mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 11:03:53 +00:00
435 lines
13 KiB
Go
435 lines
13 KiB
Go
package support
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/service"
|
|
"github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const ID = "support"
|
|
|
|
const stateKey = "state-v1"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
var zeroiw = types.IntervalWindow{}
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type State struct {
|
|
Position *bbgo.Position `json:"position,omitempty"`
|
|
}
|
|
|
|
type Target struct {
|
|
ProfitPercentage float64 `json:"profitPercentage"`
|
|
QuantityPercentage float64 `json:"quantityPercentage"`
|
|
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
|
}
|
|
|
|
// PercentageTargetStop is a kind of stop order by setting fixed percentage target
|
|
type PercentageTargetStop struct {
|
|
Targets []Target `json:"targets"`
|
|
}
|
|
|
|
// GenerateOrders generates the orders from the given targets
|
|
func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *bbgo.Position) []types.SubmitOrder {
|
|
var price = pos.AverageCost
|
|
var quantity = pos.Base
|
|
|
|
// submit target orders
|
|
var targetOrders []types.SubmitOrder
|
|
for _, target := range stop.Targets {
|
|
targetPrice := price.Float64() * (1.0 + target.ProfitPercentage)
|
|
targetQuantity := quantity.Float64() * target.QuantityPercentage
|
|
targetQuoteQuantity := targetPrice * targetQuantity
|
|
|
|
if targetQuoteQuantity <= market.MinNotional {
|
|
continue
|
|
}
|
|
|
|
if targetQuantity <= market.MinQuantity {
|
|
continue
|
|
}
|
|
|
|
targetOrders = append(targetOrders, types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Market: market,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: targetPrice,
|
|
Quantity: targetQuantity,
|
|
MarginSideEffect: target.MarginOrderSideEffect,
|
|
TimeInForce: "GTC",
|
|
})
|
|
}
|
|
|
|
return targetOrders
|
|
}
|
|
|
|
// ResistanceStop is a kind of stop order by detecting resistance
|
|
type ResistanceStop struct {
|
|
Interval types.Interval `json:"interval"`
|
|
sensitivity fixedpoint.Value `json:"sensitivity"`
|
|
MinVolume fixedpoint.Value `json:"minVolume"`
|
|
TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
|
|
}
|
|
|
|
type Strategy struct {
|
|
*bbgo.Notifiability `json:"-"`
|
|
*bbgo.Persistence
|
|
*bbgo.Graceful `json:"-"`
|
|
|
|
Symbol string `json:"symbol"`
|
|
Market types.Market `json:"-"`
|
|
|
|
// Interval for checking support
|
|
Interval types.Interval `json:"interval"`
|
|
|
|
// moving average window for checking support (support should be under the moving average line)
|
|
MovingAverageWindow int `json:"movingAverageWindow"`
|
|
|
|
// LongTermMovingAverage is the second moving average line for checking support position
|
|
LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
|
|
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
MinVolume fixedpoint.Value `json:"minVolume"`
|
|
Sensitivity fixedpoint.Value `json:"sensitivity"`
|
|
TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
|
|
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
|
Targets []Target `json:"targets"`
|
|
|
|
ResistanceStop *ResistanceStop `json:"resistanceStop"`
|
|
|
|
ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
|
|
|
|
// Min BaseAsset balance to keep
|
|
MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
|
|
// Max BaseAsset balance to buy
|
|
MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
|
|
MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
|
|
|
|
ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
|
|
|
|
tradeCollector *bbgo.TradeCollector
|
|
|
|
orderStore *bbgo.OrderStore
|
|
state *State
|
|
|
|
triggerEMA *indicator.EWMA
|
|
longTermEMA *indicator.EWMA
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) Validate() error {
|
|
if s.Quantity == 0 && s.ScaleQuantity == nil {
|
|
return fmt.Errorf("quantity or scaleQuantity can not be zero")
|
|
}
|
|
|
|
if s.MinVolume == 0 && s.Sensitivity == 0 {
|
|
return fmt.Errorf("either minVolume nor sensitivity can not be zero")
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
|
|
|
|
if s.LongTermMovingAverage != zeroiw {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.LongTermMovingAverage.Interval)})
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) SaveState() error {
|
|
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
|
|
return err
|
|
} else {
|
|
log.Infof("state is saved => %+v", s.state)
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) LoadState() error {
|
|
var state State
|
|
|
|
// load position
|
|
if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
|
|
if err != service.ErrPersistenceNotExists {
|
|
return err
|
|
}
|
|
|
|
s.state = &State{}
|
|
} else {
|
|
s.state = &state
|
|
log.Infof("state is restored: %+v", s.state)
|
|
}
|
|
|
|
if s.state.Position == nil {
|
|
s.state.Position = bbgo.NewPositionFromMarket(s.Market)
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) error {
|
|
for _, o := range orderForms {
|
|
s.Notifiability.Notify(o)
|
|
}
|
|
|
|
createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForms...)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
s.tradeCollector.Emit()
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.SideType, closePrice fixedpoint.Value, volume float64) (fixedpoint.Value, error) {
|
|
var quantity fixedpoint.Value
|
|
if s.Quantity > 0 {
|
|
quantity = s.Quantity
|
|
} else if s.ScaleQuantity != nil {
|
|
qf, err := s.ScaleQuantity.Scale(closePrice.Float64(), volume)
|
|
if err != nil {
|
|
return 0, err
|
|
}
|
|
quantity = fixedpoint.NewFromFloat(qf)
|
|
}
|
|
|
|
baseBalance, _ := session.Account.Balance(s.Market.BaseCurrency)
|
|
if side == types.SideTypeSell {
|
|
// quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
|
|
if s.MinBaseAssetBalance > 0 && (baseBalance.Total()-quantity) < s.MinBaseAssetBalance {
|
|
quota := baseBalance.Available - s.MinBaseAssetBalance
|
|
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
|
|
}
|
|
|
|
} else if side == types.SideTypeBuy {
|
|
if s.MaxBaseAssetBalance > 0 && baseBalance.Total()+quantity > s.MaxBaseAssetBalance {
|
|
quota := s.MaxBaseAssetBalance - baseBalance.Total()
|
|
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
|
|
}
|
|
|
|
quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
|
|
if !ok {
|
|
return 0, fmt.Errorf("quote balance %s not found", s.Market.QuoteCurrency)
|
|
}
|
|
|
|
// for spot, we need to modify the quantity according to the quote balance
|
|
if !session.Margin {
|
|
// add 0.3% for price slippage
|
|
notional := closePrice.Mul(quantity).MulFloat64(1.003)
|
|
|
|
if s.MinQuoteAssetBalance > 0 && quoteBalance.Available-notional < s.MinQuoteAssetBalance {
|
|
log.Warnf("modifying quantity %f according to the min quote asset balance %f %s",
|
|
quantity.Float64(),
|
|
quoteBalance.Available.Float64(),
|
|
s.Market.QuoteCurrency)
|
|
quota := quoteBalance.Available - s.MinQuoteAssetBalance
|
|
quantity = bbgo.AdjustQuantityByMinAmount(quantity, closePrice, quota)
|
|
} else if notional > quoteBalance.Available {
|
|
log.Warnf("modifying quantity %f according to the quote asset balance %f %s",
|
|
quantity.Float64(),
|
|
quoteBalance.Available.Float64(),
|
|
s.Market.QuoteCurrency)
|
|
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quoteBalance.Available)
|
|
}
|
|
}
|
|
}
|
|
|
|
return quantity, nil
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
// set default values
|
|
if s.Interval == "" {
|
|
s.Interval = types.Interval5m
|
|
}
|
|
|
|
if s.MovingAverageWindow == 0 {
|
|
s.MovingAverageWindow = 99
|
|
}
|
|
|
|
if s.Sensitivity > 0 {
|
|
volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
|
|
if err != nil {
|
|
return err
|
|
}
|
|
|
|
s.MinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1]-volRange[0]).Mul(fixedpoint.NewFromFloat(1.0)-s.Sensitivity)
|
|
log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
|
|
}
|
|
|
|
market, ok := session.Market(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("market %s is not defined", s.Symbol)
|
|
}
|
|
s.Market = market
|
|
|
|
standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
|
|
if !ok {
|
|
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
|
|
}
|
|
|
|
if s.LongTermMovingAverage != zeroiw {
|
|
s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
|
|
}
|
|
|
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(session.UserDataStream)
|
|
|
|
s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow})
|
|
|
|
if err := s.LoadState(); err != nil {
|
|
return err
|
|
} else {
|
|
s.Notify("%s state is restored => %+v", s.Symbol, s.state)
|
|
}
|
|
|
|
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
|
|
s.tradeCollector.BindStream(session.UserDataStream)
|
|
|
|
// s.tradeCollector.BindStreamForBackground(session.UserDataStream)
|
|
// go s.tradeCollector.Run(ctx)
|
|
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
// skip k-lines from other symbols
|
|
if kline.Symbol != s.Symbol {
|
|
return
|
|
}
|
|
if kline.Interval != s.Interval {
|
|
return
|
|
}
|
|
|
|
closePriceF := kline.GetClose()
|
|
closePrice := fixedpoint.NewFromFloat(closePriceF)
|
|
|
|
// check support volume
|
|
if kline.Volume < s.MinVolume.Float64() {
|
|
return
|
|
}
|
|
|
|
// check taker buy ratio, we need strong buy taker
|
|
if s.TakerBuyRatio > 0 {
|
|
takerBuyRatio := kline.TakerBuyBaseAssetVolume / kline.Volume
|
|
takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
|
|
if takerBuyRatio < s.TakerBuyRatio.Float64() {
|
|
s.Notify("%s: taker buy base volume %f (volume ratio %f) is less than %f (volume ratio %f)",
|
|
s.Symbol,
|
|
kline.TakerBuyBaseAssetVolume,
|
|
takerBuyRatio,
|
|
takerBuyBaseVolumeThreshold,
|
|
kline.Volume,
|
|
s.TakerBuyRatio.Float64(),
|
|
kline,
|
|
)
|
|
return
|
|
}
|
|
}
|
|
|
|
if s.longTermEMA != nil && closePriceF > s.longTermEMA.Last() {
|
|
s.Notify("%s: closed price is above the long term moving average line %f, skipping this support",
|
|
s.Symbol,
|
|
s.longTermEMA.Last(),
|
|
kline,
|
|
)
|
|
return
|
|
}
|
|
|
|
s.Notify("Found %s support: the close price %f is under EMA %f and volume %f > minimum volume %f",
|
|
s.Symbol,
|
|
closePrice.Float64(),
|
|
s.triggerEMA.Last(),
|
|
kline.Volume,
|
|
s.MinVolume.Float64(),
|
|
kline)
|
|
|
|
quantity, err := s.calculateQuantity(session, types.SideTypeBuy, closePrice, kline.Volume)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("%s quantity calculation error", s.Symbol)
|
|
return
|
|
}
|
|
|
|
orderForm := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Market: market,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeMarket,
|
|
Quantity: quantity.Float64(),
|
|
MarginSideEffect: s.MarginOrderSideEffect,
|
|
}
|
|
|
|
s.Notify("Submitting %s market order buy with quantity %f according to the base volume %f, taker buy base volume %f",
|
|
s.Symbol,
|
|
quantity.Float64(),
|
|
kline.Volume,
|
|
kline.TakerBuyBaseAssetVolume,
|
|
orderForm)
|
|
|
|
if err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
|
|
log.WithError(err).Error("submit order error")
|
|
return
|
|
}
|
|
|
|
// submit target orders
|
|
var targetOrders []types.SubmitOrder
|
|
for _, target := range s.Targets {
|
|
targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
|
|
targetQuantity := quantity.Float64() * target.QuantityPercentage
|
|
targetQuoteQuantity := targetPrice * targetQuantity
|
|
|
|
if targetQuoteQuantity <= market.MinNotional {
|
|
continue
|
|
}
|
|
|
|
if targetQuantity <= market.MinQuantity {
|
|
continue
|
|
}
|
|
|
|
targetOrders = append(targetOrders, types.SubmitOrder{
|
|
Symbol: kline.Symbol,
|
|
Market: market,
|
|
Type: types.OrderTypeLimit,
|
|
Side: types.SideTypeSell,
|
|
Price: targetPrice,
|
|
Quantity: targetQuantity,
|
|
|
|
MarginSideEffect: target.MarginOrderSideEffect,
|
|
TimeInForce: "GTC",
|
|
})
|
|
}
|
|
|
|
if err := s.submitOrders(ctx, orderExecutor, targetOrders...); err != nil {
|
|
log.WithError(err).Error("submit profit target order error")
|
|
return
|
|
}
|
|
})
|
|
|
|
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
|
|
if err := s.SaveState(); err != nil {
|
|
log.WithError(err).Errorf("can not save state: %+v", s.state)
|
|
} else {
|
|
s.Notify("%s position is saved", s.Symbol, s.state.Position)
|
|
}
|
|
})
|
|
|
|
return nil
|
|
}
|