mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
377 lines
10 KiB
Go
377 lines
10 KiB
Go
package xgap
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"math"
|
|
"math/rand"
|
|
"sync"
|
|
"time"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/strategy/common"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
)
|
|
|
|
const ID = "xgap"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
var maxStepPercentageGap = fixedpoint.NewFromFloat(0.05)
|
|
|
|
var Two = fixedpoint.NewFromInt(2)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
|
}
|
|
|
|
type Strategy struct {
|
|
*common.Strategy
|
|
*common.FeeBudget
|
|
|
|
Environment *bbgo.Environment
|
|
|
|
Symbol string `json:"symbol"`
|
|
SourceExchange string `json:"sourceExchange"`
|
|
TradingExchange string `json:"tradingExchange"`
|
|
MinSpread fixedpoint.Value `json:"minSpread"`
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
DryRun bool `json:"dryRun"`
|
|
|
|
DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
|
|
DailyTargetVolume fixedpoint.Value `json:"dailyTargetVolume,omitempty"`
|
|
UpdateInterval types.Duration `json:"updateInterval"`
|
|
SimulateVolume bool `json:"simulateVolume"`
|
|
SimulatePrice bool `json:"simulatePrice"`
|
|
|
|
sourceSession, tradingSession *bbgo.ExchangeSession
|
|
sourceMarket, tradingMarket types.Market
|
|
|
|
mu sync.Mutex
|
|
lastSourceKLine, lastTradingKLine types.KLine
|
|
sourceBook, tradingBook *types.StreamOrderBook
|
|
|
|
stopC chan struct{}
|
|
}
|
|
|
|
func (s *Strategy) Initialize() error {
|
|
if s.Strategy == nil {
|
|
s.Strategy = &common.Strategy{}
|
|
}
|
|
|
|
if s.FeeBudget == nil {
|
|
s.FeeBudget = &common.FeeBudget{}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Defaults() error {
|
|
if s.UpdateInterval == 0 {
|
|
s.UpdateInterval = types.Duration(time.Second)
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
|
|
sourceSession, ok := sessions[s.SourceExchange]
|
|
if !ok {
|
|
panic(fmt.Errorf("source session %s is not defined", s.SourceExchange))
|
|
}
|
|
|
|
sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
|
sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{Depth: types.DepthLevel5})
|
|
|
|
tradingSession, ok := sessions[s.TradingExchange]
|
|
if !ok {
|
|
panic(fmt.Errorf("trading session %s is not defined", s.TradingExchange))
|
|
}
|
|
|
|
tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
|
tradingSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{Depth: types.DepthLevel5})
|
|
}
|
|
|
|
func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
|
|
sourceSession, ok := sessions[s.SourceExchange]
|
|
if !ok {
|
|
return fmt.Errorf("source session %s is not defined", s.SourceExchange)
|
|
}
|
|
s.sourceSession = sourceSession
|
|
|
|
tradingSession, ok := sessions[s.TradingExchange]
|
|
if !ok {
|
|
return fmt.Errorf("trading session %s is not defined", s.TradingExchange)
|
|
}
|
|
s.tradingSession = tradingSession
|
|
|
|
s.sourceMarket, ok = s.sourceSession.Market(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("source session market %s is not defined", s.Symbol)
|
|
}
|
|
|
|
s.tradingMarket, ok = s.tradingSession.Market(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("trading session market %s is not defined", s.Symbol)
|
|
}
|
|
|
|
s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.tradingMarket, ID, s.InstanceID())
|
|
s.FeeBudget.Initialize()
|
|
|
|
s.stopC = make(chan struct{})
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
close(s.stopC)
|
|
bbgo.Sync(ctx, s)
|
|
})
|
|
|
|
// from here, set data binding
|
|
s.sourceSession.MarketDataStream.OnKLine(func(kline types.KLine) {
|
|
s.mu.Lock()
|
|
s.lastSourceKLine = kline
|
|
s.mu.Unlock()
|
|
})
|
|
s.tradingSession.MarketDataStream.OnKLine(func(kline types.KLine) {
|
|
s.mu.Lock()
|
|
s.lastTradingKLine = kline
|
|
s.mu.Unlock()
|
|
})
|
|
|
|
if s.SourceExchange != "" {
|
|
s.sourceBook = types.NewStreamBook(s.Symbol, sourceSession.ExchangeName)
|
|
s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
|
|
}
|
|
|
|
s.tradingBook = types.NewStreamBook(s.Symbol, tradingSession.ExchangeName)
|
|
s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
|
|
|
|
s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
|
if trade.Symbol != s.Symbol {
|
|
return
|
|
}
|
|
s.FeeBudget.HandleTradeUpdate(trade)
|
|
})
|
|
|
|
go func() {
|
|
ticker := time.NewTicker(
|
|
util.MillisecondsJitter(s.UpdateInterval.Duration(), 1000),
|
|
)
|
|
defer ticker.Stop()
|
|
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-s.stopC:
|
|
return
|
|
|
|
case <-ticker.C:
|
|
if !s.IsBudgetAllowed() {
|
|
continue
|
|
}
|
|
|
|
// < 10 seconds jitter sleep
|
|
delay := util.MillisecondsJitter(s.UpdateInterval.Duration(), 10*1000)
|
|
if delay < s.UpdateInterval.Duration() {
|
|
time.Sleep(delay)
|
|
}
|
|
|
|
s.placeOrders(ctx)
|
|
|
|
s.cancelOrders(ctx)
|
|
}
|
|
}
|
|
}()
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) placeOrders(ctx context.Context) {
|
|
bestBid, hasBid := s.tradingBook.BestBid()
|
|
bestAsk, hasAsk := s.tradingBook.BestAsk()
|
|
|
|
// try to use the bid/ask price from the trading book
|
|
if hasBid && hasAsk {
|
|
var spread = bestAsk.Price.Sub(bestBid.Price)
|
|
var spreadPercentage = spread.Div(bestAsk.Price)
|
|
log.Infof("trading book spread=%s %s",
|
|
spread.String(), spreadPercentage.Percentage())
|
|
|
|
// use the source book price if the spread percentage greater than 5%
|
|
if s.SimulatePrice && s.sourceBook != nil && spreadPercentage.Compare(maxStepPercentageGap) > 0 {
|
|
log.Warnf("spread too large (%s %s), using source book",
|
|
spread.String(), spreadPercentage.Percentage())
|
|
bestBid, hasBid = s.sourceBook.BestBid()
|
|
bestAsk, hasAsk = s.sourceBook.BestAsk()
|
|
}
|
|
|
|
if s.MinSpread.Sign() > 0 {
|
|
if spread.Compare(s.MinSpread) < 0 {
|
|
log.Warnf("spread < min spread, spread=%s minSpread=%s bid=%s ask=%s",
|
|
spread.String(), s.MinSpread.String(),
|
|
bestBid.Price.String(), bestAsk.Price.String())
|
|
return
|
|
}
|
|
}
|
|
|
|
// if the spread is less than 100 ticks (100 pips), skip
|
|
if spread.Compare(s.tradingMarket.TickSize.MulExp(2)) < 0 {
|
|
log.Warnf("spread too small, we can't place orders: spread=%s bid=%s ask=%s",
|
|
spread.String(), bestBid.Price.String(), bestAsk.Price.String())
|
|
return
|
|
}
|
|
|
|
} else if s.sourceBook != nil {
|
|
bestBid, hasBid = s.sourceBook.BestBid()
|
|
bestAsk, hasAsk = s.sourceBook.BestAsk()
|
|
}
|
|
|
|
if !hasBid || !hasAsk {
|
|
log.Warn("no bids or asks on the source book or the trading book")
|
|
return
|
|
}
|
|
|
|
if bestBid.Price.IsZero() || bestAsk.Price.IsZero() {
|
|
log.Warn("bid price or ask price is zero")
|
|
return
|
|
}
|
|
|
|
var spread = bestAsk.Price.Sub(bestBid.Price)
|
|
var spreadPercentage = spread.Div(bestAsk.Price)
|
|
|
|
log.Infof("spread:%s %s ask:%s bid:%s",
|
|
spread.String(), spreadPercentage.Percentage(),
|
|
bestAsk.Price.String(), bestBid.Price.String())
|
|
// var spreadPercentage = spread.Float64() / bestBid.Price.Float64()
|
|
|
|
var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two)
|
|
var price = midPrice
|
|
|
|
log.Infof("mid price %s", midPrice.String())
|
|
|
|
var balances = s.tradingSession.GetAccount().Balances()
|
|
|
|
baseBalance, ok := balances[s.tradingMarket.BaseCurrency]
|
|
if !ok {
|
|
log.Errorf("base balance %s not found", s.tradingMarket.BaseCurrency)
|
|
return
|
|
}
|
|
|
|
quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]
|
|
if !ok {
|
|
log.Errorf("quote balance %s not found", s.tradingMarket.QuoteCurrency)
|
|
return
|
|
}
|
|
|
|
minQuantity := s.tradingMarket.AdjustQuantityByMinNotional(s.tradingMarket.MinQuantity, price)
|
|
|
|
if baseBalance.Available.Compare(minQuantity) <= 0 {
|
|
log.Infof("base balance: %s %s is not enough, skip", baseBalance.Available.String(), s.tradingMarket.BaseCurrency)
|
|
return
|
|
}
|
|
|
|
if quoteBalance.Available.Div(price).Compare(minQuantity) <= 0 {
|
|
log.Infof("quote balance: %s %s is not enough, skip", quoteBalance.Available.String(), s.tradingMarket.QuoteCurrency)
|
|
return
|
|
}
|
|
|
|
maxQuantity := baseBalance.Available
|
|
if !quoteBalance.Available.IsZero() {
|
|
maxQuantity = fixedpoint.Min(maxQuantity, quoteBalance.Available.Div(price))
|
|
}
|
|
|
|
quantity := minQuantity
|
|
|
|
// if we set the fixed quantity, we should use the fixed
|
|
if s.Quantity.Sign() > 0 {
|
|
quantity = fixedpoint.Max(s.Quantity, quantity)
|
|
} else if s.SimulateVolume {
|
|
s.mu.Lock()
|
|
if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 {
|
|
log.Infof("trading exchange %s price: %s volume: %s",
|
|
s.Symbol, s.lastTradingKLine.Close.String(), s.lastTradingKLine.Volume.String())
|
|
log.Infof("source exchange %s price: %s volume: %s",
|
|
s.Symbol, s.lastSourceKLine.Close.String(), s.lastSourceKLine.Volume.String())
|
|
|
|
volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume)
|
|
// change the current quantity only diff is positive
|
|
if volumeDiff.Sign() > 0 {
|
|
quantity = volumeDiff
|
|
}
|
|
}
|
|
s.mu.Unlock()
|
|
} else if s.DailyTargetVolume.Sign() > 0 {
|
|
numOfTicks := (24 * time.Hour) / s.UpdateInterval.Duration()
|
|
quantity = fixedpoint.NewFromFloat(s.DailyTargetVolume.Float64() / float64(numOfTicks))
|
|
quantity = quantityJitter(quantity, 0.02)
|
|
} else {
|
|
// plus a 2% quantity jitter
|
|
quantity = quantityJitter(quantity, 0.02)
|
|
}
|
|
|
|
log.Infof("%s quantity: %f", s.Symbol, quantity.Float64())
|
|
|
|
quantity = fixedpoint.Min(quantity, maxQuantity)
|
|
|
|
log.Infof("%s adjusted quantity: %f", s.Symbol, quantity.Float64())
|
|
|
|
orderForms := []types.SubmitOrder{
|
|
{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimit,
|
|
Quantity: quantity,
|
|
Price: price,
|
|
Market: s.tradingMarket,
|
|
},
|
|
{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Quantity: quantity,
|
|
Price: price,
|
|
Market: s.tradingMarket,
|
|
},
|
|
}
|
|
log.Infof("order forms: %+v", orderForms)
|
|
|
|
if s.DryRun {
|
|
log.Infof("dry run, skip")
|
|
return
|
|
}
|
|
|
|
_, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
|
|
if err != nil {
|
|
log.WithError(err).Error("order submit error")
|
|
}
|
|
|
|
time.Sleep(time.Second)
|
|
}
|
|
|
|
func (s *Strategy) cancelOrders(ctx context.Context) {
|
|
if err := s.OrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Error("cancel order error")
|
|
}
|
|
}
|
|
|
|
func quantityJitter(q fixedpoint.Value, rg float64) fixedpoint.Value {
|
|
jitter := 1.0 + math.Max(rg, rand.Float64())
|
|
return q.Mul(fixedpoint.NewFromFloat(jitter))
|
|
}
|