mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
809 lines
22 KiB
Go
809 lines
22 KiB
Go
package xdepthmaker
|
|
|
|
import (
|
|
"context"
|
|
stderrors "errors"
|
|
"fmt"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/pkg/errors"
|
|
"github.com/sirupsen/logrus"
|
|
"golang.org/x/time/rate"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/core"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
)
|
|
|
|
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
|
|
var minGap = fixedpoint.NewFromFloat(1.02)
|
|
var defaultMargin = fixedpoint.NewFromFloat(0.003)
|
|
|
|
var Two = fixedpoint.NewFromInt(2)
|
|
|
|
const priceUpdateTimeout = 30 * time.Second
|
|
|
|
const ID = "xdepthmaker"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
func notifyTrade(trade types.Trade, _, _ fixedpoint.Value) {
|
|
bbgo.Notify(trade)
|
|
}
|
|
|
|
type CrossExchangeMarketMakingStrategy struct {
|
|
ctx, parent context.Context
|
|
cancel context.CancelFunc
|
|
|
|
Environ *bbgo.Environment
|
|
|
|
makerSession, hedgeSession *bbgo.ExchangeSession
|
|
makerMarket, hedgeMarket types.Market
|
|
|
|
// persistence fields
|
|
Position *types.Position `json:"position,omitempty" persistence:"position"`
|
|
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
|
|
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
|
|
|
|
MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
|
|
|
|
// orderStore is a shared order store between the maker session and the hedge session
|
|
orderStore *core.OrderStore
|
|
|
|
// tradeCollector is a shared trade collector between the maker session and the hedge session
|
|
tradeCollector *core.TradeCollector
|
|
}
|
|
|
|
func (s *CrossExchangeMarketMakingStrategy) Initialize(
|
|
ctx context.Context, environ *bbgo.Environment,
|
|
makerSession, hedgeSession *bbgo.ExchangeSession,
|
|
symbol, strategyID, instanceID string,
|
|
) error {
|
|
s.parent = ctx
|
|
s.ctx, s.cancel = context.WithCancel(ctx)
|
|
|
|
s.Environ = environ
|
|
|
|
s.makerSession = makerSession
|
|
s.hedgeSession = hedgeSession
|
|
|
|
var ok bool
|
|
s.hedgeMarket, ok = s.hedgeSession.Market(symbol)
|
|
if !ok {
|
|
return fmt.Errorf("source session market %s is not defined", symbol)
|
|
}
|
|
|
|
s.makerMarket, ok = s.makerSession.Market(symbol)
|
|
if !ok {
|
|
return fmt.Errorf("maker session market %s is not defined", symbol)
|
|
}
|
|
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = types.NewProfitStats(s.makerMarket)
|
|
}
|
|
|
|
if s.Position == nil {
|
|
s.Position = types.NewPositionFromMarket(s.makerMarket)
|
|
}
|
|
|
|
// Always update the position fields
|
|
s.Position.Strategy = strategyID
|
|
s.Position.StrategyInstanceID = instanceID
|
|
|
|
// if anyone of the fee rate is defined, this assumes that both are defined.
|
|
// so that zero maker fee could be applied
|
|
for _, ses := range []*bbgo.ExchangeSession{makerSession, hedgeSession} {
|
|
if ses.MakerFeeRate.Sign() > 0 || ses.TakerFeeRate.Sign() > 0 {
|
|
s.Position.SetExchangeFeeRate(ses.ExchangeName, types.ExchangeFee{
|
|
MakerFeeRate: ses.MakerFeeRate,
|
|
TakerFeeRate: ses.TakerFeeRate,
|
|
})
|
|
}
|
|
}
|
|
|
|
s.MakerOrderExecutor = bbgo.NewGeneralOrderExecutor(
|
|
makerSession,
|
|
s.makerMarket.Symbol,
|
|
strategyID, instanceID,
|
|
s.Position)
|
|
s.MakerOrderExecutor.BindEnvironment(environ)
|
|
s.MakerOrderExecutor.BindProfitStats(s.ProfitStats)
|
|
s.MakerOrderExecutor.Bind()
|
|
s.MakerOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
// bbgo.Sync(ctx, s)
|
|
})
|
|
|
|
s.HedgeOrderExecutor = bbgo.NewGeneralOrderExecutor(
|
|
hedgeSession,
|
|
s.hedgeMarket.Symbol,
|
|
strategyID, instanceID,
|
|
s.Position)
|
|
s.HedgeOrderExecutor.BindEnvironment(environ)
|
|
s.HedgeOrderExecutor.BindProfitStats(s.ProfitStats)
|
|
s.HedgeOrderExecutor.Bind()
|
|
s.HedgeOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
// bbgo.Sync(ctx, s)
|
|
})
|
|
|
|
s.orderStore = core.NewOrderStore(s.Position.Symbol)
|
|
s.orderStore.BindStream(hedgeSession.UserDataStream)
|
|
s.orderStore.BindStream(makerSession.UserDataStream)
|
|
|
|
s.tradeCollector = core.NewTradeCollector(symbol, s.Position, s.orderStore)
|
|
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
|
c := trade.PositionChange()
|
|
|
|
// sync covered position
|
|
// sell trade -> negative delta ->
|
|
// 1) long position -> reduce long position
|
|
// 2) short position -> increase short position
|
|
// buy trade -> positive delta ->
|
|
// 1) short position -> reduce short position
|
|
// 2) short position -> increase short position
|
|
if trade.Exchange == s.hedgeSession.ExchangeName {
|
|
s.CoveredPosition.AtomicAdd(c)
|
|
}
|
|
|
|
s.ProfitStats.AddTrade(trade)
|
|
|
|
if profit.Compare(fixedpoint.Zero) == 0 {
|
|
s.Environ.RecordPosition(s.Position, trade, nil)
|
|
} else {
|
|
log.Infof("%s generated profit: %v", symbol, profit)
|
|
|
|
p := s.Position.NewProfit(trade, profit, netProfit)
|
|
bbgo.Notify(&p)
|
|
s.ProfitStats.AddProfit(p)
|
|
|
|
s.Environ.RecordPosition(s.Position, trade, &p)
|
|
}
|
|
})
|
|
s.tradeCollector.BindStream(s.hedgeSession.UserDataStream)
|
|
s.tradeCollector.BindStream(s.makerSession.UserDataStream)
|
|
|
|
return nil
|
|
}
|
|
|
|
type Strategy struct {
|
|
*CrossExchangeMarketMakingStrategy
|
|
|
|
Environment *bbgo.Environment
|
|
|
|
Symbol string `json:"symbol"`
|
|
|
|
// HedgeExchange session name
|
|
HedgeExchange string `json:"hedgeExchange"`
|
|
|
|
// MakerExchange session name
|
|
MakerExchange string `json:"makerExchange"`
|
|
|
|
UpdateInterval types.Duration `json:"updateInterval"`
|
|
HedgeInterval types.Duration `json:"hedgeInterval"`
|
|
OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`
|
|
|
|
Margin fixedpoint.Value `json:"margin"`
|
|
BidMargin fixedpoint.Value `json:"bidMargin"`
|
|
AskMargin fixedpoint.Value `json:"askMargin"`
|
|
UseDepthPrice bool `json:"useDepthPrice"`
|
|
DepthQuantity fixedpoint.Value `json:"depthQuantity"`
|
|
|
|
StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
|
|
StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
|
|
|
|
// Quantity is used for fixed quantity of the first layer
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
|
|
// QuantityScale helps user to define the quantity by layer scale
|
|
QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
|
|
|
|
// DepthScale helps user to define the depth by layer scale
|
|
DepthScale *bbgo.LayerScale `json:"depthScale,omitempty"`
|
|
|
|
// MaxExposurePosition defines the unhedged quantity of stop
|
|
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
|
|
|
|
NotifyTrade bool `json:"notifyTrade"`
|
|
|
|
// RecoverTrade tries to find the missing trades via the REStful API
|
|
RecoverTrade bool `json:"recoverTrade"`
|
|
|
|
RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`
|
|
|
|
NumLayers int `json:"numLayers"`
|
|
|
|
// Pips is the pips of the layer prices
|
|
Pips fixedpoint.Value `json:"pips"`
|
|
|
|
// --------------------------------
|
|
// private fields
|
|
// --------------------------------
|
|
|
|
// pricingBook is the order book (depth) from the hedging session
|
|
pricingBook *types.StreamOrderBook
|
|
|
|
hedgeErrorLimiter *rate.Limiter
|
|
hedgeErrorRateReservation *rate.Reservation
|
|
|
|
askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
|
|
|
|
lastPrice fixedpoint.Value
|
|
|
|
stopC chan struct{}
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
|
}
|
|
|
|
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
|
|
makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
|
|
if err != nil {
|
|
panic(err)
|
|
}
|
|
|
|
hedgeSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
|
|
Depth: types.DepthLevelMedium,
|
|
Speed: types.SpeedHigh,
|
|
})
|
|
|
|
hedgeSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
|
makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
if s.MakerExchange == "" {
|
|
return errors.New("maker exchange is not configured")
|
|
}
|
|
|
|
if s.HedgeExchange == "" {
|
|
return errors.New("maker exchange is not configured")
|
|
}
|
|
|
|
if s.DepthScale == nil {
|
|
return errors.New("depthScale can not be empty")
|
|
}
|
|
|
|
if len(s.Symbol) == 0 {
|
|
return errors.New("symbol is required")
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Defaults() error {
|
|
if s.UpdateInterval == 0 {
|
|
s.UpdateInterval = types.Duration(time.Second)
|
|
}
|
|
|
|
if s.HedgeInterval == 0 {
|
|
s.HedgeInterval = types.Duration(3 * time.Second)
|
|
}
|
|
|
|
if s.NumLayers == 0 {
|
|
s.NumLayers = 1
|
|
}
|
|
|
|
if s.Margin.IsZero() {
|
|
s.Margin = defaultMargin
|
|
}
|
|
|
|
if s.BidMargin.IsZero() {
|
|
if !s.Margin.IsZero() {
|
|
s.BidMargin = s.Margin
|
|
} else {
|
|
s.BidMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
if s.AskMargin.IsZero() {
|
|
if !s.Margin.IsZero() {
|
|
s.AskMargin = s.Margin
|
|
} else {
|
|
s.AskMargin = defaultMargin
|
|
}
|
|
}
|
|
|
|
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Initialize() error {
|
|
s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
|
|
s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) CrossRun(
|
|
ctx context.Context, _ bbgo.OrderExecutionRouter,
|
|
sessions map[string]*bbgo.ExchangeSession,
|
|
) error {
|
|
makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
s.CrossExchangeMarketMakingStrategy = &CrossExchangeMarketMakingStrategy{}
|
|
if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx, s.Environment, makerSession, hedgeSession, s.Symbol, ID, s.InstanceID()); err != nil {
|
|
return err
|
|
}
|
|
|
|
s.pricingBook = types.NewStreamBook(s.Symbol)
|
|
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
|
|
|
|
if s.NotifyTrade {
|
|
s.tradeCollector.OnTrade(notifyTrade)
|
|
}
|
|
|
|
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Notify(position)
|
|
})
|
|
|
|
s.stopC = make(chan struct{})
|
|
|
|
if s.RecoverTrade {
|
|
s.tradeCollector.OnRecover(func(trade types.Trade) {
|
|
bbgo.Notify("Recovered trade", trade)
|
|
})
|
|
|
|
go s.runTradeRecover(ctx)
|
|
}
|
|
|
|
go func() {
|
|
posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
|
|
defer posTicker.Stop()
|
|
|
|
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 sig, ok := <-s.pricingBook.C:
|
|
// when any book change event happened
|
|
if !ok {
|
|
return
|
|
}
|
|
|
|
switch sig.Type {
|
|
case types.BookSignalSnapshot:
|
|
s.updateQuote(ctx, 0)
|
|
|
|
case types.BookSignalUpdate:
|
|
s.updateQuote(ctx, 5)
|
|
}
|
|
|
|
case <-posTicker.C:
|
|
// For positive position and positive covered position:
|
|
// uncover position = +5 - +3 (covered position) = 2
|
|
//
|
|
// For positive position and negative covered position:
|
|
// uncover position = +5 - (-3) (covered position) = 8
|
|
//
|
|
// meaning we bought 5 on MAX and sent buy order with 3 on binance
|
|
//
|
|
// For negative position:
|
|
// uncover position = -5 - -3 (covered position) = -2
|
|
s.tradeCollector.Process()
|
|
|
|
position := s.Position.GetBase()
|
|
|
|
uncoverPosition := position.Sub(s.CoveredPosition)
|
|
absPos := uncoverPosition.Abs()
|
|
if absPos.Compare(s.hedgeMarket.MinQuantity) > 0 {
|
|
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
|
|
s.Symbol,
|
|
position,
|
|
s.CoveredPosition,
|
|
uncoverPosition,
|
|
)
|
|
|
|
s.Hedge(ctx, uncoverPosition.Neg())
|
|
}
|
|
}
|
|
}
|
|
}()
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
close(s.stopC)
|
|
|
|
// wait for the quoter to stop
|
|
time.Sleep(s.UpdateInterval.Duration())
|
|
|
|
shutdownCtx, cancelShutdown := context.WithTimeout(context.TODO(), time.Minute)
|
|
defer cancelShutdown()
|
|
|
|
if err := s.MakerOrderExecutor.GracefulCancel(shutdownCtx); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
|
|
}
|
|
|
|
if err := s.HedgeOrderExecutor.GracefulCancel(shutdownCtx); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
|
|
}
|
|
|
|
bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
|
|
side := types.SideTypeBuy
|
|
if pos.IsZero() {
|
|
return
|
|
}
|
|
|
|
quantity := pos.Abs()
|
|
|
|
if pos.Sign() < 0 {
|
|
side = types.SideTypeSell
|
|
}
|
|
|
|
lastPrice := s.lastPrice
|
|
sourceBook := s.pricingBook.CopyDepth(1)
|
|
switch side {
|
|
|
|
case types.SideTypeBuy:
|
|
if bestAsk, ok := sourceBook.BestAsk(); ok {
|
|
lastPrice = bestAsk.Price
|
|
}
|
|
|
|
case types.SideTypeSell:
|
|
if bestBid, ok := sourceBook.BestBid(); ok {
|
|
lastPrice = bestBid.Price
|
|
}
|
|
}
|
|
|
|
notional := quantity.Mul(lastPrice)
|
|
if notional.Compare(s.hedgeMarket.MinNotional) <= 0 {
|
|
log.Warnf("%s %v less than min notional, skipping hedge", s.Symbol, notional)
|
|
return
|
|
}
|
|
|
|
// adjust quantity according to the balances
|
|
account := s.hedgeSession.GetAccount()
|
|
switch side {
|
|
|
|
case types.SideTypeBuy:
|
|
// check quote quantity
|
|
if quote, ok := account.Balance(s.hedgeMarket.QuoteCurrency); ok {
|
|
if quote.Available.Compare(notional) < 0 {
|
|
// adjust price to higher 0.1%, so that we can ensure that the order can be executed
|
|
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
|
|
quantity = s.hedgeMarket.TruncateQuantity(quantity)
|
|
}
|
|
}
|
|
|
|
case types.SideTypeSell:
|
|
// check quote quantity
|
|
if base, ok := account.Balance(s.hedgeMarket.BaseCurrency); ok {
|
|
if base.Available.Compare(quantity) < 0 {
|
|
quantity = base.Available
|
|
}
|
|
}
|
|
}
|
|
|
|
// truncate quantity for the supported precision
|
|
quantity = s.hedgeMarket.TruncateQuantity(quantity)
|
|
|
|
if notional.Compare(s.hedgeMarket.MinNotional.Mul(minGap)) <= 0 {
|
|
log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.hedgeMarket.MinNotional)
|
|
return
|
|
}
|
|
|
|
if quantity.Compare(s.hedgeMarket.MinQuantity.Mul(minGap)) <= 0 {
|
|
log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.hedgeMarket.MinQuantity)
|
|
return
|
|
}
|
|
|
|
if s.hedgeErrorRateReservation != nil {
|
|
if !s.hedgeErrorRateReservation.OK() {
|
|
return
|
|
}
|
|
bbgo.Notify("Hit hedge error rate limit, waiting...")
|
|
time.Sleep(s.hedgeErrorRateReservation.Delay())
|
|
s.hedgeErrorRateReservation = nil
|
|
}
|
|
|
|
log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
|
|
bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
|
|
|
|
createdOrders, err := s.HedgeOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Market: s.hedgeMarket,
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeMarket,
|
|
Side: side,
|
|
Quantity: quantity,
|
|
})
|
|
|
|
if err != nil {
|
|
s.hedgeErrorRateReservation = s.hedgeErrorLimiter.Reserve()
|
|
log.WithError(err).Errorf("market order submit error: %s", err.Error())
|
|
return
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
|
|
// if the hedge is on sell side, then we should add positive position
|
|
switch side {
|
|
case types.SideTypeSell:
|
|
s.CoveredPosition.AtomicAdd(quantity)
|
|
case types.SideTypeBuy:
|
|
s.CoveredPosition.AtomicAdd(quantity.Neg())
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) runTradeRecover(ctx context.Context) {
|
|
tradeScanInterval := s.RecoverTradeScanPeriod.Duration()
|
|
if tradeScanInterval == 0 {
|
|
tradeScanInterval = 30 * time.Minute
|
|
}
|
|
|
|
tradeScanOverlapBufferPeriod := 5 * time.Minute
|
|
|
|
tradeScanTicker := time.NewTicker(tradeScanInterval)
|
|
defer tradeScanTicker.Stop()
|
|
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-tradeScanTicker.C:
|
|
log.Infof("scanning trades from %s ago...", tradeScanInterval)
|
|
|
|
if s.RecoverTrade {
|
|
startTime := time.Now().Add(-tradeScanInterval).Add(-tradeScanOverlapBufferPeriod)
|
|
|
|
if err := s.tradeCollector.Recover(ctx, s.hedgeSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
|
|
log.WithError(err).Errorf("query trades error")
|
|
}
|
|
|
|
if err := s.tradeCollector.Recover(ctx, s.makerSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
|
|
log.WithError(err).Errorf("query trades error")
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook, maxLayer int) ([]types.SubmitOrder, error) {
|
|
bestBid, bestAsk, hasPrice := pricingBook.BestBidAndAsk()
|
|
if !hasPrice {
|
|
return nil, nil
|
|
}
|
|
|
|
bestBidPrice := bestBid.Price
|
|
bestAskPrice := bestAsk.Price
|
|
|
|
lastMidPrice := bestBidPrice.Add(bestAskPrice).Div(Two)
|
|
_ = lastMidPrice
|
|
|
|
var submitOrders []types.SubmitOrder
|
|
var accumulatedBidQuantity = fixedpoint.Zero
|
|
var accumulatedAskQuantity = fixedpoint.Zero
|
|
var accumulatedBidQuoteQuantity = fixedpoint.Zero
|
|
|
|
dupPricingBook := pricingBook.CopyDepth(0)
|
|
|
|
if maxLayer == 0 || maxLayer > s.NumLayers {
|
|
maxLayer = s.NumLayers
|
|
}
|
|
|
|
for _, side := range []types.SideType{types.SideTypeBuy, types.SideTypeSell} {
|
|
for i := 1; i <= maxLayer; i++ {
|
|
requiredDepthFloat, err := s.DepthScale.Scale(i)
|
|
if err != nil {
|
|
return nil, errors.Wrapf(err, "depthScale scale error")
|
|
}
|
|
|
|
// requiredDepth is the required depth in quote currency
|
|
requiredDepth := fixedpoint.NewFromFloat(requiredDepthFloat)
|
|
|
|
sideBook := dupPricingBook.SideBook(side)
|
|
index := sideBook.IndexByQuoteVolumeDepth(requiredDepth)
|
|
|
|
pvs := types.PriceVolumeSlice{}
|
|
if index == -1 {
|
|
pvs = sideBook[:]
|
|
} else {
|
|
pvs = sideBook[0 : index+1]
|
|
}
|
|
|
|
log.Infof("required depth: %f, pvs: %+v", requiredDepth.Float64(), pvs)
|
|
|
|
depthPrice, err := averageDepthPrice(pvs)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("error aggregating depth price")
|
|
continue
|
|
}
|
|
|
|
switch side {
|
|
case types.SideTypeBuy:
|
|
if s.BidMargin.Sign() > 0 {
|
|
depthPrice = depthPrice.Mul(fixedpoint.One.Sub(s.BidMargin))
|
|
}
|
|
|
|
depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Down)
|
|
|
|
case types.SideTypeSell:
|
|
if s.AskMargin.Sign() > 0 {
|
|
depthPrice = depthPrice.Mul(fixedpoint.One.Add(s.AskMargin))
|
|
}
|
|
|
|
depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Up)
|
|
}
|
|
|
|
depthPrice = s.makerMarket.TruncatePrice(depthPrice)
|
|
|
|
quantity := requiredDepth.Div(depthPrice)
|
|
quantity = s.makerMarket.TruncateQuantity(quantity)
|
|
log.Infof("side: %s required depth: %f price: %f quantity: %f", side, requiredDepth.Float64(), depthPrice.Float64(), quantity.Float64())
|
|
|
|
switch side {
|
|
case types.SideTypeBuy:
|
|
quantity = quantity.Sub(accumulatedBidQuantity)
|
|
|
|
accumulatedBidQuantity = accumulatedBidQuantity.Add(quantity)
|
|
quoteQuantity := fixedpoint.Mul(quantity, depthPrice)
|
|
quoteQuantity = quoteQuantity.Round(s.makerMarket.PricePrecision, fixedpoint.Up)
|
|
accumulatedBidQuoteQuantity = accumulatedBidQuoteQuantity.Add(quoteQuantity)
|
|
|
|
case types.SideTypeSell:
|
|
quantity = quantity.Sub(accumulatedAskQuantity)
|
|
accumulatedAskQuantity = accumulatedAskQuantity.Add(quantity)
|
|
|
|
}
|
|
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeLimitMaker,
|
|
Market: s.makerMarket,
|
|
Side: side,
|
|
Price: depthPrice,
|
|
Quantity: quantity,
|
|
})
|
|
}
|
|
}
|
|
|
|
return submitOrders, nil
|
|
}
|
|
|
|
func (s *Strategy) partiallyCancelOrders(ctx context.Context, maxLayer int) error {
|
|
buyOrders, sellOrders := s.MakerOrderExecutor.ActiveMakerOrders().Orders().SeparateBySide()
|
|
buyOrders = types.SortOrdersByPrice(buyOrders, true)
|
|
sellOrders = types.SortOrdersByPrice(sellOrders, false)
|
|
|
|
buyOrdersToCancel := buyOrders[0:min(maxLayer, len(buyOrders))]
|
|
sellOrdersToCancel := sellOrders[0:min(maxLayer, len(sellOrders))]
|
|
|
|
err1 := s.MakerOrderExecutor.GracefulCancel(ctx, buyOrdersToCancel...)
|
|
err2 := s.MakerOrderExecutor.GracefulCancel(ctx, sellOrdersToCancel...)
|
|
return stderrors.Join(err1, err2)
|
|
}
|
|
|
|
func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
|
|
if maxLayer == 0 {
|
|
if err := s.MakerOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
|
|
s.MakerOrderExecutor.ActiveMakerOrders().Print()
|
|
return
|
|
}
|
|
} else {
|
|
if err := s.partiallyCancelOrders(ctx, maxLayer); err != nil {
|
|
log.WithError(err).Warnf("%s partial order cancel failed", s.Symbol)
|
|
return
|
|
}
|
|
}
|
|
|
|
numOfMakerOrders := s.MakerOrderExecutor.ActiveMakerOrders().NumOfOrders()
|
|
if numOfMakerOrders > 0 {
|
|
log.Warnf("maker orders are not all canceled")
|
|
return
|
|
}
|
|
|
|
bestBid, bestAsk, hasPrice := s.pricingBook.BestBidAndAsk()
|
|
if !hasPrice {
|
|
return
|
|
}
|
|
|
|
bestBidPrice := bestBid.Price
|
|
bestAskPrice := bestAsk.Price
|
|
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
|
|
|
|
s.lastPrice = bestBidPrice.Add(bestAskPrice).Div(Two)
|
|
|
|
bookLastUpdateTime := s.pricingBook.LastUpdateTime()
|
|
|
|
if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
|
|
log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
|
|
s.Symbol,
|
|
time.Since(bookLastUpdateTime))
|
|
return
|
|
}
|
|
|
|
if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
|
|
log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
|
|
s.Symbol,
|
|
time.Since(bookLastUpdateTime))
|
|
return
|
|
}
|
|
|
|
submitOrders, err := s.generateMakerOrders(s.pricingBook, maxLayer)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("generate order error")
|
|
return
|
|
}
|
|
|
|
if len(submitOrders) == 0 {
|
|
log.Warnf("no orders are generated")
|
|
return
|
|
}
|
|
|
|
createdOrders, err := s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("order error: %s", err.Error())
|
|
return
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
}
|
|
|
|
func selectSessions2(
|
|
sessions map[string]*bbgo.ExchangeSession, n1, n2 string,
|
|
) (s1, s2 *bbgo.ExchangeSession, err error) {
|
|
for _, n := range []string{n1, n2} {
|
|
if _, ok := sessions[n]; !ok {
|
|
return nil, nil, fmt.Errorf("session %s is not defined", n)
|
|
}
|
|
}
|
|
|
|
s1 = sessions[n1]
|
|
s2 = sessions[n2]
|
|
return s1, s2, nil
|
|
}
|
|
|
|
func averageDepthPrice(pvs types.PriceVolumeSlice) (price fixedpoint.Value, err error) {
|
|
if len(pvs) == 0 {
|
|
return fixedpoint.Zero, fmt.Errorf("empty pv slice")
|
|
}
|
|
|
|
totalQuoteAmount := fixedpoint.Zero
|
|
totalQuantity := fixedpoint.Zero
|
|
|
|
for i := 0; i < len(pvs); i++ {
|
|
pv := pvs[i]
|
|
quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
|
|
totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
|
|
totalQuantity = totalQuantity.Add(pv.Volume)
|
|
}
|
|
|
|
price = totalQuoteAmount.Div(totalQuantity)
|
|
return price, nil
|
|
}
|
|
|
|
func min(a, b int) int {
|
|
if a < b {
|
|
return a
|
|
}
|
|
|
|
return b
|
|
}
|