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549 lines
17 KiB
Go
549 lines
17 KiB
Go
package bollmaker
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import (
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"context"
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"fmt"
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"math"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/exchange/max"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "bollmaker"
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const stateKey = "state-v1"
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var one = fixedpoint.NewFromFloat(1.0)
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var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
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var log = logrus.WithField("strategy", ID)
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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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ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
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}
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type BollingerSetting struct {
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types.IntervalWindow
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BandWidth float64 `json:"bandWidth"`
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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StandardIndicatorSet *bbgo.StandardIndicatorSet
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// Symbol is the market symbol you want to trade
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Symbol string `json:"symbol"`
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// Interval is how long do you want to update your order price and quantity
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Interval types.Interval `json:"interval"`
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// Quantity is the base order quantity for your buy/sell order.
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Quantity fixedpoint.Value `json:"quantity"`
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// Spread is the price spread from the middle price.
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// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
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// Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
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Spread fixedpoint.Value `json:"spread"`
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// MinProfitSpread is the minimal order price spread from the current average cost.
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// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
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// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
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MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
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// UseTickerPrice use the ticker api to get the mid price instead of the closed kline price.
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// The back-test engine is kline-based, so the ticker price api is not supported.
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// Turn this on if you want to do real trading.
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UseTickerPrice bool `json:"useTickerPrice"`
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// MaxExposurePosition is the maximum position you can hold
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// +10 means you can hold 10 ETH long position by maximum
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// -10 means you can hold -10 ETH short position by maximum
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MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
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// DisableShort means you can don't want short position during the market making
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// Set to true if you want to hold more spot during market making.
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DisableShort bool `json:"disableShort"`
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DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
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// NeutralBollinger is the smaller range of the bollinger band
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// If price is in this band, it usually means the price is oscillating.
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NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
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// StrongDowntrendSkew is the order quantity skew for strong downtrend band.
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// when the bollinger band detect a strong downtrend, what's the order quantity skew we want to use.
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// greater than 1.0 means when placing buy order, place sell order with less quantity
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// less than 1.0 means when placing sell order, place buy order with less quantity
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StrongDowntrendSkew fixedpoint.Value `json:"strongDowntrendSkew"`
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// StrongUptrendSkew is the order quantity skew for strong uptrend band.
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// when the bollinger band detect a strong uptrend, what's the order quantity skew we want to use.
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// greater than 1.0 means when placing buy order, place sell order with less quantity
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// less than 1.0 means when placing sell order, place buy order with less quantity
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StrongUptrendSkew fixedpoint.Value `json:"strongUptrendSkew"`
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// DowntrendSkew is the order quantity skew for normal downtrend band.
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// The price is still in the default bollinger band.
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// greater than 1.0 means when placing buy order, place sell order with less quantity
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// less than 1.0 means when placing sell order, place buy order with less quantity
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DowntrendSkew fixedpoint.Value `json:"downtrendSkew"`
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// UptrendSkew is the order quantity skew for normal uptrend band.
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// The price is still in the default bollinger band.
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// greater than 1.0 means when placing buy order, place sell order with less quantity
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// less than 1.0 means when placing sell order, place buy order with less quantity
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UptrendSkew fixedpoint.Value `json:"uptrendSkew"`
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// ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow)
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ShadowProtection bool `json:"shadowProtection"`
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ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
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session *bbgo.ExchangeSession
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book *types.StreamOrderBook
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market types.Market
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state *State
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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groupID uint32
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stopC chan struct{}
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// defaultBoll is the BOLLINGER indicator we used for predicting the price.
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defaultBoll *indicator.BOLL
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// neutralBoll is the neutral price section
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neutralBoll *indicator.BOLL
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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) Subscribe(session *bbgo.ExchangeSession) {
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// session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(s.Interval),
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})
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if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(s.DefaultBollinger.Interval),
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})
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}
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if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: string(s.NeutralBollinger.Interval),
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})
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}
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}
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func (s *Strategy) Validate() error {
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if len(s.Symbol) == 0 {
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return errors.New("symbol is required")
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}
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return nil
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.state.Position
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage float64) error {
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base := s.state.Position.GetBase()
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if base == 0 {
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return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
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}
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// make it negative
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quantity := base.MulFloat64(percentage).Abs()
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side := types.SideTypeBuy
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if base > 0 {
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side = types.SideTypeSell
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}
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if quantity.Float64() < s.market.MinQuantity {
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return fmt.Errorf("order quantity %f is too small, less than %f", quantity.Float64(), 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.Float64(),
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Market: s.market,
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}
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s.Notify("Submitting %s %s order to close position by %f", s.Symbol, side.String(), percentage, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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return err
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}
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func (s *Strategy) SaveState() error {
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if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
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return err
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} else {
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log.Infof("state is saved => %+v", s.state)
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}
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return nil
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}
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func (s *Strategy) LoadState() error {
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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}
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// if position is nil, we need to allocate a new position for calculation
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if s.state.Position == nil {
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s.state.Position = types.NewPositionFromMarket(s.market)
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}
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// init profit states
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s.state.ProfitStats.Symbol = s.market.Symbol
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s.state.ProfitStats.BaseCurrency = s.market.BaseCurrency
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s.state.ProfitStats.QuoteCurrency = s.market.QuoteCurrency
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if s.state.ProfitStats.AccumulatedSince == 0 {
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s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
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}
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return nil
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}
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func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, kline *types.KLine) {
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askPrice := midPrice.Mul(one + s.Spread)
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bidPrice := midPrice.Mul(one - s.Spread)
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base := s.state.Position.GetBase()
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balances := s.session.Account.Balances()
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log.Infof("mid price:%f spread: %s ask:%f bid: %f position: %s",
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midPrice.Float64(),
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s.Spread.Percentage(),
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askPrice.Float64(),
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bidPrice.Float64(),
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s.state.Position.String(),
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)
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quantity := s.Quantity
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sellOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Quantity: quantity.Float64(),
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Price: askPrice.Float64(),
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Market: s.market,
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GroupID: s.groupID,
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}
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buyOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Quantity: quantity.Float64(),
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Price: bidPrice.Float64(),
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Market: s.market,
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GroupID: s.groupID,
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}
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var submitOrders []types.SubmitOrder
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minQuantity := fixedpoint.NewFromFloat(s.market.MinQuantity)
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baseBalance, hasBaseBalance := balances[s.market.BaseCurrency]
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quoteBalance, hasQuoteBalance := balances[s.market.QuoteCurrency]
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canBuy := hasQuoteBalance && quoteBalance.Available > s.Quantity.Mul(midPrice) && (s.MaxExposurePosition > 0 && base < s.MaxExposurePosition)
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canSell := hasBaseBalance && baseBalance.Available > s.Quantity && (s.MaxExposurePosition > 0 && base > -s.MaxExposurePosition)
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if s.ShadowProtection && kline != nil {
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switch kline.Direction() {
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case types.DirectionDown:
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shadowHeight := kline.GetLowerShadowHeight()
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shadowRatio := kline.GetLowerShadowRatio()
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if shadowHeight == 0.0 && shadowRatio < s.ShadowProtectionRatio.Float64() {
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log.Infof("%s shadow protection enabled, lower shadow ratio %f < %f", s.Symbol, shadowRatio, s.ShadowProtectionRatio.Float64())
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canBuy = false
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}
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case types.DirectionUp:
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shadowHeight := kline.GetUpperShadowHeight()
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shadowRatio := kline.GetUpperShadowRatio()
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if shadowHeight == 0.0 || shadowRatio < s.ShadowProtectionRatio.Float64() {
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log.Infof("%s shadow protection enabled, upper shadow ratio %f < %f", s.Symbol, shadowRatio, s.ShadowProtectionRatio.Float64())
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canSell = false
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}
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}
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}
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// adjust quantity for closing position if we over sold or over bought
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if s.MaxExposurePosition > 0 && base.Abs() > s.MaxExposurePosition {
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scale := &bbgo.ExponentialScale{
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Domain: [2]float64{0, s.MaxExposurePosition.Float64()},
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Range: [2]float64{quantity.Float64(), base.Abs().Float64()},
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}
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if err := scale.Solve(); err != nil {
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log.WithError(err).Errorf("scale solving error")
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return
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}
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qf := scale.Call(base.Abs().Float64())
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_ = qf
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if base > minQuantity {
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// sellOrder.Quantity = qf
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} else if base < -minQuantity {
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// buyOrder.Quantity = qf
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}
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}
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if midPrice.Float64() > s.neutralBoll.LastDownBand() && midPrice.Float64() < s.neutralBoll.LastUpBand() {
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// we don't have position yet
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// place orders on both side if it's in oscillating band
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// if base == 0 || base.Abs() < minQuantity { }
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} else if midPrice.Float64() > s.defaultBoll.LastDownBand() && midPrice.Float64() < s.neutralBoll.LastDownBand() { // downtrend, might bounce back
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skew := s.DowntrendSkew.Float64()
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ratio := 1.0 / skew
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sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio)
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} else if midPrice.Float64() < s.defaultBoll.LastUpBand() && midPrice.Float64() > s.neutralBoll.LastUpBand() { // uptrend, might bounce back
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skew := s.UptrendSkew.Float64()
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buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew)
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} else if midPrice.Float64() < s.defaultBoll.LastDownBand() { // strong downtrend
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skew := s.StrongDowntrendSkew.Float64()
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ratio := 1.0 / skew
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sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio)
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} else if midPrice.Float64() > s.defaultBoll.LastUpBand() { // strong uptrend
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skew := s.StrongUptrendSkew.Float64()
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buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew)
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}
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if canSell && midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) {
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if !(s.DisableShort && (base.Float64()-sellOrder.Quantity < 0)) {
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submitOrders = append(submitOrders, sellOrder)
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}
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}
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if canBuy {
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submitOrders = append(submitOrders, buyOrder)
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}
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// condition for lower the average cost
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/*
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if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
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submitOrders = append(submitOrders, buyOrder)
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}
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*/
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if len(submitOrders) == 0 {
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return
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}
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for i := range submitOrders {
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submitOrders[i] = s.adjustOrderQuantity(submitOrders[i])
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place ping pong orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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}
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func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
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if submitOrder.Quantity*submitOrder.Price < s.market.MinNotional {
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submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.market.MinNotional)
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}
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if submitOrder.Quantity < s.market.MinQuantity {
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submitOrder.Quantity = math.Max(submitOrder.Quantity, s.market.MinQuantity)
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}
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return submitOrder
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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.MinProfitSpread == 0 {
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s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
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}
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if s.StrongUptrendSkew == 0 {
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s.StrongUptrendSkew = fixedpoint.NewFromFloat(1.0 / 2.0)
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}
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if s.StrongDowntrendSkew == 0 {
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s.StrongDowntrendSkew = fixedpoint.NewFromFloat(2.0)
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}
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if s.UptrendSkew == 0 {
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s.UptrendSkew = fixedpoint.NewFromFloat(1.0 / 1.2)
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}
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if s.DowntrendSkew == 0 {
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s.DowntrendSkew = fixedpoint.NewFromFloat(1.2)
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}
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if s.ShadowProtectionRatio == 0 {
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s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
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}
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// initial required information
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s.session = session
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market, ok := session.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("market %s not found", s.Symbol)
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}
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s.market = market
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s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
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s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
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// calculate group id for orders
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instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
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s.groupID = max.GenerateGroupID(instanceID)
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log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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// restore state
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if err := s.LoadState(); err != nil {
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return err
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}
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s.stopC = make(chan struct{})
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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s.tradeCollector.OnProfit(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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p := bbgo.Profit{
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Symbol: s.Symbol,
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Profit: profit,
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NetProfit: netProfit,
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TradeAmount: fixedpoint.NewFromFloat(trade.QuoteQuantity),
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ProfitMargin: profit.DivFloat64(trade.QuoteQuantity),
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NetProfitMargin: netProfit.DivFloat64(trade.QuoteQuantity),
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QuoteCurrency: s.state.Position.QuoteCurrency,
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BaseCurrency: s.state.Position.BaseCurrency,
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Time: trade.Time.Time(),
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}
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s.state.ProfitStats.AddProfit(p)
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s.Notify(&p)
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s.Notify(&s.state.ProfitStats)
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})
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s.tradeCollector.OnTrade(func(trade types.Trade) {
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log.Infof("trade: %s", trade)
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s.Notifiability.Notify(trade)
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s.state.ProfitStats.AddTrade(trade)
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})
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|
|
|
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
|
log.Infof("position changed: %s", s.state.Position)
|
|
s.Notify(s.state.Position)
|
|
})
|
|
|
|
s.tradeCollector.BindStream(session.UserDataStream)
|
|
|
|
session.UserDataStream.OnStart(func() {
|
|
if s.UseTickerPrice {
|
|
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
|
if err != nil {
|
|
return
|
|
}
|
|
|
|
midPrice := fixedpoint.NewFromFloat((ticker.Buy + ticker.Sell) / 2)
|
|
s.placeOrders(ctx, orderExecutor, midPrice, nil)
|
|
} else {
|
|
if price, ok := session.LastPrice(s.Symbol); ok {
|
|
s.placeOrders(ctx, orderExecutor, fixedpoint.NewFromFloat(price), nil)
|
|
}
|
|
}
|
|
})
|
|
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
if kline.Symbol != s.Symbol {
|
|
return
|
|
}
|
|
if kline.Interval != s.Interval {
|
|
return
|
|
}
|
|
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
s.tradeCollector.Process()
|
|
|
|
if s.UseTickerPrice {
|
|
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
|
|
if err != nil {
|
|
return
|
|
}
|
|
|
|
midPrice := fixedpoint.NewFromFloat((ticker.Buy + ticker.Sell) / 2)
|
|
s.placeOrders(ctx, orderExecutor, midPrice, &kline)
|
|
} else {
|
|
s.placeOrders(ctx, orderExecutor, fixedpoint.NewFromFloat(kline.Close), &kline)
|
|
}
|
|
})
|
|
|
|
// s.book = types.NewStreamBook(s.Symbol)
|
|
// s.book.BindStreamForBackground(session.MarketDataStream)
|
|
|
|
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
close(s.stopC)
|
|
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
s.tradeCollector.Process()
|
|
|
|
if err := s.SaveState(); err != nil {
|
|
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
|
}
|
|
})
|
|
|
|
return nil
|
|
}
|