bbgo_origin/pkg/strategy/rebalance/strategy.go
2023-03-08 14:12:42 +00:00

296 lines
7.5 KiB
Go

package rebalance
import (
"context"
"fmt"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "rebalance"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Environment *bbgo.Environment
Interval types.Interval `json:"interval"`
QuoteCurrency string `json:"quoteCurrency"`
TargetWeights types.ValueMap `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"`
MaxAmount fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
OrderType types.OrderType `json:"orderType"`
DryRun bool `json:"dryRun"`
PositionMap map[string]*types.Position `persistence:"positionMap"`
ProfitStatsMap map[string]*types.ProfitStats `persistence:"profitStatsMap"`
session *bbgo.ExchangeSession
orderExecutorMap map[string]*bbgo.GeneralOrderExecutor
activeOrderBook *bbgo.ActiveOrderBook
}
func (s *Strategy) Defaults() error {
if s.OrderType == "" {
s.OrderType = types.OrderTypeLimitMaker
}
return nil
}
func (s *Strategy) Initialize() error {
return nil
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) InstanceID(symbol string) string {
return fmt.Sprintf("%s:%s", ID, symbol)
}
func (s *Strategy) Validate() error {
if len(s.TargetWeights) == 0 {
return fmt.Errorf("targetWeights should not be empty")
}
if !s.TargetWeights.Sum().Eq(fixedpoint.One) {
return fmt.Errorf("the sum of targetWeights should be 1")
}
for currency, weight := range s.TargetWeights {
if weight.Float64() < 0 {
return fmt.Errorf("%s weight: %f should not less than 0", currency, weight.Float64())
}
}
if s.Threshold.Sign() < 0 {
return fmt.Errorf("threshold should not less than 0")
}
if s.MaxAmount.Sign() < 0 {
return fmt.Errorf("maxAmount shoud not less than 0")
}
return nil
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
for _, symbol := range s.symbols() {
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
}
}
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.session = session
markets, err := s.markets()
if err != nil {
return err
}
if s.PositionMap == nil {
s.initPositionMapFromMarkets(markets)
}
if s.ProfitStatsMap == nil {
s.initProfitStatsMapFromMarkets(markets)
}
s.initOrderExecutorMapFromMarkets(ctx, markets)
s.activeOrderBook = bbgo.NewActiveOrderBook("")
s.activeOrderBook.BindStream(s.session.UserDataStream)
s.session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
s.rebalance(ctx)
})
return nil
}
func (s *Strategy) initPositionMapFromMarkets(markets []types.Market) {
s.PositionMap = make(map[string]*types.Position)
for _, market := range markets {
position := types.NewPositionFromMarket(market)
position.Strategy = s.ID()
position.StrategyInstanceID = s.InstanceID(market.Symbol)
s.PositionMap[market.Symbol] = position
}
}
func (s *Strategy) initProfitStatsMapFromMarkets(markets []types.Market) {
s.ProfitStatsMap = make(map[string]*types.ProfitStats)
for _, market := range markets {
s.ProfitStatsMap[market.Symbol] = types.NewProfitStats(market)
}
}
func (s *Strategy) initOrderExecutorMapFromMarkets(ctx context.Context, markets []types.Market) {
s.orderExecutorMap = make(map[string]*bbgo.GeneralOrderExecutor)
for _, market := range markets {
symbol := market.Symbol
orderExecutor := bbgo.NewGeneralOrderExecutor(s.session, symbol, ID, s.InstanceID(symbol), s.PositionMap[symbol])
orderExecutor.BindEnvironment(s.Environment)
orderExecutor.BindProfitStats(s.ProfitStatsMap[symbol])
orderExecutor.Bind()
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
s.orderExecutorMap[market.Symbol] = orderExecutor
}
}
func (s *Strategy) rebalance(ctx context.Context) {
// cancel active orders before rebalance
if err := s.session.Exchange.CancelOrders(ctx, s.activeOrderBook.Orders()...); err != nil {
log.WithError(err).Errorf("failed to cancel orders")
}
submitOrders := s.generateSubmitOrders(ctx)
for _, order := range submitOrders {
log.Infof("generated submit order: %s", order.String())
}
if s.DryRun {
return
}
for _, submitOrder := range submitOrders {
createdOrders, err := s.orderExecutorMap[submitOrder.Symbol].SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Error("failed to submit orders")
return
}
s.activeOrderBook.Add(createdOrders...)
}
}
func (s *Strategy) prices(ctx context.Context) types.ValueMap {
m := make(types.ValueMap)
for currency := range s.TargetWeights {
if currency == s.QuoteCurrency {
m[s.QuoteCurrency] = fixedpoint.One
continue
}
ticker, err := s.session.Exchange.QueryTicker(ctx, currency+s.QuoteCurrency)
if err != nil {
log.WithError(err).Error("failed to query tickers")
return nil
}
m[currency] = ticker.Last
}
return m
}
func (s *Strategy) quantities() types.ValueMap {
m := make(types.ValueMap)
balances := s.session.GetAccount().Balances()
for currency := range s.TargetWeights {
m[currency] = balances[currency].Total()
}
return m
}
func (s *Strategy) generateSubmitOrders(ctx context.Context) (submitOrders []types.SubmitOrder) {
prices := s.prices(ctx)
marketValues := prices.Mul(s.quantities())
currentWeights := marketValues.Normalize()
for currency, targetWeight := range s.TargetWeights {
if currency == s.QuoteCurrency {
continue
}
symbol := currency + s.QuoteCurrency
currentWeight := currentWeights[currency]
currentPrice := prices[currency]
log.Infof("%s price: %v, current weight: %v, target weight: %v",
symbol,
currentPrice,
currentWeight,
targetWeight)
// calculate the difference between current weight and target weight
// if the difference is less than threshold, then we will not create the order
weightDifference := targetWeight.Sub(currentWeight)
if weightDifference.Abs().Compare(s.Threshold) < 0 {
log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
symbol,
currentWeight,
targetWeight,
weightDifference,
s.Threshold)
continue
}
quantity := weightDifference.Mul(marketValues.Sum()).Div(currentPrice)
side := types.SideTypeBuy
if quantity.Sign() < 0 {
side = types.SideTypeSell
quantity = quantity.Abs()
}
if s.MaxAmount.Sign() > 0 {
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
quantity,
symbol,
side.String(),
currentPrice,
s.MaxAmount)
}
log.Debugf("symbol: %v, quantity: %v", symbol, quantity)
order := types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: s.OrderType,
Quantity: quantity,
Price: currentPrice,
}
submitOrders = append(submitOrders, order)
}
return submitOrders
}
func (s *Strategy) symbols() (symbols []string) {
for currency := range s.TargetWeights {
if currency == s.QuoteCurrency {
continue
}
symbols = append(symbols, currency+s.QuoteCurrency)
}
return symbols
}
func (s *Strategy) markets() ([]types.Market, error) {
markets := []types.Market{}
for _, symbol := range s.symbols() {
market, ok := s.session.Market(symbol)
if !ok {
return nil, fmt.Errorf("market %s not found", symbol)
}
markets = append(markets, market)
}
return markets, nil
}