mirror of
https://github.com/c9s/bbgo.git
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390 lines
11 KiB
Go
390 lines
11 KiB
Go
package xgap
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import (
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"context"
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"fmt"
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"math"
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"math/rand"
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"sync"
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"time"
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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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"github.com/c9s/bbgo/pkg/util"
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)
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const ID = "xgap"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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var StepPercentageGap = fixedpoint.NewFromFloat(0.05)
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var NotionModifier = fixedpoint.NewFromFloat(1.01)
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var Two = fixedpoint.NewFromInt(2)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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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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type State struct {
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AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
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AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
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AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
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}
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func (s *State) IsOver24Hours() bool {
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return time.Now().Sub(s.AccumulatedFeeStartedAt) >= 24*time.Hour
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}
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func (s *State) Reset() {
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t := time.Now()
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dateTime := time.Date(t.Year(), t.Month(), t.Day(), 0, 0, 0, 0, t.Location())
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log.Infof("resetting accumulated started time to: %s", dateTime)
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s.AccumulatedFeeStartedAt = dateTime
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s.AccumulatedFees = make(map[string]fixedpoint.Value)
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s.AccumulatedVolume = fixedpoint.Zero
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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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Symbol string `json:"symbol"`
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SourceExchange string `json:"sourceExchange"`
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TradingExchange string `json:"tradingExchange"`
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MinSpread fixedpoint.Value `json:"minSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
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DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
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UpdateInterval types.Duration `json:"updateInterval"`
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SimulateVolume bool `json:"simulateVolume"`
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sourceSession, tradingSession *bbgo.ExchangeSession
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sourceMarket, tradingMarket types.Market
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state *State
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mu sync.Mutex
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lastSourceKLine, lastTradingKLine types.KLine
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sourceBook, tradingBook *types.StreamOrderBook
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groupID uint32
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stopC chan struct{}
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}
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func (s *Strategy) isBudgetAllowed() bool {
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if s.DailyFeeBudgets == nil {
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return true
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}
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if s.state.AccumulatedFees == nil {
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return true
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}
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for asset, budget := range s.DailyFeeBudgets {
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if fee, ok := s.state.AccumulatedFees[asset]; ok {
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if fee.Compare(budget) >= 0 {
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log.Warnf("accumulative fee %s exceeded the fee budget %s, skipping...", fee.String(), budget.String())
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return false
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}
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}
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}
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return true
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}
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func (s *Strategy) handleTradeUpdate(trade types.Trade) {
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log.Infof("received trade %+v", trade)
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if trade.Symbol != s.Symbol {
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return
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}
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if s.state.IsOver24Hours() {
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s.state.Reset()
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}
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// safe check
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if s.state.AccumulatedFees == nil {
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s.state.AccumulatedFees = make(map[string]fixedpoint.Value)
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}
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s.state.AccumulatedFees[trade.FeeCurrency] = s.state.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee)
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s.state.AccumulatedVolume = s.state.AccumulatedVolume.Add(trade.Quantity)
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log.Infof("accumulated fee: %s %s", s.state.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency)
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
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}
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sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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tradingSession, ok := sessions[s.TradingExchange]
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if !ok {
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panic(fmt.Errorf("trading session %s is not defined", s.TradingExchange))
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}
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tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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tradingSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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}
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func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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if s.UpdateInterval == 0 {
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s.UpdateInterval = types.Duration(time.Second)
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}
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sourceSession, ok := sessions[s.SourceExchange]
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if !ok {
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return fmt.Errorf("source session %s is not defined", s.SourceExchange)
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}
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s.sourceSession = sourceSession
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tradingSession, ok := sessions[s.TradingExchange]
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if !ok {
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return fmt.Errorf("trading session %s is not defined", s.TradingExchange)
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}
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s.tradingSession = tradingSession
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s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("source session market %s is not defined", s.Symbol)
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}
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s.tradingMarket, ok = s.tradingSession.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("trading session market %s is not defined", s.Symbol)
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}
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s.stopC = make(chan struct{})
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, 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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s.state.Reset()
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} else {
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// loaded successfully
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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if s.state.IsOver24Hours() {
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log.Warn("state is over 24 hours, resetting to zero")
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s.state.Reset()
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}
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}
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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close(s.stopC)
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if err := s.Persistence.Save(&s.state, ID, stateKey); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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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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})
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// from here, set data binding
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s.sourceSession.MarketDataStream.OnKLine(func(kline types.KLine) {
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log.Infof("source exchange %s price: %s volume: %s",
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s.Symbol, kline.Close.String(), kline.Volume.String())
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s.mu.Lock()
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s.lastSourceKLine = kline
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s.mu.Unlock()
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})
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s.tradingSession.MarketDataStream.OnKLine(func(kline types.KLine) {
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log.Infof("trading exchange %s price: %s volume: %s",
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s.Symbol, kline.Close.String(), kline.Volume.String())
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s.mu.Lock()
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s.lastTradingKLine = kline
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s.mu.Unlock()
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})
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s.sourceBook = types.NewStreamBook(s.Symbol)
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s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
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s.tradingBook = types.NewStreamBook(s.Symbol)
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s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
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s.tradingSession.UserDataStream.OnTradeUpdate(s.handleTradeUpdate)
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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 fnv32(%s)", s.groupID, instanceID)
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go func() {
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ticker := time.NewTicker(
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util.MillisecondsJitter(s.UpdateInterval.Duration(), 1000),
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)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-s.stopC:
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return
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case <-ticker.C:
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if !s.isBudgetAllowed() {
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continue
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}
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// < 10 seconds jitter sleep
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delay := util.MillisecondsJitter(s.UpdateInterval.Duration(), 10*1000)
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if delay < s.UpdateInterval.Duration() {
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time.Sleep(delay)
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}
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bestBid, hasBid := s.tradingBook.BestBid()
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bestAsk, hasAsk := s.tradingBook.BestAsk()
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// try to use the bid/ask price from the trading book
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if hasBid && hasAsk {
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("trading book spread=%s %s",
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spread.String(), spreadPercentage.Percentage())
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// use the source book price if the spread percentage greater than 10%
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if spreadPercentage.Compare(StepPercentageGap) > 0 {
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log.Warnf("spread too large (%s %s), using source book",
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spread.String(), spreadPercentage.Percentage())
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if s.MinSpread.Sign() > 0 {
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if spread.Compare(s.MinSpread) < 0 {
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log.Warnf("spread < min spread, spread=%s minSpread=%s bid=%s ask=%s",
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spread.String(), s.MinSpread.String(),
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bestBid.Price.String(), bestAsk.Price.String())
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continue
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}
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}
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// if the spread is less than 100 ticks (100 pips), skip
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if spread.Compare(s.tradingMarket.TickSize.MulExp(2)) < 0 {
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log.Warnf("spread too small, we can't place orders: spread=%s bid=%s ask=%s",
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spread.String(), bestBid.Price.String(), bestAsk.Price.String())
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continue
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}
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} else {
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bestBid, hasBid = s.sourceBook.BestBid()
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bestAsk, hasAsk = s.sourceBook.BestAsk()
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}
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if !hasBid || !hasAsk {
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log.Warn("no bids or asks on the source book or the trading book")
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continue
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}
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var spread = bestAsk.Price.Sub(bestBid.Price)
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var spreadPercentage = spread.Div(bestAsk.Price)
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log.Infof("spread=%s %s ask=%s bid=%s",
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spread.String(), spreadPercentage.Percentage(),
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bestAsk.Price.String(), bestBid.Price.String())
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// var spreadPercentage = spread.Float64() / bestBid.Price.Float64()
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var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two)
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var price = midPrice
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log.Infof("mid price %f", midPrice.String())
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var balances = s.tradingSession.Account.Balances()
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var quantity = s.tradingMarket.MinQuantity
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if s.Quantity.Sign() > 0 {
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quantity = fixedpoint.Min(s.Quantity, s.tradingMarket.MinQuantity)
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} else if s.SimulateVolume {
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s.mu.Lock()
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if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 {
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volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume)
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// change the current quantity only diff is positive
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if volumeDiff.Sign() > 0 {
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quantity = volumeDiff
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}
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if baseBalance, ok := balances[s.tradingMarket.BaseCurrency]; ok {
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quantity = fixedpoint.Min(quantity, baseBalance.Available)
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}
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if quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]; ok {
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maxQuantity := quoteBalance.Available.Div(price)
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quantity = fixedpoint.Min(quantity, maxQuantity)
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}
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}
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s.mu.Unlock()
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} else {
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// plus a 2% quantity jitter
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jitter := 1.0 + math.Max(0.02, rand.Float64())
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quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter))
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}
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var quoteAmount = price.Mul(quantity)
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if quoteAmount.Compare(s.tradingMarket.MinNotional) <= 0 {
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quantity = fixedpoint.Max(
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s.tradingMarket.MinQuantity,
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s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price))
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}
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createdOrders, err := tradingSession.Exchange.SubmitOrders(ctx, 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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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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// TimeInForce: "GTC",
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GroupID: s.groupID,
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}, 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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Quantity: quantity,
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Price: price,
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Market: s.tradingMarket,
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// TimeInForce: "GTC",
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GroupID: s.groupID,
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})
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if err != nil {
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log.WithError(err).Error("order submit error")
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}
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time.Sleep(time.Second)
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if err := tradingSession.Exchange.CancelOrders(ctx, createdOrders...); err != nil {
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log.WithError(err).Error("cancel order error")
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}
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}
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}
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}()
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return nil
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}
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