mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-27 01:05:15 +00:00
1023 lines
32 KiB
Go
1023 lines
32 KiB
Go
package drift
|
|
|
|
import (
|
|
"bytes"
|
|
"context"
|
|
"errors"
|
|
"fmt"
|
|
"math"
|
|
"os"
|
|
"strconv"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
"github.com/wcharczuk/go-chart/v2"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/interact"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
)
|
|
|
|
const ID = "drift"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
|
|
var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
|
|
var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
|
|
var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
|
|
var Fee = 0.0008 // taker fee % * 2, for upper bound
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type Strategy struct {
|
|
Symbol string `json:"symbol"`
|
|
|
|
bbgo.StrategyController
|
|
types.Market
|
|
types.IntervalWindow
|
|
bbgo.SourceSelector
|
|
|
|
*bbgo.Environment
|
|
*types.Position `persistence:"position"`
|
|
*types.ProfitStats `persistence:"profit_stats"`
|
|
*types.TradeStats `persistence:"trade_stats"`
|
|
|
|
p *types.Position
|
|
|
|
priceLines *types.Queue
|
|
trendLine types.UpdatableSeriesExtend
|
|
ma types.UpdatableSeriesExtend
|
|
stdevHigh *indicator.StdDev
|
|
stdevLow *indicator.StdDev
|
|
drift *DriftMA
|
|
drift1m *DriftMA
|
|
atr *indicator.ATR
|
|
midPrice fixedpoint.Value
|
|
lock sync.RWMutex `ignore:"true"`
|
|
positionLock sync.RWMutex `ignore:"true"`
|
|
startTime time.Time
|
|
minutesCounter int
|
|
orderPendingCounter map[uint64]int
|
|
frameKLine *types.KLine
|
|
kline1m *types.KLine
|
|
|
|
beta float64
|
|
|
|
StopLoss fixedpoint.Value `json:"stoploss"`
|
|
CanvasPath string `json:"canvasPath"`
|
|
PredictOffset int `json:"predictOffset"`
|
|
HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
|
|
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
|
|
TrailingStopLossType string `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
|
|
HLRangeWindow int `json:"hlRangeWindow"`
|
|
Window1m int `json:"window1m"`
|
|
FisherTransformWindow1m int `json:"fisherTransformWindow1m"`
|
|
SmootherWindow1m int `json:"smootherWindow1m"`
|
|
SmootherWindow int `json:"smootherWindow"`
|
|
FisherTransformWindow int `json:"fisherTransformWindow"`
|
|
ATRWindow int `json:"atrWindow"`
|
|
PendingMinutes int `json:"pendingMinutes"` // if order not be traded for pendingMinutes of time, cancel it.
|
|
NoRebalance bool `json:"noRebalance"` // disable rebalance
|
|
TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
|
|
RebalanceFilter float64 `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
|
|
TrailingCallbackRate []float64 `json:"trailingCallbackRate"`
|
|
TrailingActivationRatio []float64 `json:"trailingActivationRatio"`
|
|
|
|
DriftFilterNeg float64 `json:"driftFilterNeg"`
|
|
DriftFilterPos float64 `json:"driftFilterPos"`
|
|
DDriftFilterNeg float64 `json:"ddriftFilterNeg"`
|
|
DDriftFilterPos float64 `json:"ddriftFilterPos"`
|
|
|
|
buyPrice float64 `persistence:"buy_price"`
|
|
sellPrice float64 `persistence:"sell_price"`
|
|
highestPrice float64 `persistence:"highest_price"`
|
|
lowestPrice float64 `persistence:"lowest_price"`
|
|
|
|
// This is not related to trade but for statistics graph generation
|
|
// Will deduct fee in percentage from every trade
|
|
GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
|
|
GraphPNLPath string `json:"graphPNLPath"`
|
|
GraphCumPNLPath string `json:"graphCumPNLPath"`
|
|
// Whether to generate graph when shutdown
|
|
GenerateGraph bool `json:"generateGraph"`
|
|
|
|
ExitMethods bbgo.ExitMethodSet `json:"exits"`
|
|
Session *bbgo.ExchangeSession
|
|
*bbgo.GeneralOrderExecutor
|
|
|
|
getLastPrice func() fixedpoint.Value
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s:%v", ID, s.Symbol, bbgo.IsBackTesting)
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
// by default, bbgo only pre-subscribe 1000 klines.
|
|
// this is not enough if we're subscribing 30m intervals using SerialMarketDataStore
|
|
bbgo.KLinePreloadLimit = int64((s.Interval.Minutes()*s.Window/1000 + 1) * 1000)
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
|
Interval: types.Interval1m,
|
|
})
|
|
|
|
if !bbgo.IsBackTesting {
|
|
session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
|
|
}
|
|
s.ExitMethods.SetAndSubscribe(session, s)
|
|
}
|
|
|
|
func (s *Strategy) CurrentPosition() *types.Position {
|
|
return s.Position
|
|
}
|
|
|
|
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
|
|
order := s.p.NewMarketCloseOrder(percentage)
|
|
if order == nil {
|
|
return nil
|
|
}
|
|
order.Tag = "close"
|
|
order.TimeInForce = ""
|
|
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
|
|
baseBalance := balances[s.Market.BaseCurrency].Available
|
|
price := s.getLastPrice()
|
|
if order.Side == types.SideTypeBuy {
|
|
quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
|
|
if order.Quantity.Compare(quoteAmount) > 0 {
|
|
order.Quantity = quoteAmount
|
|
}
|
|
} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
|
|
order.Quantity = baseBalance
|
|
}
|
|
for {
|
|
if s.Market.IsDustQuantity(order.Quantity, price) {
|
|
return nil
|
|
}
|
|
_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *order)
|
|
if err != nil {
|
|
order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
|
|
continue
|
|
}
|
|
return nil
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
|
|
s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
|
s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
|
s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
|
s.drift = &DriftMA{
|
|
drift: &indicator.WeightedDrift{
|
|
MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
|
|
IntervalWindow: s.IntervalWindow,
|
|
},
|
|
ma1: &indicator.EWMA{
|
|
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SmootherWindow},
|
|
},
|
|
ma2: &indicator.FisherTransform{
|
|
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow},
|
|
},
|
|
}
|
|
s.drift.SeriesBase.Series = s.drift
|
|
s.drift1m = &DriftMA{
|
|
drift: &indicator.WeightedDrift{
|
|
MA: &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: s.Window1m}},
|
|
IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: s.Window1m},
|
|
},
|
|
ma1: &indicator.EWMA{
|
|
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SmootherWindow1m},
|
|
},
|
|
|
|
ma2: &indicator.FisherTransform{
|
|
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow1m},
|
|
},
|
|
}
|
|
s.drift1m.SeriesBase.Series = s.drift1m
|
|
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
|
|
s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}}
|
|
|
|
klines, ok := store.KLinesOfInterval(s.Interval)
|
|
klinesLength := len(*klines)
|
|
if !ok || klinesLength == 0 {
|
|
return errors.New("klines not exists")
|
|
}
|
|
for _, kline := range *klines {
|
|
source := s.GetSource(&kline).Float64()
|
|
high := kline.High.Float64()
|
|
low := kline.Low.Float64()
|
|
s.ma.Update(source)
|
|
s.stdevHigh.Update(high - s.ma.Last())
|
|
s.stdevLow.Update(s.ma.Last() - low)
|
|
s.drift.Update(source, kline.Volume.Float64())
|
|
s.trendLine.Update(source)
|
|
s.atr.PushK(kline)
|
|
s.priceLines.Update(source)
|
|
}
|
|
if s.frameKLine != nil && klines != nil {
|
|
s.frameKLine.Set(&(*klines)[len(*klines)-1])
|
|
}
|
|
klines, ok = store.KLinesOfInterval(types.Interval1m)
|
|
klinesLength = len(*klines)
|
|
if !ok || klinesLength == 0 {
|
|
return errors.New("klines not exists")
|
|
}
|
|
for _, kline := range *klines {
|
|
source := s.GetSource(&kline).Float64()
|
|
s.drift1m.Update(source, kline.Volume.Float64())
|
|
if s.drift1m.Last() != s.drift1m.Last() {
|
|
panic(fmt.Sprintf("%f %v %f %f", source, s.drift1m.drift.Values.Index(1), s.drift1m.ma2.Last(), s.drift1m.drift.LastValue))
|
|
}
|
|
}
|
|
if s.kline1m != nil && klines != nil {
|
|
s.kline1m.Set(&(*klines)[len(*klines)-1])
|
|
}
|
|
s.startTime = s.kline1m.StartTime.Time().Add(s.kline1m.Interval.Duration())
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64) (int, error) {
|
|
nonTraded := s.GeneralOrderExecutor.ActiveMakerOrders().Orders()
|
|
if len(nonTraded) > 0 {
|
|
if len(nonTraded) > 1 {
|
|
log.Errorf("should only have one order to cancel, got %d", len(nonTraded))
|
|
}
|
|
toCancel := false
|
|
|
|
drift := s.drift1m.Array(2)
|
|
for _, order := range nonTraded {
|
|
if order.Status != types.OrderStatusNew && order.Status != types.OrderStatusPartiallyFilled {
|
|
continue
|
|
}
|
|
log.Warnf("%v | counter: %d, system: %d", order, s.orderPendingCounter[order.OrderID], s.minutesCounter)
|
|
if s.minutesCounter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes {
|
|
if order.Side == types.SideTypeBuy && drift[1] < drift[0] {
|
|
continue
|
|
} else if order.Side == types.SideTypeSell && drift[1] > drift[0] {
|
|
continue
|
|
}
|
|
toCancel = true
|
|
} else if order.Side == types.SideTypeBuy {
|
|
// 75% of the probability
|
|
if order.Price.Float64()+s.stdevHigh.Last()*2 <= pricef {
|
|
toCancel = true
|
|
}
|
|
} else if order.Side == types.SideTypeSell {
|
|
// 75% of the probability
|
|
if order.Price.Float64()-s.stdevLow.Last()*2 >= pricef {
|
|
toCancel = true
|
|
}
|
|
} else {
|
|
panic("not supported side for the order")
|
|
}
|
|
}
|
|
if toCancel {
|
|
err := s.GeneralOrderExecutor.GracefulCancel(ctx)
|
|
// TODO: clean orderPendingCounter on cancel/trade
|
|
if err == nil {
|
|
for _, order := range nonTraded {
|
|
delete(s.orderPendingCounter, order.OrderID)
|
|
}
|
|
}
|
|
log.Warnf("cancel all %v", err)
|
|
return 0, err
|
|
}
|
|
}
|
|
return len(nonTraded), nil
|
|
}
|
|
|
|
func (s *Strategy) trailingCheck(price float64, direction string) bool {
|
|
if s.highestPrice > 0 && s.highestPrice < price {
|
|
s.highestPrice = price
|
|
}
|
|
if s.lowestPrice > 0 && s.lowestPrice > price {
|
|
s.lowestPrice = price
|
|
}
|
|
isShort := direction == "short"
|
|
for i := len(s.TrailingCallbackRate) - 1; i >= 0; i-- {
|
|
trailingCallbackRate := s.TrailingCallbackRate[i]
|
|
trailingActivationRatio := s.TrailingActivationRatio[i]
|
|
if isShort {
|
|
if (s.sellPrice-s.lowestPrice)/s.lowestPrice > trailingActivationRatio {
|
|
return (price-s.lowestPrice)/s.lowestPrice > trailingCallbackRate
|
|
}
|
|
} else {
|
|
if (s.highestPrice-s.buyPrice)/s.buyPrice > trailingActivationRatio {
|
|
return (s.highestPrice-price)/price > trailingCallbackRate
|
|
}
|
|
}
|
|
}
|
|
return false
|
|
}
|
|
|
|
func (s *Strategy) initTickerFunctions(ctx context.Context) {
|
|
if s.IsBackTesting() {
|
|
s.getLastPrice = func() fixedpoint.Value {
|
|
lastPrice, ok := s.Session.LastPrice(s.Symbol)
|
|
if !ok {
|
|
log.Error("cannot get lastprice")
|
|
}
|
|
return lastPrice
|
|
}
|
|
} else {
|
|
s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
|
|
bestBid := ticker.Buy
|
|
bestAsk := ticker.Sell
|
|
|
|
var pricef, atr float64
|
|
if !util.TryLock(&s.lock) {
|
|
return
|
|
}
|
|
if !bestAsk.IsZero() && !bestBid.IsZero() {
|
|
s.midPrice = bestAsk.Add(bestBid).Div(Two)
|
|
} else if !bestAsk.IsZero() {
|
|
s.midPrice = bestAsk
|
|
} else {
|
|
s.midPrice = bestBid
|
|
}
|
|
pricef = s.midPrice.Float64()
|
|
|
|
s.lock.Unlock()
|
|
|
|
if !util.TryLock(&s.positionLock) {
|
|
return
|
|
}
|
|
|
|
if s.highestPrice > 0 && s.highestPrice < pricef {
|
|
s.highestPrice = pricef
|
|
}
|
|
if s.lowestPrice > 0 && s.lowestPrice > pricef {
|
|
s.lowestPrice = pricef
|
|
}
|
|
// for trailing stoploss during the realtime
|
|
if s.NoTrailingStopLoss || s.TrailingStopLossType == "kline" {
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
|
|
stoploss := s.StopLoss.Float64()
|
|
atr = s.atr.Last()
|
|
numPending := 0
|
|
var err error
|
|
if numPending, err = s.smartCancel(ctx, pricef, atr); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
if numPending > 0 {
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
|
|
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= pricef ||
|
|
s.trailingCheck(pricef, "short"))
|
|
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= pricef ||
|
|
s.trailingCheck(pricef, "long"))
|
|
if exitShortCondition || exitLongCondition {
|
|
log.Infof("Close position by orderbook changes")
|
|
s.positionLock.Unlock()
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
} else {
|
|
s.positionLock.Unlock()
|
|
}
|
|
})
|
|
s.getLastPrice = func() (lastPrice fixedpoint.Value) {
|
|
var ok bool
|
|
s.lock.RLock()
|
|
defer s.lock.RUnlock()
|
|
if s.midPrice.IsZero() {
|
|
lastPrice, ok = s.Session.LastPrice(s.Symbol)
|
|
if !ok {
|
|
log.Error("cannot get lastprice")
|
|
return lastPrice
|
|
}
|
|
} else {
|
|
lastPrice = s.midPrice
|
|
}
|
|
return lastPrice
|
|
}
|
|
}
|
|
|
|
}
|
|
|
|
func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
|
|
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
|
|
Length := s.priceLines.Length()
|
|
if Length > 300 {
|
|
Length = 300
|
|
}
|
|
log.Infof("draw indicators with %d data", Length)
|
|
mean := s.priceLines.Mean(Length)
|
|
highestPrice := s.priceLines.Minus(mean).Abs().Highest(Length)
|
|
highestDrift := s.drift.Abs().Highest(Length)
|
|
hi := s.drift.drift.Abs().Highest(Length)
|
|
h1m := s.drift1m.Abs().Highest(Length * s.Interval.Minutes())
|
|
ratio := highestPrice / highestDrift
|
|
|
|
canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
|
|
canvas.Plot("ma", s.ma, time, Length)
|
|
canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
|
|
canvas.Plot("drift", s.drift.Mul(ratio).Add(mean), time, Length)
|
|
canvas.Plot("driftOrig", s.drift.drift.Mul(highestPrice/hi).Add(mean), time, Length)
|
|
canvas.Plot("drift1m", s.drift1m.Mul(highestPrice/h1m).Add(mean), time, Length*s.Interval.Minutes(), types.Interval1m)
|
|
canvas.Plot("zero", types.NumberSeries(mean), time, Length)
|
|
canvas.Plot("price", s.priceLines, time, Length)
|
|
return canvas
|
|
}
|
|
|
|
func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
|
|
canvas := types.NewCanvas(s.InstanceID())
|
|
log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
|
|
length := profit.Length()
|
|
if s.GraphPNLDeductFee {
|
|
canvas.PlotRaw("pnl % (with Fee Deducted)", profit, length)
|
|
} else {
|
|
canvas.PlotRaw("pnl %", profit, length)
|
|
}
|
|
canvas.YAxis = chart.YAxis{
|
|
ValueFormatter: func(v interface{}) string {
|
|
if vf, isFloat := v.(float64); isFloat {
|
|
return fmt.Sprintf("%.4f", vf)
|
|
}
|
|
return ""
|
|
},
|
|
}
|
|
canvas.PlotRaw("1", types.NumberSeries(1), length)
|
|
return canvas
|
|
}
|
|
|
|
func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
|
|
canvas := types.NewCanvas(s.InstanceID())
|
|
canvas.PlotRaw("cummulative pnl", cumProfit, cumProfit.Length())
|
|
canvas.YAxis = chart.YAxis{
|
|
ValueFormatter: func(v interface{}) string {
|
|
if vf, isFloat := v.(float64); isFloat {
|
|
return fmt.Sprintf("%.4f", vf)
|
|
}
|
|
return ""
|
|
},
|
|
}
|
|
return canvas
|
|
}
|
|
|
|
func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series) {
|
|
canvas := s.DrawIndicators(time)
|
|
f, err := os.Create(s.CanvasPath)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
|
|
return
|
|
}
|
|
defer f.Close()
|
|
if err := canvas.Render(chart.PNG, f); err != nil {
|
|
log.WithError(err).Errorf("cannot render in drift")
|
|
}
|
|
|
|
canvas = s.DrawPNL(profit)
|
|
f, err = os.Create(s.GraphPNLPath)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("open pnl")
|
|
return
|
|
}
|
|
defer f.Close()
|
|
if err := canvas.Render(chart.PNG, f); err != nil {
|
|
log.WithError(err).Errorf("render pnl")
|
|
}
|
|
|
|
canvas = s.DrawCumPNL(cumProfit)
|
|
f, err = os.Create(s.GraphCumPNLPath)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("open cumpnl")
|
|
return
|
|
}
|
|
defer f.Close()
|
|
if err := canvas.Render(chart.PNG, f); err != nil {
|
|
log.WithError(err).Errorf("render cumpnl")
|
|
}
|
|
}
|
|
|
|
// Sending new rebalance orders cost too much.
|
|
// Modify the position instead to expect the strategy itself rebalance on Close
|
|
func (s *Strategy) Rebalance(ctx context.Context) {
|
|
price := s.getLastPrice()
|
|
_, beta := types.LinearRegression(s.trendLine, 3)
|
|
if math.Abs(beta) > s.RebalanceFilter && math.Abs(s.beta) > s.RebalanceFilter || math.Abs(s.beta) < s.RebalanceFilter && math.Abs(beta) < s.RebalanceFilter {
|
|
return
|
|
}
|
|
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
|
|
baseBalance := balances[s.Market.BaseCurrency].Total()
|
|
quoteBalance := balances[s.Market.QuoteCurrency].Total()
|
|
total := baseBalance.Add(quoteBalance.Div(price))
|
|
percentage := fixedpoint.One.Sub(Delta)
|
|
log.Infof("rebalance beta %f %v", beta, s.p)
|
|
if beta > s.RebalanceFilter {
|
|
if total.Mul(percentage).Compare(baseBalance) > 0 {
|
|
q := total.Mul(percentage).Sub(baseBalance)
|
|
s.p.Lock()
|
|
defer s.p.Unlock()
|
|
s.p.Base = q.Neg()
|
|
s.p.Quote = q.Mul(price)
|
|
s.p.AverageCost = price
|
|
}
|
|
} else if beta <= -s.RebalanceFilter {
|
|
if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
|
|
q := total.Mul(percentage).Sub(quoteBalance.Div(price))
|
|
s.p.Lock()
|
|
defer s.p.Unlock()
|
|
s.p.Base = q
|
|
s.p.Quote = q.Mul(price).Neg()
|
|
s.p.AverageCost = price
|
|
}
|
|
} else {
|
|
if total.Div(Two).Compare(quoteBalance.Div(price)) > 0 {
|
|
q := total.Div(Two).Sub(quoteBalance.Div(price))
|
|
s.p.Lock()
|
|
defer s.p.Unlock()
|
|
s.p.Base = q
|
|
s.p.Quote = q.Mul(price).Neg()
|
|
s.p.AverageCost = price
|
|
} else if total.Div(Two).Compare(baseBalance) > 0 {
|
|
q := total.Div(Two).Sub(baseBalance)
|
|
s.p.Lock()
|
|
defer s.p.Unlock()
|
|
s.p.Base = q.Neg()
|
|
s.p.Quote = q.Mul(price)
|
|
s.p.AverageCost = price
|
|
} else {
|
|
s.p.Lock()
|
|
defer s.p.Unlock()
|
|
s.p.Reset()
|
|
}
|
|
}
|
|
log.Infof("rebalanceafter %v %v %v", baseBalance, quoteBalance, s.p)
|
|
s.beta = beta
|
|
}
|
|
|
|
func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
|
|
balances := s.Session.GetAccount().Balances()
|
|
return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
|
|
}
|
|
|
|
func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
|
|
s.kline1m.Set(&kline)
|
|
s.drift1m.Update(s.GetSource(&kline).Float64(), kline.Volume.Float64())
|
|
if s.Status != types.StrategyStatusRunning {
|
|
return
|
|
}
|
|
if s.NoTrailingStopLoss || s.TrailingStopLossType == "realtime" {
|
|
return
|
|
}
|
|
// for doing the trailing stoploss during backtesting
|
|
atr := s.atr.Last()
|
|
price := s.getLastPrice()
|
|
pricef := price.Float64()
|
|
stoploss := s.StopLoss.Float64()
|
|
|
|
var err error
|
|
numPending := 0
|
|
if numPending, err = s.smartCancel(ctx, pricef, atr); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
if numPending > 0 {
|
|
log.Infof("pending orders: %d, exit", numPending)
|
|
return
|
|
}
|
|
|
|
lowf := math.Min(kline.Low.Float64(), pricef)
|
|
highf := math.Max(kline.High.Float64(), pricef)
|
|
s.positionLock.Lock()
|
|
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
|
s.lowestPrice = lowf
|
|
}
|
|
if s.highestPrice > 0 && highf > s.highestPrice {
|
|
s.highestPrice = highf
|
|
}
|
|
//log.Infof("d1m: %f, hf: %f, lf: %f", s.drift1m.Last(), highf, lowf)
|
|
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= highf ||
|
|
s.trailingCheck(highf, "short") /* || s.drift1m.Last() > 0*/)
|
|
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf ||
|
|
s.trailingCheck(lowf, "long") /* || s.drift1m.Last() < 0*/)
|
|
if exitShortCondition || exitLongCondition {
|
|
s.positionLock.Unlock()
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
} else {
|
|
s.positionLock.Unlock()
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|
var driftPred, atr float64
|
|
var drift []float64
|
|
|
|
s.frameKLine.Set(&kline)
|
|
|
|
source := s.GetSource(s.frameKLine)
|
|
sourcef := source.Float64()
|
|
s.priceLines.Update(sourcef)
|
|
s.ma.Update(sourcef)
|
|
s.trendLine.Update(sourcef)
|
|
s.drift.Update(sourcef, kline.Volume.Float64())
|
|
|
|
s.atr.PushK(kline)
|
|
drift = s.drift.Array(2)
|
|
ddrift := s.drift.drift.Array(2)
|
|
driftPred = s.drift.Predict(s.PredictOffset)
|
|
ddriftPred := s.drift.drift.Predict(s.PredictOffset)
|
|
atr = s.atr.Last()
|
|
price := s.getLastPrice()
|
|
pricef := price.Float64()
|
|
lowf := math.Min(kline.Low.Float64(), pricef)
|
|
highf := math.Max(kline.High.Float64(), pricef)
|
|
lowdiff := s.ma.Last() - lowf
|
|
s.stdevLow.Update(lowdiff)
|
|
highdiff := highf - s.ma.Last()
|
|
s.stdevHigh.Update(highdiff)
|
|
|
|
if s.Status != types.StrategyStatusRunning {
|
|
return
|
|
}
|
|
stoploss := s.StopLoss.Float64()
|
|
|
|
s.positionLock.Lock()
|
|
log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
|
|
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
|
s.lowestPrice = lowf
|
|
}
|
|
if s.highestPrice > 0 && highf > s.highestPrice {
|
|
s.highestPrice = highf
|
|
}
|
|
|
|
if !s.NoRebalance {
|
|
s.Rebalance(ctx)
|
|
}
|
|
|
|
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
|
|
bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, lowf %.4f, highf: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f",
|
|
sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, lowf, highf, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
|
|
// Notify will parse args to strings and process separately
|
|
bbgo.Notify("balances: [Total] %v %s [Base] %s(%v %s) [Quote] %s",
|
|
s.CalcAssetValue(price),
|
|
s.Market.QuoteCurrency,
|
|
balances[s.Market.BaseCurrency].String(),
|
|
balances[s.Market.BaseCurrency].Total().Mul(price),
|
|
s.Market.QuoteCurrency,
|
|
balances[s.Market.QuoteCurrency].String(),
|
|
)
|
|
|
|
shortCondition := (drift[1] >= s.DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= s.DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
|
|
longCondition := (drift[1] <= s.DriftFilterPos || ddrift[1] <= 0) && (driftPred >= s.DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
|
|
if shortCondition && longCondition {
|
|
if drift[1] > drift[0] {
|
|
longCondition = false
|
|
} else {
|
|
shortCondition = false
|
|
}
|
|
}
|
|
exitShortCondition := s.sellPrice > 0 && !shortCondition && !longCondition && (s.sellPrice*(1.+stoploss) <= highf ||
|
|
s.trailingCheck(pricef, "short"))
|
|
exitLongCondition := s.buyPrice > 0 && !longCondition && !shortCondition && (s.buyPrice*(1.-stoploss) >= lowf ||
|
|
s.trailingCheck(pricef, "long"))
|
|
|
|
if exitShortCondition || exitLongCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
s.positionLock.Unlock()
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
return
|
|
}
|
|
if longCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
|
if source.Compare(price) > 0 {
|
|
source = price
|
|
}
|
|
sourcef = source.Float64()
|
|
log.Infof("source in long %v %v %f", source, price, s.stdevLow.Last())
|
|
|
|
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
|
if !ok {
|
|
log.Errorf("unable to get quoteCurrency")
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
if s.Market.IsDustQuantity(
|
|
quoteBalance.Available.Div(source), source) {
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
s.positionLock.Unlock()
|
|
quantity := quoteBalance.Available.Div(source)
|
|
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimit,
|
|
Price: source,
|
|
Quantity: quantity,
|
|
Tag: "long",
|
|
})
|
|
log.Infof("orders %v", createdOrders)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot place buy order")
|
|
return
|
|
}
|
|
s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
|
|
return
|
|
}
|
|
if shortCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
|
|
if !ok {
|
|
log.Errorf("unable to get baseBalance")
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
|
if source.Compare(price) < 0 {
|
|
source = price
|
|
}
|
|
sourcef = source.Float64()
|
|
|
|
log.Infof("source in short: %v", source)
|
|
|
|
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
|
s.positionLock.Unlock()
|
|
return
|
|
}
|
|
s.positionLock.Unlock()
|
|
// Cleanup pending StopOrders
|
|
quantity := baseBalance.Available
|
|
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Price: source,
|
|
Quantity: quantity,
|
|
Tag: "short",
|
|
})
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot place sell order")
|
|
return
|
|
}
|
|
s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
|
|
return
|
|
}
|
|
s.positionLock.Unlock()
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
instanceID := s.InstanceID()
|
|
// Will be set by persistence if there's any from DB
|
|
if s.Position == nil {
|
|
s.Position = types.NewPositionFromMarket(s.Market)
|
|
s.p = types.NewPositionFromMarket(s.Market)
|
|
} else {
|
|
s.p = types.NewPositionFromMarket(s.Market)
|
|
s.p.Base = s.Position.Base
|
|
s.p.Quote = s.Position.Quote
|
|
s.p.AverageCost = s.Position.AverageCost
|
|
}
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = types.NewProfitStats(s.Market)
|
|
}
|
|
if s.TradeStats == nil {
|
|
s.TradeStats = types.NewTradeStats(s.Symbol)
|
|
}
|
|
// StrategyController
|
|
s.Status = types.StrategyStatusRunning
|
|
|
|
s.OnSuspend(func() {
|
|
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
|
|
})
|
|
|
|
s.OnEmergencyStop(func() {
|
|
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
})
|
|
|
|
s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
|
s.GeneralOrderExecutor.BindEnvironment(s.Environment)
|
|
s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
|
|
s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
|
|
s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Sync(s)
|
|
})
|
|
s.GeneralOrderExecutor.Bind()
|
|
|
|
s.orderPendingCounter = make(map[uint64]int)
|
|
s.minutesCounter = 0
|
|
|
|
// Exit methods from config
|
|
for _, method := range s.ExitMethods {
|
|
method.Bind(session, s.GeneralOrderExecutor)
|
|
}
|
|
|
|
profit := floats.Slice{1., 1.}
|
|
price, _ := s.Session.LastPrice(s.Symbol)
|
|
initAsset := s.CalcAssetValue(price).Float64()
|
|
cumProfit := floats.Slice{initAsset, initAsset}
|
|
modify := func(p float64) float64 {
|
|
return p
|
|
}
|
|
if s.GraphPNLDeductFee {
|
|
modify = func(p float64) float64 {
|
|
return p * (1. - Fee)
|
|
}
|
|
}
|
|
s.GeneralOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, _netProfit fixedpoint.Value) {
|
|
s.p.AddTrade(trade)
|
|
order, ok := s.GeneralOrderExecutor.TradeCollector().OrderStore().Get(trade.OrderID)
|
|
if !ok {
|
|
panic(fmt.Sprintf("cannot find order: %v", trade))
|
|
}
|
|
tag := order.Tag
|
|
|
|
price := trade.Price.Float64()
|
|
|
|
if s.buyPrice > 0 {
|
|
profit.Update(modify(price / s.buyPrice))
|
|
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
|
|
} else if s.sellPrice > 0 {
|
|
profit.Update(modify(s.sellPrice / price))
|
|
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
|
|
}
|
|
s.positionLock.Lock()
|
|
defer s.positionLock.Unlock()
|
|
// tag == "" is for exits trades
|
|
if tag == "close" || tag == "" {
|
|
if s.p.IsDust(trade.Price) {
|
|
s.buyPrice = 0
|
|
s.sellPrice = 0
|
|
s.highestPrice = 0
|
|
s.lowestPrice = 0
|
|
} else if s.p.IsLong() {
|
|
s.buyPrice = trade.Price.Float64()
|
|
s.sellPrice = 0
|
|
s.highestPrice = s.buyPrice
|
|
s.lowestPrice = 0
|
|
} else {
|
|
s.sellPrice = trade.Price.Float64()
|
|
s.buyPrice = 0
|
|
s.highestPrice = 0
|
|
s.lowestPrice = s.sellPrice
|
|
}
|
|
} else if tag == "long" {
|
|
if s.p.IsDust(trade.Price) {
|
|
s.buyPrice = 0
|
|
s.sellPrice = 0
|
|
s.highestPrice = 0
|
|
s.lowestPrice = 0
|
|
} else if s.p.IsLong() {
|
|
s.buyPrice = trade.Price.Float64()
|
|
s.sellPrice = 0
|
|
s.highestPrice = s.buyPrice
|
|
s.lowestPrice = 0
|
|
}
|
|
} else if tag == "short" {
|
|
if s.p.IsDust(trade.Price) {
|
|
s.sellPrice = 0
|
|
s.buyPrice = 0
|
|
s.highestPrice = 0
|
|
s.lowestPrice = 0
|
|
} else if s.p.IsShort() {
|
|
s.sellPrice = trade.Price.Float64()
|
|
s.buyPrice = 0
|
|
s.highestPrice = 0
|
|
s.lowestPrice = s.sellPrice
|
|
}
|
|
} else {
|
|
panic("tag unknown")
|
|
}
|
|
bbgo.Notify("tag: %s, sp: %.4f bp: %.4f hp: %.4f lp: %.4f, trade: %s, pos: %s", tag, s.sellPrice, s.buyPrice, s.highestPrice, s.lowestPrice, trade.String(), s.p.String())
|
|
})
|
|
|
|
s.frameKLine = &types.KLine{}
|
|
s.kline1m = &types.KLine{}
|
|
s.priceLines = types.NewQueue(300)
|
|
|
|
s.initTickerFunctions(ctx)
|
|
startTime := s.Environment.StartTime()
|
|
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
|
|
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime))
|
|
|
|
// default value: use 1m kline
|
|
if !s.NoTrailingStopLoss && s.IsBackTesting() || s.TrailingStopLossType == "" {
|
|
s.TrailingStopLossType = "kline"
|
|
}
|
|
|
|
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
|
|
canvas := s.DrawIndicators(s.frameKLine.StartTime)
|
|
var buffer bytes.Buffer
|
|
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
|
log.WithError(err).Errorf("cannot render indicators in drift")
|
|
reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
|
|
return
|
|
}
|
|
bbgo.SendPhoto(&buffer)
|
|
})
|
|
|
|
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
|
|
canvas := s.DrawPNL(&profit)
|
|
var buffer bytes.Buffer
|
|
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
|
log.WithError(err).Errorf("cannot render pnl in drift")
|
|
reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
|
|
return
|
|
}
|
|
bbgo.SendPhoto(&buffer)
|
|
})
|
|
|
|
bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL(Quote)", func(reply interact.Reply) {
|
|
canvas := s.DrawCumPNL(&cumProfit)
|
|
var buffer bytes.Buffer
|
|
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
|
log.WithError(err).Errorf("cannot render cumpnl in drift")
|
|
reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
|
|
return
|
|
}
|
|
bbgo.SendPhoto(&buffer)
|
|
})
|
|
|
|
bbgo.RegisterCommand("/config", "Show latest config", func(reply interact.Reply) {
|
|
var buffer bytes.Buffer
|
|
s.Print(&buffer, false)
|
|
reply.Message(buffer.String())
|
|
})
|
|
|
|
bbgo.RegisterCommand("/pos", "Show internal position", func(reply interact.Reply) {
|
|
reply.Message(s.p.String())
|
|
})
|
|
|
|
bbgo.RegisterCommand("/dump", "Dump internal params", func(reply interact.Reply) {
|
|
reply.Message("Please enter series output length:")
|
|
}).Next(func(length string, reply interact.Reply) {
|
|
var buffer bytes.Buffer
|
|
l, err := strconv.Atoi(length)
|
|
if err != nil {
|
|
s.ParamDump(&buffer)
|
|
} else {
|
|
s.ParamDump(&buffer, l)
|
|
}
|
|
reply.Message(buffer.String())
|
|
})
|
|
|
|
// event trigger order: s.Interval => Interval1m
|
|
store, ok := session.SerialMarketDataStore(s.Symbol, []types.Interval{s.Interval, types.Interval1m})
|
|
if !ok {
|
|
panic("cannot get 1m history")
|
|
}
|
|
if err := s.initIndicators(store); err != nil {
|
|
log.WithError(err).Errorf("initIndicator failed")
|
|
return nil
|
|
}
|
|
store.OnKLineClosed(func(kline types.KLine) {
|
|
s.minutesCounter = int(kline.StartTime.Time().Add(kline.Interval.Duration()).Sub(s.startTime).Minutes())
|
|
if kline.Interval == types.Interval1m {
|
|
s.klineHandler1m(ctx, kline)
|
|
} else if kline.Interval == s.Interval {
|
|
s.klineHandler(ctx, kline)
|
|
}
|
|
})
|
|
|
|
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
|
|
var buffer bytes.Buffer
|
|
|
|
s.Print(&buffer, true, true)
|
|
|
|
fmt.Fprintln(&buffer, "--- NonProfitable Dates ---")
|
|
for _, daypnl := range s.TradeStats.IntervalProfits[types.Interval1d].GetNonProfitableIntervals() {
|
|
fmt.Fprintf(&buffer, "%s\n", daypnl)
|
|
}
|
|
fmt.Fprintln(&buffer, s.TradeStats.BriefString())
|
|
|
|
os.Stdout.Write(buffer.Bytes())
|
|
|
|
if s.GenerateGraph {
|
|
s.Draw(s.frameKLine.StartTime, &profit, &cumProfit)
|
|
}
|
|
|
|
wg.Done()
|
|
})
|
|
return nil
|
|
}
|