bbgo_origin/pkg/strategy/xpuremaker/strategy.go

package xpuremaker

import (
	"context"
	"math"
	"time"

	log "github.com/sirupsen/logrus"

	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/fixedpoint"
	"github.com/c9s/bbgo/pkg/types"
)

const ID = "xpuremaker"

var Ten = fixedpoint.NewFromInt(10)

func init() {
	bbgo.RegisterStrategy(ID, &Strategy{})
}

type Strategy struct {
	Symbol       string           `json:"symbol"`
	Side         string           `json:"side"`
	NumOrders    int              `json:"numOrders"`
	BehindVolume fixedpoint.Value `json:"behindVolume"`
	PriceTick    fixedpoint.Value `json:"priceTick"`
	BaseQuantity fixedpoint.Value `json:"baseQuantity"`
	BuySellRatio float64          `json:"buySellRatio"`

	book         *types.StreamOrderBook
	activeOrders map[string]types.Order
}

func (s *Strategy) ID() string {
	return ID
}

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
	session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
}

func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {

	s.book = types.NewStreamBook(s.Symbol)
	s.book.BindStream(session.UserDataStream)

	s.activeOrders = make(map[string]types.Order)

	// We can move the go routine to the parent level.
	go func() {
		ticker := time.NewTicker(1 * time.Minute)
		defer ticker.Stop()

		s.update(orderExecutor, session)

		for {
			select {
			case <-ctx.Done():
				return

			case <-s.book.C:
				s.update(orderExecutor, session)

			case <-ticker.C:
				s.update(orderExecutor, session)
			}
		}
	}()

	return nil
}

func (s *Strategy) cancelOrders(session *bbgo.ExchangeSession) {
	var deletedIDs []string
	for clientOrderID, o := range s.activeOrders {
		log.Infof("canceling order: %+v", o)

		if err := session.Exchange.CancelOrders(context.Background(), o); err != nil {
			log.WithError(err).Error("cancel order error")
			continue
		}

		deletedIDs = append(deletedIDs, clientOrderID)
	}
	s.book.C.Drain(1*time.Second, 3*time.Second)

	for _, id := range deletedIDs {
		delete(s.activeOrders, id)
	}
}

func (s *Strategy) update(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
	s.cancelOrders(session)

	switch s.Side {
	case "buy":
		s.updateOrders(orderExecutor, session, types.SideTypeBuy)
	case "sell":
		s.updateOrders(orderExecutor, session, types.SideTypeSell)
	case "both":
		s.updateOrders(orderExecutor, session, types.SideTypeBuy)
		s.updateOrders(orderExecutor, session, types.SideTypeSell)

	default:
		log.Panicf("undefined side: %s", s.Side)
	}

	s.book.C.Drain(1*time.Second, 3*time.Second)
}

func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession, side types.SideType) {
	var book = s.book.Copy()
	var pvs = book.SideBook(side)
	if pvs == nil || len(pvs) == 0 {
		log.Warnf("empty side: %s", side)
		return
	}

	log.Infof("placing order behind volume: %f", s.BehindVolume.Float64())

	idx := pvs.IndexByVolumeDepth(s.BehindVolume)
	if idx == -1 || idx > len(pvs)-1 {
		// do not place orders
		log.Warn("depth is not enough")
		return
	}

	var depthPrice = pvs[idx].Price
	var orders = s.generateOrders(s.Symbol, side, depthPrice, s.PriceTick, s.BaseQuantity, s.NumOrders)
	if len(orders) == 0 {
		log.Warn("empty orders")
		return
	}

	createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orders...)
	if err != nil {
		log.WithError(err).Errorf("order submit error")
		return
	}

	// add created orders to the list
	for i, o := range createdOrders {
		s.activeOrders[o.ClientOrderID] = createdOrders[i]
	}
}

func (s *Strategy) generateOrders(symbol string, side types.SideType, price, priceTick, baseQuantity fixedpoint.Value, numOrders int) (orders []types.SubmitOrder) {
	var expBase = fixedpoint.Zero

	switch side {
	case types.SideTypeBuy:
		if priceTick.Sign() > 0 {
			priceTick = priceTick.Neg()
		}

	case types.SideTypeSell:
		if priceTick.Sign() < 0 {
			priceTick = priceTick.Neg()
		}
	}

	decdigits := priceTick.Abs().NumIntDigits()
	step := priceTick.Abs().MulExp(-decdigits + 1)

	for i := 0; i < numOrders; i++ {
		quantityExp := fixedpoint.NewFromFloat(math.Exp(expBase.Float64()))
		volume := baseQuantity.Mul(quantityExp)
		amount := volume.Mul(price)
		// skip order less than 10usd
		if amount.Compare(Ten) < 0 {
			log.Warnf("amount too small (< 10usd). price=%s volume=%s amount=%s",
				price.String(), volume.String(), amount.String())
			continue
		}

		orders = append(orders, types.SubmitOrder{
			Symbol:   symbol,
			Side:     side,
			Type:     types.OrderTypeLimit,
			Price:    price,
			Quantity: volume,
		})

		log.Infof("%s order: %s @ %s", side, volume.String(), price.String())

		if len(orders) >= numOrders {
			break
		}

		price = price.Add(priceTick)
		expBase = expBase.Add(step)
	}

	return orders
}