qbtrade/pkg/strategy/fixedmaker/strategy.go

package fixedmaker

import (
	"context"
	"fmt"
	"sync"

	"github.com/sirupsen/logrus"

	"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
	"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
	"git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/common"
	"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
)

const ID = "fixedmaker"

var log = logrus.WithField("strategy", ID)

func init() {
	qbtrade.RegisterStrategy(ID, &Strategy{})
}

// Fixed spread market making strategy
type Strategy struct {
	*common.Strategy

	Environment *qbtrade.Environment
	Market      types.Market

	Symbol     string           `json:"symbol"`
	Interval   types.Interval   `json:"interval"`
	Quantity   fixedpoint.Value `json:"quantity"`
	HalfSpread fixedpoint.Value `json:"halfSpread"`
	OrderType  types.OrderType  `json:"orderType"`
	DryRun     bool             `json:"dryRun"`

	InventorySkew common.InventorySkew `json:"inventorySkew"`

	activeOrderBook *qbtrade.ActiveOrderBook
}

func (s *Strategy) Defaults() error {
	if s.OrderType == "" {
		log.Infof("order type is not set, using limit maker order type")
		s.OrderType = types.OrderTypeLimitMaker
	}
	return nil
}

func (s *Strategy) Initialize() error {
	if s.Strategy == nil {
		s.Strategy = &common.Strategy{}
	}

	return nil
}

func (s *Strategy) ID() string {
	return ID
}

func (s *Strategy) InstanceID() string {
	return fmt.Sprintf("%s:%s", ID, s.Symbol)
}

func (s *Strategy) Validate() error {
	if s.Quantity.Float64() <= 0 {
		return fmt.Errorf("quantity should be positive")
	}

	if s.HalfSpread.Float64() <= 0 {
		return fmt.Errorf("halfSpread should be positive")
	}

	if err := s.InventorySkew.Validate(); err != nil {
		return err
	}
	return nil
}

func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})

	if !s.CircuitBreakLossThreshold.IsZero() {
		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.CircuitBreakEMA.Interval})
	}
}

func (s *Strategy) Run(ctx context.Context, _ qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())

	s.activeOrderBook = qbtrade.NewActiveOrderBook(s.Symbol)
	s.activeOrderBook.BindStream(session.UserDataStream)

	s.activeOrderBook.OnFilled(func(order types.Order) {
		if s.IsHalted(order.UpdateTime.Time()) {
			log.Infof("circuit break halted")
			return
		}

		if s.activeOrderBook.NumOfOrders() == 0 {
			log.Infof("no active orders, placing orders...")
			s.placeOrders(ctx)
		}
	})

	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
		log.Infof("%s", kline.String())

		if s.IsHalted(kline.EndTime.Time()) {
			log.Infof("circuit break halted")
			return
		}

		if kline.Interval == s.Interval {
			s.cancelOrders(ctx)
			s.placeOrders(ctx)
		}
	})

	// the shutdown handler, you can cancel all orders
	qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
		defer wg.Done()
		_ = s.OrderExecutor.GracefulCancel(ctx)
		qbtrade.Sync(ctx, s)
	})

	return nil
}

func (s *Strategy) cancelOrders(ctx context.Context) {
	if err := s.activeOrderBook.GracefulCancel(ctx, s.Session.Exchange); err != nil {
		log.WithError(err).Errorf("failed to cancel orders")
	}
}

func (s *Strategy) placeOrders(ctx context.Context) {
	orders, err := s.generateOrders(ctx)
	if err != nil {
		log.WithError(err).Error("failed to generate orders")
		return
	}
	log.Infof("orders: %+v", orders)

	if s.DryRun {
		log.Infof("dry run, not submitting orders")
		return
	}

	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orders...)
	if err != nil {
		log.WithError(err).Error("failed to submit orders")
		return
	}
	log.Infof("created orders: %+v", createdOrders)

	s.activeOrderBook.Add(createdOrders...)
}

func (s *Strategy) generateOrders(ctx context.Context) ([]types.SubmitOrder, error) {
	orders := []types.SubmitOrder{}

	baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
	if !ok {
		return nil, fmt.Errorf("base currency %s balance not found", s.Market.BaseCurrency)
	}
	log.Infof("base balance: %+v", baseBalance)

	quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
	if !ok {
		return nil, fmt.Errorf("quote currency %s balance not found", s.Market.QuoteCurrency)
	}
	log.Infof("quote balance: %+v", quoteBalance)

	ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
	if err != nil {
		return nil, err
	}
	midPrice := ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromFloat(2.0))
	log.Infof("mid price: %+v", midPrice)

	// calculate bid and ask price
	// sell price = mid price * (1 + r))
	// buy price = mid price * (1 - r))
	sellPrice := midPrice.Mul(fixedpoint.One.Add(s.HalfSpread)).Round(s.Market.PricePrecision, fixedpoint.Up)
	buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.HalfSpread)).Round(s.Market.PricePrecision, fixedpoint.Down)
	log.Infof("sell price: %s, buy price: %s", sellPrice.String(), buyPrice.String())

	buyQuantity := s.Quantity
	sellQuantity := s.Quantity
	if !s.InventorySkew.InventoryRangeMultiplier.IsZero() {
		ratios := s.InventorySkew.CalculateBidAskRatios(
			s.Quantity,
			midPrice,
			baseBalance.Total(),
			quoteBalance.Total(),
		)
		log.Infof("bid ratio: %s, ask ratio: %s", ratios.BidRatio.String(), ratios.AskRatio.String())
		buyQuantity = s.Quantity.Mul(ratios.BidRatio)
		sellQuantity = s.Quantity.Mul(ratios.AskRatio)
		log.Infof("buy quantity: %s, sell quantity: %s", buyQuantity.String(), sellQuantity.String())
	}

	// check balance and generate orders
	amount := s.Quantity.Mul(buyPrice)
	if quoteBalance.Available.Compare(amount) > 0 {
		orders = append(orders, types.SubmitOrder{
			Symbol:   s.Symbol,
			Side:     types.SideTypeBuy,
			Type:     s.OrderType,
			Price:    buyPrice,
			Quantity: buyQuantity,
		})
	} else {
		log.Infof("not enough quote balance to buy, available: %s, amount: %s", quoteBalance.Available, amount)
	}

	if baseBalance.Available.Compare(s.Quantity) > 0 {
		orders = append(orders, types.SubmitOrder{
			Symbol:   s.Symbol,
			Side:     types.SideTypeSell,
			Type:     s.OrderType,
			Price:    sellPrice,
			Quantity: sellQuantity,
		})
	} else {
		log.Infof("not enough base balance to sell, available: %s, quantity: %s", baseBalance.Available, s.Quantity)
	}

	return orders, nil
}