mirror of
https://github.com/c9s/bbgo.git
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363 lines
11 KiB
Go
363 lines
11 KiB
Go
package grid
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import (
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"context"
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"fmt"
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"hash/fnv"
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"sync"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "grid"
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var log = logrus.WithField("strategy", ID)
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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// Note: built-in strategies need to imported manually in the bbgo cmd package.
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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// The notification system will be injected into the strategy automatically.
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// This field will be injected automatically since it's a single exchange strategy.
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*bbgo.Notifiability `json:"-" yaml:"-"`
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*bbgo.Graceful `json:"-" yaml:"-"`
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// OrderExecutor is an interface for submitting order.
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// This field will be injected automatically since it's a single exchange strategy.
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bbgo.OrderExecutor `json:"-" yaml:"-"`
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// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
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// This field will be injected automatically since we defined the Symbol field.
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types.Market `json:"-" yaml:"-"`
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TradeService *service.TradeService `json:"-" yaml:"-"`
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol" yaml:"symbol"`
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// ProfitSpread is the fixed profit spread you want to submit the sell order
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ProfitSpread fixedpoint.Value `json:"profitSpread" yaml:"profitSpread"`
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// GridNum is the grid number, how many orders you want to post on the orderbook.
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GridNum int `json:"gridNumber" yaml:"gridNumber"`
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UpperPrice fixedpoint.Value `json:"upperPrice" yaml:"upperPrice"`
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LowerPrice fixedpoint.Value `json:"lowerPrice" yaml:"lowerPrice"`
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// Quantity is the quantity you want to submit for each order.
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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// FixedAmount is used for fixed amount (dynamic quantity) if you don't want to use fixed quantity.
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FixedAmount fixedpoint.Value `json:"amount,omitempty" yaml:"amount"`
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// Long means you want to hold more base asset than the quote asset.
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Long bool `json:"long,omitempty" yaml:"long,omitempty"`
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orderStore *bbgo.OrderStore
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// activeOrders is the locally maintained active order book of the maker orders.
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activeOrders *bbgo.LocalActiveOrderBook
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position fixedpoint.Value
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// any created orders for tracking trades
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orders map[uint64]types.Order
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groupID int64
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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) generateGridSellOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
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currentPriceFloat, ok := session.LastPrice(s.Symbol)
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if !ok {
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return nil, fmt.Errorf("%s last price not found, skipping", s.Symbol)
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}
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currentPrice := fixedpoint.NewFromFloat(currentPriceFloat)
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priceRange := s.UpperPrice - s.LowerPrice
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if priceRange <= 0 {
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return nil, fmt.Errorf("upper price %f should not be less than or equal to lower price %f", s.UpperPrice.Float64(), s.LowerPrice.Float64())
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}
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numGrids := fixedpoint.NewFromInt(s.GridNum)
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gridSpread := priceRange.Div(numGrids)
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startPrice := fixedpoint.Max(s.LowerPrice, currentPrice+gridSpread)
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if startPrice > s.UpperPrice {
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return nil, fmt.Errorf("current price %f exceeded the upper price boundary %f",
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currentPrice.Float64(),
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s.UpperPrice.Float64())
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}
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balances := session.Account.Balances()
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baseBalance, ok := balances[s.Market.BaseCurrency]
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if !ok {
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return nil, fmt.Errorf("base balance %s not found", s.Market.BaseCurrency)
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}
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if baseBalance.Available == 0 {
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return nil, fmt.Errorf("base balance %s is zero: %+v", s.Market.BaseCurrency, baseBalance)
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}
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log.Infof("placing grid sell orders from %f ~ %f, grid spread %f",
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startPrice.Float64(),
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s.UpperPrice.Float64(),
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gridSpread.Float64())
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var orders []types.SubmitOrder
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for price := startPrice; s.LowerPrice <= price && price <= s.UpperPrice; price += gridSpread {
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quantity := s.Quantity
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if s.FixedAmount > 0 {
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quantity = s.FixedAmount.Div(price)
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}
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// quoteQuantity := price.Mul(quantity)
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if baseBalance.Available < quantity {
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return orders, fmt.Errorf("base balance %f is not enough, stop generating orders", baseBalance.Available.Float64())
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}
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Market: s.Market,
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Quantity: quantity.Float64(),
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Price: price.Float64(),
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TimeInForce: "GTC",
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GroupID: s.groupID,
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})
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baseBalance.Available -= quantity
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}
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return orders, nil
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}
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func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types.SubmitOrder, error) {
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currentPriceFloat, ok := session.LastPrice(s.Symbol)
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if !ok {
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return nil, fmt.Errorf("%s last price not found, skipping", s.Symbol)
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}
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currentPrice := fixedpoint.NewFromFloat(currentPriceFloat)
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priceRange := s.UpperPrice - s.LowerPrice
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if priceRange <= 0 {
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return nil, fmt.Errorf("upper price %f should not be less than or equal to lower price %f", s.UpperPrice.Float64(), s.LowerPrice.Float64())
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}
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numGrids := fixedpoint.NewFromInt(s.GridNum)
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gridSpread := priceRange.Div(numGrids)
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startPrice := fixedpoint.Min(s.UpperPrice, currentPrice-gridSpread)
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if startPrice < s.LowerPrice {
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return nil, fmt.Errorf("current price %f exceeded the lower price boundary %f",
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currentPrice.Float64(),
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s.UpperPrice.Float64())
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}
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balances := session.Account.Balances()
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balance, ok := balances[s.Market.QuoteCurrency]
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if !ok {
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return nil, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
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}
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if balance.Available == 0 {
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return nil, fmt.Errorf("quote balance %s is zero: %+v", s.Market.QuoteCurrency, balance)
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}
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log.Infof("placing grid buy orders from %f to %f, grid spread %f",
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(currentPrice - gridSpread).Float64(),
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s.LowerPrice.Float64(),
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gridSpread.Float64())
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var orders []types.SubmitOrder
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for price := startPrice; s.LowerPrice <= price && price <= s.UpperPrice; price -= gridSpread {
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quantity := s.Quantity
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if s.FixedAmount > 0 {
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quantity = s.FixedAmount.Div(price)
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}
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quoteQuantity := price.Mul(quantity)
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if balance.Available < quoteQuantity {
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return orders, fmt.Errorf("quote balance %f is not enough for %f, stop generating orders",
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balance.Available.Float64(),
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quoteQuantity.Float64())
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}
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Market: s.Market,
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Quantity: quantity.Float64(),
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Price: price.Float64(),
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TimeInForce: "GTC",
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GroupID: s.groupID,
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})
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balance.Available -= quoteQuantity
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}
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return orders, nil
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}
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func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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log.Infof("placing grid orders...")
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sellOrders, err := s.generateGridSellOrders(session)
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if err != nil {
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log.Warn(err.Error())
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}
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if len(sellOrders) > 0 {
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createdSellOrders, err := orderExecutor.SubmitOrders(context.Background(), sellOrders...)
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if err != nil {
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log.WithError(err).Error(err.Error())
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} else {
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s.activeOrders.Add(createdSellOrders...)
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}
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}
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buyOrders, err := s.generateGridBuyOrders(session)
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if err != nil {
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log.Warn(err.Error())
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}
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if len(buyOrders) > 0 {
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createdBuyOrders, err := orderExecutor.SubmitOrders(context.Background(), buyOrders...)
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if err != nil {
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log.WithError(err).Error(err.Error())
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} else {
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s.activeOrders.Add(createdBuyOrders...)
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}
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}
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}
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func (s *Strategy) tradeUpdateHandler(trade types.Trade) {
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if trade.Symbol != s.Symbol {
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return
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}
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if s.orderStore.Exists(trade.OrderID) {
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log.Infof("received trade update of order %d: %+v", trade.OrderID, trade)
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switch trade.Side {
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case types.SideTypeBuy:
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s.position.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
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case types.SideTypeSell:
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s.position.AtomicAdd(-fixedpoint.NewFromFloat(trade.Quantity))
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}
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}
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}
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func (s *Strategy) submitReverseOrder(order types.Order) {
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var side = order.Side.Reverse()
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var price = order.Price
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var quantity = order.Quantity
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switch side {
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case types.SideTypeSell:
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price += s.ProfitSpread.Float64()
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case types.SideTypeBuy:
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price -= s.ProfitSpread.Float64()
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}
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if s.FixedAmount > 0 {
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quantity = s.FixedAmount.Float64() / price
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} else if s.Long {
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// long = use the same amount to buy more quantity back
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// the original amount
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var amount = order.Price * order.Quantity
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quantity = amount / price
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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TimeInForce: "GTC",
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GroupID: s.groupID,
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}
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log.Infof("submitting reverse order: %s against %s", submitOrder.String(), order.String())
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createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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return
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}
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s.orderStore.Add(createdOrders...)
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s.activeOrders.Add(createdOrders...)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// do some basic validation
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if s.GridNum == 0 {
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s.GridNum = 10
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}
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if s.UpperPrice <= s.LowerPrice {
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return fmt.Errorf("upper price (%f) should not be less than lower price (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64())
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}
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position, ok := session.Position(s.Symbol)
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if !ok {
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return fmt.Errorf("position not found")
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}
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log.Infof("position: %+v", position)
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instanceID := fmt.Sprintf("grid-%s-%d", s.Symbol, s.GridNum)
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s.groupID = generateGroupID(instanceID)
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log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.Stream)
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// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
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s.activeOrders = bbgo.NewLocalActiveOrderBook()
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s.activeOrders.OnFilled(s.submitReverseOrder)
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s.activeOrders.BindStream(session.Stream)
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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log.Infof("canceling active orders...")
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if err := session.Exchange.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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})
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session.Stream.OnTradeUpdate(s.tradeUpdateHandler)
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session.Stream.OnConnect(func() {
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s.placeGridOrders(orderExecutor, session)
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})
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return nil
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}
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func generateGroupID(s string) int64 {
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h := fnv.New32a()
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h.Write([]byte(s))
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return int64(h.Sum32())
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}
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