mirror of
https://github.com/c9s/bbgo.git
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707 lines
20 KiB
Go
707 lines
20 KiB
Go
package xmaker
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import (
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"context"
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"fmt"
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"math"
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"math/rand"
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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/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/max"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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var defaultMargin = fixedpoint.NewFromFloat(0.01)
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var localTimeZone *time.Location
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const ID = "xmaker"
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const stateKey = "state-v1"
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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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var err error
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localTimeZone, err = time.LoadLocation("Local")
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if err != nil {
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panic(err)
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}
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}
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type State struct {
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HedgePosition fixedpoint.Value `json:"hedgePosition"`
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Position *bbgo.Position `json:"position,omitempty"`
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AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
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AccumulatedPnL fixedpoint.Value `json:"accumulatedPnL,omitempty"`
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AccumulatedProfit fixedpoint.Value `json:"accumulatedProfit,omitempty"`
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AccumulatedLoss fixedpoint.Value `json:"accumulatedLoss,omitempty"`
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AccumulatedSince int64 `json:"accumulatedSince,omitempty"`
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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Symbol string `json:"symbol"`
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SourceExchange string `json:"sourceExchange"`
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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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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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NumLayers int `json:"numLayers"`
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// Pips is the pips of the layer prices
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Pips int `json:"pips"`
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// --------------------------------
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// private field
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makerSession *bbgo.ExchangeSession
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sourceSession *bbgo.ExchangeSession
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sourceMarket types.Market
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makerMarket types.Market
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state *State
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book *types.StreamOrderBook
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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lastPrice float64
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groupID uint32
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stopC chan struct{}
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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) 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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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.Value(0)
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if len(pvs) == 0 {
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price = 0
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return price
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} else if pvs[0].Volume >= requiredQuantity {
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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 >= q {
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totalAmount += q.Mul(pv.Price)
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break
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}
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q -= pv.Volume
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totalAmount += 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) updateQuote(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter) {
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if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
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return
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}
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// avoid unlock issue and wait for the balance update
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if s.OrderCancelWaitTime > 0 {
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time.Sleep(s.OrderCancelWaitTime.Duration())
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} else {
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// use the default wait time
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time.Sleep(500 * time.Millisecond)
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}
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if s.activeMakerOrders.NumOfAsks() > 0 || s.activeMakerOrders.NumOfBids() > 0 {
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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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sourceBook := s.book.Get()
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if len(sourceBook.Bids) == 0 || len(sourceBook.Asks) == 0 {
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return
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}
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid 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.Account.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.Float64() > s.makerMarket.MinQuantity {
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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.Float64() > s.makerMarket.MinNotional {
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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.Account.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 > 0 && b.Available > (s.StopHedgeBaseBalance + fixedpoint.NewFromFloat(s.sourceMarket.MinQuantity)) {
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hedgeQuota.BaseAsset.Add(b.Available - s.StopHedgeBaseBalance - fixedpoint.NewFromFloat(s.sourceMarket.MinQuantity))
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} else if b.Available.Float64() > s.sourceMarket.MinQuantity {
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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 > 0 && b.Available > (s.StopHedgeQuoteBalance + fixedpoint.NewFromFloat(s.sourceMarket.MinNotional)) {
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hedgeQuota.QuoteAsset.Add(b.Available - s.StopHedgeQuoteBalance - fixedpoint.NewFromFloat(s.sourceMarket.MinNotional))
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} else if b.Available.Float64() > s.sourceMarket.MinNotional {
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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 > 0 {
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pos := s.state.HedgePosition.AtomicLoad()
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if pos < -s.MaxExposurePosition {
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// stop sell if we over-sell
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disableMakerAsk = true
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} else if pos > s.MaxExposurePosition {
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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.Warn("bid/ask maker is disabled due to insufficient balances")
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return
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}
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bestBidPrice := sourceBook.Bids[0].Price
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bestAskPrice := sourceBook.Asks[0].Price
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log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64())
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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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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("scaling quantity to %f by layer: %d", qf, i+1)
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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 += bidQuantity
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bidPrice := aggregatePrice(sourceBook.Bids, accumulativeBidQuantity)
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bidPrice = bidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
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if i > 0 && s.Pips > 0 {
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bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
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}
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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.Float64(),
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Quantity: bidQuantity.Float64(),
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TimeInForce: "GTC",
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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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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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if s.QuantityMultiplier > 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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// override the default bid quantity
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askQuantity = fixedpoint.NewFromFloat(qf)
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}
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accumulativeAskQuantity += askQuantity
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askPrice := aggregatePrice(sourceBook.Asks, accumulativeAskQuantity)
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askPrice = askPrice.MulFloat64(1.0 + s.AskMargin.Float64())
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if i > 0 && s.Pips > 0 {
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askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
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}
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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
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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.SideTypeSell,
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Price: askPrice.Float64(),
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Quantity: askQuantity.Float64(),
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TimeInForce: "GTC",
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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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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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if s.QuantityMultiplier > 0 {
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askQuantity = askQuantity.Mul(s.QuantityMultiplier)
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}
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}
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}
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if len(submitOrders) == 0 {
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return
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}
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makerOrders, err := orderExecutionRouter.SubmitOrdersTo(ctx, s.MakerExchange, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("order error: %s", err.Error())
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return
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}
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s.activeMakerOrders.Add(makerOrders...)
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s.orderStore.Add(makerOrders...)
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}
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func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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side := types.SideTypeBuy
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if pos == 0 {
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return
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}
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quantity := pos
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if pos < 0 {
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side = types.SideTypeSell
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// quantity must be a positive number
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quantity = -pos
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}
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lastPrice := s.lastPrice
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sourceBook := s.book.Get()
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switch side {
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case types.SideTypeBuy:
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if len(sourceBook.Asks) > 0 {
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if pv, ok := sourceBook.Asks.First(); ok {
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lastPrice = pv.Price.Float64()
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}
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}
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case types.SideTypeSell:
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if len(sourceBook.Bids) > 0 {
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if pv, ok := sourceBook.Bids.First(); ok {
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lastPrice = pv.Price.Float64()
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}
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}
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}
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notional := quantity.MulFloat64(lastPrice)
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if notional.Float64() <= s.sourceMarket.MinNotional {
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log.Warnf("%s %f less than min notional, skipping", s.Symbol, notional.Float64())
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return
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}
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// adjust quantity according to the balances
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account := s.sourceSession.Account
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switch side {
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case types.SideTypeBuy:
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// check quote quantity
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if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
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if quote.Available < notional {
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// qf := bbgo.AdjustQuantityByMaxAmount(quantity.Float64(), lastPrice, quote.Available.Float64())
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// quantity = fixedpoint.NewFromFloat(qf)
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}
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}
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case types.SideTypeSell:
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// check quote quantity
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if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
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if base.Available < quantity {
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quantity = base.Available
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}
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}
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}
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s.Notifiability.Notify("Submitting hedge order: %s %s %f", s.Symbol, side, quantity.Float64())
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orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
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returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeMarket,
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Side: side,
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Quantity: quantity.Float64(),
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})
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if err != nil {
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log.WithError(err).Errorf("market order submit error: %s", err.Error())
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return
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}
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s.orderStore.Add(returnOrders...)
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}
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func (s *Strategy) handleTradeUpdate(trade types.Trade) {
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log.Infof("received trade %+v", trade)
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if trade.Symbol != s.Symbol {
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return
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}
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if !s.orderStore.Exists(trade.OrderID) {
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return
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}
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q := fixedpoint.NewFromFloat(trade.Quantity)
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switch trade.Side {
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case types.SideTypeSell:
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q = -q
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case types.SideTypeBuy:
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case types.SideTypeSelf:
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// ignore self trades
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log.Warnf("ignore self trade")
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return
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default:
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log.Infof("ignore non sell/buy side trades, got: %v", trade.Side)
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return
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}
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log.Infof("identified %s trade %d with an existing order: %d", trade.Symbol, trade.ID, trade.OrderID)
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s.state.HedgePosition.AtomicAdd(q)
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s.state.AccumulatedVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
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if profit, madeProfit := s.state.Position.AddTrade(trade); madeProfit {
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s.state.AccumulatedPnL.AtomicAdd(profit)
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if profit < 0 {
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s.state.AccumulatedLoss.AtomicAdd(profit)
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} else if profit > 0 {
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s.state.AccumulatedProfit.AtomicAdd(profit)
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}
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var since time.Time
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if s.state.AccumulatedSince > 0 {
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since = time.Unix(s.state.AccumulatedSince, 0).In(localTimeZone)
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}
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s.Notify("%s trade just made profit %f %s, since %s accumulated net profit %f %s, accumulated loss %f %s", s.Symbol,
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profit.Float64(), s.state.Position.QuoteCurrency,
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since.Format(time.RFC822),
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s.state.AccumulatedPnL.Float64(), s.state.Position.QuoteCurrency,
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s.state.AccumulatedLoss.Float64(), s.state.Position.QuoteCurrency)
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} else {
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s.Notify("%s trade modified the position: average cost = %f %s, base = %f", s.Symbol, s.state.Position.AverageCost.Float64(), s.state.Position.QuoteCurrency, s.state.Position.Base.Float64())
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}
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s.lastPrice = trade.Price
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}
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func (s *Strategy) Validate() error {
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if s.Quantity == 0 || s.QuantityScale == nil {
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return errors.New("quantity or quantityScale can not be empty")
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}
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if s.QuantityMultiplier != 0 && s.QuantityMultiplier < 0 {
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return errors.New("quantityMultiplier can not be a negative number")
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}
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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 {
|
|
// 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 == 0 {
|
|
if s.Margin != 0 {
|
|
s.BidMargin = s.Margin
|
|
} else {
|
|
s.BidMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
if s.AskMargin == 0 {
|
|
if s.Margin != 0 {
|
|
s.AskMargin = s.Margin
|
|
} else {
|
|
s.AskMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
// configure sessions
|
|
sourceSession, ok := sessions[s.SourceExchange]
|
|
if !ok {
|
|
return fmt.Errorf("source exchange session %s is not defined", s.SourceExchange)
|
|
}
|
|
|
|
s.sourceSession = sourceSession
|
|
|
|
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)
|
|
}
|
|
|
|
// restore state
|
|
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
|
|
s.groupID = max.GenerateGroupID(instanceID)
|
|
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
|
|
|
|
var state State
|
|
|
|
// load position
|
|
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
|
|
if err != service.ErrPersistenceNotExists {
|
|
return err
|
|
}
|
|
|
|
s.state = &State{}
|
|
} else {
|
|
// loaded successfully
|
|
s.state = &state
|
|
|
|
log.Infof("state is restored: %+v", s.state)
|
|
s.Notify("%s position is restored => %f", s.Symbol, s.state.HedgePosition.Float64())
|
|
}
|
|
|
|
// if position is nil, we need to allocate a new position for calculation
|
|
if s.state.Position == nil {
|
|
s.state.Position = &bbgo.Position{
|
|
Symbol: s.Symbol,
|
|
BaseCurrency: s.makerMarket.BaseCurrency,
|
|
QuoteCurrency: s.makerMarket.QuoteCurrency,
|
|
}
|
|
}
|
|
|
|
if s.state.AccumulatedSince == 0 {
|
|
s.state.AccumulatedSince = time.Now().Unix()
|
|
}
|
|
|
|
s.book = types.NewStreamBook(s.Symbol)
|
|
s.book.BindStream(s.sourceSession.Stream)
|
|
|
|
s.sourceSession.Stream.OnTradeUpdate(s.handleTradeUpdate)
|
|
s.makerSession.Stream.OnTradeUpdate(s.handleTradeUpdate)
|
|
|
|
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook()
|
|
s.activeMakerOrders.BindStream(s.makerSession.Stream)
|
|
|
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(s.sourceSession.Stream)
|
|
s.orderStore.BindStream(s.makerSession.Stream)
|
|
|
|
s.stopC = make(chan struct{})
|
|
|
|
go func() {
|
|
posTicker := time.NewTicker(durationJitter(s.HedgeInterval.Duration(), 200))
|
|
defer posTicker.Stop()
|
|
|
|
quoteTicker := time.NewTicker(durationJitter(s.UpdateInterval.Duration(), 200))
|
|
defer quoteTicker.Stop()
|
|
|
|
defer func() {
|
|
if err := s.makerSession.Exchange.CancelOrders(context.Background(), s.activeMakerOrders.Orders()...); 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 <-posTicker.C:
|
|
position := s.state.HedgePosition.AtomicLoad()
|
|
abspos := math.Abs(position.Float64())
|
|
if !s.DisableHedge && abspos > s.sourceMarket.MinQuantity {
|
|
s.Hedge(ctx, -position)
|
|
}
|
|
}
|
|
}
|
|
}()
|
|
|
|
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
close(s.stopC)
|
|
|
|
time.Sleep(s.UpdateInterval.Duration())
|
|
|
|
for s.activeMakerOrders.NumOfOrders() > 0 {
|
|
orders := s.activeMakerOrders.Orders()
|
|
log.Warnf("%d orders are not cancelled yet:", len(orders))
|
|
s.activeMakerOrders.Print()
|
|
|
|
if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
|
|
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
|
|
}
|
|
|
|
log.Warnf("waiting for orders to be cancelled...")
|
|
time.Sleep(3 * time.Second)
|
|
}
|
|
log.Info("all orders are cancelled successfully")
|
|
|
|
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
|
|
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
|
} else {
|
|
log.Infof("state is saved => %+v", s.state)
|
|
s.Notify("%s position is saved: position = %f", s.Symbol, s.state.HedgePosition.Float64())
|
|
}
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func durationJitter(d time.Duration, jitterInMilliseconds int) time.Duration {
|
|
n := rand.Intn(jitterInMilliseconds)
|
|
return d + time.Duration(n)*time.Millisecond
|
|
}
|