mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
403 lines
14 KiB
Go
403 lines
14 KiB
Go
package irr
|
|
|
|
import (
|
|
"bytes"
|
|
"context"
|
|
"errors"
|
|
"fmt"
|
|
"os"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/interact"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
"github.com/wcharczuk/go-chart/v2"
|
|
)
|
|
|
|
const ID = "oneliner"
|
|
|
|
var one = fixedpoint.One
|
|
var zero = fixedpoint.Zero
|
|
var Fee = 0.0008 // taker fee % * 2, for upper bound
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type Strategy struct {
|
|
Environment *bbgo.Environment
|
|
Symbol string `json:"symbol"`
|
|
Market types.Market
|
|
|
|
types.IntervalWindow
|
|
|
|
// persistence fields
|
|
Position *types.Position `persistence:"position"`
|
|
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
|
|
TradeStats *types.TradeStats `persistence:"trade_stats"`
|
|
|
|
activeOrders *bbgo.ActiveOrderBook
|
|
|
|
ExitMethods bbgo.ExitMethodSet `json:"exits"`
|
|
|
|
session *bbgo.ExchangeSession
|
|
orderExecutor *bbgo.GeneralOrderExecutor
|
|
|
|
bbgo.QuantityOrAmount
|
|
nrr *NRR
|
|
|
|
// StrategyController
|
|
bbgo.StrategyController
|
|
|
|
// plotting
|
|
bbgo.SourceSelector
|
|
alpha *NRR
|
|
priceLines *types.Queue
|
|
trendLine types.UpdatableSeriesExtend
|
|
ma types.UpdatableSeriesExtend
|
|
stdevHigh *indicator.StdDev
|
|
stdevLow *indicator.StdDev
|
|
atr *indicator.ATR
|
|
midPrice fixedpoint.Value
|
|
lock sync.RWMutex `ignore:"true"`
|
|
positionLock sync.RWMutex `ignore:"true"`
|
|
startTime time.Time
|
|
minutesCounter int
|
|
orderPendingCounter map[uint64]int
|
|
frameKLine *types.KLine
|
|
kline1m *types.KLine
|
|
|
|
beta float64
|
|
|
|
StopLoss fixedpoint.Value `json:"stoploss"`
|
|
CanvasPath string `json:"canvasPath"`
|
|
PredictOffset int `json:"predictOffset"`
|
|
HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
|
|
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
|
|
TrailingStopLossType string `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
|
|
HLRangeWindow int `json:"hlRangeWindow"`
|
|
Window1m int `json:"window1m"`
|
|
FisherTransformWindow1m int `json:"fisherTransformWindow1m"`
|
|
SmootherWindow1m int `json:"smootherWindow1m"`
|
|
SmootherWindow int `json:"smootherWindow"`
|
|
FisherTransformWindow int `json:"fisherTransformWindow"`
|
|
ATRWindow int `json:"atrWindow"`
|
|
PendingMinutes int `json:"pendingMinutes"` // if order not be traded for pendingMinutes of time, cancel it.
|
|
NoRebalance bool `json:"noRebalance"` // disable rebalance
|
|
TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
|
|
RebalanceFilter float64 `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
|
|
TrailingCallbackRate []float64 `json:"trailingCallbackRate"`
|
|
TrailingActivationRatio []float64 `json:"trailingActivationRatio"`
|
|
|
|
// This is not related to trade but for statistics graph generation
|
|
// Will deduct fee in percentage from every trade
|
|
GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
|
|
GraphPNLPath string `json:"graphPNLPath"`
|
|
GraphCumPNLPath string `json:"graphCumPNLPath"`
|
|
// Whether to generate graph when shutdown
|
|
GenerateGraph bool `json:"generateGraph"`
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
|
|
if !bbgo.IsBackTesting {
|
|
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
|
|
}
|
|
|
|
s.ExitMethods.SetAndSubscribe(session, s)
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
var instanceID = s.InstanceID()
|
|
|
|
if s.Position == nil {
|
|
s.Position = types.NewPositionFromMarket(s.Market)
|
|
}
|
|
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = types.NewProfitStats(s.Market)
|
|
}
|
|
|
|
if s.TradeStats == nil {
|
|
s.TradeStats = types.NewTradeStats(s.Symbol)
|
|
}
|
|
|
|
// StrategyController
|
|
s.Status = types.StrategyStatusRunning
|
|
|
|
s.OnSuspend(func() {
|
|
// Cancel active orders
|
|
_ = s.orderExecutor.GracefulCancel(ctx)
|
|
})
|
|
|
|
s.OnEmergencyStop(func() {
|
|
// Cancel active orders
|
|
_ = s.orderExecutor.GracefulCancel(ctx)
|
|
// Close 100% position
|
|
//_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
})
|
|
|
|
// initial required information
|
|
s.session = session
|
|
|
|
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
|
s.orderExecutor.BindEnvironment(s.Environment)
|
|
s.orderExecutor.BindProfitStats(s.ProfitStats)
|
|
s.orderExecutor.BindTradeStats(s.TradeStats)
|
|
|
|
//modify := func(p float64) float64 {
|
|
// return p
|
|
//}
|
|
//if s.GraphPNLDeductFee {
|
|
// modify = func(p float64) float64 {
|
|
// return p * (1. - Fee)
|
|
// }
|
|
//}
|
|
profit := floats.Slice{1., 1.}
|
|
price, _ := s.session.LastPrice(s.Symbol)
|
|
initAsset := s.CalcAssetValue(price).Float64()
|
|
cumProfit := floats.Slice{initAsset, initAsset}
|
|
s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, netProfit fixedpoint.Value) {
|
|
profit.Update(netProfit.Float64())
|
|
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
|
|
})
|
|
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Sync(s)
|
|
})
|
|
s.orderExecutor.Bind()
|
|
s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
|
|
|
for _, method := range s.ExitMethods {
|
|
method.Bind(session, s.orderExecutor)
|
|
}
|
|
|
|
kLineStore, _ := s.session.MarketDataStore(s.Symbol)
|
|
s.nrr = &NRR{IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval}, RankingWindow: s.Window}
|
|
s.nrr.BindK(s.session.MarketDataStream, s.Symbol, s.Interval)
|
|
if klines, ok := kLineStore.KLinesOfInterval(s.nrr.Interval); ok {
|
|
s.nrr.LoadK((*klines)[0:])
|
|
}
|
|
|
|
//startTime := s.Environment.StartTime()
|
|
//s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1h, startTime))
|
|
|
|
s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
|
|
|
|
// ts_rank(): transformed to [0~1] which divided equally
|
|
// queued first signal as its initial process
|
|
// important: delayed signal in order to submit order at current kline close (a.k.a. next open while in production)
|
|
// instead of right in current kline open
|
|
|
|
// alpha-weighted assets (inventory and capital)
|
|
targetBase := s.QuantityOrAmount.CalculateQuantity(kline.Close).Mul(fixedpoint.NewFromFloat(s.nrr.RankedValues.Index(1)))
|
|
diffQty := targetBase.Sub(s.Position.Base)
|
|
|
|
log.Infof("decision alpah: %f, ranked negative return: %f, current position: %f, target position diff: %f", s.nrr.RankedValues.Index(1), s.nrr.RankedValues.Last(), s.Position.Base.Float64(), diffQty.Float64())
|
|
|
|
// use kline direction to prevent reversing position too soon
|
|
if diffQty.Sign() > 0 { // && kline.Direction() >= 0
|
|
s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Long: true, MarketOrder: true})
|
|
} else if diffQty.Sign() < 0 { // && kline.Direction() <= 0
|
|
s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Short: true, MarketOrder: true})
|
|
}
|
|
|
|
}))
|
|
|
|
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
|
|
canvas := s.DrawIndicators(s.frameKLine.StartTime)
|
|
var buffer bytes.Buffer
|
|
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
|
log.WithError(err).Errorf("cannot render indicators in oneliner")
|
|
reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
|
|
return
|
|
}
|
|
bbgo.SendPhoto(&buffer)
|
|
})
|
|
|
|
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
|
|
canvas := s.DrawPNL(&profit)
|
|
var buffer bytes.Buffer
|
|
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
|
log.WithError(err).Errorf("cannot render pnl in oneliner")
|
|
reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
|
|
return
|
|
}
|
|
bbgo.SendPhoto(&buffer)
|
|
})
|
|
|
|
bbgo.RegisterCommand("/cumpnl", "Draw Cumulative PNL(Quote)", func(reply interact.Reply) {
|
|
canvas := s.DrawCumPNL(&cumProfit)
|
|
var buffer bytes.Buffer
|
|
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
|
log.WithError(err).Errorf("cannot render cumpnl in oneliner")
|
|
reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
|
|
return
|
|
}
|
|
bbgo.SendPhoto(&buffer)
|
|
})
|
|
|
|
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
|
|
_ = s.orderExecutor.GracefulCancel(ctx)
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
|
|
balances := s.session.GetAccount().Balances()
|
|
return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
|
|
}
|
|
|
|
func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
|
|
canvas := types.NewCanvas(s.InstanceID())
|
|
//log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
|
|
length := profit.Length()
|
|
if s.GraphPNLDeductFee {
|
|
canvas.PlotRaw("pnl (with Fee Deducted)", profit, length)
|
|
} else {
|
|
canvas.PlotRaw("pnl", profit, length)
|
|
}
|
|
canvas.YAxis = chart.YAxis{
|
|
ValueFormatter: func(v interface{}) string {
|
|
if vf, isFloat := v.(float64); isFloat {
|
|
return fmt.Sprintf("%.4f", vf)
|
|
}
|
|
return ""
|
|
},
|
|
}
|
|
canvas.PlotRaw("1", types.NumberSeries(1), length)
|
|
return canvas
|
|
}
|
|
|
|
func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
|
|
canvas := types.NewCanvas(s.InstanceID())
|
|
canvas.PlotRaw("cumulative pnl", cumProfit, cumProfit.Length())
|
|
canvas.YAxis = chart.YAxis{
|
|
ValueFormatter: func(v interface{}) string {
|
|
if vf, isFloat := v.(float64); isFloat {
|
|
return fmt.Sprintf("%.4f", vf)
|
|
}
|
|
return ""
|
|
},
|
|
}
|
|
return canvas
|
|
}
|
|
|
|
func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
|
|
s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
|
s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
|
s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
|
s.alpha = &NRR{
|
|
IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval},
|
|
}
|
|
s.alpha.SeriesBase.Series = s.alpha
|
|
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
|
|
s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}}
|
|
|
|
klines, ok := store.KLinesOfInterval(s.Interval)
|
|
klinesLength := len(*klines)
|
|
if !ok || klinesLength == 0 {
|
|
return errors.New("klines not exists")
|
|
}
|
|
for _, kline := range *klines {
|
|
source := s.GetSource(&kline).Float64()
|
|
high := kline.High.Float64()
|
|
low := kline.Low.Float64()
|
|
s.ma.Update(source)
|
|
s.stdevHigh.Update(high - s.ma.Last())
|
|
s.stdevLow.Update(s.ma.Last() - low)
|
|
s.alpha.Update(kline.Close.Float64())
|
|
s.trendLine.Update(source)
|
|
s.atr.PushK(kline)
|
|
s.priceLines.Update(source)
|
|
}
|
|
if s.frameKLine != nil && klines != nil {
|
|
s.frameKLine.Set(&(*klines)[len(*klines)-1])
|
|
}
|
|
klines, ok = store.KLinesOfInterval(types.Interval1m)
|
|
klinesLength = len(*klines)
|
|
if !ok || klinesLength == 0 {
|
|
return errors.New("klines not exists")
|
|
}
|
|
if s.kline1m != nil && klines != nil {
|
|
s.kline1m.Set(&(*klines)[len(*klines)-1])
|
|
}
|
|
s.startTime = s.kline1m.StartTime.Time().Add(s.kline1m.Interval.Duration())
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
|
|
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
|
|
Length := s.priceLines.Length()
|
|
if Length > 300 {
|
|
Length = 300
|
|
}
|
|
log.Infof("draw indicators with %d data", Length)
|
|
mean := s.priceLines.Mean(Length)
|
|
highestPrice := s.priceLines.Minus(mean).Abs().Highest(Length)
|
|
highestDrift := s.alpha.Abs().Highest(Length)
|
|
hi := s.alpha.Abs().Highest(Length)
|
|
ratio := highestPrice / highestDrift
|
|
|
|
canvas.Plot("alpha", s.alpha.Mul(ratio).Add(mean), time, Length)
|
|
canvas.Plot("driftOrig", s.alpha.Mul(highestPrice/hi).Add(mean), time, Length)
|
|
canvas.Plot("zero", types.NumberSeries(mean), time, Length)
|
|
canvas.Plot("price", s.priceLines, time, Length)
|
|
return canvas
|
|
}
|
|
|
|
func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series) {
|
|
canvas := s.DrawIndicators(time)
|
|
f, err := os.Create(s.CanvasPath)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
|
|
return
|
|
}
|
|
defer f.Close()
|
|
if err := canvas.Render(chart.PNG, f); err != nil {
|
|
log.WithError(err).Errorf("cannot render in drift")
|
|
}
|
|
|
|
canvas = s.DrawPNL(profit)
|
|
f, err = os.Create(s.GraphPNLPath)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("open pnl")
|
|
return
|
|
}
|
|
defer f.Close()
|
|
if err := canvas.Render(chart.PNG, f); err != nil {
|
|
log.WithError(err).Errorf("render pnl")
|
|
}
|
|
|
|
canvas = s.DrawCumPNL(cumProfit)
|
|
f, err = os.Create(s.GraphCumPNLPath)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("open cumpnl")
|
|
return
|
|
}
|
|
defer f.Close()
|
|
if err := canvas.Render(chart.PNG, f); err != nil {
|
|
log.WithError(err).Errorf("render cumpnl")
|
|
}
|
|
}
|