mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
276 lines
8.0 KiB
Go
276 lines
8.0 KiB
Go
package xfixedmaker
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/risk/riskcontrol"
|
|
"github.com/c9s/bbgo/pkg/strategy/common"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const ID = "xfixedmaker"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
// Fixed spread market making strategy
|
|
type Strategy struct {
|
|
*common.Strategy
|
|
|
|
Environment *bbgo.Environment
|
|
|
|
TradingExchange string `json:"tradingExchange"`
|
|
Symbol string `json:"symbol"`
|
|
Interval types.Interval `json:"interval"`
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
HalfSpread fixedpoint.Value `json:"halfSpread"`
|
|
OrderType types.OrderType `json:"orderType"`
|
|
DryRun bool `json:"dryRun"`
|
|
|
|
ReferenceExchange string `json:"referenceExchange"`
|
|
ReferencePriceEMA types.IntervalWindow `json:"referencePriceEMA"`
|
|
OrderPriceLossThreshold fixedpoint.Value `json:"orderPriceLossThreshold"`
|
|
InventorySkew common.InventorySkew `json:"inventorySkew"`
|
|
|
|
market types.Market
|
|
activeOrderBook *bbgo.ActiveOrderBook
|
|
orderPriceRiskControl *riskcontrol.OrderPriceRiskControl
|
|
}
|
|
|
|
func (s *Strategy) Defaults() error {
|
|
if s.OrderType == "" {
|
|
log.Infof("order type is not set, using limit maker order type")
|
|
s.OrderType = types.OrderTypeLimitMaker
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Initialize() error {
|
|
if s.Strategy == nil {
|
|
s.Strategy = &common.Strategy{}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
if s.Quantity.Float64() <= 0 {
|
|
return fmt.Errorf("quantity should be positive")
|
|
}
|
|
|
|
if s.HalfSpread.Float64() <= 0 {
|
|
return fmt.Errorf("halfSpread should be positive")
|
|
}
|
|
|
|
if err := s.InventorySkew.Validate(); err != nil {
|
|
return err
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
|
|
tradingSession, ok := sessions[s.TradingExchange]
|
|
if !ok {
|
|
log.Errorf("trading session %s is not defined", s.TradingExchange)
|
|
return
|
|
}
|
|
tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
if !s.CircuitBreakLossThreshold.IsZero() {
|
|
tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.CircuitBreakEMA.Interval})
|
|
}
|
|
|
|
referenceSession, ok := sessions[s.ReferenceExchange]
|
|
if !ok {
|
|
log.Errorf("reference session %s is not defined", s.ReferenceExchange)
|
|
}
|
|
referenceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ReferencePriceEMA.Interval})
|
|
}
|
|
|
|
func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
|
|
tradingSession, ok := sessions[s.TradingExchange]
|
|
if !ok {
|
|
return fmt.Errorf("trading session %s is not defined", s.TradingExchange)
|
|
}
|
|
|
|
referenceSession, ok := sessions[s.ReferenceExchange]
|
|
if !ok {
|
|
return fmt.Errorf("reference session %s is not defined", s.ReferenceExchange)
|
|
}
|
|
|
|
market, ok := tradingSession.Market(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("market %s not found", s.Symbol)
|
|
}
|
|
s.market = market
|
|
|
|
s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.market, ID, s.InstanceID())
|
|
|
|
s.orderPriceRiskControl = riskcontrol.NewOrderPriceRiskControl(
|
|
referenceSession.Indicators(s.Symbol).EMA(s.ReferencePriceEMA),
|
|
s.OrderPriceLossThreshold,
|
|
)
|
|
|
|
s.activeOrderBook = bbgo.NewActiveOrderBook(s.Symbol)
|
|
s.activeOrderBook.BindStream(tradingSession.UserDataStream)
|
|
s.activeOrderBook.OnFilled(func(order types.Order) {
|
|
if s.IsHalted(order.UpdateTime.Time()) {
|
|
log.Infof("circuit break halted")
|
|
return
|
|
}
|
|
|
|
if s.activeOrderBook.NumOfOrders() == 0 {
|
|
log.Infof("no active orders, placing orders...")
|
|
s.placeOrders(ctx)
|
|
}
|
|
})
|
|
|
|
tradingSession.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
log.Infof("kline: %s", kline.String())
|
|
|
|
if s.IsHalted(kline.EndTime.Time()) {
|
|
log.Infof("circuit break halted")
|
|
return
|
|
}
|
|
|
|
if kline.Interval == s.Interval {
|
|
s.cancelOrders(ctx)
|
|
s.placeOrders(ctx)
|
|
}
|
|
})
|
|
|
|
// the shutdown handler, you can cancel all orders
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
_ = s.OrderExecutor.GracefulCancel(ctx)
|
|
bbgo.Sync(ctx, s)
|
|
})
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) cancelOrders(ctx context.Context) {
|
|
if err := s.activeOrderBook.GracefulCancel(ctx, s.Session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("failed to cancel orders")
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) placeOrders(ctx context.Context) {
|
|
submitOrders, err := s.generateOrders(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Error("failed to generate orders")
|
|
return
|
|
}
|
|
log.Infof("submit orders: %+v", submitOrders)
|
|
|
|
if s.DryRun {
|
|
log.Infof("dry run, not submitting orders")
|
|
return
|
|
}
|
|
|
|
createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err != nil {
|
|
log.WithError(err).Error("failed to submit orders")
|
|
return
|
|
}
|
|
log.Infof("created orders: %+v", createdOrders)
|
|
|
|
s.activeOrderBook.Add(createdOrders...)
|
|
}
|
|
|
|
func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, error) {
|
|
orders := []types.SubmitOrder{}
|
|
|
|
baseBalance, ok := s.Session.GetAccount().Balance(s.market.BaseCurrency)
|
|
if !ok {
|
|
return nil, fmt.Errorf("base currency %s balance not found", s.market.BaseCurrency)
|
|
}
|
|
log.Infof("base balance: %s", baseBalance.String())
|
|
|
|
quoteBalance, ok := s.Session.GetAccount().Balance(s.market.QuoteCurrency)
|
|
if !ok {
|
|
return nil, fmt.Errorf("quote currency %s balance not found", s.market.QuoteCurrency)
|
|
}
|
|
log.Infof("quote balance: %s", quoteBalance.String())
|
|
|
|
ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
midPrice := ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromFloat(2.0))
|
|
log.Infof("mid price: %s", midPrice.String())
|
|
|
|
// calculate bid and ask price
|
|
// sell price = mid price * (1 + r))
|
|
// buy price = mid price * (1 - r))
|
|
sellPrice := midPrice.Mul(fixedpoint.One.Add(s.HalfSpread)).Round(s.market.PricePrecision, fixedpoint.Up)
|
|
buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.HalfSpread)).Round(s.market.PricePrecision, fixedpoint.Down)
|
|
log.Infof("sell price: %s, buy price: %s", sellPrice.String(), buyPrice.String())
|
|
|
|
buyQuantity := s.Quantity
|
|
sellQuantity := s.Quantity
|
|
if !s.InventorySkew.InventoryRangeMultiplier.IsZero() {
|
|
ratios := s.InventorySkew.CalculateBidAskRatios(
|
|
s.Quantity,
|
|
midPrice,
|
|
baseBalance.Total(),
|
|
quoteBalance.Total(),
|
|
)
|
|
log.Infof("bid ratio: %s, ask ratio: %s", ratios.BidRatio.String(), ratios.AskRatio.String())
|
|
buyQuantity = s.Quantity.Mul(ratios.BidRatio)
|
|
sellQuantity = s.Quantity.Mul(ratios.AskRatio)
|
|
log.Infof("buy quantity: %s, sell quantity: %s", buyQuantity.String(), sellQuantity.String())
|
|
}
|
|
|
|
// check balance and generate orders
|
|
amount := s.Quantity.Mul(buyPrice)
|
|
if quoteBalance.Available.Compare(amount) > 0 {
|
|
if s.orderPriceRiskControl.IsSafe(types.SideTypeBuy, buyPrice, s.Quantity) {
|
|
orders = append(orders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: s.OrderType,
|
|
Price: buyPrice,
|
|
Quantity: buyQuantity,
|
|
})
|
|
|
|
} else {
|
|
log.Infof("ref price risk control triggered, not placing buy order")
|
|
}
|
|
} else {
|
|
log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, amount)
|
|
}
|
|
|
|
if baseBalance.Available.Compare(s.Quantity) > 0 {
|
|
if s.orderPriceRiskControl.IsSafe(types.SideTypeSell, sellPrice, s.Quantity) {
|
|
orders = append(orders, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: s.OrderType,
|
|
Price: sellPrice,
|
|
Quantity: sellQuantity,
|
|
})
|
|
} else {
|
|
log.Infof("ref price risk control triggered, not placing sell order")
|
|
}
|
|
} else {
|
|
log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, s.Quantity)
|
|
}
|
|
|
|
return orders, nil
|
|
}
|