diff --git a/pkg/strategy/xgap/strategy.go b/pkg/strategy/xgap/strategy.go index 491d9edd20..8f48e100b8 100644 --- a/pkg/strategy/xgap/strategy.go +++ b/pkg/strategy/xgap/strategy.go @@ -12,6 +12,7 @@ import ( "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" ) @@ -32,6 +33,10 @@ func (s *Strategy) ID() string { return ID } +func (s *Strategy) InstanceID() string { + return fmt.Sprintf("%s:%s", ID, s.Symbol) +} + type State struct { AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"` AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"` @@ -54,6 +59,10 @@ func (s *State) Reset() { } type Strategy struct { + *common.Strategy + + Environment *bbgo.Environment + Symbol string `json:"symbol"` SourceExchange string `json:"sourceExchange"` TradingExchange string `json:"tradingExchange"` @@ -73,13 +82,28 @@ type Strategy struct { mu sync.Mutex lastSourceKLine, lastTradingKLine types.KLine sourceBook, tradingBook *types.StreamOrderBook - groupID uint32 - - activeOrderBook *bbgo.ActiveOrderBook stopC chan struct{} } +func (s *Strategy) Initialize() error { + if s.Strategy == nil { + s.Strategy = &common.Strategy{} + } + 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) isBudgetAllowed() bool { if s.DailyFeeBudgets == nil { return true @@ -141,10 +165,6 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) { } func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error { - if s.UpdateInterval == 0 { - s.UpdateInterval = types.Duration(time.Second) - } - sourceSession, ok := sessions[s.SourceExchange] if !ok { return fmt.Errorf("source session %s is not defined", s.SourceExchange) @@ -167,6 +187,8 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se 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.stopC = make(chan struct{}) if s.State == nil { @@ -209,13 +231,6 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se s.tradingSession.UserDataStream.OnTradeUpdate(s.handleTradeUpdate) - instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol) - s.groupID = util.FNV32(instanceID) % math.MaxInt32 - log.Infof("using group id %d from fnv32(%s)", s.groupID, instanceID) - - s.activeOrderBook = bbgo.NewActiveOrderBook(s.Symbol) - s.activeOrderBook.BindStream(s.tradingSession.UserDataStream) - go func() { ticker := time.NewTicker( util.MillisecondsJitter(s.UpdateInterval.Duration(), 1000), @@ -241,133 +256,136 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se time.Sleep(delay) } - 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 10% - if spreadPercentage.Compare(StepPercentageGap) > 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()) - continue - } - } - - // 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=%v bid=%v ask=%v", - spread, bestBid.Price, bestAsk.Price) - continue - } - - } else { - bestBid, hasBid = s.sourceBook.BestBid() - bestAsk, hasAsk = s.sourceBook.BestAsk() - } + s.placeOrders(ctx) - if !hasBid || !hasAsk { - log.Warn("no bids or asks on the source book or the trading book") - continue - } + s.cancelOrders(ctx) + } + } + }() - var spread = bestAsk.Price.Sub(bestBid.Price) - var spreadPercentage = spread.Div(bestAsk.Price) - log.Infof("spread=%v %s ask=%v bid=%v", - spread, spreadPercentage.Percentage(), - bestAsk.Price, bestBid.Price) - // var spreadPercentage = spread.Float64() / bestBid.Price.Float64() - - var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two) - var price = midPrice - - log.Infof("mid price %v", midPrice) - - var balances = s.tradingSession.GetAccount().Balances() - var quantity = s.tradingMarket.MinQuantity - - if s.Quantity.Sign() > 0 { - quantity = fixedpoint.Min(s.Quantity, s.tradingMarket.MinQuantity) - } else if s.SimulateVolume { - s.mu.Lock() - if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 { - volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume) - // change the current quantity only diff is positive - if volumeDiff.Sign() > 0 { - quantity = volumeDiff - } - - if baseBalance, ok := balances[s.tradingMarket.BaseCurrency]; ok { - quantity = fixedpoint.Min(quantity, baseBalance.Available) - } - - if quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]; ok { - maxQuantity := quoteBalance.Available.Div(price) - quantity = fixedpoint.Min(quantity, maxQuantity) - } - } - s.mu.Unlock() - } else { - // plus a 2% quantity jitter - jitter := 1.0 + math.Max(0.02, rand.Float64()) - quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter)) - } + return nil +} - var quoteAmount = price.Mul(quantity) - if quoteAmount.Compare(s.tradingMarket.MinNotional) <= 0 { - quantity = fixedpoint.Max( - s.tradingMarket.MinQuantity, - s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price)) - } +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 10% + if spreadPercentage.Compare(StepPercentageGap) > 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() + } - createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, tradingSession.Exchange, nil, types.SubmitOrder{ - Symbol: s.Symbol, - Side: types.SideTypeBuy, - Type: types.OrderTypeLimit, - Quantity: quantity, - Price: price, - Market: s.tradingMarket, - // TimeInForce: types.TimeInForceGTC, - GroupID: s.groupID, - }, types.SubmitOrder{ - Symbol: s.Symbol, - Side: types.SideTypeSell, - Type: types.OrderTypeLimit, - Quantity: quantity, - Price: price, - Market: s.tradingMarket, - // TimeInForce: types.TimeInForceGTC, - GroupID: s.groupID, - }) - - if err != nil { - log.WithError(err).Error("order submit error") - } + 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 + } + } - s.activeOrderBook.Add(createdOrders...) + // 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=%v bid=%v ask=%v", + spread, bestBid.Price, bestAsk.Price) + return + } - time.Sleep(time.Second) + } else { + bestBid, hasBid = s.sourceBook.BestBid() + bestAsk, hasAsk = s.sourceBook.BestAsk() + } - if err := s.activeOrderBook.GracefulCancel(ctx, s.tradingSession.Exchange); err != nil { - log.WithError(err).Error("cancel order error") - } + if !hasBid || !hasAsk { + log.Warn("no bids or asks on the source book or the trading book") + return + } + + var spread = bestAsk.Price.Sub(bestBid.Price) + var spreadPercentage = spread.Div(bestAsk.Price) + log.Infof("spread=%v %s ask=%v bid=%v", + spread, spreadPercentage.Percentage(), + bestAsk.Price, bestBid.Price) + // var spreadPercentage = spread.Float64() / bestBid.Price.Float64() + + var midPrice = bestAsk.Price.Add(bestBid.Price).Div(Two) + var price = midPrice + + log.Infof("mid price %v", midPrice) + + var balances = s.tradingSession.GetAccount().Balances() + var quantity = s.tradingMarket.MinQuantity + + if s.Quantity.Sign() > 0 { + quantity = fixedpoint.Min(s.Quantity, s.tradingMarket.MinQuantity) + } else if s.SimulateVolume { + s.mu.Lock() + if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 { + volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume) + // change the current quantity only diff is positive + if volumeDiff.Sign() > 0 { + quantity = volumeDiff + } + + if baseBalance, ok := balances[s.tradingMarket.BaseCurrency]; ok { + quantity = fixedpoint.Min(quantity, baseBalance.Available) + } + + if quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]; ok { + maxQuantity := quoteBalance.Available.Div(price) + quantity = fixedpoint.Min(quantity, maxQuantity) } } - }() + s.mu.Unlock() + } else { + // plus a 2% quantity jitter + jitter := 1.0 + math.Max(0.02, rand.Float64()) + quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter)) + } - return nil + var quoteAmount = price.Mul(quantity) + if quoteAmount.Compare(s.tradingMarket.MinNotional) <= 0 { + quantity = fixedpoint.Max( + s.tradingMarket.MinQuantity, + s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price)) + } + + orderForm := []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, + }} + createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orderForm...) + if err != nil { + log.WithError(err).Error("order submit error") + } + log.Infof("created orders: %+v", createdOrders) + + 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") + } }