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370 lines
11 KiB
Go
370 lines
11 KiB
Go
package harmonic
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import (
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"bytes"
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"context"
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"errors"
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"fmt"
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"os"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/interact"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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)
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const ID = "harmonic"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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types.IntervalWindow
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//bbgo.OpenPositionOptions
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// persistence fields
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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bbgo.QuantityOrAmount
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// StrategyController
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bbgo.StrategyController
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shark *SHARK
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// plotting
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bbgo.SourceSelector
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priceLines *types.Queue
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midPrice fixedpoint.Value
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lock sync.RWMutex `ignore:"true"`
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positionLock sync.RWMutex `ignore:"true"`
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startTime time.Time
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minutesCounter int
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frameKLine *types.KLine
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kline1m *types.KLine
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CanvasPath string `json:"canvasPath"`
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HLRangeWindow int `json:"hlRangeWindow"`
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Window1m int `json:"window1m"`
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
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GraphPNLPath string `json:"graphPNLPath"`
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GraphCumPNLPath string `json:"graphCumPNLPath"`
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// Whether to generate graph when shutdown
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GenerateGraph bool `json:"generateGraph"`
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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: s.Interval})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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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) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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var instanceID = s.InstanceID()
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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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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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//_ = s.ClosePosition(ctx, fixedpoint.One)
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})
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s.session = session
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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.BindTradeStats(s.TradeStats)
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profit := floats.Slice{1., 1.}
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price, _ := s.session.LastPrice(s.Symbol)
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initAsset := s.CalcAssetValue(price).Float64()
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cumProfit := floats.Slice{initAsset, initAsset}
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, netProfit fixedpoint.Value) {
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profit.Update(netProfit.Float64())
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cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
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})
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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for _, method := range s.ExitMethods {
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method.Bind(session, s.orderExecutor)
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}
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kLineStore, _ := s.session.MarketDataStore(s.Symbol)
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s.shark = &SHARK{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}}
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s.shark.BindK(s.session.MarketDataStream, s.Symbol, s.shark.Interval)
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if klines, ok := kLineStore.KLinesOfInterval(s.shark.Interval); ok {
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s.shark.LoadK((*klines)[0:])
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}
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s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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log.Infof("Shark Score: %f, Current Price: %f", s.shark.Last(), kline.Close.Float64())
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//previousRegime := s.shark.Values.Tail(10).Mean()
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//zeroThreshold := 5.
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if s.shark.Rank(s.Window).Last()/float64(s.Window) > 0.99 { // && ((previousRegime < zeroThreshold && previousRegime > -zeroThreshold) || s.shark.Index(1) < 0)
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if s.Position.IsShort() {
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "close short position")
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}
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: s.Quantity,
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Type: types.OrderTypeMarket,
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Tag: "shark long: buy in",
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})
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if err == nil {
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_, err = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Price: fixedpoint.NewFromFloat(s.shark.Highs.Tail(100).Max()),
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Type: types.OrderTypeLimit,
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Tag: "shark long: sell back",
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})
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}
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if err != nil {
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log.Errorln(err)
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}
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} else if s.shark.Rank(s.Window).Last()/float64(s.Window) < 0.01 { // && ((previousRegime < zeroThreshold && previousRegime > -zeroThreshold) || s.shark.Index(1) > 0)
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if s.Position.IsLong() {
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "close long position")
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}
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Type: types.OrderTypeMarket,
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Tag: "shark short: sell in",
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})
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if err == nil {
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_, err = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: s.Quantity,
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Price: fixedpoint.NewFromFloat(s.shark.Lows.Tail(100).Min()),
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Type: types.OrderTypeLimit,
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Tag: "shark short: buy back",
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})
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}
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if err != nil {
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log.Errorln(err)
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}
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}
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}))
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bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
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canvas := s.DrawIndicators(s.frameKLine.StartTime)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render indicators in oneliner")
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reply.Message(fmt.Sprintf("[error] cannot render indicators in harmonic: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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})
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bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
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canvas := s.DrawPNL(&profit)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render pnl in oneliner")
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reply.Message(fmt.Sprintf("[error] cannot render pnl in harmonic: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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})
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bbgo.RegisterCommand("/cumpnl", "Draw Cumulative PNL(Quote)", func(reply interact.Reply) {
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canvas := s.DrawCumPNL(&cumProfit)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render cumpnl in oneliner")
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reply.Message(fmt.Sprintf("[error] canot render cumpnl in harmonic: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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})
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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return nil
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}
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func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
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balances := s.session.GetAccount().Balances()
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return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
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}
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func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
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canvas := types.NewCanvas(s.InstanceID())
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//log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
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length := profit.Length()
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if s.GraphPNLDeductFee {
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canvas.PlotRaw("pnl (with Fee Deducted)", profit, length)
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} else {
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canvas.PlotRaw("pnl", profit, length)
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}
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canvas.YAxis = chart.YAxis{
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ValueFormatter: func(v interface{}) string {
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if vf, isFloat := v.(float64); isFloat {
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return fmt.Sprintf("%.4f", vf)
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}
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return ""
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},
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}
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canvas.PlotRaw("1", types.NumberSeries(1), length)
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return canvas
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}
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func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
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canvas := types.NewCanvas(s.InstanceID())
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canvas.PlotRaw("cumulative pnl", cumProfit, cumProfit.Length())
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canvas.YAxis = chart.YAxis{
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ValueFormatter: func(v interface{}) string {
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if vf, isFloat := v.(float64); isFloat {
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return fmt.Sprintf("%.4f", vf)
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}
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return ""
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},
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}
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return canvas
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}
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func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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klines, ok := store.KLinesOfInterval(s.Interval)
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klinesLength := len(*klines)
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if !ok || klinesLength == 0 {
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return errors.New("klines not exists")
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}
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if s.frameKLine != nil && klines != nil {
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s.frameKLine.Set(&(*klines)[len(*klines)-1])
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}
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klines, ok = store.KLinesOfInterval(types.Interval1m)
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klinesLength = len(*klines)
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if !ok || klinesLength == 0 {
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return errors.New("klines not exists")
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}
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if s.kline1m != nil && klines != nil {
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s.kline1m.Set(&(*klines)[len(*klines)-1])
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}
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s.startTime = s.kline1m.StartTime.Time().Add(s.kline1m.Interval.Duration())
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return nil
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}
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func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
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canvas := types.NewCanvas(s.InstanceID(), s.Interval)
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Length := s.priceLines.Length()
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if Length > 300 {
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Length = 300
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}
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log.Infof("draw indicators with %d data", Length)
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mean := s.priceLines.Mean(Length)
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canvas.Plot("zero", types.NumberSeries(mean), time, Length)
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canvas.Plot("price", s.priceLines, time, Length)
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return canvas
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}
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func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series) {
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canvas := s.DrawIndicators(time)
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f, err := os.Create(s.CanvasPath)
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if err != nil {
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log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("cannot render in harmonic")
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}
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canvas = s.DrawPNL(profit)
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f, err = os.Create(s.GraphPNLPath)
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if err != nil {
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log.WithError(err).Errorf("open pnl")
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("render pnl")
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}
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canvas = s.DrawCumPNL(cumProfit)
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f, err = os.Create(s.GraphCumPNLPath)
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if err != nil {
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log.WithError(err).Errorf("open cumpnl")
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("render cumpnl")
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}
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}
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