bbgo_origin/pkg/strategy/bollgrid/strategy.go
2021-04-15 15:51:23 +08:00

379 lines
12 KiB
Go

package bollgrid
import (
"context"
"fmt"
"sync"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "bollgrid"
var log = logrus.WithField("strategy", ID)
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
// Note: built-in strategies need to imported manually in the bbgo cmd package.
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
// The notification system will be injected into the strategy automatically.
// This field will be injected automatically since it's a single exchange strategy.
*bbgo.Notifiability
// OrderExecutor is an interface for submitting order.
// This field will be injected automatically since it's a single exchange strategy.
bbgo.OrderExecutor
// if Symbol string field is defined, bbgo will know it's a symbol-based strategy
// The following embedded fields will be injected with the corresponding instances.
// MarketDataStore is a pointer only injection field. public trades, k-lines (candlestick)
// and order book updates are maintained in the market data store.
// This field will be injected automatically since we defined the Symbol field.
*bbgo.MarketDataStore
// StandardIndicatorSet contains the standard indicators of a market (symbol)
// This field will be injected automatically since we defined the Symbol field.
*bbgo.StandardIndicatorSet
// Graceful let you define the graceful shutdown handler
*bbgo.Graceful
// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
// This field will be injected automatically since we defined the Symbol field.
types.Market
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
// Interval is the interval used by the BOLLINGER indicator (which uses K-Line as its source price)
Interval types.Interval `json:"interval"`
// RepostInterval is the interval for re-posting maker orders
RepostInterval types.Interval `json:"repostInterval"`
// GridPips is the pips of grid
// e.g., 0.001, so that your orders will be submitted at price like 0.127, 0.128, 0.129, 0.130
GridPips fixedpoint.Value `json:"gridPips"`
ProfitSpread fixedpoint.Value `json:"profitSpread"`
// GridNum is the grid number, how many orders you want to post on the orderbook.
GridNum int `json:"gridNumber"`
// Quantity is the quantity you want to submit for each order.
Quantity float64 `json:"quantity"`
// activeOrders is the locally maintained active order book of the maker orders.
activeOrders *bbgo.LocalActiveOrderBook
profitOrders *bbgo.LocalActiveOrderBook
orders *bbgo.OrderStore
// boll is the BOLLINGER indicator we used for predicting the price.
boll *indicator.BOLL
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Validate() error {
if s.ProfitSpread <= 0 {
// If profitSpread is empty or its value is negative
return fmt.Errorf("profit spread should bigger than 0")
}
if s.Quantity <= 0 {
// If quantity is empty or its value is negative
return fmt.Errorf("quantity should bigger than 0")
}
return nil
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
if s.Interval == "" {
panic("bollgrid interval can not be empty")
}
// currently we need the 1m kline to update the last close price and indicators
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
if len(s.RepostInterval) > 0 && s.Interval != s.RepostInterval {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.RepostInterval.String()})
}
}
func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
balances := session.Account.Balances()
quoteBalance := balances[s.Market.QuoteCurrency].Available
if quoteBalance <= 0 {
return nil, fmt.Errorf("quote balance %s is zero: %f", s.Market.QuoteCurrency, quoteBalance.Float64())
}
upBand, downBand := s.boll.LastUpBand(), s.boll.LastDownBand()
if upBand <= 0.0 {
return nil, fmt.Errorf("up band == 0")
}
if downBand <= 0.0 {
return nil, fmt.Errorf("down band == 0")
}
currentPrice, ok := session.LastPrice(s.Symbol)
if !ok {
return nil, fmt.Errorf("last price not found")
}
if currentPrice > upBand || currentPrice < downBand {
return nil, fmt.Errorf("current price %f exceed the bollinger band %f <> %f", currentPrice, upBand, downBand)
}
ema99 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
ema25 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
ema7 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
if ema7.Last() > ema25.Last()*1.001 && ema25.Last() > ema99.Last()*1.0005 {
log.Infof("all ema lines trend up, skip buy")
return nil, nil
}
priceRange := upBand - downBand
gridSize := priceRange / float64(s.GridNum)
var orders []types.SubmitOrder
for price := upBand; price >= downBand; price -= gridSize {
if price >= currentPrice {
continue
}
order := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Market: s.Market,
Quantity: s.Quantity,
Price: price,
TimeInForce: "GTC",
}
quoteQuantity := fixedpoint.NewFromFloat(order.Quantity).MulFloat64(price)
if quoteBalance < quoteQuantity {
log.Infof("quote balance %f is not enough, stop generating buy orders", quoteBalance.Float64())
break
}
quoteBalance = quoteBalance.Sub(quoteQuantity)
log.Infof("submitting order: %s", order.String())
orders = append(orders, order)
}
return orders, nil
}
func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
balances := session.Account.Balances()
baseBalance := balances[s.Market.BaseCurrency].Available
if baseBalance <= 0 {
return nil, fmt.Errorf("base balance %s is zero: %+v", s.Market.BaseCurrency, baseBalance.Float64())
}
upBand, downBand := s.boll.LastUpBand(), s.boll.LastDownBand()
if upBand <= 0.0 {
return nil, fmt.Errorf("up band == 0")
}
if downBand <= 0.0 {
return nil, fmt.Errorf("down band == 0")
}
currentPrice, ok := session.LastPrice(s.Symbol)
if !ok {
return nil, fmt.Errorf("last price not found")
}
if currentPrice > upBand || currentPrice < downBand {
return nil, fmt.Errorf("current price exceed the bollinger band")
}
ema99 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
ema25 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
ema7 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
if ema7.Last() < ema25.Last()*(1-0.004) && ema25.Last() < ema99.Last()*(1-0.0005) {
log.Infof("all ema lines trend down, skip sell")
return nil, nil
}
priceRange := upBand - downBand
gridSize := priceRange / float64(s.GridNum)
var orders []types.SubmitOrder
for price := downBand; price <= upBand; price += gridSize {
if price <= currentPrice {
continue
}
order := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Market: s.Market,
Quantity: s.Quantity,
Price: price,
TimeInForce: "GTC",
}
baseQuantity := fixedpoint.NewFromFloat(order.Quantity)
if baseBalance < baseQuantity {
log.Infof("base balance %f is not enough, stop generating sell orders", baseBalance.Float64())
break
}
baseBalance = baseBalance.Sub(baseQuantity)
log.Infof("submitting order: %s", order.String())
orders = append(orders, order)
}
return orders, nil
}
func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
sellOrders, err := s.generateGridSellOrders(session)
if err != nil {
log.Warn(err.Error())
}
createdSellOrders, err := orderExecutor.SubmitOrders(context.Background(), sellOrders...)
if err != nil {
log.WithError(err).Errorf("can not place sell orders")
}
buyOrders, err := s.generateGridBuyOrders(session)
if err != nil {
log.Warn(err.Error())
}
createdBuyOrders, err := orderExecutor.SubmitOrders(context.Background(), buyOrders...)
if err != nil {
log.WithError(err).Errorf("can not place buy orders")
}
createdOrders := append(createdSellOrders, createdBuyOrders...)
s.activeOrders.Add(createdOrders...)
s.orders.Add(createdOrders...)
}
func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
// skip order updates if up-band - down-band < min profit spread
if (s.boll.LastUpBand() - s.boll.LastDownBand()) <= s.ProfitSpread.Float64() {
log.Infof("boll: down band price == up band price, skipping...")
return
}
s.placeGridOrders(orderExecutor, session)
s.activeOrders.Print()
}
func (s *Strategy) submitReverseOrder(order types.Order) {
var side = order.Side.Reverse()
var price = order.Price
switch side {
case types.SideTypeSell:
price += s.ProfitSpread.Float64()
case types.SideTypeBuy:
price -= s.ProfitSpread.Float64()
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: side,
Type: types.OrderTypeLimit,
Quantity: order.Quantity,
Price: price,
TimeInForce: "GTC",
}
log.Infof("submitting reverse order: %s against %s", submitOrder.String(), order.String())
createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place orders")
return
}
s.profitOrders.Add(createdOrders...)
s.orders.Add(createdOrders...)
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.GridNum == 0 {
s.GridNum = 2
}
s.boll = s.StandardIndicatorSet.BOLL(types.IntervalWindow{
Interval: s.Interval,
Window: 21,
}, 2.0)
s.orders = bbgo.NewOrderStore(s.Symbol)
s.orders.BindStream(session.Stream)
// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
s.activeOrders = bbgo.NewLocalActiveOrderBook()
s.activeOrders.OnFilled(func(o types.Order) {
s.submitReverseOrder(o)
})
s.activeOrders.BindStream(session.Stream)
s.profitOrders = bbgo.NewLocalActiveOrderBook()
s.profitOrders.OnFilled(func(o types.Order) {
// we made profit here!
})
s.profitOrders.BindStream(session.Stream)
// setup graceful shutting down handler
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
// call Done to notify the main process.
defer wg.Done()
log.Infof("canceling active orders...")
if err := session.Exchange.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
if err := session.Exchange.CancelOrders(ctx, s.profitOrders.Orders()...); err != nil {
log.WithError(err).Errorf("cancel order error")
}
})
session.Stream.OnStart(func() {
log.Infof("connected, submitting the first round of the orders")
s.updateOrders(orderExecutor, session)
})
// avoid using time ticker since we will need back testing here
session.Stream.OnKLineClosed(func(kline types.KLine) {
// skip kline events that does not belong to this symbol
if kline.Symbol != s.Symbol {
log.Infof("%s != %s", kline.Symbol, s.Symbol)
return
}
if s.RepostInterval != "" {
// see if we have enough balances and then we create limit orders on the up band and the down band.
if s.RepostInterval == kline.Interval {
s.updateOrders(orderExecutor, session)
}
} else if s.Interval == kline.Interval {
s.updateOrders(orderExecutor, session)
}
})
return nil
}