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https://github.com/c9s/bbgo.git
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623 lines
19 KiB
Go
623 lines
19 KiB
Go
package support
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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/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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "support"
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var log = logrus.WithField("strategy", ID)
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var zeroiw = types.IntervalWindow{}
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type State struct {
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Position *types.Position `json:"position,omitempty"`
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CurrentHighestPrice *fixedpoint.Value `json:"currentHighestPrice,omitempty"`
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}
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type Target struct {
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ProfitPercentage fixedpoint.Value `json:"profitPercentage"`
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QuantityPercentage fixedpoint.Value `json:"quantityPercentage"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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// PercentageTargetStop is a kind of stop order by setting fixed percentage target
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type PercentageTargetStop struct {
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Targets []Target `json:"targets"`
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}
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// GenerateOrders generates the orders from the given targets
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func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *types.Position) []types.SubmitOrder {
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var price = pos.AverageCost
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var quantity = pos.GetBase()
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// submit target orders
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var targetOrders []types.SubmitOrder
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for _, target := range stop.Targets {
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targetPrice := price.Mul(fixedpoint.One.Add(target.ProfitPercentage))
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targetQuantity := quantity.Mul(target.QuantityPercentage)
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targetQuoteQuantity := targetPrice.Mul(targetQuantity)
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if targetQuoteQuantity.Compare(market.MinNotional) <= 0 {
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continue
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}
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if targetQuantity.Compare(market.MinQuantity) <= 0 {
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continue
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}
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targetOrders = append(targetOrders, types.SubmitOrder{
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Symbol: market.Symbol,
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Market: market,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: targetPrice,
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Quantity: targetQuantity,
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MarginSideEffect: target.MarginOrderSideEffect,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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return targetOrders
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}
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type TrailingStopTarget struct {
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TrailingStopCallbackRatio fixedpoint.Value `json:"callbackRatio"`
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MinimumProfitPercentage fixedpoint.Value `json:"minimumProfitPercentage"`
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}
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type TrailingStopControl struct {
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symbol string
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market types.Market
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marginSideEffect types.MarginOrderSideEffectType
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trailingStopCallbackRatio fixedpoint.Value
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minimumProfitPercentage fixedpoint.Value
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CurrentHighestPrice fixedpoint.Value
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StopOrder *types.Order
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}
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func (control *TrailingStopControl) UpdateCurrentHighestPrice(p fixedpoint.Value) bool {
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orig := control.CurrentHighestPrice
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control.CurrentHighestPrice = fixedpoint.Max(control.CurrentHighestPrice, p)
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return orig.Compare(control.CurrentHighestPrice) == 0
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}
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func (control *TrailingStopControl) IsHigherThanMin(minTargetPrice fixedpoint.Value) bool {
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targetPrice := control.CurrentHighestPrice.Mul(fixedpoint.One.Sub(control.trailingStopCallbackRatio))
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return targetPrice.Compare(minTargetPrice) >= 0
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}
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func (control *TrailingStopControl) GenerateStopOrder(quantity fixedpoint.Value) types.SubmitOrder {
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targetPrice := control.CurrentHighestPrice.Mul(fixedpoint.One.Sub(control.trailingStopCallbackRatio))
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orderForm := types.SubmitOrder{
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Symbol: control.symbol,
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Market: control.market,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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Quantity: quantity,
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MarginSideEffect: control.marginSideEffect,
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TimeInForce: types.TimeInForceGTC,
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Price: targetPrice,
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StopPrice: targetPrice,
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}
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return orderForm
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}
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// Not implemented yet
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// ResistanceStop is a kind of stop order by detecting resistance
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// type ResistanceStop struct {
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// Interval types.Interval `json:"interval"`
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// sensitivity fixedpoint.Value `json:"sensitivity"`
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// MinVolume fixedpoint.Value `json:"minVolume"`
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// TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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// }
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type Strategy struct {
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*bbgo.Environment `json:"-"`
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session *bbgo.ExchangeSession
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Symbol string `json:"symbol"`
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Market types.Market `json:"-"`
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// Interval for checking support
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Interval types.Interval `json:"interval"`
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// moving average window for checking support (support should be under the moving average line)
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TriggerMovingAverage types.IntervalWindow `json:"triggerMovingAverage"`
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// LongTermMovingAverage is the second moving average line for checking support position
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LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
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Quantity fixedpoint.Value `json:"quantity"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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Sensitivity fixedpoint.Value `json:"sensitivity"`
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TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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Targets []Target `json:"targets"`
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// Not implemented yet
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// ResistanceStop *ResistanceStop `json:"resistanceStop"`
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//
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// ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
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// Min BaseAsset balance to keep
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MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
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// Max BaseAsset balance to buy
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MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
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MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
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ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
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orderExecutor *bbgo.GeneralOrderExecutor
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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CurrentHighestPrice fixedpoint.Value `persistence:"current_highest_price"`
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triggerEMA *indicator.EWMA
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longTermEMA *indicator.EWMA
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// Trailing stop
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TrailingStopTarget TrailingStopTarget `json:"trailingStopTarget"`
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trailingStopControl *TrailingStopControl
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// StrategyController
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bbgo.StrategyController
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Validate() error {
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if s.Quantity.IsZero() && s.ScaleQuantity == nil {
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return fmt.Errorf("quantity or scaleQuantity can not be zero")
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}
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if s.MinVolume.IsZero() && s.Sensitivity.IsZero() {
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return fmt.Errorf("either minVolume nor sensitivity 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) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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if s.TriggerMovingAverage != zeroiw {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TriggerMovingAverage.Interval})
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}
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if s.LongTermMovingAverage != zeroiw {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LongTermMovingAverage.Interval})
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}
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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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.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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}
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bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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_, err := s.orderExecutor.SubmitOrders(ctx, submitOrder)
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return err
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) (types.OrderSlice, error) {
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return s.orderExecutor.SubmitOrders(ctx, orderForms...)
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}
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var slippageModifier = fixedpoint.NewFromFloat(1.003)
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func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.SideType, closePrice fixedpoint.Value, volume fixedpoint.Value) (fixedpoint.Value, error) {
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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.ScaleQuantity != nil {
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q, err := s.ScaleQuantity.Scale(closePrice.Float64(), volume.Float64())
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if err != nil {
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return fixedpoint.Zero, err
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}
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quantity = fixedpoint.NewFromFloat(q)
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}
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baseBalance, _ := session.GetAccount().Balance(s.Market.BaseCurrency)
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if side == types.SideTypeSell {
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// quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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if s.MinBaseAssetBalance.Sign() > 0 &&
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baseBalance.Total().Sub(quantity).Compare(s.MinBaseAssetBalance) < 0 {
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quota := baseBalance.Available.Sub(s.MinBaseAssetBalance)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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} else if side == types.SideTypeBuy {
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if s.MaxBaseAssetBalance.Sign() > 0 &&
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baseBalance.Total().Add(quantity).Compare(s.MaxBaseAssetBalance) > 0 {
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quota := s.MaxBaseAssetBalance.Sub(baseBalance.Total())
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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quoteBalance, ok := session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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return fixedpoint.Zero, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
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}
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// for spot, we need to modify the quantity according to the quote balance
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if !session.Margin {
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// add 0.3% for price slippage
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notional := closePrice.Mul(quantity).Mul(slippageModifier)
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if s.MinQuoteAssetBalance.Sign() > 0 &&
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quoteBalance.Available.Sub(notional).Compare(s.MinQuoteAssetBalance) < 0 {
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log.Warnf("modifying quantity %v according to the min quote asset balance %v %s",
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quantity,
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quoteBalance.Available,
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s.Market.QuoteCurrency)
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quota := quoteBalance.Available.Sub(s.MinQuoteAssetBalance)
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quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
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} else if notional.Compare(quoteBalance.Available) > 0 {
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log.Warnf("modifying quantity %v according to the quote asset balance %v %s",
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quantity,
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quoteBalance.Available,
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s.Market.QuoteCurrency)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
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}
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}
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}
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return quantity, nil
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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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s.session = session
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instanceID := s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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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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// trade stats
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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s.orderExecutor.Bind()
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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// Cancel all order
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_ = s.orderExecutor.GracefulCancel(ctx)
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bbgo.Sync(ctx, s)
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})
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s.OnEmergencyStop(func() {
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// Close 100% position
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percentage := fixedpoint.NewFromFloat(1.0)
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if err := s.ClosePosition(context.Background(), percentage); err != nil {
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errMsg := "failed to close position"
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log.WithError(err).Errorf(errMsg)
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bbgo.Notify(errMsg)
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}
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if err := s.Suspend(); err != nil {
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errMsg := "failed to suspend strategy"
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log.WithError(err).Errorf(errMsg)
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bbgo.Notify(errMsg)
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}
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})
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// set default values
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if s.Interval == "" {
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s.Interval = types.Interval5m
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}
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if s.Sensitivity.Sign() > 0 {
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volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
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if err != nil {
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return err
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}
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scaleUp := fixedpoint.NewFromFloat(volRange[1])
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scaleLow := fixedpoint.NewFromFloat(volRange[0])
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s.MinVolume = scaleUp.Sub(scaleLow).
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Mul(fixedpoint.One.Sub(s.Sensitivity)).
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Add(scaleLow)
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log.Infof("adjusted minimal support volume to %s according to sensitivity %s", s.MinVolume.String(), s.Sensitivity.String())
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}
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standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
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if s.TriggerMovingAverage != zeroiw {
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s.triggerEMA = standardIndicatorSet.EWMA(s.TriggerMovingAverage)
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} else {
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s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{
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Interval: s.Interval,
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Window: 99, // default window
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})
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}
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if s.LongTermMovingAverage != zeroiw {
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s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
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}
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if !s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() {
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s.trailingStopControl = &TrailingStopControl{
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symbol: s.Symbol,
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market: s.Market,
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marginSideEffect: s.MarginOrderSideEffect,
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trailingStopCallbackRatio: s.TrailingStopTarget.TrailingStopCallbackRatio,
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minimumProfitPercentage: s.TrailingStopTarget.MinimumProfitPercentage,
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CurrentHighestPrice: s.CurrentHighestPrice,
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}
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}
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if !s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() {
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// Update trailing stop when the position changes
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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if !position.IsLong() || position.IsDust(position.AverageCost) {
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return
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}
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s.updateStopOrder(ctx)
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})
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}
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol {
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return
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}
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if kline.Interval != s.Interval {
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return
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}
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closePrice := kline.GetClose()
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highPrice := kline.GetHigh()
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// check our trailing stop
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if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 {
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if s.Position.IsLong() && !s.Position.IsDust(closePrice) {
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changed := s.trailingStopControl.UpdateCurrentHighestPrice(highPrice)
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if changed {
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// Cancel the original order
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s.updateStopOrder(ctx)
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}
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}
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}
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// check support volume
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if kline.Volume.Compare(s.MinVolume) < 0 {
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return
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}
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// check taker buy ratio, we need strong buy taker
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if s.TakerBuyRatio.Sign() > 0 {
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takerBuyRatio := kline.TakerBuyBaseAssetVolume.Div(kline.Volume)
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takerBuyBaseVolumeThreshold := kline.Volume.Mul(s.TakerBuyRatio)
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if takerBuyRatio.Compare(s.TakerBuyRatio) < 0 {
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bbgo.Notify("%s: taker buy base volume %s (volume ratio %s) is less than %s (volume ratio %s)",
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s.Symbol,
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kline.TakerBuyBaseAssetVolume.String(),
|
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takerBuyRatio.String(),
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takerBuyBaseVolumeThreshold.String(),
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kline.Volume.String(),
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s.TakerBuyRatio.String(),
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kline,
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)
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return
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}
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}
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if s.longTermEMA != nil && closePrice.Float64() < s.longTermEMA.Last() {
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bbgo.Notify("%s: closed price is below the long term moving average line %f, skipping this support",
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s.Symbol,
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s.longTermEMA.Last(),
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kline,
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)
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return
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}
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if s.triggerEMA != nil && closePrice.Float64() > s.triggerEMA.Last() {
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bbgo.Notify("%s: closed price is above the trigger moving average line %f, skipping this support",
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s.Symbol,
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s.triggerEMA.Last(),
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kline,
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)
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return
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}
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|
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if s.triggerEMA != nil && s.longTermEMA != nil {
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bbgo.Notify("Found %s support: the close price %s is below trigger EMA %f and above long term EMA %f and volume %s > minimum volume %s",
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s.Symbol,
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closePrice.String(),
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s.triggerEMA.Last(),
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s.longTermEMA.Last(),
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kline.Volume.String(),
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s.MinVolume.String(),
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kline)
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} else {
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bbgo.Notify("Found %s support: the close price %s and volume %s > minimum volume %s",
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s.Symbol,
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closePrice.String(),
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kline.Volume.String(),
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s.MinVolume.String(),
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kline)
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}
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quantity, err := s.calculateQuantity(session, types.SideTypeBuy, closePrice, kline.Volume)
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if err != nil {
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log.WithError(err).Errorf("%s quantity calculation error", s.Symbol)
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return
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}
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|
|
orderForm := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Market: s.Market,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeMarket,
|
|
Quantity: quantity,
|
|
MarginSideEffect: s.MarginOrderSideEffect,
|
|
}
|
|
|
|
bbgo.Notify("Submitting %s market order buy with quantity %s according to the base volume %s, taker buy base volume %s",
|
|
s.Symbol,
|
|
quantity.String(),
|
|
kline.Volume.String(),
|
|
kline.TakerBuyBaseAssetVolume.String(),
|
|
orderForm)
|
|
|
|
if _, err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
|
|
log.WithError(err).Error("submit order error")
|
|
return
|
|
}
|
|
|
|
if s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() { // submit fixed target orders
|
|
var targetOrders []types.SubmitOrder
|
|
for _, target := range s.Targets {
|
|
targetPrice := closePrice.Mul(fixedpoint.One.Add(target.ProfitPercentage))
|
|
targetQuantity := quantity.Mul(target.QuantityPercentage)
|
|
targetQuoteQuantity := targetPrice.Mul(targetQuantity)
|
|
|
|
if targetQuoteQuantity.Compare(s.Market.MinNotional) <= 0 {
|
|
continue
|
|
}
|
|
|
|
if targetQuantity.Compare(s.Market.MinQuantity) <= 0 {
|
|
continue
|
|
}
|
|
|
|
targetOrders = append(targetOrders, types.SubmitOrder{
|
|
Symbol: kline.Symbol,
|
|
Market: s.Market,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: targetPrice,
|
|
Quantity: targetQuantity,
|
|
|
|
MarginSideEffect: target.MarginOrderSideEffect,
|
|
TimeInForce: types.TimeInForceGTC,
|
|
})
|
|
}
|
|
|
|
_, err = s.orderExecutor.SubmitOrders(ctx, targetOrders...)
|
|
if err != nil {
|
|
bbgo.Notify("submit %s profit trailing stop order error: %s", s.Symbol, err.Error())
|
|
}
|
|
}
|
|
})
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
// Cancel trailing stop order
|
|
if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 {
|
|
_ = s.orderExecutor.GracefulCancel(ctx)
|
|
}
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) updateStopOrder(ctx context.Context) {
|
|
// cancel the original stop order
|
|
if s.trailingStopControl.StopOrder != nil {
|
|
if err := s.session.Exchange.CancelOrders(ctx, *s.trailingStopControl.StopOrder); err != nil {
|
|
log.WithError(err).Error("cancel order error")
|
|
}
|
|
s.trailingStopControl.StopOrder = nil
|
|
s.orderExecutor.TradeCollector().Process()
|
|
}
|
|
|
|
// Calculate minimum target price
|
|
var minTargetPrice = fixedpoint.Zero
|
|
if s.trailingStopControl.minimumProfitPercentage.Sign() > 0 {
|
|
minTargetPrice = s.Position.AverageCost.Mul(fixedpoint.One.Add(s.trailingStopControl.minimumProfitPercentage))
|
|
}
|
|
|
|
// Place new order if the target price is higher than the minimum target price
|
|
if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
|
|
orderForm := s.trailingStopControl.GenerateStopOrder(s.Position.Base)
|
|
orders, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
|
|
if err != nil {
|
|
bbgo.Notify("failed to submit the trailing stop order on %s", s.Symbol)
|
|
log.WithError(err).Error("submit profit trailing stop order error")
|
|
}
|
|
|
|
if len(orders) == 0 {
|
|
log.Error("unexpected error: len(createdOrders) = 0")
|
|
return
|
|
}
|
|
|
|
s.trailingStopControl.StopOrder = &orders[0]
|
|
}
|
|
}
|