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396 lines
13 KiB
Go
396 lines
13 KiB
Go
package bollgrid
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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/core"
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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 = "bollgrid"
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var log = logrus.WithField("strategy", ID)
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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// Note: built-in strategies need to imported manually in the bbgo cmd package.
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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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
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// if Symbol string field is defined, bbgo will know it's a symbol-based strategy
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// The following embedded fields will be injected with the corresponding instances.
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// MarketDataStore is a pointer only injection field. public trades, k-lines (candlestick)
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// and order book updates are maintained in the market data store.
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// This field will be injected automatically since we defined the Symbol field.
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*bbgo.MarketDataStore
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// StandardIndicatorSet contains the standard indicators of a market (symbol)
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// This field will be injected automatically since we defined the Symbol field.
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*bbgo.StandardIndicatorSet
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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
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol"`
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// Interval is the interval used by the BOLLINGER indicator (which uses K-Line as its source price)
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Interval types.Interval `json:"interval"`
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// RepostInterval is the interval for re-posting maker orders
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RepostInterval types.Interval `json:"repostInterval"`
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// GridPips is the pips of grid
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// e.g., 0.001, so that your orders will be submitted at price like 0.127, 0.128, 0.129, 0.130
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GridPips fixedpoint.Value `json:"gridPips"`
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ProfitSpread fixedpoint.Value `json:"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 int `json:"gridNumber"`
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// Quantity is the quantity you want to submit for each order.
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Quantity fixedpoint.Value `json:"quantity"`
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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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profitOrders *bbgo.ActiveOrderBook
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orders *core.OrderStore
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// boll is the BOLLINGER indicator we used for predicting the price.
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boll *indicator.BOLL
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CancelProfitOrdersOnShutdown bool `json:"shutdownCancelProfitOrders"`
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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.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.Sign() <= 0 {
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// If quantity is empty or its value is negative
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return fmt.Errorf("quantity should bigger than 0")
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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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if s.Interval == "" {
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panic("bollgrid interval can not be empty")
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}
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// currently we need the 1m kline to update the last close price and indicators
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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if len(s.RepostInterval) > 0 && s.Interval != s.RepostInterval {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.RepostInterval})
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}
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}
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func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
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balances := session.GetAccount().Balances()
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quoteBalance := balances[s.Market.QuoteCurrency].Available
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if quoteBalance.Sign() <= 0 {
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return nil, fmt.Errorf("quote balance %s is zero: %v", s.Market.QuoteCurrency, quoteBalance)
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}
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upBand, downBand := s.boll.LastUpBand(), s.boll.LastDownBand()
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if upBand <= 0.0 {
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return nil, fmt.Errorf("up band == 0")
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}
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if downBand <= 0.0 {
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return nil, fmt.Errorf("down band == 0")
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}
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currentPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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return nil, fmt.Errorf("last price not found")
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}
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if currentPrice.Float64() > upBand || currentPrice.Float64() < downBand {
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return nil, fmt.Errorf("current price %v exceed the bollinger band %f <> %f", currentPrice, upBand, downBand)
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}
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ema99 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
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ema25 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
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ema7 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
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if ema7.Last(0) > ema25.Last(0)*1.001 && ema25.Last(0) > ema99.Last(0)*1.0005 {
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log.Infof("all ema lines trend up, skip buy")
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return nil, nil
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}
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priceRange := upBand - downBand
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gridSize := priceRange / float64(s.GridNum)
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var orders []types.SubmitOrder
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for pricef := upBand; pricef >= downBand; pricef -= gridSize {
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if pricef >= currentPrice.Float64() {
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continue
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}
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price := fixedpoint.NewFromFloat(pricef)
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// adjust buy quantity using current quote balance
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quantity := bbgo.AdjustFloatQuantityByMaxAmount(s.Quantity, price, quoteBalance)
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order := 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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}
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quoteQuantity := order.Quantity.Mul(price)
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if quantity.Compare(s.MinQuantity) < 0 {
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// don't submit this order if buy quantity is too small
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log.Infof("quote balance %v is not enough, stop generating buy orders", quoteBalance)
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break
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}
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quoteBalance = quoteBalance.Sub(quoteQuantity)
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log.Infof("submitting order: %s", order.String())
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orders = append(orders, order)
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}
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return orders, nil
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}
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func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
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balances := session.GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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if baseBalance.Sign() <= 0 {
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return nil, fmt.Errorf("base balance %s is zero: %+v", s.Market.BaseCurrency, baseBalance)
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}
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upBand, downBand := s.boll.LastUpBand(), s.boll.LastDownBand()
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if upBand <= 0.0 {
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return nil, fmt.Errorf("up band == 0")
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}
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if downBand <= 0.0 {
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return nil, fmt.Errorf("down band == 0")
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}
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currentPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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return nil, fmt.Errorf("last price not found")
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}
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currentPricef := currentPrice.Float64()
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if currentPricef > upBand || currentPricef < downBand {
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return nil, fmt.Errorf("current price exceed the bollinger band")
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}
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ema99 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
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ema25 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
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ema7 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
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if ema7.Last(0) < ema25.Last(0)*(1-0.004) && ema25.Last(0) < ema99.Last(0)*(1-0.0005) {
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log.Infof("all ema lines trend down, skip sell")
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return nil, nil
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}
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priceRange := upBand - downBand
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gridSize := priceRange / float64(s.GridNum)
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var orders []types.SubmitOrder
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for pricef := downBand; pricef <= upBand; pricef += gridSize {
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if pricef <= currentPricef {
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continue
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}
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price := fixedpoint.NewFromFloat(pricef)
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// adjust sell quantity using current base balance
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quantity := fixedpoint.Min(s.Quantity, baseBalance)
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order := 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,
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TimeInForce: types.TimeInForceGTC,
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}
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baseQuantity := order.Quantity
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if quantity.Compare(s.MinQuantity) < 0 {
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// don't submit this order if sell quantity is too small
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log.Infof("base balance %s is not enough, stop generating sell orders", baseBalance)
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break
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}
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baseBalance = baseBalance.Sub(baseQuantity)
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log.Infof("submitting order: %s", order.String())
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orders = append(orders, order)
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}
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return orders, nil
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}
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func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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sellOrders, err := s.generateGridSellOrders(session)
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if err != nil {
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log.Warn(err.Error())
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}
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createdSellOrders, err := orderExecutor.SubmitOrders(context.Background(), sellOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place sell orders")
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}
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buyOrders, err := s.generateGridBuyOrders(session)
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if err != nil {
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log.Warn(err.Error())
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}
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createdBuyOrders, err := orderExecutor.SubmitOrders(context.Background(), buyOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place buy orders")
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}
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createdOrders := append(createdSellOrders, createdBuyOrders...)
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s.activeOrders.Add(createdOrders...)
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s.orders.Add(createdOrders...)
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}
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func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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if err := orderExecutor.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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// skip order updates if up-band - down-band < min profit spread
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if (s.boll.LastUpBand() - s.boll.LastDownBand()) <= s.ProfitSpread.Float64() {
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log.Infof("boll: down band price == up band price, skipping...")
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return
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}
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s.placeGridOrders(orderExecutor, session)
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s.activeOrders.Print()
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}
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func (s *Strategy) submitReverseOrder(order types.Order, session *bbgo.ExchangeSession) {
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balances := session.GetAccount().Balances()
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var side = order.Side.Reverse()
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var price = order.Price
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var quantity = order.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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maxQuantity := balances[s.Market.BaseCurrency].Available
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quantity = fixedpoint.Min(quantity, maxQuantity)
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case types.SideTypeBuy:
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price = price.Sub(s.ProfitSpread)
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maxQuantity := balances[s.Market.QuoteCurrency].Available.Div(price)
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quantity = fixedpoint.Min(quantity, maxQuantity)
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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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}
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log.Infof("submitting reverse order: %s against %s", submitOrder.String(), order.String())
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createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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return
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}
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s.profitOrders.Add(createdOrders...)
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s.orders.Add(createdOrders...)
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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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if s.GridNum == 0 {
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s.GridNum = 2
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}
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s.boll = s.StandardIndicatorSet.BOLL(types.IntervalWindow{
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Interval: s.Interval,
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Window: 21,
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}, 2.0)
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s.orders = core.NewOrderStore(s.Symbol)
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s.orders.BindStream(session.UserDataStream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeOrders.OnFilled(func(o types.Order) {
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s.submitReverseOrder(o, session)
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})
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s.activeOrders.BindStream(session.UserDataStream)
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s.profitOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.profitOrders.OnFilled(func(o types.Order) {
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// we made profit here!
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})
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s.profitOrders.BindStream(session.UserDataStream)
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// setup graceful shutting down handler
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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// call Done to notify the main process.
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defer wg.Done()
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log.Infof("canceling active orders...")
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if err := orderExecutor.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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if s.CancelProfitOrdersOnShutdown {
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log.Infof("canceling profit orders...")
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err := orderExecutor.CancelOrders(ctx, s.profitOrders.Orders()...)
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if err != nil {
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log.WithError(err).Errorf("cancel profit order error")
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}
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}
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})
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session.UserDataStream.OnStart(func() {
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log.Infof("connected, submitting the first round of the orders")
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s.updateOrders(orderExecutor, session)
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})
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// avoid using time ticker since we will need back testing here
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip kline events that does not belong to this symbol
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if kline.Symbol != s.Symbol {
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log.Infof("%s != %s", kline.Symbol, s.Symbol)
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return
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}
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if s.RepostInterval != "" {
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// see if we have enough balances and then we create limit orders on the up band and the down band.
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if s.RepostInterval == kline.Interval {
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s.updateOrders(orderExecutor, session)
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}
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} else if s.Interval == kline.Interval {
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s.updateOrders(orderExecutor, session)
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}
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})
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return nil
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}
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