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346 lines
9.7 KiB
Go
346 lines
9.7 KiB
Go
package bollgrid
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import (
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"context"
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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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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var log = logrus.WithField("strategy", "bollgrid")
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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("bollgrid", &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
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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
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// if Symbol string field is defined, bbgo will know it's a symbol-based strategy
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// The following embedded fields will be injected with the corresponding instances.
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// MarketDataStore is a pointer only injection field. public trades, k-lines (candlestick)
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// and order book updates are maintained in the market data store.
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// This field will be injected automatically since we defined the Symbol field.
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*bbgo.MarketDataStore
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// StandardIndicatorSet contains the standard indicators of a market (symbol)
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// This field will be injected automatically since we defined the Symbol field.
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*bbgo.StandardIndicatorSet
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// Graceful let you define the graceful shutdown handler
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*bbgo.Graceful
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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
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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"`
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// Interval is the interval used by the BOLLINGER indicator (which uses K-Line as its source price)
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Interval types.Interval `json:"interval"`
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// RepostInterval is the interval for re-posting maker orders
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RepostInterval types.Interval `json:"repostInterval"`
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// GridPips is the pips of grid
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// e.g., 0.001, so that your orders will be submitted at price like 0.127, 0.128, 0.129, 0.130
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GridPips fixedpoint.Value `json:"gridPips"`
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ProfitSpread fixedpoint.Value `json:"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"`
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// Quantity is the quantity you want to submit for each order.
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Quantity float64 `json:"quantity"`
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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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orders *bbgo.OrderStore
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// boll is the BOLLINGER indicator we used for predicting the price.
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boll *indicator.BOLL
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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// currently we need the 1m kline to update the last close price and indicators
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
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}
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func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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quoteCurrency := s.Market.QuoteCurrency
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balances := session.Account.Balances()
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balance, ok := balances[quoteCurrency]
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if !ok || balance.Available <= 0 {
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return
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}
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var downBand = s.boll.LastDownBand()
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if downBand <= 0.0 {
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return
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}
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var startPrice = downBand
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var submitOrders []types.SubmitOrder
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for i := 0; i < s.GridNum; i++ {
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submitOrders = append(submitOrders, 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: s.Quantity,
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Price: startPrice,
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TimeInForce: "GTC",
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})
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startPrice -= s.GridPips.Float64()
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}
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orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
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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.activeOrders.Add(orders...)
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s.orders.Add(orders...)
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}
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func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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baseCurrency := s.Market.BaseCurrency
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balances := session.Account.Balances()
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balance, ok := balances[baseCurrency]
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if !ok || balance.Available <= 0 {
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return
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}
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var upBand = s.boll.LastUpBand()
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if upBand <= 0.0 {
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return
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}
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var startPrice = upBand
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var submitOrders []types.SubmitOrder
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for i := 0; i < s.GridNum; i++ {
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submitOrders = append(submitOrders, 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: s.Quantity,
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Price: startPrice,
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TimeInForce: "GTC",
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})
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startPrice += s.GridPips.Float64()
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}
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orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
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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.orders.Add(orders...)
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s.activeOrders.Add(orders...)
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}
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func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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quoteCurrency := s.Market.QuoteCurrency
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balances := session.Account.Balances()
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balance, ok := balances[quoteCurrency]
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if !ok || balance.Available <= 0 {
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return
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}
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var upBand = s.boll.LastUpBand()
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if upBand <= 0.0 {
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return
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}
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var downBand = s.boll.LastDownBand()
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if downBand <= 0.0 {
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return
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}
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currentPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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return
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}
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if currentPrice > upBand || currentPrice < downBand {
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return
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}
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ema99 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
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ema25 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
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ema7 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
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priceRange := upBand - downBand
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gridSize := priceRange / float64(s.GridNum)
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var orders []types.SubmitOrder
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for price := downBand; price <= upBand; price += gridSize {
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var side types.SideType
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if price > currentPrice {
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side = types.SideTypeSell
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} else {
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side = types.SideTypeBuy
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}
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// trend up
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switch side {
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case types.SideTypeBuy:
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if ema7.Last() > ema25.Last()*1.001 && ema25.Last() > ema99.Last()*1.0005 {
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log.Infof("all ema lines trend up, skip buy")
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continue
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}
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case types.SideTypeSell:
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if ema7.Last() < ema25.Last()*(1-0.004) && ema25.Last() < ema99.Last()*(1-0.0005) {
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log.Infof("all ema lines trend down, skip sell")
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continue
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}
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}
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order := 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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Market: s.Market,
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Quantity: s.Quantity,
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Price: price,
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TimeInForce: "GTC",
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}
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log.Infof("submitting order: %s", order.String())
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orders = append(orders, order)
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}
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createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orders...)
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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.activeOrders.Add(createdOrders...)
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s.orders.Add(createdOrders...)
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}
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func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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// skip order updates if up-band - down-band < min profit spread
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if (s.boll.LastUpBand() - s.boll.LastDownBand()) <= s.ProfitSpread.Float64() {
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log.Infof("boll: down band price == up band price, skipping...")
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return
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}
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s.placeGridOrders(orderExecutor, session)
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s.activeOrders.Print()
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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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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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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: order.Quantity,
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Price: price,
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TimeInForce: "GTC",
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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.activeOrders.Add(createdOrders...)
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s.orders.Add(createdOrders...)
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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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if s.GridNum == 0 {
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s.GridNum = 2
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}
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s.boll = s.StandardIndicatorSet.GetBOLL(types.IntervalWindow{
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Interval: s.Interval,
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Window: 21,
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}, 2.0)
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s.orders = bbgo.NewOrderStore()
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s.orders.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.BindStream(session.Stream)
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s.activeOrders.OnFilled(func(o types.Order) {
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s.submitReverseOrder(o)
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})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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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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// avoid using time ticker since we will need back testing here
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session.Stream.OnKLineClosed(func(kline types.KLine) {
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// skip kline events that does not belong to this symbol
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if kline.Symbol != s.Symbol {
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log.Infof("%s != %s", kline.Symbol, s.Symbol)
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return
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}
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if (s.RepostInterval != "" && (s.RepostInterval == kline.Interval)) || s.Interval == kline.Interval {
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// see if we have enough balances and then we create limit orders on the up band and the down band.
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s.updateOrders(orderExecutor, session)
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}
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})
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return nil
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}
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