mirror of
https://github.com/c9s/bbgo.git
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636 lines
20 KiB
Go
636 lines
20 KiB
Go
package grid
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import (
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"context"
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"fmt"
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"sync"
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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/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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"github.com/c9s/bbgo/pkg/util"
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)
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const ID = "grid"
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var log = logrus.WithField("strategy", ID)
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var notionalModifier = fixedpoint.NewFromFloat(1.0001)
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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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// State is the grid snapshot
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type State struct {
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Orders []types.SubmitOrder `json:"orders,omitempty"`
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FilledBuyGrids map[fixedpoint.Value]struct{} `json:"filledBuyGrids"`
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FilledSellGrids map[fixedpoint.Value]struct{} `json:"filledSellGrids"`
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Position *types.Position `json:"position,omitempty"`
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AccumulativeArbitrageProfit fixedpoint.Value `json:"accumulativeArbitrageProfit"`
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// any created orders for tracking trades
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// [source Order ID] -> arbitrage order
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ArbitrageOrders map[uint64]types.Order `json:"arbitrageOrders"`
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}
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type Strategy struct {
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// OrderExecutor is an interface for submitting order.
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// This field will be injected automatically since it's a single exchange strategy.
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bbgo.OrderExecutor `json:"-" yaml:"-"`
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// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
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// This field will be injected automatically since we defined the Symbol field.
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types.Market `json:"-" yaml:"-"`
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TradeService *service.TradeService `json:"-" yaml:"-"`
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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" yaml:"symbol"`
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// ProfitSpread is the fixed profit spread you want to submit the sell order
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ProfitSpread fixedpoint.Value `json:"profitSpread" yaml:"profitSpread"`
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// GridNum is the grid number, how many orders you want to post on the orderbook.
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GridNum int64 `json:"gridNumber" yaml:"gridNumber"`
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UpperPrice fixedpoint.Value `json:"upperPrice" yaml:"upperPrice"`
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LowerPrice fixedpoint.Value `json:"lowerPrice" yaml:"lowerPrice"`
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// Quantity is the quantity you want to submit for each order.
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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// QuantityScale helps user to define the quantity by price scale or volume scale
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QuantityScale *bbgo.PriceVolumeScale `json:"quantityScale,omitempty"`
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// FixedAmount is used for fixed amount (dynamic quantity) if you don't want to use fixed quantity.
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FixedAmount fixedpoint.Value `json:"amount,omitempty" yaml:"amount"`
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// Side is the initial maker orders side. defaults to "both"
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Side types.SideType `json:"side" yaml:"side"`
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// CatchUp let the maker grid catch up with the price change.
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CatchUp bool `json:"catchUp" yaml:"catchUp"`
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// Long means you want to hold more base asset than the quote asset.
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Long bool `json:"long,omitempty" yaml:"long,omitempty"`
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State *State `persistence:"state"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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// orderStore is used to store all the created orders, so that we can filter the trades.
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orderStore *bbgo.OrderStore
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// activeOrders is the locally maintained active order book of the maker orders.
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activeOrders *bbgo.ActiveOrderBook
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tradeCollector *bbgo.TradeCollector
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// groupID is the group ID used for the strategy instance for canceling orders
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groupID uint32
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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) Validate() error {
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if s.UpperPrice.IsZero() {
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return errors.New("upperPrice can not be zero, you forgot to set?")
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}
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if s.LowerPrice.IsZero() {
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return errors.New("lowerPrice can not be zero, you forgot to set?")
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}
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if s.UpperPrice.Compare(s.LowerPrice) <= 0 {
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return fmt.Errorf("upperPrice (%s) should not be less than or equal to lowerPrice (%s)", s.UpperPrice.String(), s.LowerPrice.String())
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}
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if s.ProfitSpread.Sign() <= 0 {
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// If profitSpread is empty or its value is negative
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return fmt.Errorf("profit spread should bigger than 0")
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}
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if s.Quantity.IsZero() && s.QuantityScale == nil && s.FixedAmount.IsZero() {
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return fmt.Errorf("amount, quantity or scaleQuantity 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) generateGridSellOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
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currentPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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return nil, fmt.Errorf("can not generate sell orders, %s last price not found", s.Symbol)
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}
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if currentPrice.Compare(s.UpperPrice) > 0 {
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return nil, fmt.Errorf("can not generate sell orders, the current price %s is higher than upper price %s", currentPrice.String(), s.UpperPrice.String())
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}
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priceRange := s.UpperPrice.Sub(s.LowerPrice)
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numGrids := fixedpoint.NewFromInt(s.GridNum)
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gridSpread := priceRange.Div(numGrids)
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if gridSpread.IsZero() {
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return nil, fmt.Errorf(
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"either numGrids(%v) is too big or priceRange(%v) is too small, "+
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"the differences of grid prices become zero", numGrids, priceRange)
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}
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// find the nearest grid price from the current price
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startPrice := fixedpoint.Max(
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s.LowerPrice,
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s.UpperPrice.Sub(
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s.UpperPrice.Sub(currentPrice).Div(gridSpread).Trunc().Mul(gridSpread)))
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if startPrice.Compare(s.UpperPrice) > 0 {
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return nil, fmt.Errorf("current price %v exceeded the upper price boundary %v",
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currentPrice,
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s.UpperPrice)
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}
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balances := session.GetAccount().Balances()
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baseBalance, ok := balances[s.Market.BaseCurrency]
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if !ok {
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return nil, fmt.Errorf("base balance %s not found", s.Market.BaseCurrency)
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}
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if baseBalance.Available.IsZero() {
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return nil, fmt.Errorf("base balance %s is zero: %s",
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s.Market.BaseCurrency, baseBalance.String())
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}
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log.Infof("placing grid sell orders from %s ~ %s, grid spread %s",
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startPrice.String(),
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s.UpperPrice.String(),
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gridSpread.String())
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var orders []types.SubmitOrder
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for price := startPrice; price.Compare(s.UpperPrice) <= 0; price = price.Add(gridSpread) {
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var quantity fixedpoint.Value
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if s.Quantity.Sign() > 0 {
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quantity = s.Quantity
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} else if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(price.Float64(), 0)
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if err != nil {
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return nil, err
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}
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quantity = fixedpoint.NewFromFloat(qf)
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} else if s.FixedAmount.Sign() > 0 {
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quantity = s.FixedAmount.Div(price)
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}
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// quoteQuantity := price.Mul(quantity)
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if baseBalance.Available.Compare(quantity) < 0 {
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return orders, fmt.Errorf("base balance %s %s is not enough, stop generating sell orders",
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baseBalance.Currency,
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baseBalance.Available.String())
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}
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if _, filled := s.State.FilledSellGrids[price]; filled {
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log.Debugf("sell grid at price %s is already filled, skipping", price.String())
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continue
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}
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Market: s.Market,
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Quantity: quantity,
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Price: price.Add(s.ProfitSpread),
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TimeInForce: types.TimeInForceGTC,
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GroupID: s.groupID,
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})
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baseBalance.Available = baseBalance.Available.Sub(quantity)
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s.State.FilledSellGrids[price] = struct{}{}
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}
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return orders, nil
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}
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func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
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// session.Exchange.QueryTicker()
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currentPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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return nil, fmt.Errorf("%s last price not found, skipping", s.Symbol)
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}
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if currentPrice.Compare(s.LowerPrice) < 0 {
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return nil, fmt.Errorf("current price %v is lower than the lower price %v",
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currentPrice, s.LowerPrice)
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}
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priceRange := s.UpperPrice.Sub(s.LowerPrice)
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numGrids := fixedpoint.NewFromInt(s.GridNum)
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gridSpread := priceRange.Div(numGrids)
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if gridSpread.IsZero() {
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return nil, fmt.Errorf(
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"either numGrids(%v) is too big or priceRange(%v) is too small, "+
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"the differences of grid prices become zero", numGrids, priceRange)
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}
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// Find the nearest grid price for placing buy orders:
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// buyRange = currentPrice - lowerPrice
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// numOfBuyGrids = Floor(buyRange / gridSpread)
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// startPrice = lowerPrice + numOfBuyGrids * gridSpread
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// priceOfBuyOrder1 = startPrice
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// priceOfBuyOrder2 = startPrice - gridSpread
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// priceOfBuyOrder3 = startPrice - gridSpread * 2
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startPrice := fixedpoint.Min(
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s.UpperPrice,
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s.LowerPrice.Add(
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currentPrice.Sub(s.LowerPrice).Div(gridSpread).Trunc().Mul(gridSpread)))
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if startPrice.Compare(s.LowerPrice) < 0 {
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return nil, fmt.Errorf("current price %v exceeded the lower price boundary %v",
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currentPrice,
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s.UpperPrice)
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}
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balances := session.GetAccount().Balances()
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balance, ok := balances[s.Market.QuoteCurrency]
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if !ok {
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return nil, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
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}
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if balance.Available.IsZero() {
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return nil, fmt.Errorf("quote balance %s is zero: %v", s.Market.QuoteCurrency, balance)
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}
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log.Infof("placing grid buy orders from %v to %v, grid spread %v",
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startPrice,
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s.LowerPrice,
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gridSpread)
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var orders []types.SubmitOrder
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for price := startPrice; s.LowerPrice.Compare(price) <= 0; price = price.Sub(gridSpread) {
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var quantity fixedpoint.Value
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if s.Quantity.Sign() > 0 {
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quantity = s.Quantity
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} else if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(price.Float64(), 0)
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if err != nil {
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return nil, err
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}
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quantity = fixedpoint.NewFromFloat(qf)
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} else if s.FixedAmount.Sign() > 0 {
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quantity = s.FixedAmount.Div(price)
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}
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quoteQuantity := price.Mul(quantity)
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if balance.Available.Compare(quoteQuantity) < 0 {
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return orders, fmt.Errorf("quote balance %s %v is not enough for %v, stop generating buy orders",
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balance.Currency,
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balance.Available,
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quoteQuantity)
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}
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if _, filled := s.State.FilledBuyGrids[price]; filled {
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log.Debugf("buy grid at price %v is already filled, skipping", price)
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continue
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}
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Market: s.Market,
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Quantity: quantity,
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Price: price,
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TimeInForce: types.TimeInForceGTC,
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GroupID: s.groupID,
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})
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balance.Available = balance.Available.Sub(quoteQuantity)
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s.State.FilledBuyGrids[price] = struct{}{}
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}
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return orders, nil
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}
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func (s *Strategy) placeGridSellOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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orderForms, err := s.generateGridSellOrders(session)
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if len(orderForms) == 0 {
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if err != nil {
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return err
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}
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return errors.New("none of sell order is generated")
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}
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log.Infof("submitting %d sell orders...", len(orderForms))
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createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orderForms...)
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s.activeOrders.Add(createdOrders...)
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return err
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}
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func (s *Strategy) placeGridBuyOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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orderForms, err := s.generateGridBuyOrders(session)
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if len(orderForms) == 0 {
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if err != nil {
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return err
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}
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return errors.New("none of buy order is generated")
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}
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log.Infof("submitting %d buy orders...", len(orderForms))
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createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orderForms...)
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s.activeOrders.Add(createdOrders...)
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return err
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}
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func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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log.Infof("placing grid orders on side %s...", s.Side)
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switch s.Side {
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case types.SideTypeBuy:
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if err := s.placeGridBuyOrders(orderExecutor, session); err != nil {
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log.Warn(err.Error())
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}
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case types.SideTypeSell:
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if err := s.placeGridSellOrders(orderExecutor, session); err != nil {
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log.Warn(err.Error())
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}
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case types.SideTypeBoth:
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if err := s.placeGridSellOrders(orderExecutor, session); err != nil {
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log.Warn(err.Error())
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}
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if err := s.placeGridBuyOrders(orderExecutor, session); err != nil {
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log.Warn(err.Error())
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}
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default:
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log.Errorf("invalid side %s", s.Side)
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}
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}
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func (s *Strategy) handleFilledOrder(filledOrder types.Order) {
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// generate arbitrage order
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var side = filledOrder.Side.Reverse()
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var price = filledOrder.Price
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var quantity = filledOrder.Quantity
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var amount = filledOrder.Price.Mul(filledOrder.Quantity)
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switch side {
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case types.SideTypeSell:
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price = price.Add(s.ProfitSpread)
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case types.SideTypeBuy:
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price = price.Sub(s.ProfitSpread)
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}
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if s.FixedAmount.Sign() > 0 {
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quantity = s.FixedAmount.Div(price)
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} else if s.Long {
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// long = use the same amount to buy more quantity back
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quantity = amount.Div(price)
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amount = quantity.Mul(price)
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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quantity = s.Market.MinQuantity
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amount = quantity.Mul(price)
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}
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if amount.Compare(s.Market.MinNotional) <= 0 {
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quantity = bbgo.AdjustFloatQuantityByMinAmount(
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quantity, price, s.Market.MinNotional.Mul(notionalModifier))
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// update amount
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amount = quantity.Mul(price)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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TimeInForce: types.TimeInForceGTC,
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GroupID: s.groupID,
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}
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log.Infof("submitting arbitrage order: %v against filled order %v", submitOrder, filledOrder)
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createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder)
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// create one-way link from the newly created orders
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for _, o := range createdOrders {
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s.State.ArbitrageOrders[o.OrderID] = filledOrder
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}
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s.orderStore.Add(createdOrders...)
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s.activeOrders.Add(createdOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders: %+v", submitOrder)
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return
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}
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// calculate arbitrage profit
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// TODO: apply fee rate here
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if s.Long {
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switch filledOrder.Side {
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case types.SideTypeSell:
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if buyOrder, ok := s.State.ArbitrageOrders[filledOrder.OrderID]; ok {
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// use base asset quantity here
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baseProfit := buyOrder.Quantity.Sub(filledOrder.Quantity)
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s.State.AccumulativeArbitrageProfit = s.State.AccumulativeArbitrageProfit.
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Add(baseProfit)
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bbgo.Notify("%s grid arbitrage profit %v %s, accumulative arbitrage profit %v %s",
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s.Symbol,
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baseProfit, s.Market.BaseCurrency,
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s.State.AccumulativeArbitrageProfit, s.Market.BaseCurrency,
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)
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}
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case types.SideTypeBuy:
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if sellOrder, ok := s.State.ArbitrageOrders[filledOrder.OrderID]; ok {
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// use base asset quantity here
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baseProfit := filledOrder.Quantity.Sub(sellOrder.Quantity)
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s.State.AccumulativeArbitrageProfit = s.State.AccumulativeArbitrageProfit.Add(baseProfit)
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bbgo.Notify("%s grid arbitrage profit %v %s, accumulative arbitrage profit %v %s",
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s.Symbol,
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baseProfit, s.Market.BaseCurrency,
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s.State.AccumulativeArbitrageProfit, s.Market.BaseCurrency,
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)
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}
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}
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} else if !s.Long && s.Quantity.Sign() > 0 {
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switch filledOrder.Side {
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case types.SideTypeSell:
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if buyOrder, ok := s.State.ArbitrageOrders[filledOrder.OrderID]; ok {
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// use base asset quantity here
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quoteProfit := filledOrder.Quantity.Mul(filledOrder.Price).Sub(
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buyOrder.Quantity.Mul(buyOrder.Price))
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s.State.AccumulativeArbitrageProfit = s.State.AccumulativeArbitrageProfit.Add(quoteProfit)
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bbgo.Notify("%s grid arbitrage profit %v %s, accumulative arbitrage profit %v %s",
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s.Symbol,
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quoteProfit, s.Market.QuoteCurrency,
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s.State.AccumulativeArbitrageProfit, s.Market.QuoteCurrency,
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)
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}
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case types.SideTypeBuy:
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if sellOrder, ok := s.State.ArbitrageOrders[filledOrder.OrderID]; ok {
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// use base asset quantity here
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quoteProfit := sellOrder.Quantity.Mul(sellOrder.Price).
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Sub(filledOrder.Quantity.Mul(filledOrder.Price))
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s.State.AccumulativeArbitrageProfit = s.State.AccumulativeArbitrageProfit.Add(quoteProfit)
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bbgo.Notify("%s grid arbitrage profit %v %s, accumulative arbitrage profit %v %s", s.Symbol,
|
|
quoteProfit, s.Market.QuoteCurrency,
|
|
s.State.AccumulativeArbitrageProfit, s.Market.QuoteCurrency,
|
|
)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
|
}
|
|
|
|
func (s *Strategy) LoadState() error {
|
|
if s.State == nil {
|
|
s.State = &State{
|
|
FilledBuyGrids: make(map[fixedpoint.Value]struct{}),
|
|
FilledSellGrids: make(map[fixedpoint.Value]struct{}),
|
|
ArbitrageOrders: make(map[uint64]types.Order),
|
|
Position: types.NewPositionFromMarket(s.Market),
|
|
}
|
|
}
|
|
|
|
// field guards
|
|
if s.State.ArbitrageOrders == nil {
|
|
s.State.ArbitrageOrders = make(map[uint64]types.Order)
|
|
}
|
|
if s.State.FilledBuyGrids == nil {
|
|
s.State.FilledBuyGrids = make(map[fixedpoint.Value]struct{})
|
|
}
|
|
if s.State.FilledSellGrids == nil {
|
|
s.State.FilledSellGrids = make(map[fixedpoint.Value]struct{})
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
// InstanceID returns the instance identifier from the current grid configuration parameters
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice.Int(), s.LowerPrice.Int())
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
// do some basic validation
|
|
if s.GridNum == 0 {
|
|
s.GridNum = 10
|
|
}
|
|
|
|
if s.Side == "" {
|
|
s.Side = types.SideTypeBoth
|
|
}
|
|
|
|
instanceID := s.InstanceID()
|
|
s.groupID = util.FNV32(instanceID)
|
|
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
|
|
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = types.NewProfitStats(s.Market)
|
|
}
|
|
|
|
if err := s.LoadState(); err != nil {
|
|
return err
|
|
}
|
|
|
|
bbgo.Notify("grid %s position", s.Symbol, s.State.Position)
|
|
|
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(session.UserDataStream)
|
|
|
|
// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
|
|
s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
|
s.activeOrders.OnFilled(s.handleFilledOrder)
|
|
s.activeOrders.BindStream(session.UserDataStream)
|
|
|
|
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.State.Position, s.orderStore)
|
|
|
|
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
|
bbgo.Notify(trade)
|
|
s.ProfitStats.AddTrade(trade)
|
|
})
|
|
|
|
/*
|
|
if s.TradeService != nil {
|
|
s.tradeCollector.OnTrade(func(trade types.Trade) {
|
|
if err := s.TradeService.Mark(ctx, trade.ID, ID); err != nil {
|
|
log.WithError(err).Error("trade mark error")
|
|
}
|
|
})
|
|
}
|
|
*/
|
|
|
|
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Notify(position)
|
|
})
|
|
s.tradeCollector.BindStream(session.UserDataStream)
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
submitOrders := s.activeOrders.Backup()
|
|
s.State.Orders = submitOrders
|
|
bbgo.Sync(ctx, s)
|
|
|
|
// now we can cancel the open orders
|
|
log.Infof("canceling active orders...")
|
|
if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
|
|
log.WithError(err).Errorf("cancel order error")
|
|
}
|
|
})
|
|
|
|
session.UserDataStream.OnStart(func() {
|
|
// if we have orders in the state data, we can restore them
|
|
if len(s.State.Orders) > 0 {
|
|
bbgo.Notify("restoring %s %d grid orders...", s.Symbol, len(s.State.Orders))
|
|
|
|
createdOrders, err := orderExecutor.SubmitOrders(ctx, s.State.Orders...)
|
|
if err != nil {
|
|
log.WithError(err).Error("active orders restore error")
|
|
}
|
|
s.activeOrders.Add(createdOrders...)
|
|
s.orderStore.Add(createdOrders...)
|
|
} else {
|
|
// or place new orders
|
|
s.placeGridOrders(orderExecutor, session)
|
|
}
|
|
})
|
|
|
|
if s.CatchUp {
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
log.Infof("catchUp mode is enabled, updating grid orders...")
|
|
// update grid
|
|
s.placeGridOrders(orderExecutor, session)
|
|
})
|
|
}
|
|
|
|
return nil
|
|
}
|