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618 lines
17 KiB
Go
618 lines
17 KiB
Go
package twap
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import (
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"context"
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"errors"
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"fmt"
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"sync"
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"time"
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"github.com/sirupsen/logrus"
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"golang.org/x/time/rate"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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var defaultUpdateInterval = time.Minute
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// FixedQuantityExecutor is a TWAP executor that places orders on the exchange using the exchange's stream API.
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// It uses a fixed target quantity to place orders.
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type FixedQuantityExecutor struct {
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exchange types.Exchange
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// configuration fields
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symbol string
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side types.SideType
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targetQuantity, sliceQuantity fixedpoint.Value
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// updateInterval is a fixed update interval for placing new order
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updateInterval time.Duration
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// delayInterval is the delay interval between each order placement
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delayInterval time.Duration
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// numOfTicks is the number of price ticks behind the best bid to place the order
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numOfTicks int
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// stopPrice is the price limit for the order
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// for buy-orders, the price limit is the maximum price
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// for sell-orders, the price limit is the minimum price
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stopPrice fixedpoint.Value
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// deadlineTime is the deadline time for the order execution
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deadlineTime *time.Time
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executionCtx context.Context
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cancelExecution context.CancelFunc
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userDataStreamCtx context.Context
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cancelUserDataStream context.CancelFunc
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market types.Market
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marketDataStream types.Stream
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orderBook *types.StreamOrderBook
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userDataStream types.Stream
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orderUpdateRateLimit *rate.Limiter
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *core.OrderStore
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position *types.Position
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tradeCollector *core.TradeCollector
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logger logrus.FieldLogger
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mu sync.Mutex
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userDataStreamConnectC chan struct{}
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marketDataStreamConnectC chan struct{}
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done *DoneSignal
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}
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func NewFixedQuantityExecutor(
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exchange types.Exchange,
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symbol string,
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market types.Market,
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side types.SideType,
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targetQuantity, sliceQuantity fixedpoint.Value,
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) *FixedQuantityExecutor {
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marketDataStream := exchange.NewStream()
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marketDataStream.SetPublicOnly()
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marketDataStream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{
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Depth: types.DepthLevelMedium,
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})
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orderBook := types.NewStreamBook(symbol, exchange.Name())
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orderBook.BindStream(marketDataStream)
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userDataStream := exchange.NewStream()
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orderStore := core.NewOrderStore(symbol)
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position := types.NewPositionFromMarket(market)
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tradeCollector := core.NewTradeCollector(symbol, position, orderStore)
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orderStore.BindStream(userDataStream)
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activeMakerOrders := bbgo.NewActiveOrderBook(symbol)
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e := &FixedQuantityExecutor{
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exchange: exchange,
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symbol: symbol,
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side: side,
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market: market,
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targetQuantity: targetQuantity,
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sliceQuantity: sliceQuantity,
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updateInterval: defaultUpdateInterval,
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logger: logrus.WithFields(logrus.Fields{
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"executor": "twapStream",
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"symbol": symbol,
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}),
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marketDataStream: marketDataStream,
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orderBook: orderBook,
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userDataStream: userDataStream,
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activeMakerOrders: activeMakerOrders,
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orderStore: orderStore,
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tradeCollector: tradeCollector,
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position: position,
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done: NewDoneSignal(),
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userDataStreamConnectC: make(chan struct{}),
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marketDataStreamConnectC: make(chan struct{}),
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}
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e.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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e.logger.Info(trade.String())
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})
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e.tradeCollector.BindStream(e.userDataStream)
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activeMakerOrders.OnFilled(e.handleFilledOrder)
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activeMakerOrders.BindStream(e.userDataStream)
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e.marketDataStream.OnConnect(func() {
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e.logger.Info("market data stream on connect")
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close(e.marketDataStreamConnectC)
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e.logger.Infof("marketDataStreamConnectC closed")
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})
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// private channels
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e.userDataStream.OnAuth(func() {
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e.logger.Info("user data stream on auth")
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close(e.userDataStreamConnectC)
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e.logger.Info("userDataStreamConnectC closed")
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})
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return e
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}
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func (e *FixedQuantityExecutor) SetDeadlineTime(t time.Time) {
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e.deadlineTime = &t
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}
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func (e *FixedQuantityExecutor) SetDelayInterval(delayInterval time.Duration) {
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e.delayInterval = delayInterval
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}
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func (e *FixedQuantityExecutor) SetUpdateInterval(updateInterval time.Duration) {
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e.updateInterval = updateInterval
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}
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func (e *FixedQuantityExecutor) SetNumOfTicks(numOfTicks int) {
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e.numOfTicks = numOfTicks
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}
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func (e *FixedQuantityExecutor) SetStopPrice(price fixedpoint.Value) {
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e.stopPrice = price
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}
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func (e *FixedQuantityExecutor) connectMarketData(ctx context.Context) {
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e.logger.Infof("connecting market data stream...")
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if err := e.marketDataStream.Connect(ctx); err != nil {
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e.logger.WithError(err).Errorf("market data stream connect error")
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}
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}
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func (e *FixedQuantityExecutor) connectUserData(ctx context.Context) {
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e.logger.Infof("connecting user data stream...")
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if err := e.userDataStream.Connect(ctx); err != nil {
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e.logger.WithError(err).Errorf("user data stream connect error")
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}
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}
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func (e *FixedQuantityExecutor) handleFilledOrder(order types.Order) {
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e.logger.Info(order.String())
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// filled event triggers the order removal from the active order store
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// we need to ensure we received every order update event before the execution is done.
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e.cancelContextIfTargetQuantityFilled()
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}
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func (e *FixedQuantityExecutor) cancelContextIfTargetQuantityFilled() bool {
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// ensure that the trades are processed
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e.tradeCollector.Process()
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// now get the base quantity from the position
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base := e.position.GetBase()
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if base.Abs().Sub(e.targetQuantity).Compare(e.market.MinQuantity.Neg()) >= 0 {
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e.logger.Infof("position is filled with target quantity, canceling the order execution context")
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e.cancelExecution()
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return true
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}
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return false
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}
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func (e *FixedQuantityExecutor) SetOrderUpdateRateLimit(rateLimit *rate.Limiter) {
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e.orderUpdateRateLimit = rateLimit
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}
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func (e *FixedQuantityExecutor) cancelActiveOrders(ctx context.Context) error {
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gracefulCtx, gracefulCancel := context.WithTimeout(ctx, 30*time.Second)
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defer gracefulCancel()
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return e.activeMakerOrders.GracefulCancel(gracefulCtx, e.exchange)
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}
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func (e *FixedQuantityExecutor) orderUpdater(ctx context.Context) {
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defer func() {
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if err := e.cancelActiveOrders(ctx); err != nil {
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e.logger.WithError(err).Error("cancel active orders error")
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}
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e.cancelUserDataStream()
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e.done.Emit()
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}()
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ticker := time.NewTimer(e.updateInterval)
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defer ticker.Stop()
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monitor := NewBboMonitor()
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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 <-e.orderBook.C:
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changed := monitor.UpdateFromBook(e.orderBook)
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if !changed {
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continue
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}
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// orderBook.C sends a signal when any price or quantity changes in the order book
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if e.cancelContextIfTargetQuantityFilled() {
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return
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}
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e.logger.Infof("%s order book changed, checking order...", e.symbol)
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if err := e.updateOrder(ctx); err != nil {
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e.logger.WithError(err).Errorf("order update failed")
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}
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case <-ticker.C:
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changed := monitor.UpdateFromBook(e.orderBook)
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if !changed {
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continue
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}
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if e.cancelContextIfTargetQuantityFilled() {
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return
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}
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if err := e.updateOrder(ctx); err != nil {
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e.logger.WithError(err).Errorf("order update failed")
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}
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}
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}
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}
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func (e *FixedQuantityExecutor) updateOrder(ctx context.Context) error {
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if e.orderUpdateRateLimit != nil && !e.orderUpdateRateLimit.Allow() {
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e.logger.Infof("rate limit exceeded, skip updating order")
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return nil
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}
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book := e.orderBook.Copy()
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sideBook := book.SideBook(e.side)
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first, ok := sideBook.First()
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if !ok {
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return fmt.Errorf("empty %s %s side book", e.symbol, e.side)
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}
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// if there is no gap between the first price entry and the second price entry
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second, ok := sideBook.Second()
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if !ok {
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return fmt.Errorf("no secoond price on the %s order book %s, can not update", e.symbol, e.side)
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}
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tickSize := e.market.TickSize
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numOfTicks := fixedpoint.NewFromInt(int64(e.numOfTicks))
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tickSpread := tickSize.Mul(numOfTicks)
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// check and see if we need to cancel the existing active orders
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for e.activeMakerOrders.NumOfOrders() > 0 {
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orders := e.activeMakerOrders.Orders()
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if len(orders) > 1 {
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e.logger.Warnf("found more than 1 %s open orders on the orderbook", e.symbol)
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}
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// get the first active order
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order := orders[0]
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orderPrice := order.Price
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// quantity := fixedpoint.NewFromFloat(order.Quantity)
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remainingQuantity := order.Quantity.Sub(order.ExecutedQuantity)
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if remainingQuantity.Compare(e.market.MinQuantity) <= 0 {
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logrus.Infof("order remaining quantity %s is less than the market minimal quantity %s, skip updating order", remainingQuantity.String(), e.market.MinQuantity.String())
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return nil
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}
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// if the first bid price or first ask price is the same to the current active order
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// we should skip updating the order
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// DO NOT UPDATE IF:
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// tickSpread > 0 AND current order price == second price + tickSpread
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// current order price == first price
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logrus.Infof("orderPrice = %s, best price = %s, second level price = %s, tickSpread = %s",
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orderPrice.String(),
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first.Price.String(),
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second.Price.String(),
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tickSpread.String())
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switch e.side {
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case types.SideTypeBuy:
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if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Add(tickSpread)) == 0 {
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e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
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return nil
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} else if orderPrice == first.Price {
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e.logger.Infof("the current order is already on the best bid price %s, skip update", orderPrice.String())
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return nil
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}
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case types.SideTypeSell:
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if tickSpread.Sign() > 0 && orderPrice.Compare(second.Price.Sub(tickSpread)) == 0 {
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e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
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return nil
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} else if orderPrice == first.Price {
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e.logger.Infof("the current order is already on the best ask price %s, skip update", orderPrice.String())
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return nil
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}
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}
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if err := e.cancelActiveOrders(ctx); err != nil {
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e.logger.Warnf("cancel active orders error: %v", err)
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}
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}
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e.tradeCollector.Process()
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if e.delayInterval > 0 {
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time.Sleep(e.delayInterval)
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}
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orderForm, err := e.generateOrder()
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if err != nil {
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return err
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} else if orderForm == nil {
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return nil
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}
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return e.submitOrder(ctx, *orderForm)
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}
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func (e *FixedQuantityExecutor) submitOrder(ctx context.Context, orderForm types.SubmitOrder) error {
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createdOrder, err := e.exchange.SubmitOrder(ctx, orderForm)
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if err != nil {
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return err
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}
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if createdOrder != nil {
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e.orderStore.Add(*createdOrder)
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e.activeMakerOrders.Add(*createdOrder)
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e.tradeCollector.Process()
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}
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return nil
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}
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func (e *FixedQuantityExecutor) getNewPrice() (fixedpoint.Value, error) {
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newPrice := fixedpoint.Zero
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book := e.orderBook.Copy()
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sideBook := book.SideBook(e.side)
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first, ok := sideBook.First()
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if !ok {
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return newPrice, fmt.Errorf("empty %s %s side book", e.symbol, e.side)
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}
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newPrice = first.Price
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spread, ok := book.Spread()
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if !ok {
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return newPrice, errors.New("can not calculate spread, neither bid price or ask price exists")
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}
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tickSize := e.market.TickSize
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tickSpread := tickSize.Mul(fixedpoint.NewFromInt(int64(e.numOfTicks)))
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if spread.Compare(tickSize) > 0 {
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// there is a gap in the spread
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tickSpread = fixedpoint.Min(tickSpread, spread.Sub(tickSize))
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switch e.side {
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case types.SideTypeSell:
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newPrice = newPrice.Sub(tickSpread)
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case types.SideTypeBuy:
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newPrice = newPrice.Add(tickSpread)
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}
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}
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if e.stopPrice.Sign() > 0 {
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switch e.side {
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case types.SideTypeSell:
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if newPrice.Compare(e.stopPrice) < 0 {
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logrus.Infof("%s order price %s is lower than the stop sell price %s, setting order price to the stop sell price %s",
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e.symbol,
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newPrice.String(),
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e.stopPrice.String(),
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e.stopPrice.String())
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newPrice = e.stopPrice
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}
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case types.SideTypeBuy:
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if newPrice.Compare(e.stopPrice) > 0 {
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logrus.Infof("%s order price %s is higher than the stop buy price %s, setting order price to the stop buy price %s",
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e.symbol,
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newPrice.String(),
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e.stopPrice.String(),
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e.stopPrice.String())
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newPrice = e.stopPrice
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}
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}
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}
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return newPrice, nil
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}
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func (e *FixedQuantityExecutor) getRemainingQuantity() fixedpoint.Value {
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base := e.position.GetBase()
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return e.targetQuantity.Sub(base.Abs())
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}
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func (e *FixedQuantityExecutor) isDeadlineExceeded() bool {
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if e.deadlineTime != nil && !e.deadlineTime.IsZero() {
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return time.Since(*e.deadlineTime) > 0
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}
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return false
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}
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func (e *FixedQuantityExecutor) calculateNewOrderQuantity(price fixedpoint.Value) (fixedpoint.Value, error) {
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minQuantity := e.market.MinQuantity
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remainingQuantity := e.getRemainingQuantity()
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if remainingQuantity.Sign() <= 0 {
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e.cancelExecution()
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return fixedpoint.Zero, nil
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}
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if remainingQuantity.Compare(minQuantity) < 0 {
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e.logger.Warnf("can not continue placing orders, the remaining quantity %s is less than the min quantity %s", remainingQuantity.String(), minQuantity.String())
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e.cancelExecution()
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return fixedpoint.Zero, nil
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}
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// if deadline exceeded, we should return the remaining quantity
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if e.isDeadlineExceeded() {
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return remainingQuantity, nil
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}
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// when slice = 1000, if we only have 998, we should adjust our quantity to 998
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orderQuantity := fixedpoint.Min(e.sliceQuantity, remainingQuantity)
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// if the remaining quantity in the next round is not enough, we should merge the remaining quantity into this round
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// if there are rest slices
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nextRemainingQuantity := remainingQuantity.Sub(e.sliceQuantity)
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if nextRemainingQuantity.Sign() > 0 && e.market.IsDustQuantity(nextRemainingQuantity, price) {
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orderQuantity = remainingQuantity
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}
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orderQuantity = e.market.AdjustQuantityByMinNotional(orderQuantity, price)
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return orderQuantity, nil
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}
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func (e *FixedQuantityExecutor) generateOrder() (*types.SubmitOrder, error) {
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newPrice, err := e.getNewPrice()
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if err != nil {
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return nil, err
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}
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orderQuantity, err := e.calculateNewOrderQuantity(newPrice)
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if err != nil {
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return nil, err
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}
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balances, err := e.exchange.QueryAccountBalances(e.executionCtx)
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if err != nil {
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return nil, err
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}
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switch e.side {
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case types.SideTypeSell:
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// check base balance for sell, try to sell as more as possible
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if b, ok := balances[e.market.BaseCurrency]; ok {
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orderQuantity = fixedpoint.Min(b.Available, orderQuantity)
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}
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case types.SideTypeBuy:
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// check base balance for sell, try to sell as more as possible
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if b, ok := balances[e.market.QuoteCurrency]; ok {
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orderQuantity = e.market.AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
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}
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}
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if e.isDeadlineExceeded() {
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return &types.SubmitOrder{
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Symbol: e.symbol,
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Side: e.side,
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Type: types.OrderTypeMarket,
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Quantity: orderQuantity,
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Market: e.market,
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}, nil
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}
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return &types.SubmitOrder{
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Symbol: e.symbol,
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Side: e.side,
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Type: types.OrderTypeLimitMaker,
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Quantity: orderQuantity,
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Price: newPrice,
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Market: e.market,
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TimeInForce: types.TimeInForceGTC,
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}, nil
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}
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func (e *FixedQuantityExecutor) Start(ctx context.Context) error {
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if e.executionCtx != nil {
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return errors.New("executionCtx is not nil, you can't start the executor twice")
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}
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e.executionCtx, e.cancelExecution = context.WithCancel(ctx)
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e.userDataStreamCtx, e.cancelUserDataStream = context.WithCancel(ctx)
|
|
|
|
go e.connectMarketData(e.executionCtx)
|
|
go e.connectUserData(e.userDataStreamCtx)
|
|
|
|
e.logger.Infof("waiting for connections ready...")
|
|
|
|
if err := e.WaitForConnection(ctx); err != nil {
|
|
e.cancelExecution()
|
|
return err
|
|
}
|
|
|
|
e.logger.Infof("connections ready, starting order updater...")
|
|
|
|
go e.orderUpdater(e.executionCtx)
|
|
return nil
|
|
}
|
|
|
|
func (e *FixedQuantityExecutor) WaitForConnection(ctx context.Context) error {
|
|
if !selectSignalOrTimeout(ctx, e.marketDataStreamConnectC, 10*time.Second) {
|
|
return fmt.Errorf("market data stream connection timeout")
|
|
}
|
|
|
|
if !selectSignalOrTimeout(ctx, e.userDataStreamConnectC, 10*time.Second) {
|
|
return fmt.Errorf("user data stream connection timeout")
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
// Done returns a channel that emits a signal when the execution is done.
|
|
func (e *FixedQuantityExecutor) Done() <-chan struct{} {
|
|
return e.done.Chan()
|
|
}
|
|
|
|
// Shutdown stops the execution
|
|
// If we call this method, it means the execution is still running,
|
|
// We need it to:
|
|
// 1. Stop the order updater (by using the execution context)
|
|
// 2. The order updater cancels all open orders and closes the user data stream
|
|
func (e *FixedQuantityExecutor) Shutdown(shutdownCtx context.Context) {
|
|
e.tradeCollector.Process()
|
|
|
|
e.mu.Lock()
|
|
if e.cancelExecution != nil {
|
|
e.cancelExecution()
|
|
}
|
|
e.mu.Unlock()
|
|
|
|
for {
|
|
select {
|
|
|
|
case <-shutdownCtx.Done():
|
|
return
|
|
|
|
case <-e.done.Chan():
|
|
return
|
|
|
|
}
|
|
}
|
|
}
|
|
|
|
func selectSignalOrTimeout(ctx context.Context, c chan struct{}, timeout time.Duration) bool {
|
|
select {
|
|
case <-ctx.Done():
|
|
return false
|
|
case <-time.After(timeout):
|
|
return false
|
|
case <-c:
|
|
return true
|
|
}
|
|
}
|