449 lines
12 KiB
Go
449 lines
12 KiB
Go
package xalign
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import (
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"context"
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"errors"
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"fmt"
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"strings"
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"sync"
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"time"
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"github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/core"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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const ID = "xalign"
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var log = logrus.WithField("strategy", ID)
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func init() {
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qbtrade.RegisterStrategy(ID, &Strategy{})
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}
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type TimeBalance struct {
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types.Balance
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Time time.Time
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}
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type QuoteCurrencyPreference struct {
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Buy []string `json:"buy"`
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Sell []string `json:"sell"`
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}
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type Strategy struct {
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*qbtrade.Environment
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Interval types.Interval `json:"interval"`
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PreferredSessions []string `json:"sessions"`
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PreferredQuoteCurrencies *QuoteCurrencyPreference `json:"quoteCurrencies"`
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ExpectedBalances map[string]fixedpoint.Value `json:"expectedBalances"`
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UseTakerOrder bool `json:"useTakerOrder"`
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DryRun bool `json:"dryRun"`
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BalanceToleranceRange fixedpoint.Value `json:"balanceToleranceRange"`
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Duration types.Duration `json:"for"`
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MaxAmounts map[string]fixedpoint.Value `json:"maxAmounts"`
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faultBalanceRecords map[string][]TimeBalance
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sessions map[string]*qbtrade.ExchangeSession
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orderBooks map[string]*qbtrade.ActiveOrderBook
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orderStore *core.OrderStore
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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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var cs []string
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for cur := range s.ExpectedBalances {
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cs = append(cs, cur)
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}
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return ID + strings.Join(s.PreferredSessions, "-") + strings.Join(cs, "-")
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}
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func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
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// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*qbtrade.ExchangeSession) {
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}
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func (s *Strategy) Defaults() error {
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s.BalanceToleranceRange = fixedpoint.NewFromFloat(0.01)
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return nil
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}
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func (s *Strategy) Validate() error {
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if s.PreferredQuoteCurrencies == nil {
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return errors.New("quoteCurrencies is not defined")
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}
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return nil
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}
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func (s *Strategy) aggregateBalances(
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ctx context.Context, sessions map[string]*qbtrade.ExchangeSession,
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) (totalBalances types.BalanceMap, sessionBalances map[string]types.BalanceMap) {
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totalBalances = make(types.BalanceMap)
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sessionBalances = make(map[string]types.BalanceMap)
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// iterate the sessions and record them
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for sessionName, session := range sessions {
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// update the account balances and the margin information
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if _, err := session.UpdateAccount(ctx); err != nil {
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log.WithError(err).Errorf("can not update account")
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return
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}
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account := session.GetAccount()
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balances := account.Balances()
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sessionBalances[sessionName] = balances
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totalBalances = totalBalances.Add(balances)
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}
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return totalBalances, sessionBalances
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}
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func (s *Strategy) selectSessionForCurrency(
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ctx context.Context, sessions map[string]*qbtrade.ExchangeSession, currency string, changeQuantity fixedpoint.Value,
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) (*qbtrade.ExchangeSession, *types.SubmitOrder) {
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for _, sessionName := range s.PreferredSessions {
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session := sessions[sessionName]
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var taker = s.UseTakerOrder
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var side types.SideType
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var quoteCurrencies []string
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if changeQuantity.Sign() > 0 {
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quoteCurrencies = s.PreferredQuoteCurrencies.Buy
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side = types.SideTypeBuy
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} else {
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quoteCurrencies = s.PreferredQuoteCurrencies.Sell
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side = types.SideTypeSell
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}
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for _, fromQuoteCurrency := range quoteCurrencies {
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// skip the same currency, because there is no such USDT/USDT market
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if currency == fromQuoteCurrency {
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continue
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}
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// check both fromQuoteCurrency/currency and currency/fromQuoteCurrency
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reversed := false
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baseCurrency := currency
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quoteCurrency := fromQuoteCurrency
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symbol := currency + quoteCurrency
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market, ok := session.Market(symbol)
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if !ok {
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// for TWD in USDT/TWD market, buy TWD means sell USDT
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baseCurrency = fromQuoteCurrency
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quoteCurrency = currency
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symbol = baseCurrency + currency
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market, ok = session.Market(symbol)
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if !ok {
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continue
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}
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// reverse side
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side = side.Reverse()
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reversed = true
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}
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ticker, err := session.Exchange.QueryTicker(ctx, symbol)
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if err != nil {
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log.WithError(err).Errorf("unable to query ticker on %s", symbol)
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continue
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}
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spread := ticker.Sell.Sub(ticker.Buy)
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// changeQuantity > 0 = buy
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// changeQuantity < 0 = sell
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q := changeQuantity.Abs()
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// a fast filtering
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if reversed {
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if q.Compare(market.MinNotional) < 0 {
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log.Debugf("skip dust notional: %f", q.Float64())
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continue
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}
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} else {
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if q.Compare(market.MinQuantity) < 0 {
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log.Debugf("skip dust quantity: %f", q.Float64())
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continue
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}
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}
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log.Infof("%s changeQuantity: %f ticker: %+v market: %+v", symbol, changeQuantity.Float64(), ticker, market)
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switch side {
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case types.SideTypeBuy:
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var price fixedpoint.Value
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if taker {
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price = ticker.Sell
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} else if spread.Compare(market.TickSize) > 0 {
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price = ticker.Sell.Sub(market.TickSize)
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} else {
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price = ticker.Buy
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}
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quoteBalance, ok := session.Account.Balance(quoteCurrency)
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if !ok {
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continue
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}
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requiredQuoteAmount := fixedpoint.Zero
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if reversed {
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requiredQuoteAmount = q
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} else {
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requiredQuoteAmount = q.Mul(price)
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}
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requiredQuoteAmount = requiredQuoteAmount.Round(market.PricePrecision, fixedpoint.Up)
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if requiredQuoteAmount.Compare(quoteBalance.Available) > 0 {
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log.Warnf("required quote amount %f > quote balance %v, skip", requiredQuoteAmount.Float64(), quoteBalance)
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continue
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}
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// for currency = TWD in market USDT/TWD
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// since the side is reversed, the quote currency is also "TWD" here.
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//
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// for currency = BTC in market BTC/USDT and the side is buy
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// we want to check if the quote currency USDT used up another expected balance.
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if quoteCurrency != currency {
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if expectedQuoteBalance, ok := s.ExpectedBalances[quoteCurrency]; ok {
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rest := quoteBalance.Total().Sub(requiredQuoteAmount)
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if rest.Compare(expectedQuoteBalance) < 0 {
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log.Warnf("required quote amount %f will use up the expected balance %f, skip", requiredQuoteAmount.Float64(), expectedQuoteBalance.Float64())
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continue
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}
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}
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}
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maxAmount, ok := s.MaxAmounts[market.QuoteCurrency]
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if ok && requiredQuoteAmount.Compare(maxAmount) > 0 {
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log.Infof("adjusted required quote ammount %f %s by max amount %f %s", requiredQuoteAmount.Float64(), market.QuoteCurrency, maxAmount.Float64(), market.QuoteCurrency)
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requiredQuoteAmount = maxAmount
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}
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if quantity, ok := market.GreaterThanMinimalOrderQuantity(side, price, requiredQuoteAmount); ok {
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return session, &types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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}
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} else {
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log.Warnf("The amount %f is not greater than the minimal order quantity for %s", requiredQuoteAmount.Float64(), market.Symbol)
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}
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case types.SideTypeSell:
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var price fixedpoint.Value
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if taker {
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price = ticker.Buy
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} else if spread.Compare(market.TickSize) > 0 {
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price = ticker.Buy.Add(market.TickSize)
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} else {
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price = ticker.Sell
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}
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if reversed {
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q = q.Div(price)
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}
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baseBalance, ok := session.Account.Balance(baseCurrency)
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if !ok {
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continue
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}
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if q.Compare(baseBalance.Available) > 0 {
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log.Warnf("required base amount %f < available base balance %v, skip", q.Float64(), baseBalance)
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continue
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}
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maxAmount, ok := s.MaxAmounts[market.QuoteCurrency]
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if ok {
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q = qbtrade.AdjustQuantityByMaxAmount(q, price, maxAmount)
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log.Infof("adjusted quantity %f %s by max amount %f %s", q.Float64(), market.BaseCurrency, maxAmount.Float64(), market.QuoteCurrency)
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}
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if quantity, ok := market.GreaterThanMinimalOrderQuantity(side, price, q); ok {
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return session, &types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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Price: price,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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}
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} else {
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log.Warnf("The amount %f is not greater than the minimal order quantity for %s", q.Float64(), market.Symbol)
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}
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}
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}
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}
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return nil, nil
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}
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func (s *Strategy) CrossRun(ctx context.Context, _ qbtrade.OrderExecutionRouter, sessions map[string]*qbtrade.ExchangeSession) error {
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instanceID := s.InstanceID()
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_ = instanceID
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s.faultBalanceRecords = make(map[string][]TimeBalance)
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s.sessions = make(map[string]*qbtrade.ExchangeSession)
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s.orderBooks = make(map[string]*qbtrade.ActiveOrderBook)
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s.orderStore = core.NewOrderStore("")
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for _, sessionName := range s.PreferredSessions {
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session, ok := sessions[sessionName]
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if !ok {
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return fmt.Errorf("incorrect preferred session name: %s is not defined", sessionName)
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}
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s.orderStore.BindStream(session.UserDataStream)
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orderBook := qbtrade.NewActiveOrderBook("")
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orderBook.BindStream(session.UserDataStream)
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s.orderBooks[sessionName] = orderBook
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s.sessions[sessionName] = session
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}
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qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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for n, session := range s.sessions {
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if ob, ok := s.orderBooks[n]; ok {
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_ = ob.GracefulCancel(ctx, session.Exchange)
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}
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}
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})
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go func() {
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s.align(ctx, s.sessions)
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ticker := time.NewTicker(s.Interval.Duration())
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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s.align(ctx, s.sessions)
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}
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}
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}()
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return nil
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}
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func (s *Strategy) recordBalance(totalBalances types.BalanceMap) {
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now := time.Now()
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for currency, expectedBalance := range s.ExpectedBalances {
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q := s.calculateRefillQuantity(totalBalances, currency, expectedBalance)
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rf := q.Div(expectedBalance).Abs().Float64()
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tr := s.BalanceToleranceRange.Float64()
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if rf > tr {
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balance := totalBalances[currency]
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s.faultBalanceRecords[currency] = append(s.faultBalanceRecords[currency], TimeBalance{
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Time: now,
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Balance: balance,
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})
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} else {
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// reset counter
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s.faultBalanceRecords[currency] = nil
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}
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}
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}
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func (s *Strategy) align(ctx context.Context, sessions map[string]*qbtrade.ExchangeSession) {
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for sessionName, session := range sessions {
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ob, ok := s.orderBooks[sessionName]
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if !ok {
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log.Errorf("orderbook on session %s not found", sessionName)
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return
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}
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if ok {
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if err := ob.GracefulCancel(ctx, session.Exchange); err != nil {
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log.WithError(err).Errorf("can not cancel order")
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}
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}
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}
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totalBalances, sessionBalances := s.aggregateBalances(ctx, sessions)
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_ = sessionBalances
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s.recordBalance(totalBalances)
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for currency, expectedBalance := range s.ExpectedBalances {
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q := s.calculateRefillQuantity(totalBalances, currency, expectedBalance)
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if s.Duration > 0 {
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log.Infof("checking fault balance records...")
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if faultBalance, ok := s.faultBalanceRecords[currency]; ok && len(faultBalance) > 0 {
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if time.Since(faultBalance[0].Time) < s.Duration.Duration() {
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log.Infof("%s fault record since: %s < persistence period %s", currency, faultBalance[0].Time, s.Duration.Duration())
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continue
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}
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}
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}
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selectedSession, submitOrder := s.selectSessionForCurrency(ctx, sessions, currency, q)
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if selectedSession != nil && submitOrder != nil {
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log.Infof("placing order on %s: %+v", selectedSession.Name, submitOrder)
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qbtrade.Notify("Aligning position on exchange session %s, delta: %f", selectedSession.Name, q.Float64(), submitOrder)
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if s.DryRun {
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return
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}
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createdOrder, err := selectedSession.Exchange.SubmitOrder(ctx, *submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place order")
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return
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}
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if createdOrder != nil {
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if ob, ok := s.orderBooks[selectedSession.Name]; ok {
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ob.Add(*createdOrder)
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} else {
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log.Errorf("orderbook %s not found", selectedSession.Name)
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}
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s.orderBooks[selectedSession.Name].Add(*createdOrder)
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}
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}
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}
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}
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func (s *Strategy) calculateRefillQuantity(
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totalBalances types.BalanceMap, currency string, expectedBalance fixedpoint.Value,
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) fixedpoint.Value {
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if b, ok := totalBalances[currency]; ok {
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netBalance := b.Net()
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return expectedBalance.Sub(netBalance)
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}
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return expectedBalance
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}
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