mirror of
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353 lines
8.4 KiB
Go
353 lines
8.4 KiB
Go
package wall
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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/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "wall"
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const stateKey = "state-v1"
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var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
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var two = fixedpoint.NewFromInt(2)
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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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*common.Strategy
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Environment *bbgo.Environment
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Market types.Market
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// Symbol is the market symbol you want to trade
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Symbol string `json:"symbol"`
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Side types.SideType `json:"side"`
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// Interval is how long do you want to update your order price and quantity
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Interval types.Interval `json:"interval"`
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FixedPrice fixedpoint.Value `json:"fixedPrice"`
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bbgo.QuantityOrAmount
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NumLayers int `json:"numLayers"`
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// LayerSpread is the price spread between each layer
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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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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AdjustmentMinSpread fixedpoint.Value `json:"adjustmentMinSpread"`
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AdjustmentQuantity fixedpoint.Value `json:"adjustmentQuantity"`
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session *bbgo.ExchangeSession
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activeAdjustmentOrders *bbgo.ActiveOrderBook
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activeWallOrders *bbgo.ActiveOrderBook
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}
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func (s *Strategy) Initialize() error {
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if s.Strategy == nil {
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s.Strategy = &common.Strategy{}
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}
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return nil
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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) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
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Depth: types.DepthLevelFull,
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})
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}
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func (s *Strategy) Validate() error {
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if len(s.Symbol) == 0 {
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return errors.New("symbol is required")
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}
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if len(s.Side) == 0 {
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return errors.New("side is required")
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}
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if s.FixedPrice.IsZero() {
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return errors.New("fixedPrice can not be zero")
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}
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return nil
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) placeAdjustmentOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
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var submitOrders []types.SubmitOrder
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// position adjustment orders
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base := s.Position.GetBase()
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if base.IsZero() {
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return nil
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}
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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return err
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}
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if s.Market.IsDustQuantity(base, ticker.Last) {
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return nil
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}
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switch s.Side {
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case types.SideTypeBuy:
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askPrice := ticker.Sell.Mul(s.AdjustmentMinSpread.Add(fixedpoint.One))
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if s.Position.AverageCost.Compare(askPrice) <= 0 {
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return nil
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}
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if base.Sign() < 0 {
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return nil
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}
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quantity := base.Abs()
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if quantity.Compare(s.AdjustmentQuantity) >= 0 {
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quantity = s.AdjustmentQuantity
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}
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: s.Side.Reverse(),
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Type: types.OrderTypeLimitMaker,
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Price: askPrice,
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Quantity: quantity,
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Market: s.Market,
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})
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case types.SideTypeSell:
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bidPrice := ticker.Sell.Mul(fixedpoint.One.Sub(s.AdjustmentMinSpread))
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if s.Position.AverageCost.Compare(bidPrice) >= 0 {
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return nil
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}
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if base.Sign() > 0 {
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return nil
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}
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quantity := base.Abs()
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if quantity.Compare(s.AdjustmentQuantity) >= 0 {
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quantity = s.AdjustmentQuantity
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}
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: s.Side.Reverse(),
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Type: types.OrderTypeLimitMaker,
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Price: bidPrice,
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Quantity: quantity,
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Market: s.Market,
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})
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}
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// condition for lower the average cost
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if len(submitOrders) == 0 {
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return nil
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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return err
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}
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s.activeAdjustmentOrders.Add(createdOrders...)
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return nil
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}
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func (s *Strategy) placeWallOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor) error {
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log.Infof("placing wall orders...")
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var submitOrders []types.SubmitOrder
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var startPrice = s.FixedPrice
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for i := 0; i < s.NumLayers; i++ {
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var price = startPrice
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var quantity fixedpoint.Value
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if s.QuantityOrAmount.IsSet() {
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quantity = s.QuantityOrAmount.CalculateQuantity(price)
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} else 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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return err
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}
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quantity = fixedpoint.NewFromFloat(qf)
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}
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order := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: s.Side,
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Type: types.OrderTypeLimitMaker,
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Price: price,
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Quantity: quantity,
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Market: s.Market,
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}
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submitOrders = append(submitOrders, order)
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switch s.Side {
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case types.SideTypeSell:
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startPrice = startPrice.Add(s.LayerSpread)
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case types.SideTypeBuy:
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startPrice = startPrice.Sub(s.LayerSpread)
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}
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}
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// condition for lower the average cost
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if len(submitOrders) == 0 {
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return nil
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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return err
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}
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log.Infof("wall orders placed: %+v", createdOrders)
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s.activeWallOrders.Add(createdOrders...)
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return err
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}
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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// initial required information
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s.session = session
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s.activeWallOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeWallOrders.BindStream(session.UserDataStream)
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s.activeAdjustmentOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeAdjustmentOrders.BindStream(session.UserDataStream)
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session.UserDataStream.OnStart(func() {
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if err := s.placeWallOrders(ctx, s.OrderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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})
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s.activeAdjustmentOrders.OnFilled(func(o types.Order) {
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if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.OrderExecutor.TradeCollector().Process()
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if err := s.placeAdjustmentOrders(ctx, s.OrderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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})
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s.activeWallOrders.OnFilled(func(o types.Order) {
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if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.OrderExecutor.TradeCollector().Process()
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if err := s.placeWallOrders(ctx, s.OrderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.OrderExecutor.TradeCollector().Process()
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if err := s.placeAdjustmentOrders(ctx, s.OrderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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})
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ticker := time.NewTicker(s.Interval.Duration())
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go func() {
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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orders := s.activeWallOrders.Orders()
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if anyOrderFilled(orders) {
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if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.OrderExecutor.TradeCollector().Process()
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if err := s.placeWallOrders(ctx, s.OrderExecutor); err != nil {
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log.WithError(err).Errorf("can not place order")
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}
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}
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}
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}
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}()
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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if err := s.activeWallOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if err := s.activeAdjustmentOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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// check if there is a canceled order had partially filled.
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s.OrderExecutor.TradeCollector().Process()
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bbgo.Sync(ctx, s)
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})
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return nil
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}
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func anyOrderFilled(orders []types.Order) bool {
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for _, o := range orders {
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if o.ExecutedQuantity.Sign() > 0 {
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return true
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}
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}
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return false
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}
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