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436 lines
12 KiB
Go
436 lines
12 KiB
Go
package scmaker
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import (
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"context"
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"fmt"
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"math"
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log "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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "scmaker"
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var ten = fixedpoint.NewFromInt(10)
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type BollingerConfig struct {
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Interval types.Interval `json:"interval"`
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Window int `json:"window"`
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K float64 `json:"k"`
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}
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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// Strategy scmaker is a stable coin market maker
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type Strategy struct {
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Environment *bbgo.Environment
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Market types.Market
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Symbol string `json:"symbol"`
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NumOfLiquidityLayers int `json:"numOfLiquidityLayers"`
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LiquidityUpdateInterval types.Interval `json:"liquidityUpdateInterval"`
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PriceRangeBollinger *BollingerConfig `json:"priceRangeBollinger"`
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StrengthInterval types.Interval `json:"strengthInterval"`
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AdjustmentUpdateInterval types.Interval `json:"adjustmentUpdateInterval"`
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MidPriceEMA *types.IntervalWindow `json:"midPriceEMA"`
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LiquiditySlideRule *bbgo.SlideRule `json:"liquidityScale"`
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LiquidityLayerTickSize fixedpoint.Value `json:"liquidityLayerTickSize"`
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MinProfit fixedpoint.Value `json:"minProfit"`
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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liquidityOrderBook, adjustmentOrderBook *bbgo.ActiveOrderBook
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book *types.StreamOrderBook
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liquidityScale bbgo.Scale
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// indicators
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ewma *indicator.EWMAStream
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boll *indicator.BOLLStream
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intensity *IntensityStream
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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) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.AdjustmentUpdateInterval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LiquidityUpdateInterval})
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if s.MidPriceEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.MidPriceEMA.Interval})
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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.session = session
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s.book = types.NewStreamBook(s.Symbol)
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s.book.BindStream(session.UserDataStream)
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s.liquidityOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
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s.liquidityOrderBook.BindStream(session.UserDataStream)
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s.adjustmentOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
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s.adjustmentOrderBook.BindStream(session.UserDataStream)
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// If position is nil, we need to allocate a new position for calculation
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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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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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// if anyone of the fee rate is defined, this assumes that both are defined.
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// so that zero maker fee could be applied
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if s.session.MakerFeeRate.Sign() > 0 || s.session.TakerFeeRate.Sign() > 0 {
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s.Position.SetExchangeFeeRate(s.session.ExchangeName, types.ExchangeFee{
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MakerFeeRate: s.session.MakerFeeRate,
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TakerFeeRate: s.session.TakerFeeRate,
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})
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}
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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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scale, err := s.LiquiditySlideRule.Scale()
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if err != nil {
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return err
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}
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if err := scale.Solve(); err != nil {
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return err
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}
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s.liquidityScale = scale
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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.initializeMidPriceEMA(session)
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s.initializePriceRangeBollinger(session)
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s.initializeIntensityIndicator(session)
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session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
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if k.Interval == s.AdjustmentUpdateInterval {
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s.placeAdjustmentOrders(ctx)
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}
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if k.Interval == s.LiquidityUpdateInterval {
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s.placeLiquidityOrders(ctx)
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}
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})
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return nil
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}
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func (s *Strategy) initializeMidPriceEMA(session *bbgo.ExchangeSession) {
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kLines := indicator.KLines(session.MarketDataStream, s.Symbol, s.MidPriceEMA.Interval)
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s.ewma = indicator.EWMA2(indicator.ClosePrices(kLines), s.MidPriceEMA.Window)
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}
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func (s *Strategy) initializeIntensityIndicator(session *bbgo.ExchangeSession) {
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kLines := indicator.KLines(session.MarketDataStream, s.Symbol, s.StrengthInterval)
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s.intensity = Intensity(kLines, 10)
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}
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func (s *Strategy) initializePriceRangeBollinger(session *bbgo.ExchangeSession) {
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kLines := indicator.KLines(session.MarketDataStream, s.Symbol, s.PriceRangeBollinger.Interval)
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closePrices := indicator.ClosePrices(kLines)
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s.boll = indicator.BOLL2(closePrices, s.PriceRangeBollinger.Window, s.PriceRangeBollinger.K)
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}
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func (s *Strategy) placeAdjustmentOrders(ctx context.Context) {
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_ = s.adjustmentOrderBook.GracefulCancel(ctx, s.session.Exchange)
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if s.Position.IsDust() {
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return
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}
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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if logErr(err, "unable to query ticker") {
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return
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}
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if _, err := s.session.UpdateAccount(ctx); err != nil {
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logErr(err, "unable to update account")
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return
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}
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baseBal, _ := s.session.Account.Balance(s.Market.BaseCurrency)
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quoteBal, _ := s.session.Account.Balance(s.Market.QuoteCurrency)
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var adjOrders []types.SubmitOrder
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posSize := s.Position.Base.Abs()
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tickSize := s.Market.TickSize
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if s.Position.IsShort() {
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price := profitProtectedPrice(types.SideTypeBuy, s.Position.AverageCost, ticker.Sell.Add(tickSize.Neg()), s.session.MakerFeeRate, s.MinProfit)
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quoteQuantity := fixedpoint.Min(price.Mul(posSize), quoteBal.Available)
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bidQuantity := quoteQuantity.Div(price)
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if s.Market.IsDustQuantity(bidQuantity, price) {
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return
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}
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adjOrders = append(adjOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeBuy,
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Price: price,
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Quantity: bidQuantity,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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} else if s.Position.IsLong() {
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price := profitProtectedPrice(types.SideTypeSell, s.Position.AverageCost, ticker.Buy.Add(tickSize), s.session.MakerFeeRate, s.MinProfit)
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askQuantity := fixedpoint.Min(posSize, baseBal.Available)
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if s.Market.IsDustQuantity(askQuantity, price) {
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return
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}
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adjOrders = append(adjOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeSell,
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Price: price,
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Quantity: askQuantity,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, adjOrders...)
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if logErr(err, "unable to place liquidity orders") {
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return
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}
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s.adjustmentOrderBook.Add(createdOrders...)
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}
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func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
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err := s.liquidityOrderBook.GracefulCancel(ctx, s.session.Exchange)
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if logErr(err, "unable to cancel orders") {
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return
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}
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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if logErr(err, "unable to query ticker") {
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return
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}
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if _, err := s.session.UpdateAccount(ctx); err != nil {
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logErr(err, "unable to update account")
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return
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}
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baseBal, _ := s.session.Account.Balance(s.Market.BaseCurrency)
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quoteBal, _ := s.session.Account.Balance(s.Market.QuoteCurrency)
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spread := ticker.Sell.Sub(ticker.Buy)
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tickSize := fixedpoint.Max(s.LiquidityLayerTickSize, s.Market.TickSize)
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midPriceEMA := s.ewma.Last(0)
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midPrice := fixedpoint.NewFromFloat(midPriceEMA)
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makerQuota := &bbgo.QuotaTransaction{}
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makerQuota.QuoteAsset.Add(quoteBal.Available)
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makerQuota.BaseAsset.Add(baseBal.Available)
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bandWidth := s.boll.Last(0)
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log.Infof("spread: %f mid price ema: %f boll band width: %f", spread.Float64(), midPriceEMA, bandWidth)
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n := s.liquidityScale.Sum(1.0)
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var bidPrices []fixedpoint.Value
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var askPrices []fixedpoint.Value
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// calculate and collect prices
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for i := 0; i <= s.NumOfLiquidityLayers; i++ {
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fi := fixedpoint.NewFromInt(int64(i))
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sp := tickSize.Mul(fi)
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bidPrice := ticker.Buy
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askPrice := ticker.Sell
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if i == s.NumOfLiquidityLayers {
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bwf := fixedpoint.NewFromFloat(bandWidth)
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bidPrice = midPrice.Add(bwf.Neg())
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askPrice = midPrice.Add(bwf)
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} else if i > 0 {
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bidPrice = midPrice.Sub(sp)
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askPrice = midPrice.Add(sp)
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}
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if i > 0 && bidPrice.Compare(ticker.Buy) < 0 {
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bidPrice = ticker.Buy.Sub(sp)
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}
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if i > 0 && askPrice.Compare(ticker.Sell) > 0 {
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askPrice = ticker.Sell.Add(sp)
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}
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bidPrice = s.Market.TruncatePrice(bidPrice)
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askPrice = s.Market.TruncatePrice(askPrice)
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bidPrices = append(bidPrices, bidPrice)
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askPrices = append(askPrices, askPrice)
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}
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availableBase := baseBal.Available
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availableQuote := quoteBal.Available
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log.Infof("balances before liq orders: %s, %s",
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baseBal.String(),
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quoteBal.String())
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if !s.Position.IsDust() {
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if s.Position.IsLong() {
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availableBase = availableBase.Sub(s.Position.Base)
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availableBase = s.Market.RoundDownQuantityByPrecision(availableBase)
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} else if s.Position.IsShort() {
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posSizeInQuote := s.Position.Base.Mul(ticker.Sell)
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availableQuote = availableQuote.Sub(posSizeInQuote)
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}
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}
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askX := availableBase.Float64() / n
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bidX := availableQuote.Float64() / (n * (fixedpoint.Sum(bidPrices).Float64()))
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askX = math.Trunc(askX*1e8) / 1e8
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bidX = math.Trunc(bidX*1e8) / 1e8
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var liqOrders []types.SubmitOrder
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for i := 0; i <= s.NumOfLiquidityLayers; i++ {
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bidQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * bidX)
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askQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * askX)
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bidPrice := bidPrices[i]
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askPrice := askPrices[i]
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log.Infof("liqudity layer #%d %f/%f = %f/%f", i, askPrice.Float64(), bidPrice.Float64(), askQuantity.Float64(), bidQuantity.Float64())
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placeBuy := true
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placeSell := true
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averageCost := s.Position.AverageCost
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// when long position, do not place sell orders below the average cost
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if !s.Position.IsDust() {
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if s.Position.IsLong() && askPrice.Compare(averageCost) < 0 {
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placeSell = false
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}
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if s.Position.IsShort() && bidPrice.Compare(averageCost) > 0 {
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placeBuy = false
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}
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}
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quoteQuantity := bidQuantity.Mul(bidPrice)
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if s.Market.IsDustQuantity(bidQuantity, bidPrice) || !makerQuota.QuoteAsset.Lock(quoteQuantity) {
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placeBuy = false
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}
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if s.Market.IsDustQuantity(askQuantity, askPrice) || !makerQuota.BaseAsset.Lock(askQuantity) {
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placeSell = false
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}
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if placeBuy {
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liqOrders = append(liqOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Quantity: bidQuantity,
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Price: bidPrice,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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if placeSell {
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liqOrders = append(liqOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Quantity: askQuantity,
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Price: askPrice,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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}
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makerQuota.Commit()
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, liqOrders...)
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if logErr(err, "unable to place liquidity orders") {
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return
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}
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s.liquidityOrderBook.Add(createdOrders...)
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}
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func profitProtectedPrice(side types.SideType, averageCost, price, feeRate, minProfit fixedpoint.Value) fixedpoint.Value {
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switch side {
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case types.SideTypeSell:
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minProfitPrice := averageCost.Add(
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averageCost.Mul(feeRate.Add(minProfit)))
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return fixedpoint.Max(minProfitPrice, price)
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case types.SideTypeBuy:
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minProfitPrice := averageCost.Sub(
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averageCost.Mul(feeRate.Add(minProfit)))
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return fixedpoint.Min(minProfitPrice, price)
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}
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return price
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}
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func logErr(err error, msgAndArgs ...interface{}) bool {
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if err == nil {
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return false
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}
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if len(msgAndArgs) == 0 {
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log.WithError(err).Error(err.Error())
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} else if len(msgAndArgs) == 1 {
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msg := msgAndArgs[0].(string)
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log.WithError(err).Error(msg)
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} else if len(msgAndArgs) > 1 {
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msg := msgAndArgs[0].(string)
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log.WithError(err).Errorf(msg, msgAndArgs[1:]...)
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}
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return true
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}
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