mirror of
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648 lines
19 KiB
Go
648 lines
19 KiB
Go
package xfunding
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import (
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"context"
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"errors"
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"fmt"
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"strings"
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"sync"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/exchange/binance"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/util/backoff"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "xfunding"
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//go:generate stringer -type=PositionAction
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type PositionAction int
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const (
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PositionNoOp PositionAction = iota
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PositionOpening
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PositionClosing
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)
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var log = logrus.WithField("strategy", ID)
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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// Note: built-in strategies need to imported manually in the bbgo cmd package.
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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// Strategy is the xfunding fee strategy
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// Right now it only supports short position in the USDT futures account.
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// When opening the short position, it uses spot account to buy inventory, then transfer the inventory to the futures account as collateral assets.
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type Strategy struct {
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Environment *bbgo.Environment
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol"`
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Market types.Market `json:"-"`
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// Leverage is the leverage of the futures position
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Leverage fixedpoint.Value `json:"leverage,omitempty"`
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// IncrementalQuoteQuantity is used for opening position incrementally with a small fixed quote quantity
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// for example, 100usdt per order
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IncrementalQuoteQuantity fixedpoint.Value `json:"incrementalQuoteQuantity"`
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QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
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// ShortFundingRate is the funding rate range for short positions
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// TODO: right now we don't support negative funding rate (long position) since it's rarer
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ShortFundingRate *struct {
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High fixedpoint.Value `json:"high"`
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Low fixedpoint.Value `json:"low"`
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} `json:"shortFundingRate"`
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SupportDetection []struct {
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Interval types.Interval `json:"interval"`
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// MovingAverageType is the moving average indicator type that we want to use,
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// it could be SMA or EWMA
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MovingAverageType string `json:"movingAverageType"`
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// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
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// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
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// the k-line data we subscribed
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// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
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//
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// // MovingAverageWindow is the number of the window size of the moving average indicator.
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// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
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// MovingAverageWindow int `json:"movingAverageWindow"`
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MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
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} `json:"supportDetection"`
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SpotSession string `json:"spotSession"`
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FuturesSession string `json:"futuresSession"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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SpotPosition *types.Position `persistence:"spot_position"`
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FuturesPosition *types.Position `persistence:"futures_position"`
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State *State `persistence:"state"`
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// mu is used for locking state
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mu sync.Mutex
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spotSession, futuresSession *bbgo.ExchangeSession
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spotOrderExecutor, futuresOrderExecutor *bbgo.GeneralOrderExecutor
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spotMarket, futuresMarket types.Market
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// positionAction is default to NoOp
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positionAction PositionAction
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// positionType is the futures position type
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// currently we only support short position for the positive funding rate
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positionType types.PositionType
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}
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type State struct {
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PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
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TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
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UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
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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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// TODO: add safety check
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spotSession := sessions[s.SpotSession]
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futuresSession := sessions[s.FuturesSession]
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spotSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: types.Interval1m,
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})
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futuresSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: types.Interval1m,
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})
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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for _, detection := range s.SupportDetection {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: detection.Interval,
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})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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})
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}
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}
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func (s *Strategy) Defaults() error {
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s.Leverage = fixedpoint.One
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return nil
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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.SpotSession) == 0 {
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return errors.New("spotSession name is required")
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}
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if len(s.FuturesSession) == 0 {
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return errors.New("futuresSession name is required")
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}
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if s.QuoteInvestment.IsZero() {
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return errors.New("quoteInvestment 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) 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) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
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var ma types.Float64Indicator
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for _, detection := range s.SupportDetection {
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switch strings.ToLower(detection.MovingAverageType) {
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case "sma":
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ma = standardIndicatorSet.SMA(types.IntervalWindow{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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Window: detection.MovingAverageIntervalWindow.Window,
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})
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case "ema", "ewma":
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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Window: detection.MovingAverageIntervalWindow.Window,
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})
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default:
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ma = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: detection.MovingAverageIntervalWindow.Interval,
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Window: detection.MovingAverageIntervalWindow.Window,
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})
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}
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}
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_ = ma
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return nil
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}
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func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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instanceID := s.InstanceID()
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s.spotSession = sessions[s.SpotSession]
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s.futuresSession = sessions[s.FuturesSession]
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s.spotMarket, _ = s.spotSession.Market(s.Symbol)
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s.futuresMarket, _ = s.futuresSession.Market(s.Symbol)
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// adjust QuoteInvestment
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if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
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originalQuoteInvestment := s.QuoteInvestment
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// adjust available quote with the fee rate
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available := b.Available.Mul(fixedpoint.NewFromFloat(1.0 - (0.01 * 0.075)))
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s.QuoteInvestment = fixedpoint.Min(available, s.QuoteInvestment)
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if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
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log.Infof("adjusted quoteInvestment from %s to %s according to the balance",
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originalQuoteInvestment.String(),
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s.QuoteInvestment.String(),
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)
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}
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.FuturesPosition == nil {
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s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
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}
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if s.SpotPosition == nil {
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s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
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}
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if s.State == nil {
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s.State = &State{
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PendingBaseTransfer: fixedpoint.Zero,
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TotalBaseTransfer: fixedpoint.Zero,
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UsedQuoteInvestment: fixedpoint.Zero,
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}
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}
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log.Infof("loaded spot position: %s", s.SpotPosition.String())
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log.Infof("loaded futures position: %s", s.FuturesPosition.String())
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binanceFutures := s.futuresSession.Exchange.(*binance.Exchange)
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binanceSpot := s.spotSession.Exchange.(*binance.Exchange)
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_ = binanceSpot
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s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
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s.spotOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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// we act differently on the spot account
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// when opening a position, we place orders on the spot account first, then the futures account,
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// and we need to accumulate the used quote amount
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//
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// when closing a position, we place orders on the futures account first, then the spot account
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// we need to close the position according to its base quantity instead of quote quantity
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if s.positionType == types.PositionShort {
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switch s.positionAction {
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case PositionOpening:
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if trade.Side != types.SideTypeBuy {
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log.Errorf("unexpected trade side: %+v, expecting BUY trade", trade)
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return
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}
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s.mu.Lock()
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defer s.mu.Unlock()
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s.State.UsedQuoteInvestment = s.State.UsedQuoteInvestment.Add(trade.QuoteQuantity)
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if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
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s.positionAction = PositionNoOp
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}
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// 1) if we have trade, try to query the balance and transfer the balance to the futures wallet account
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// TODO: handle missing trades here. If the process crashed during the transfer, how to recover?
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if err := backoff.RetryGeneric(ctx, func() error {
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return s.transferIn(ctx, binanceSpot, trade)
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}); err != nil {
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log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
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return
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}
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// 2) transferred successfully, sync futures position
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// compare spot position and futures position, increase the position size until they are the same size
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case PositionClosing:
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if trade.Side != types.SideTypeSell {
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log.Errorf("unexpected trade side: %+v, expecting SELL trade", trade)
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return
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}
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}
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}
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})
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s.futuresOrderExecutor = s.allocateOrderExecutor(ctx, s.futuresSession, instanceID, s.FuturesPosition)
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s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
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// s.queryAndDetectPremiumIndex(ctx, binanceFutures)
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}))
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go func() {
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ticker := time.NewTicker(10 * time.Second)
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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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s.queryAndDetectPremiumIndex(ctx, binanceFutures)
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}
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}
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}()
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// TODO: use go routine and time.Ticker to trigger spot sync and futures sync
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/*
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s.spotSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
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}))
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*/
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return nil
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}
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func (s *Strategy) queryAndDetectPremiumIndex(ctx context.Context, binanceFutures *binance.Exchange) {
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premiumIndex, err := binanceFutures.QueryPremiumIndex(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Error("premium index query error")
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return
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}
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log.Infof("premiumIndex: %+v", premiumIndex)
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if changed := s.detectPremiumIndex(premiumIndex); changed {
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log.Infof("position action: %s %s", s.positionType, s.positionAction.String())
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s.triggerPositionAction(ctx)
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}
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}
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// TODO: replace type binance.Exchange with an interface
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func (s *Strategy) transferIn(ctx context.Context, ex *binance.Exchange, trade types.Trade) error {
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currency := s.spotMarket.BaseCurrency
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// base asset needs BUY trades
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if trade.Side == types.SideTypeSell {
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return nil
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}
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balances, err := ex.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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b, ok := balances[currency]
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if !ok {
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return fmt.Errorf("%s balance not found", currency)
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}
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// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
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if b.Available.Compare(trade.Quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", trade.Quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(trade.Quantity)
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return nil
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}
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amount := s.State.PendingBaseTransfer.Add(trade.Quantity)
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pos := s.SpotPosition.GetBase()
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rest := pos.Sub(s.State.TotalBaseTransfer)
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if rest.Sign() < 0 {
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return nil
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}
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amount = fixedpoint.Min(rest, amount)
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log.Infof("transfering futures account asset %s %s", amount, currency)
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if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferIn); err != nil {
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return err
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}
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// reset pending transfer
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s.State.PendingBaseTransfer = fixedpoint.Zero
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// record the transfer in the total base transfer
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s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(amount)
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return nil
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}
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func (s *Strategy) triggerPositionAction(ctx context.Context) {
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switch s.positionAction {
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case PositionOpening:
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s.increaseSpotPosition(ctx)
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s.syncFuturesPosition(ctx)
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case PositionClosing:
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s.reduceFuturesPosition(ctx)
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s.syncSpotPosition(ctx)
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}
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}
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func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
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switch s.positionAction {
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case PositionOpening, PositionNoOp:
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return
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}
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futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
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if futuresBase.Sign() > 0 {
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// unexpected error
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log.Errorf("unexpected futures position (got positive, expecting negative)")
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return
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}
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_ = s.futuresOrderExecutor.GracefulCancel(ctx)
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ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Errorf("can not query ticker")
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return
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}
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if futuresBase.Compare(fixedpoint.Zero) < 0 {
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orderPrice := ticker.Sell
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orderQuantity := futuresBase.Abs()
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orderQuantity = fixedpoint.Max(orderQuantity, s.futuresMarket.MinQuantity)
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orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
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if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
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log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
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return
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}
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createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Quantity: orderQuantity,
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Price: orderPrice,
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Market: s.futuresMarket,
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ReduceOnly: true,
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit order")
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return
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}
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log.Infof("created orders: %+v", createdOrders)
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}
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}
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// syncFuturesPosition syncs the futures position with the given spot position
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func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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if s.positionType != types.PositionShort {
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return
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}
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switch s.positionAction {
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case PositionClosing:
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return
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case PositionOpening, PositionNoOp:
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}
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spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
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futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
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if spotBase.IsZero() || spotBase.Sign() < 0 {
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// skip when spot base is zero
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return
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}
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log.Infof("position comparision: %s (spot) <=> %s (futures)", spotBase.String(), futuresBase.String())
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if futuresBase.Sign() > 0 {
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// unexpected error
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log.Errorf("unexpected futures position (got positive, expecting negative)")
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return
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}
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_ = s.futuresOrderExecutor.GracefulCancel(ctx)
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ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Errorf("can not query ticker")
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return
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}
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// compare with the spot position and increase the position
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quoteValue, err := bbgo.CalculateQuoteQuantity(ctx, s.futuresSession, s.futuresMarket.QuoteCurrency, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("can not calculate futures account quote value")
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return
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}
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log.Infof("calculated futures account quote value = %s", quoteValue.String())
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// max futures base position (without negative sign)
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maxFuturesBasePosition := fixedpoint.Min(
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spotBase.Mul(s.Leverage),
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s.State.TotalBaseTransfer.Mul(s.Leverage))
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// if - futures position < max futures position, increase it
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if futuresBase.Neg().Compare(maxFuturesBasePosition) < 0 {
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orderPrice := ticker.Sell
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diffQuantity := maxFuturesBasePosition.Sub(futuresBase.Neg())
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if diffQuantity.Sign() < 0 {
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log.Errorf("unexpected negative position diff: %s", diffQuantity.String())
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return
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}
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log.Infof("position diff quantity: %s", diffQuantity.String())
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orderQuantity := fixedpoint.Max(diffQuantity, s.futuresMarket.MinQuantity)
|
|
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
|
|
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
|
|
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
|
|
return
|
|
}
|
|
|
|
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimitMaker,
|
|
Quantity: orderQuantity,
|
|
Price: orderPrice,
|
|
Market: s.futuresMarket,
|
|
// TimeInForce: types.TimeInForceGTC,
|
|
})
|
|
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not submit order")
|
|
return
|
|
}
|
|
|
|
log.Infof("created orders: %+v", createdOrders)
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) syncSpotPosition(ctx context.Context) {
|
|
|
|
}
|
|
|
|
func (s *Strategy) increaseSpotPosition(ctx context.Context) {
|
|
if s.positionType != types.PositionShort {
|
|
log.Errorf("funding long position type is not supported")
|
|
return
|
|
}
|
|
if s.positionAction != PositionOpening {
|
|
return
|
|
}
|
|
|
|
s.mu.Lock()
|
|
defer s.mu.Unlock()
|
|
|
|
if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
|
|
return
|
|
}
|
|
|
|
_ = s.spotOrderExecutor.GracefulCancel(ctx)
|
|
|
|
ticker, err := s.spotSession.Exchange.QueryTicker(ctx, s.Symbol)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not query ticker")
|
|
return
|
|
}
|
|
|
|
leftQuota := s.QuoteInvestment.Sub(s.State.UsedQuoteInvestment)
|
|
|
|
orderPrice := ticker.Buy
|
|
orderQuantity := fixedpoint.Min(s.IncrementalQuoteQuantity, leftQuota).Div(orderPrice)
|
|
|
|
log.Infof("initial spot order quantity %s", orderQuantity.String())
|
|
|
|
orderQuantity = fixedpoint.Max(orderQuantity, s.spotMarket.MinQuantity)
|
|
orderQuantity = s.spotMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
|
|
|
|
if s.spotMarket.IsDustQuantity(orderQuantity, orderPrice) {
|
|
return
|
|
}
|
|
|
|
submitOrder := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimitMaker,
|
|
Quantity: orderQuantity,
|
|
Price: orderPrice,
|
|
Market: s.spotMarket,
|
|
}
|
|
|
|
log.Infof("placing spot order: %+v", submitOrder)
|
|
|
|
createdOrders, err := s.spotOrderExecutor.SubmitOrders(ctx, submitOrder)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not submit order")
|
|
return
|
|
}
|
|
|
|
log.Infof("created orders: %+v", createdOrders)
|
|
}
|
|
|
|
func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed bool) {
|
|
fundingRate := premiumIndex.LastFundingRate
|
|
|
|
log.Infof("last %s funding rate: %s", s.Symbol, fundingRate.Percentage())
|
|
|
|
if s.ShortFundingRate != nil {
|
|
if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
|
|
|
|
log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
|
|
fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
|
|
|
|
s.positionAction = PositionOpening
|
|
s.positionType = types.PositionShort
|
|
changed = true
|
|
} else if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
|
|
s.positionAction = PositionClosing
|
|
changed = true
|
|
}
|
|
}
|
|
|
|
return changed
|
|
}
|
|
|
|
func (s *Strategy) allocateOrderExecutor(ctx context.Context, session *bbgo.ExchangeSession, instanceID string, position *types.Position) *bbgo.GeneralOrderExecutor {
|
|
orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, position)
|
|
orderExecutor.SetMaxRetries(0)
|
|
orderExecutor.BindEnvironment(s.Environment)
|
|
orderExecutor.Bind()
|
|
orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _, _ fixedpoint.Value) {
|
|
s.ProfitStats.AddTrade(trade)
|
|
})
|
|
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Sync(ctx, s)
|
|
})
|
|
return orderExecutor
|
|
}
|