mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
403 lines
9.8 KiB
Go
403 lines
9.8 KiB
Go
package wall
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
|
|
"github.com/pkg/errors"
|
|
"github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const ID = "wall"
|
|
|
|
const stateKey = "state-v1"
|
|
|
|
var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
|
|
var two = fixedpoint.NewFromInt(2)
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type Strategy struct {
|
|
Environment *bbgo.Environment
|
|
StandardIndicatorSet *bbgo.StandardIndicatorSet
|
|
Market types.Market
|
|
|
|
// Symbol is the market symbol you want to trade
|
|
Symbol string `json:"symbol"`
|
|
|
|
Side types.SideType `json:"side"`
|
|
|
|
// Interval is how long do you want to update your order price and quantity
|
|
Interval types.Interval `json:"interval"`
|
|
|
|
FixedPrice fixedpoint.Value `json:"fixedPrice"`
|
|
|
|
bbgo.QuantityOrAmount
|
|
|
|
NumLayers int `json:"numLayers"`
|
|
|
|
// LayerSpread is the price spread between each layer
|
|
LayerSpread fixedpoint.Value `json:"layerSpread"`
|
|
|
|
// QuantityScale helps user to define the quantity by layer scale
|
|
QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
|
|
|
|
AdjustmentMinSpread fixedpoint.Value `json:"adjustmentMinSpread"`
|
|
AdjustmentQuantity fixedpoint.Value `json:"adjustmentQuantity"`
|
|
|
|
session *bbgo.ExchangeSession
|
|
|
|
// persistence fields
|
|
Position *types.Position `json:"position,omitempty" persistence:"position"`
|
|
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
|
|
|
|
activeAdjustmentOrders *bbgo.ActiveOrderBook
|
|
activeWallOrders *bbgo.ActiveOrderBook
|
|
orderStore *bbgo.OrderStore
|
|
tradeCollector *bbgo.TradeCollector
|
|
|
|
groupID uint32
|
|
|
|
stopC chan struct{}
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
|
|
Depth: types.DepthLevelFull,
|
|
})
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
if len(s.Symbol) == 0 {
|
|
return errors.New("symbol is required")
|
|
}
|
|
|
|
if len(s.Side) == 0 {
|
|
return errors.New("side is required")
|
|
}
|
|
|
|
if s.FixedPrice.IsZero() {
|
|
return errors.New("fixedPrice can not be zero")
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) CurrentPosition() *types.Position {
|
|
return s.Position
|
|
}
|
|
|
|
func (s *Strategy) placeAdjustmentOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
|
|
var submitOrders []types.SubmitOrder
|
|
// position adjustment orders
|
|
base := s.Position.GetBase()
|
|
if base.IsZero() {
|
|
return nil
|
|
}
|
|
|
|
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
if s.Market.IsDustQuantity(base, ticker.Last) {
|
|
return nil
|
|
}
|
|
|
|
switch s.Side {
|
|
case types.SideTypeBuy:
|
|
askPrice := ticker.Sell.Mul(s.AdjustmentMinSpread.Add(fixedpoint.One))
|
|
|
|
if s.Position.AverageCost.Compare(askPrice) <= 0 {
|
|
return nil
|
|
}
|
|
|
|
if base.Sign() < 0 {
|
|
return nil
|
|
}
|
|
|
|
quantity := base.Abs()
|
|
if quantity.Compare(s.AdjustmentQuantity) >= 0 {
|
|
quantity = s.AdjustmentQuantity
|
|
}
|
|
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: s.Side.Reverse(),
|
|
Type: types.OrderTypeLimitMaker,
|
|
Price: askPrice,
|
|
Quantity: quantity,
|
|
Market: s.Market,
|
|
GroupID: s.groupID,
|
|
})
|
|
|
|
case types.SideTypeSell:
|
|
bidPrice := ticker.Sell.Mul(fixedpoint.One.Sub(s.AdjustmentMinSpread))
|
|
|
|
if s.Position.AverageCost.Compare(bidPrice) >= 0 {
|
|
return nil
|
|
}
|
|
|
|
if base.Sign() > 0 {
|
|
return nil
|
|
}
|
|
|
|
quantity := base.Abs()
|
|
if quantity.Compare(s.AdjustmentQuantity) >= 0 {
|
|
quantity = s.AdjustmentQuantity
|
|
}
|
|
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: s.Side.Reverse(),
|
|
Type: types.OrderTypeLimitMaker,
|
|
Price: bidPrice,
|
|
Quantity: quantity,
|
|
Market: s.Market,
|
|
GroupID: s.groupID,
|
|
})
|
|
}
|
|
|
|
// condition for lower the average cost
|
|
if len(submitOrders) == 0 {
|
|
return nil
|
|
}
|
|
|
|
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
s.activeAdjustmentOrders.Add(createdOrders...)
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) placeWallOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
|
|
var submitOrders []types.SubmitOrder
|
|
var startPrice = s.FixedPrice
|
|
for i := 0; i < s.NumLayers; i++ {
|
|
var price = startPrice
|
|
var quantity fixedpoint.Value
|
|
if s.QuantityOrAmount.IsSet() {
|
|
quantity = s.QuantityOrAmount.CalculateQuantity(price)
|
|
} else if s.QuantityScale != nil {
|
|
qf, err := s.QuantityScale.Scale(i + 1)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
quantity = fixedpoint.NewFromFloat(qf)
|
|
}
|
|
|
|
order := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: s.Side,
|
|
Type: types.OrderTypeLimitMaker,
|
|
Price: price,
|
|
Quantity: quantity,
|
|
Market: s.Market,
|
|
GroupID: s.groupID,
|
|
}
|
|
submitOrders = append(submitOrders, order)
|
|
switch s.Side {
|
|
case types.SideTypeSell:
|
|
startPrice = startPrice.Add(s.LayerSpread)
|
|
|
|
case types.SideTypeBuy:
|
|
startPrice = startPrice.Sub(s.LayerSpread)
|
|
|
|
}
|
|
}
|
|
|
|
// condition for lower the average cost
|
|
if len(submitOrders) == 0 {
|
|
return nil
|
|
}
|
|
|
|
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
s.activeWallOrders.Add(createdOrders...)
|
|
return err
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
// initial required information
|
|
s.session = session
|
|
|
|
// calculate group id for orders
|
|
instanceID := s.InstanceID()
|
|
s.groupID = util.FNV32(instanceID)
|
|
|
|
// If position is nil, we need to allocate a new position for calculation
|
|
if s.Position == nil {
|
|
s.Position = types.NewPositionFromMarket(s.Market)
|
|
}
|
|
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = types.NewProfitStats(s.Market)
|
|
}
|
|
|
|
// Always update the position fields
|
|
s.Position.Strategy = ID
|
|
s.Position.StrategyInstanceID = instanceID
|
|
|
|
s.stopC = make(chan struct{})
|
|
|
|
s.activeWallOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
|
s.activeWallOrders.BindStream(session.UserDataStream)
|
|
|
|
s.activeAdjustmentOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
|
s.activeAdjustmentOrders.BindStream(session.UserDataStream)
|
|
|
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(session.UserDataStream)
|
|
|
|
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
|
|
|
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
|
bbgo.Notify(trade)
|
|
s.ProfitStats.AddTrade(trade)
|
|
|
|
if profit.Compare(fixedpoint.Zero) == 0 {
|
|
s.Environment.RecordPosition(s.Position, trade, nil)
|
|
} else {
|
|
log.Infof("%s generated profit: %v", s.Symbol, profit)
|
|
p := s.Position.NewProfit(trade, profit, netProfit)
|
|
p.Strategy = ID
|
|
p.StrategyInstanceID = instanceID
|
|
bbgo.Notify(&p)
|
|
|
|
s.ProfitStats.AddProfit(p)
|
|
bbgo.Notify(&s.ProfitStats)
|
|
|
|
s.Environment.RecordPosition(s.Position, trade, &p)
|
|
}
|
|
})
|
|
|
|
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
|
log.Infof("position changed: %s", s.Position)
|
|
bbgo.Notify(s.Position)
|
|
})
|
|
|
|
s.tradeCollector.BindStream(session.UserDataStream)
|
|
|
|
session.UserDataStream.OnStart(func() {
|
|
if err := s.placeWallOrders(ctx, orderExecutor); err != nil {
|
|
log.WithError(err).Errorf("can not place order")
|
|
}
|
|
})
|
|
|
|
s.activeAdjustmentOrders.OnFilled(func(o types.Order) {
|
|
if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
// check if there is a canceled order had partially filled.
|
|
s.tradeCollector.Process()
|
|
|
|
if err := s.placeAdjustmentOrders(ctx, orderExecutor); err != nil {
|
|
log.WithError(err).Errorf("can not place order")
|
|
}
|
|
})
|
|
|
|
s.activeWallOrders.OnFilled(func(o types.Order) {
|
|
if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
// check if there is a canceled order had partially filled.
|
|
s.tradeCollector.Process()
|
|
|
|
if err := s.placeWallOrders(ctx, orderExecutor); err != nil {
|
|
log.WithError(err).Errorf("can not place order")
|
|
}
|
|
|
|
if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
// check if there is a canceled order had partially filled.
|
|
s.tradeCollector.Process()
|
|
|
|
if err := s.placeAdjustmentOrders(ctx, orderExecutor); err != nil {
|
|
log.WithError(err).Errorf("can not place order")
|
|
}
|
|
})
|
|
|
|
ticker := time.NewTicker(s.Interval.Duration())
|
|
go func() {
|
|
defer ticker.Stop()
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-ticker.C:
|
|
orders := s.activeWallOrders.Orders()
|
|
if anyOrderFilled(orders) {
|
|
if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
// check if there is a canceled order had partially filled.
|
|
s.tradeCollector.Process()
|
|
|
|
if err := s.placeWallOrders(ctx, orderExecutor); err != nil {
|
|
log.WithError(err).Errorf("can not place order")
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}()
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
close(s.stopC)
|
|
|
|
if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
s.tradeCollector.Process()
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func anyOrderFilled(orders []types.Order) bool {
|
|
for _, o := range orders {
|
|
if o.ExecutedQuantity.Sign() > 0 {
|
|
return true
|
|
}
|
|
}
|
|
return false
|
|
}
|