mirror of
https://github.com/c9s/bbgo.git
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692 lines
22 KiB
Go
692 lines
22 KiB
Go
package grid2
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import (
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"context"
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"fmt"
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"sync"
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"github.com/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/fixedpoint"
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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 = "grid2"
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var log = logrus.WithField("strategy", ID)
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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// Note: built-in strategies need to imported manually in the bbgo cmd package.
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type GridProfitStats struct {
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TotalProfit fixedpoint.Value `json:"totalProfit"`
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FloatProfit fixedpoint.Value `json:"floatProfit"`
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GridProfit fixedpoint.Value `json:"gridProfit"`
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ArbitrageCount int `json:"arbitrageCount"`
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TotalFee fixedpoint.Value `json:"totalFee"`
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Volume fixedpoint.Value `json:"volume"`
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}
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type Strategy struct {
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Environment *bbgo.Environment
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// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
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// This field will be injected automatically since we defined the Symbol field.
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types.Market `json:"-"`
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol"`
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// ProfitSpread is the fixed profit spread you want to submit the sell order
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ProfitSpread fixedpoint.Value `json:"profitSpread"`
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// GridNum is the grid number, how many orders you want to post on the orderbook.
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GridNum int64 `json:"gridNumber"`
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UpperPrice fixedpoint.Value `json:"upperPrice"`
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LowerPrice fixedpoint.Value `json:"lowerPrice"`
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// Compound option is used for buying more inventory when
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// the profit is made by the filled sell order.
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Compound bool `json:"compound"`
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// EarnBase option is used for earning profit in base currency.
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// e.g. earn BTC in BTCUSDT and earn ETH in ETHUSDT
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// instead of earn USDT in BTCUSD
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EarnBase bool `json:"earnBase"`
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// QuantityOrAmount embeds the Quantity field and the Amount field
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// If you set up the Quantity field or the Amount field, you don't need to set the QuoteInvestment and BaseInvestment
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bbgo.QuantityOrAmount
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// If Quantity and Amount is not set, we can use the quote investment to calculate our quantity.
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QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
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// BaseInvestment is the total base quantity you want to place as the sell order.
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BaseInvestment fixedpoint.Value `json:"baseInvestment"`
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// CloseWhenCancelOrder option is used to close the grid if any of the order is canceled.
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// This option let you simply remote control the grid from the crypto exchange mobile app.
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CloseWhenCancelOrder bool `json:"closeWhenCancelOrder"`
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grid *Grid
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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Position *types.Position `persistence:"position"`
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// orderStore is used to store all the created orders, so that we can filter the trades.
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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orderExecutor *bbgo.GeneralOrderExecutor
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// groupID is the group ID used for the strategy instance for canceling orders
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groupID uint32
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logger *logrus.Entry
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Validate() error {
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if s.UpperPrice.IsZero() {
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return errors.New("upperPrice can not be zero, you forgot to set?")
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}
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if s.LowerPrice.IsZero() {
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return errors.New("lowerPrice can not be zero, you forgot to set?")
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}
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if s.UpperPrice.Compare(s.LowerPrice) <= 0 {
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return fmt.Errorf("upperPrice (%s) should not be less than or equal to lowerPrice (%s)", s.UpperPrice.String(), s.LowerPrice.String())
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}
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if !s.ProfitSpread.IsZero() {
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percent := s.ProfitSpread.Div(s.LowerPrice)
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feeRate := fixedpoint.NewFromFloat(0.075 * 0.01)
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if percent.Compare(feeRate) < 0 {
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return fmt.Errorf("profitSpread %f %s is too small, less than the fee rate: %s", s.ProfitSpread.Float64(), percent.Percentage(), feeRate.Percentage())
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}
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}
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if s.GridNum == 0 {
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return fmt.Errorf("gridNum can not be zero")
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}
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if err := s.QuantityOrAmount.Validate(); err != nil {
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if s.QuoteInvestment.IsZero() && s.BaseInvestment.IsZero() {
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return err
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}
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}
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if !s.QuantityOrAmount.IsSet() && s.QuoteInvestment.IsZero() && s.BaseInvestment.IsZero() {
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return fmt.Errorf("one of quantity, amount, quoteInvestment must be set")
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}
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return nil
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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}
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// InstanceID returns the instance identifier from the current grid configuration parameters
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s-%s-%d-%d-%d", ID, s.Symbol, s.GridNum, s.UpperPrice.Int(), s.LowerPrice.Int())
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}
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func (s *Strategy) CloseGrid(ctx context.Context) error {
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bbgo.Sync(ctx, s)
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// now we can cancel the open orders
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s.logger.Infof("canceling grid orders...")
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if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
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return err
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}
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return nil
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}
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func (s *Strategy) handleOrderCanceled(o types.Order) {
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s.logger.Infof("GRID ORDER CANCELED: %s", o.String())
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ctx := context.Background()
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if s.CloseWhenCancelOrder {
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s.logger.Infof("one of the grid orders is canceled, now closing grid...")
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if err := s.CloseGrid(ctx); err != nil {
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s.logger.WithError(err).Errorf("graceful order cancel error")
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}
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}
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}
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func (s *Strategy) handleOrderFilled(o types.Order) {
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s.logger.Infof("GRID ORDER FILLED: %s", o.String())
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// check order fee
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newSide := types.SideTypeSell
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newPrice := o.Price
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newQuantity := o.Quantity
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// quantityReduction := fixedpoint.Zero
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switch o.Side {
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case types.SideTypeSell:
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newSide = types.SideTypeBuy
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if !s.ProfitSpread.IsZero() {
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newPrice = newPrice.Sub(s.ProfitSpread)
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} else {
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if pin, ok := s.grid.NextLowerPin(newPrice); ok {
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newPrice = fixedpoint.Value(pin)
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}
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}
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// use the profit to buy more inventory in the grid
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if s.Compound || s.EarnBase {
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quoteQuantity := o.Quantity.Mul(o.Price)
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newQuantity = quoteQuantity.Div(newPrice)
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}
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case types.SideTypeBuy:
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newSide = types.SideTypeSell
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if !s.ProfitSpread.IsZero() {
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newPrice = newPrice.Add(s.ProfitSpread)
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} else {
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if pin, ok := s.grid.NextHigherPin(newPrice); ok {
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newPrice = fixedpoint.Value(pin)
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}
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}
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if s.EarnBase {
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quoteQuantity := o.Quantity.Mul(o.Price)
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newQuantity = quoteQuantity.Div(newPrice)
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}
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}
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orderForm := types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.Market,
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Type: types.OrderTypeLimit,
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Price: newPrice,
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Side: newSide,
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TimeInForce: types.TimeInForceGTC,
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Quantity: newQuantity,
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Tag: "grid",
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}
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s.logger.Infof("SUBMIT ORDER: %s", orderForm.String())
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if createdOrders, err := s.orderExecutor.SubmitOrders(context.Background(), orderForm); err != nil {
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s.logger.WithError(err).Errorf("can not submit arbitrage order")
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} else {
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s.logger.Infof("order created: %+v", createdOrders)
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}
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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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instanceID := s.InstanceID()
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s.logger = log.WithFields(logrus.Fields{
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"symbol": s.Symbol,
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})
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s.groupID = util.FNV32(instanceID)
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s.logger.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.Bind()
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(ctx, s)
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})
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s.orderExecutor.ActiveMakerOrders().OnFilled(s.handleOrderFilled)
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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s.logger.Info(s.grid.String())
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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if err := s.CloseGrid(ctx); err != nil {
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s.logger.WithError(err).Errorf("grid graceful order cancel error")
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}
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})
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session.UserDataStream.OnStart(func() {
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if err := s.setupGridOrders(ctx, session); err != nil {
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s.logger.WithError(err).Errorf("failed to setup grid orders")
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}
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})
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return nil
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}
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type InvestmentBudget struct {
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baseInvestment fixedpoint.Value
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quoteInvestment fixedpoint.Value
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baseBalance fixedpoint.Value
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quoteBalance fixedpoint.Value
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}
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func (s *Strategy) checkRequiredInvestmentByQuantity(baseBalance, quoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
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// check more investment budget details
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requiredBase = fixedpoint.Zero
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requiredQuote = fixedpoint.Zero
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// when we need to place a buy-to-sell conversion order, we need to mark the price
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buyPlacedPrice := fixedpoint.Zero
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for i := len(pins) - 1; i >= 0; i-- {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
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if price.Compare(lastPrice) >= 0 {
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// for orders that sell
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// if we still have the base balance
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if requiredBase.Add(quantity).Compare(baseBalance) <= 0 {
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requiredBase = requiredBase.Add(quantity)
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} else if i > 0 { // we do not want to sell at i == 0
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// convert sell to buy quote and add to requiredQuote
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nextLowerPin := pins[i-1]
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nextLowerPrice := fixedpoint.Value(nextLowerPin)
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requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
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buyPlacedPrice = nextLowerPrice
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}
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} else {
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// for orders that buy
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if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
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continue
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}
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requiredQuote = requiredQuote.Add(quantity.Mul(price))
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}
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}
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if requiredBase.Compare(baseBalance) > 0 && requiredQuote.Compare(quoteBalance) > 0 {
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return requiredBase, requiredQuote, fmt.Errorf("both base balance (%f %s) or quote balance (%f %s) is not enough, required = base %f + quote %f",
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baseBalance.Float64(), s.Market.BaseCurrency,
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quoteBalance.Float64(), s.Market.QuoteCurrency,
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requiredBase.Float64(),
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requiredQuote.Float64())
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}
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if requiredBase.Compare(baseBalance) > 0 {
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return requiredBase, requiredQuote, fmt.Errorf("base balance (%f %s), required = base %f",
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baseBalance.Float64(), s.Market.BaseCurrency,
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requiredBase.Float64(),
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)
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}
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if requiredQuote.Compare(quoteBalance) > 0 {
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return requiredBase, requiredQuote, fmt.Errorf("quote balance (%f %s) is not enough, required = quote %f",
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quoteBalance.Float64(), s.Market.QuoteCurrency,
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requiredQuote.Float64(),
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)
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}
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return requiredBase, requiredQuote, nil
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}
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func (s *Strategy) checkRequiredInvestmentByAmount(baseBalance, quoteBalance, amount, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
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// check more investment budget details
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requiredBase = fixedpoint.Zero
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requiredQuote = fixedpoint.Zero
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// when we need to place a buy-to-sell conversion order, we need to mark the price
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buyPlacedPrice := fixedpoint.Zero
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for i := len(pins) - 1; i >= 0; i-- {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
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if price.Compare(lastPrice) >= 0 {
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// for orders that sell
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// if we still have the base balance
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quantity := amount.Div(lastPrice)
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if requiredBase.Add(quantity).Compare(baseBalance) <= 0 {
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requiredBase = requiredBase.Add(quantity)
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} else if i > 0 { // we do not want to sell at i == 0
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// convert sell to buy quote and add to requiredQuote
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nextLowerPin := pins[i-1]
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nextLowerPrice := fixedpoint.Value(nextLowerPin)
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requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
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buyPlacedPrice = nextLowerPrice
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}
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} else {
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// for orders that buy
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if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
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continue
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}
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requiredQuote = requiredQuote.Add(amount)
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}
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}
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if requiredBase.Compare(baseBalance) > 0 && requiredQuote.Compare(quoteBalance) > 0 {
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return requiredBase, requiredQuote, fmt.Errorf("both base balance (%f %s) or quote balance (%f %s) is not enough, required = base %f + quote %f",
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baseBalance.Float64(), s.Market.BaseCurrency,
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quoteBalance.Float64(), s.Market.QuoteCurrency,
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requiredBase.Float64(),
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requiredQuote.Float64())
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}
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if requiredBase.Compare(baseBalance) > 0 {
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return requiredBase, requiredQuote, fmt.Errorf("base balance (%f %s), required = base %f",
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baseBalance.Float64(), s.Market.BaseCurrency,
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requiredBase.Float64(),
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)
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}
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if requiredQuote.Compare(quoteBalance) > 0 {
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return requiredBase, requiredQuote, fmt.Errorf("quote balance (%f %s) is not enough, required = quote %f",
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quoteBalance.Float64(), s.Market.QuoteCurrency,
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requiredQuote.Float64(),
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)
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}
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return requiredBase, requiredQuote, nil
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}
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func (s *Strategy) calculateQuoteInvestmentQuantity(quoteInvestment, lastPrice fixedpoint.Value, pins []Pin) (fixedpoint.Value, error) {
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buyPlacedPrice := fixedpoint.Zero
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// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
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// =>
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// quoteInvestment = (p1 + p2 + p3) * q
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// q = quoteInvestment / (p1 + p2 + p3)
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totalQuotePrice := fixedpoint.Zero
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for i := len(pins) - 1; i >= 0; i-- {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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if price.Compare(lastPrice) >= 0 {
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// for orders that sell
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// if we still have the base balance
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// quantity := amount.Div(lastPrice)
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if i > 0 { // we do not want to sell at i == 0
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// convert sell to buy quote and add to requiredQuote
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nextLowerPin := pins[i-1]
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nextLowerPrice := fixedpoint.Value(nextLowerPin)
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// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
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totalQuotePrice = totalQuotePrice.Add(nextLowerPrice)
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buyPlacedPrice = nextLowerPrice
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}
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} else {
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// for orders that buy
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if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
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continue
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}
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totalQuotePrice = totalQuotePrice.Add(price)
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}
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}
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return quoteInvestment.Div(totalQuotePrice), nil
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}
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func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInvestment, lastPrice fixedpoint.Value, pins []Pin) (fixedpoint.Value, error) {
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s.logger.Infof("calculating quantity by quote/base investment: %f / %f", baseInvestment.Float64(), quoteInvestment.Float64())
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// q_p1 = q_p2 = q_p3 = q_p4
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// baseInvestment = q_p1 + q_p2 + q_p3 + q_p4 + ....
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// baseInvestment = numberOfSellOrders * q
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// maxBaseQuantity = baseInvestment / numberOfSellOrders
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// if maxBaseQuantity < minQuantity or maxBaseQuantity * priceLowest < minNotional
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// then reduce the numberOfSellOrders
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numberOfSellOrders := 0
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for i := len(pins) - 1; i >= 0; i-- {
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pin := pins[i]
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price := fixedpoint.Value(pin)
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if price.Compare(lastPrice) < 0 {
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break
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}
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numberOfSellOrders++
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}
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// if the maxBaseQuantity is less than minQuantity, then we need to reduce the number of the sell orders
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// so that the quantity can be increased.
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maxNumberOfSellOrders := numberOfSellOrders + 1
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minBaseQuantity := fixedpoint.Max(s.Market.MinNotional.Div(lastPrice), s.Market.MinQuantity)
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maxBaseQuantity := fixedpoint.Zero
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for maxBaseQuantity.Compare(s.Market.MinQuantity) <= 0 || maxBaseQuantity.Compare(minBaseQuantity) <= 0 {
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maxNumberOfSellOrders--
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maxBaseQuantity = baseInvestment.Div(fixedpoint.NewFromInt(int64(maxNumberOfSellOrders)))
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}
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s.logger.Infof("grid base investment sell orders: %d", maxNumberOfSellOrders)
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if maxNumberOfSellOrders > 0 {
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s.logger.Infof("grid base investment quantity range: %f <=> %f", minBaseQuantity.Float64(), maxBaseQuantity.Float64())
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}
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buyPlacedPrice := fixedpoint.Zero
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totalQuotePrice := fixedpoint.Zero
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// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
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// =>
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// quoteInvestment = (p1 + p2 + p3) * q
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// maxBuyQuantity = quoteInvestment / (p1 + p2 + p3)
|
|
for i := len(pins) - 1; i >= 0; i-- {
|
|
pin := pins[i]
|
|
price := fixedpoint.Value(pin)
|
|
|
|
if price.Compare(lastPrice) >= 0 {
|
|
// for orders that sell
|
|
// if we still have the base balance
|
|
// quantity := amount.Div(lastPrice)
|
|
if i > 0 { // we do not want to sell at i == 0
|
|
// convert sell to buy quote and add to requiredQuote
|
|
nextLowerPin := pins[i-1]
|
|
nextLowerPrice := fixedpoint.Value(nextLowerPin)
|
|
// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
|
|
totalQuotePrice = totalQuotePrice.Add(nextLowerPrice)
|
|
buyPlacedPrice = nextLowerPrice
|
|
}
|
|
} else {
|
|
// for orders that buy
|
|
if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
|
|
continue
|
|
}
|
|
|
|
totalQuotePrice = totalQuotePrice.Add(price)
|
|
}
|
|
}
|
|
|
|
quoteSideQuantity := quoteInvestment.Div(totalQuotePrice)
|
|
if maxNumberOfSellOrders > 0 {
|
|
return fixedpoint.Max(quoteSideQuantity, maxBaseQuantity), nil
|
|
}
|
|
|
|
return quoteSideQuantity, nil
|
|
}
|
|
|
|
// setupGridOrders
|
|
// 1) if quantity or amount is set, we should use quantity/amount directly instead of using investment amount to calculate.
|
|
// 2) if baseInvestment, quoteInvestment is set, then we should calculate the quantity from the given base investment and quote investment.
|
|
func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
|
|
lastPrice, err := s.getLastTradePrice(ctx, session)
|
|
if err != nil {
|
|
return errors.Wrap(err, "failed to get the last trade price")
|
|
}
|
|
|
|
// check if base and quote are enough
|
|
baseBalance, ok := session.Account.Balance(s.Market.BaseCurrency)
|
|
if !ok {
|
|
return fmt.Errorf("base %s balance not found", s.Market.BaseCurrency)
|
|
}
|
|
|
|
quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
|
|
if !ok {
|
|
return fmt.Errorf("quote %s balance not found", s.Market.QuoteCurrency)
|
|
}
|
|
|
|
totalBase := baseBalance.Available
|
|
totalQuote := quoteBalance.Available
|
|
|
|
// shift 1 grid because we will start from the buy order
|
|
// if the buy order is filled, then we will submit another sell order at the higher grid.
|
|
if s.QuantityOrAmount.IsSet() {
|
|
if quantity := s.QuantityOrAmount.Quantity; !quantity.IsZero() {
|
|
if _, _, err2 := s.checkRequiredInvestmentByQuantity(totalBase, totalQuote, lastPrice, s.QuantityOrAmount.Quantity, s.grid.Pins); err != nil {
|
|
return err2
|
|
}
|
|
}
|
|
if amount := s.QuantityOrAmount.Amount; !amount.IsZero() {
|
|
if _, _, err2 := s.checkRequiredInvestmentByAmount(totalBase, totalQuote, lastPrice, amount, s.grid.Pins); err != nil {
|
|
return err2
|
|
}
|
|
}
|
|
} else {
|
|
// calculate the quantity from the investment configuration
|
|
if !s.QuoteInvestment.IsZero() && !s.BaseInvestment.IsZero() {
|
|
quantity, err2 := s.calculateQuoteBaseInvestmentQuantity(s.QuoteInvestment, s.BaseInvestment, lastPrice, s.grid.Pins)
|
|
if err2 != nil {
|
|
return err2
|
|
}
|
|
s.QuantityOrAmount.Quantity = quantity
|
|
|
|
} else if !s.QuoteInvestment.IsZero() {
|
|
quantity, err2 := s.calculateQuoteInvestmentQuantity(s.QuoteInvestment, lastPrice, s.grid.Pins)
|
|
if err2 != nil {
|
|
return err2
|
|
}
|
|
s.QuantityOrAmount.Quantity = quantity
|
|
}
|
|
}
|
|
|
|
// if base investment and quote investment is set, when we should check if the
|
|
// investment configuration is valid with the current balances
|
|
if !s.BaseInvestment.IsZero() && !s.QuoteInvestment.IsZero() {
|
|
if s.BaseInvestment.Compare(totalBase) > 0 {
|
|
return fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", s.BaseInvestment.Float64(), totalBase.Float64())
|
|
}
|
|
if s.QuoteInvestment.Compare(totalQuote) > 0 {
|
|
return fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", s.QuoteInvestment.Float64(), totalQuote.Float64())
|
|
}
|
|
|
|
if !s.QuantityOrAmount.IsSet() {
|
|
// TODO: calculate and override the quantity here
|
|
}
|
|
}
|
|
|
|
var buyPlacedPrice = fixedpoint.Zero
|
|
var pins = s.grid.Pins
|
|
var usedBase = fixedpoint.Zero
|
|
var usedQuote = fixedpoint.Zero
|
|
var submitOrders []types.SubmitOrder
|
|
for i := len(pins) - 1; i >= 0; i-- {
|
|
pin := pins[i]
|
|
price := fixedpoint.Value(pin)
|
|
quantity := s.QuantityOrAmount.Quantity
|
|
if quantity.IsZero() {
|
|
quantity = s.QuantityOrAmount.Amount.Div(price)
|
|
}
|
|
|
|
// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
|
|
if price.Compare(lastPrice) >= 0 {
|
|
if usedBase.Add(quantity).Compare(totalBase) < 0 {
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: price,
|
|
Quantity: quantity,
|
|
Market: s.Market,
|
|
TimeInForce: types.TimeInForceGTC,
|
|
Tag: "grid",
|
|
})
|
|
usedBase = usedBase.Add(quantity)
|
|
} else if i > 0 {
|
|
// next price
|
|
nextPin := pins[i-1]
|
|
nextPrice := fixedpoint.Value(nextPin)
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeBuy,
|
|
Price: nextPrice,
|
|
Quantity: quantity,
|
|
Market: s.Market,
|
|
TimeInForce: types.TimeInForceGTC,
|
|
Tag: "grid",
|
|
})
|
|
quoteQuantity := quantity.Mul(price)
|
|
usedQuote = usedQuote.Add(quoteQuantity)
|
|
buyPlacedPrice = nextPrice
|
|
}
|
|
} else {
|
|
if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) >= 0 {
|
|
continue
|
|
}
|
|
|
|
submitOrders = append(submitOrders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeBuy,
|
|
Price: price,
|
|
Quantity: quantity,
|
|
Market: s.Market,
|
|
TimeInForce: types.TimeInForceGTC,
|
|
Tag: "grid",
|
|
})
|
|
quoteQuantity := quantity.Mul(price)
|
|
usedQuote = usedQuote.Add(quoteQuantity)
|
|
}
|
|
|
|
createdOrders, err2 := s.orderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err2 != nil {
|
|
return err
|
|
}
|
|
for _, order := range createdOrders {
|
|
s.logger.Infof(order.String())
|
|
}
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) getLastTradePrice(ctx context.Context, session *bbgo.ExchangeSession) (fixedpoint.Value, error) {
|
|
if bbgo.IsBackTesting {
|
|
price, ok := session.LastPrice(s.Symbol)
|
|
if !ok {
|
|
return fixedpoint.Zero, fmt.Errorf("last price of %s not found", s.Symbol)
|
|
}
|
|
|
|
return price, nil
|
|
}
|
|
|
|
tickers, err := session.Exchange.QueryTickers(ctx, s.Symbol)
|
|
if err != nil {
|
|
return fixedpoint.Zero, err
|
|
}
|
|
|
|
if ticker, ok := tickers[s.Symbol]; ok {
|
|
if !ticker.Last.IsZero() {
|
|
return ticker.Last, nil
|
|
}
|
|
|
|
// fallback to buy price
|
|
return ticker.Buy, nil
|
|
}
|
|
|
|
return fixedpoint.Zero, fmt.Errorf("%s ticker price not found", s.Symbol)
|
|
}
|