bbgo_origin/pkg/strategy/bollmaker/strategy.go

683 lines
20 KiB
Go

package bollmaker
import (
"context"
"fmt"
"math"
"sync"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/exchange/max"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
)
// TODO:
// 1) add option for placing orders only when in neutral band
// 2) add option for only placing buy orders when price is below the SMA line
const ID = "bollmaker"
const stateKey = "state-v1"
var one = fixedpoint.NewFromFloat(1.0)
var defaultFeeRate = fixedpoint.NewFromFloat(0.001)
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type State struct {
Position *types.Position `json:"position,omitempty"`
ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
}
type BollingerSetting struct {
types.IntervalWindow
BandWidth float64 `json:"bandWidth"`
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability
*bbgo.Persistence
StandardIndicatorSet *bbgo.StandardIndicatorSet
// Symbol is the market symbol you want to trade
Symbol string `json:"symbol"`
// Interval is how long do you want to update your order price and quantity
Interval types.Interval `json:"interval"`
bbgo.QuantityOrAmount
// Spread is the price spread from the middle price.
// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
// Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
Spread fixedpoint.Value `json:"spread"`
// BidSpread overrides the spread setting, this spread will be used for the buy order
BidSpread fixedpoint.Value `json:"bidSpread,omitempty"`
// AskSpread overrides the spread setting, this spread will be used for the sell order
AskSpread fixedpoint.Value `json:"askSpread,omitempty"`
// MinProfitSpread is the minimal order price spread from the current average cost.
// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
// UseTickerPrice use the ticker api to get the mid price instead of the closed kline price.
// The back-test engine is kline-based, so the ticker price api is not supported.
// Turn this on if you want to do real trading.
UseTickerPrice bool `json:"useTickerPrice"`
// MaxExposurePosition is the maximum position you can hold
// +10 means you can hold 10 ETH long position by maximum
// -10 means you can hold -10 ETH short position by maximum
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
// DynamicExposurePositionScale is used to define the exposure position range with the given percentage
// when DynamicExposurePositionScale is set,
// your MaxExposurePosition will be calculated dynamically according to the bollinger band you set.
DynamicExposurePositionScale *bbgo.PercentageScale `json:"dynamicExposurePositionScale"`
// Long means your position will be long position
// Currently not used yet
Long *bool `json:"long,omitempty"`
// Short means your position will be long position
// Currently not used yet
Short *bool `json:"short,omitempty"`
// DisableShort means you can don't want short position during the market making
// Set to true if you want to hold more spot during market making.
DisableShort bool `json:"disableShort"`
// BuyBelowNeutralSMA if true, the market maker will only place buy order when the current price is below the neutral band SMA.
BuyBelowNeutralSMA bool `json:"buyBelowNeutralSMA"`
// NeutralBollinger is the smaller range of the bollinger band
// If price is in this band, it usually means the price is oscillating.
// If price goes out of this band, we tend to not place sell orders or buy orders
NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
// DefaultBollinger is the wide range of the bollinger band
// for controlling your exposure position
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
// DowntrendSkew is the order quantity skew for normal downtrend band.
// The price is still in the default bollinger band.
// greater than 1.0 means when placing buy order, place sell order with less quantity
// less than 1.0 means when placing sell order, place buy order with less quantity
DowntrendSkew fixedpoint.Value `json:"downtrendSkew"`
// UptrendSkew is the order quantity skew for normal uptrend band.
// The price is still in the default bollinger band.
// greater than 1.0 means when placing buy order, place sell order with less quantity
// less than 1.0 means when placing sell order, place buy order with less quantity
UptrendSkew fixedpoint.Value `json:"uptrendSkew"`
// TradeInBand
// When this is on, places orders only when the current price is in the bollinger band.
TradeInBand bool `json:"tradeInBand"`
// ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow)
ShadowProtection bool `json:"shadowProtection"`
ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
bbgo.SmartStops
session *bbgo.ExchangeSession
book *types.StreamOrderBook
market types.Market
state *State
activeMakerOrders *bbgo.LocalActiveOrderBook
orderStore *bbgo.OrderStore
tradeCollector *bbgo.TradeCollector
groupID uint32
stopC chan struct{}
// defaultBoll is the BOLLINGER indicator we used for predicting the price.
defaultBoll *indicator.BOLL
// neutralBoll is the neutral price section
neutralBoll *indicator.BOLL
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Initialize() error {
return s.SmartStops.InitializeStopControllers(s.Symbol)
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: string(s.Interval),
})
if s.DefaultBollinger != nil && s.DefaultBollinger.Interval != "" {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: string(s.DefaultBollinger.Interval),
})
}
if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: string(s.NeutralBollinger.Interval),
})
}
s.SmartStops.Subscribe(session)
}
func (s *Strategy) Validate() error {
if len(s.Symbol) == 0 {
return errors.New("symbol is required")
}
return nil
}
func (s *Strategy) CurrentPosition() *types.Position {
return s.state.Position
}
func (s *Strategy) ClosePosition(ctx context.Context, percentage float64) error {
base := s.state.Position.GetBase()
if base == 0 {
return fmt.Errorf("no opened %s position", s.state.Position.Symbol)
}
// make it negative
quantity := base.MulFloat64(percentage).Abs()
side := types.SideTypeBuy
if base > 0 {
side = types.SideTypeSell
}
if quantity.Float64() < s.market.MinQuantity {
return fmt.Errorf("order quantity %f is too small, less than %f", quantity.Float64(), s.market.MinQuantity)
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity.Float64(),
Market: s.market,
}
s.Notify("Submitting %s %s order to close position by %f", s.Symbol, side.String(), percentage, submitOrder)
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place position close order")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
return err
}
func (s *Strategy) SaveState() error {
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
return err
} else {
log.Infof("state is saved => %+v", s.state)
}
return nil
}
func (s *Strategy) LoadState() error {
var state State
// load position
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
if err != service.ErrPersistenceNotExists {
return err
}
s.state = &State{}
} else {
s.state = &state
log.Infof("state is restored: %+v", s.state)
}
// if position is nil, we need to allocate a new position for calculation
if s.state.Position == nil {
s.state.Position = types.NewPositionFromMarket(s.market)
}
// init profit states
s.state.ProfitStats.Symbol = s.market.Symbol
s.state.ProfitStats.BaseCurrency = s.market.BaseCurrency
s.state.ProfitStats.QuoteCurrency = s.market.QuoteCurrency
if s.state.ProfitStats.AccumulatedSince == 0 {
s.state.ProfitStats.AccumulatedSince = time.Now().Unix()
}
return nil
}
func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fixedpoint.Value, error) {
if s.DynamicExposurePositionScale != nil {
v, err := s.DynamicExposurePositionScale.Scale(bandPercentage)
if err != nil {
return 0, err
}
return fixedpoint.NewFromFloat(v), nil
}
return s.MaxExposurePosition, nil
}
func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, kline *types.KLine) {
bidSpread := s.Spread
if s.BidSpread > 0 {
bidSpread = s.BidSpread
}
askSpread := s.Spread
if s.AskSpread > 0 {
askSpread = s.AskSpread
}
askPrice := midPrice.Mul(one + askSpread)
bidPrice := midPrice.Mul(one - bidSpread)
base := s.state.Position.GetBase()
balances := s.session.Account.Balances()
log.Infof("mid price:%f spread: %s ask:%f bid: %f position: %s",
midPrice.Float64(),
s.Spread.Percentage(),
askPrice.Float64(),
bidPrice.Float64(),
s.state.Position.String(),
)
sellQuantity := s.QuantityOrAmount.CalculateQuantity(askPrice)
buyQuantity := s.QuantityOrAmount.CalculateQuantity(bidPrice)
sellOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: sellQuantity.Float64(),
Price: askPrice.Float64(),
Market: s.market,
GroupID: s.groupID,
}
buyOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: buyQuantity.Float64(),
Price: bidPrice.Float64(),
Market: s.market,
GroupID: s.groupID,
}
var submitOrders []types.SubmitOrder
baseBalance, hasBaseBalance := balances[s.market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.market.QuoteCurrency]
downBand := s.defaultBoll.LastDownBand()
upBand := s.defaultBoll.LastUpBand()
sma := s.defaultBoll.LastSMA()
log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)
bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
log.Infof("mid price band percentage: %f", bandPercentage)
maxExposurePosition, err := s.getCurrentAllowedExposurePosition(bandPercentage)
if err != nil {
log.WithError(err).Errorf("can not calculate CurrentAllowedExposurePosition")
return
}
log.Infof("calculated max exposure position: %f", maxExposurePosition.Float64())
canSell := true
canBuy := true
if maxExposurePosition > 0 && base > maxExposurePosition {
canBuy = false
}
if maxExposurePosition > 0 {
if s.Long != nil && *s.Long && base < 0 {
canSell = false
} else if base < -maxExposurePosition {
canSell = false
}
}
if s.ShadowProtection && kline != nil {
switch kline.Direction() {
case types.DirectionDown:
shadowHeight := kline.GetLowerShadowHeight()
shadowRatio := kline.GetLowerShadowRatio()
if shadowHeight == 0.0 && shadowRatio < s.ShadowProtectionRatio.Float64() {
log.Infof("%s shadow protection enabled, lower shadow ratio %f < %f", s.Symbol, shadowRatio, s.ShadowProtectionRatio.Float64())
canBuy = false
}
case types.DirectionUp:
shadowHeight := kline.GetUpperShadowHeight()
shadowRatio := kline.GetUpperShadowRatio()
if shadowHeight == 0.0 || shadowRatio < s.ShadowProtectionRatio.Float64() {
log.Infof("%s shadow protection enabled, upper shadow ratio %f < %f", s.Symbol, shadowRatio, s.ShadowProtectionRatio.Float64())
canSell = false
}
}
}
// Apply quantity skew
// CASE #1:
// WHEN: price is in the neutral bollginer band (window 1) == neutral
// THEN: we don't apply skew
// CASE #2:
// WHEN: price is in the upper band (window 2 > price > window 1) == upTrend
// THEN: we apply upTrend skew
// CASE #3:
// WHEN: price is in the lower band (window 2 < price < window 1) == downTrend
// THEN: we apply downTrend skew
// CASE #4:
// WHEN: price breaks the lower band (price < window 2) == strongDownTrend
// THEN: we apply strongDownTrend skew
// CASE #5:
// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
// THEN: we apply strongUpTrend skew
if s.TradeInBand {
if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
return
}
}
trend := s.detectPriceTrend(s.neutralBoll, midPrice.Float64())
switch trend {
case NeutralTrend:
// do nothing
case UpTrend:
skew := s.UptrendSkew.Float64()
buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew)
case DownTrend:
skew := s.DowntrendSkew.Float64()
ratio := 1.0 / skew
sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio)
}
if !hasQuoteBalance || (buyOrder.Quantity*buyOrder.Price) > quoteBalance.Available.Float64() {
canBuy = false
}
if !hasBaseBalance || sellOrder.Quantity > baseBalance.Available.Float64() {
canSell = false
}
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) {
canSell = false
}
if s.Long != nil && *s.Long && (base.Float64()-sellOrder.Quantity < 0) {
canSell = false
}
if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
canBuy = false
}
if canSell {
submitOrders = append(submitOrders, sellOrder)
}
if canBuy {
submitOrders = append(submitOrders, buyOrder)
}
// condition for lower the average cost
/*
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
submitOrders = append(submitOrders, buyOrder)
}
*/
if len(submitOrders) == 0 {
return
}
for i := range submitOrders {
submitOrders[i] = s.adjustOrderQuantity(submitOrders[i])
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Errorf("can not place ping pong orders")
}
s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...)
}
type PriceTrend string
const (
NeutralTrend PriceTrend = "neutral"
UpTrend PriceTrend = "upTrend"
DownTrend PriceTrend = "downTrend"
UnknownTrend PriceTrend = "unknown"
)
func (s *Strategy) detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) {
return NeutralTrend
}
if price < inc.LastDownBand() {
return DownTrend
}
if price > inc.LastUpBand() {
return UpTrend
}
return UnknownTrend
}
func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
if submitOrder.Quantity*submitOrder.Price < s.market.MinNotional {
submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.market.MinNotional*1.1)
}
if submitOrder.Quantity < s.market.MinQuantity {
submitOrder.Quantity = math.Max(submitOrder.Quantity, s.market.MinQuantity)
}
return submitOrder
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.DisableShort {
s.Long = &[]bool{true}[0]
}
if s.MinProfitSpread == 0 {
s.MinProfitSpread = fixedpoint.NewFromFloat(0.001)
}
if s.UptrendSkew == 0 {
s.UptrendSkew = fixedpoint.NewFromFloat(1.0 / 1.2)
}
if s.DowntrendSkew == 0 {
s.DowntrendSkew = fixedpoint.NewFromFloat(1.2)
}
if s.ShadowProtectionRatio == 0 {
s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
}
// initial required information
s.session = session
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s not found", s.Symbol)
}
s.market = market
s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
// calculate group id for orders
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
s.groupID = max.GenerateGroupID(instanceID)
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
// restore state
if err := s.LoadState(); err != nil {
return err
}
s.stopC = make(chan struct{})
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(session.UserDataStream)
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
s.tradeCollector.OnProfit(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
log.Infof("generated profit: %f", profit.Float64())
p := bbgo.Profit{
Symbol: s.Symbol,
Profit: profit,
NetProfit: netProfit,
TradeAmount: fixedpoint.NewFromFloat(trade.QuoteQuantity),
ProfitMargin: profit.DivFloat64(trade.QuoteQuantity),
NetProfitMargin: netProfit.DivFloat64(trade.QuoteQuantity),
QuoteCurrency: s.state.Position.QuoteCurrency,
BaseCurrency: s.state.Position.BaseCurrency,
Time: trade.Time.Time(),
}
s.state.ProfitStats.AddProfit(p)
s.Notify(&p)
s.Notify(&s.state.ProfitStats)
})
s.tradeCollector.OnTrade(func(trade types.Trade) {
s.Notifiability.Notify(trade)
s.state.ProfitStats.AddTrade(trade)
})
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)
s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
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 || kline.Interval != s.Interval {
return
}
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
// check if there is a canceled order had partially filled.
s.tradeCollector.Process()
if s.UseTickerPrice {
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
return
}
mid := (ticker.Buy + ticker.Sell) / 2
log.Infof("using ticker price: bid %f / ask %f, mid price %f", ticker.Buy, ticker.Sell, mid)
midPrice := fixedpoint.NewFromFloat(mid)
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
}
func calculateBandPercentage(up, down, sma, midPrice float64) float64 {
if midPrice < sma {
// should be negative percentage
return (midPrice - sma) / math.Abs(sma-down)
} else if midPrice > sma {
// should be positive percentage
return (midPrice - sma) / math.Abs(up-sma)
}
return 0.0
}
func inBetween(x, a, b float64) bool {
return a < x && x < b
}