
|
|
TakerFeeRate: s.sourceSession.TakerFeeRate,
|
|
})
|
|
}
|
|
|
|
if s.ProfitFixerConfig != nil {
|
|
bbgo.Notify("Fixing %s profitStats and position...", s.Symbol)
|
|
|
|
log.Infof("profitFixer is enabled, checking checkpoint: %+v", s.ProfitFixerConfig.TradesSince)
|
|
|
|
if s.ProfitFixerConfig.TradesSince.Time().IsZero() {
|
|
return errors.New("tradesSince time can not be zero")
|
|
}
|
|
|
|
makerMarket, _ := makerSession.Market(s.Symbol)
|
|
position := types.NewPositionFromMarket(makerMarket)
|
|
profitStats := types.NewProfitStats(makerMarket)
|
|
|
|
fixer := common.NewProfitFixer()
|
|
// fixer.ConverterManager = s.ConverterManager
|
|
|
|
if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
|
|
log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
|
|
fixer.AddExchange(makerSession.Name, ss)
|
|
}
|
|
|
|
if ss, ok := sourceSession.Exchange.(types.ExchangeTradeHistoryService); ok {
|
|
log.Infof("adding hedgeSession %s to profitFixer", sourceSession.Name)
|
|
fixer.AddExchange(sourceSession.Name, ss)
|
|
}
|
|
|
|
if err2 := fixer.Fix(ctx, makerMarket.Symbol,
|
|
s.ProfitFixerConfig.TradesSince.Time(),
|
|
time.Now(),
|
|
profitStats,
|
|
position); err2 != nil {
|
|
return err2
|
|
}
|
|
|
|
bbgo.Notify("Fixed %s position", s.Symbol, position)
|
|
bbgo.Notify("Fixed %s profitStats", s.Symbol, profitStats)
|
|
|
|
s.Position = position
|
|
s.ProfitStats.ProfitStats = profitStats
|
|
}
|
|
|
|
s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
|
|
s.book.BindStream(s.sourceSession.MarketDataStream)
|
|
|
|
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
|
s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
|
|
|
|
s.orderStore = core.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(s.sourceSession.UserDataStream)
|
|
s.orderStore.BindStream(s.makerSession.UserDataStream)
|
|
|
|
s.tradeCollector = core.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
|
|
|
if s.NotifyTrade {
|
|
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
|
bbgo.Notify(trade)
|
|
})
|
|
}
|
|
|
|
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
|
c := trade.PositionChange()
|
|
if trade.Exchange == s.sourceSession.ExchangeName {
|
|
s.CoveredPosition = s.CoveredPosition.Add(c)
|
|
}
|
|
|
|
s.ProfitStats.AddTrade(trade)
|
|
|
|
if profit.Compare(fixedpoint.Zero) == 0 {
|
|
s.Environment.RecordPosition(s.Position, trade, nil)
|
|
}
|
|
})
|
|
|
|
s.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
|
|
if s.CircuitBreaker != nil {
|
|
s.CircuitBreaker.RecordProfit(profit.Profit, trade.Time.Time())
|
|
}
|
|
|
|
bbgo.Notify(profit)
|
|
|
|
s.ProfitStats.AddProfit(*profit)
|
|
s.Environment.RecordPosition(s.Position, trade, profit)
|
|
})
|
|
|
|
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Notify(position)
|
|
})
|
|
s.tradeCollector.OnRecover(func(trade types.Trade) {
|
|
bbgo.Notify("Recovered trade", trade)
|
|
})
|
|
|
|
// bind two user data streams so that we can collect the trades together
|
|
s.tradeCollector.BindStream(s.sourceSession.UserDataStream)
|
|
s.tradeCollector.BindStream(s.makerSession.UserDataStream)
|
|
|
|
s.stopC = make(chan struct{})
|
|
|
|
if s.RecoverTrade {
|
|
go s.tradeRecover(ctx)
|
|
}
|
|
|
|
go func() {
|
|
hedgeTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
|
|
defer hedgeTicker.Stop()
|
|
|
|
quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
|
|
defer quoteTicker.Stop()
|
|
|
|
defer func() {
|
|
if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
|
|
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
|
|
}
|
|
}()
|
|
|
|
for {
|
|
select {
|
|
|
|
case <-s.stopC:
|
|
log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
|
|
return
|
|
|
|
case <-ctx.Done():
|
|
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
|
|
return
|
|
|
|
case <-quoteTicker.C:
|
|
s.updateQuote(ctx, orderExecutionRouter)
|
|
|
|
case <-hedgeTicker.C:
|
|
// For positive position and positive covered position:
|
|
// uncover position = +5 - +3 (covered position) = 2
|
|
//
|
|
// For positive position and negative covered position:
|
|
// uncover position = +5 - (-3) (covered position) = 8
|
|
//
|
|
// meaning we bought 5 on MAX and sent buy order with 3 on binance
|
|
//
|
|
// For negative position:
|
|
// uncover position = -5 - -3 (covered position) = -2
|
|
s.tradeCollector.Process()
|
|
|
|
position := s.Position.GetBase()
|
|
|
|
uncoverPosition := position.Sub(s.CoveredPosition)
|
|
absPos := uncoverPosition.Abs()
|
|
if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
|
|
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
|
|
s.Symbol,
|
|
position,
|
|
s.CoveredPosition,
|
|
uncoverPosition,
|
|
)
|
|
|
|
s.Hedge(ctx, uncoverPosition.Neg())
|
|
}
|
|
|
|
if s.reportProfitStatsRateLimiter.Allow() {
|
|
bbgo.Notify(s.ProfitStats)
|
|
}
|
|
}
|
|
}
|
|
}()
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
close(s.stopC)
|
|
|
|
// wait for the quoter to stop
|
|
time.Sleep(s.UpdateInterval.Duration())
|
|
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel error")
|
|
}
|
|
|
|
bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
|
|
})
|
|
|
|
return nil
|
|
}
|