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strategy.go
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strategy.go
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package xdepthmaker
import (
"context"
stderrors "errors"
"fmt"
"sync"
"time"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/exchange/retry"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
var minGap = fixedpoint.NewFromFloat(1.02)
var defaultMargin = fixedpoint.NewFromFloat(0.003)
var Two = fixedpoint.NewFromInt(2)
const priceUpdateTimeout = 5 * time.Minute
const ID = "xdepthmaker"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type CrossExchangeMarketMakingStrategy struct {
ctx, parent context.Context
cancel context.CancelFunc
Environ *bbgo.Environment
makerSession, hedgeSession *bbgo.ExchangeSession
makerMarket, hedgeMarket types.Market
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty" persistence:"covered_position"`
mu sync.Mutex
MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
}
func (s *CrossExchangeMarketMakingStrategy) Initialize(
ctx context.Context, environ *bbgo.Environment,
makerSession, hedgeSession *bbgo.ExchangeSession,
symbol, strategyID, instanceID string,
) error {
s.parent = ctx
s.ctx, s.cancel = context.WithCancel(ctx)
s.Environ = environ
s.makerSession = makerSession
s.hedgeSession = hedgeSession
var ok bool
s.hedgeMarket, ok = s.hedgeSession.Market(symbol)
if !ok {
return fmt.Errorf("source session market %s is not defined", symbol)
}
s.makerMarket, ok = s.makerSession.Market(symbol)
if !ok {
return fmt.Errorf("maker session market %s is not defined", symbol)
}
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.makerMarket)
}
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.makerMarket)
}
// Always update the position fields
s.Position.Strategy = strategyID
s.Position.StrategyInstanceID = instanceID
// if anyone of the fee rate is defined, this assumes that both are defined.
// so that zero maker fee could be applied
for _, ses := range []*bbgo.ExchangeSession{makerSession, hedgeSession} {
if ses.MakerFeeRate.Sign() > 0 || ses.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(ses.ExchangeName, types.ExchangeFee{
MakerFeeRate: ses.MakerFeeRate,
TakerFeeRate: ses.TakerFeeRate,
})
}
}
s.MakerOrderExecutor = bbgo.NewGeneralOrderExecutor(
makerSession,
s.makerMarket.Symbol,
strategyID, instanceID,
s.Position)
s.MakerOrderExecutor.BindEnvironment(environ)
s.MakerOrderExecutor.BindProfitStats(s.ProfitStats)
s.MakerOrderExecutor.Bind()
s.MakerOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
// bbgo.Sync(ctx, s)
})
s.HedgeOrderExecutor = bbgo.NewGeneralOrderExecutor(
hedgeSession,
s.hedgeMarket.Symbol,
strategyID, instanceID,
s.Position)
s.HedgeOrderExecutor.BindEnvironment(environ)
s.HedgeOrderExecutor.BindProfitStats(s.ProfitStats)
s.HedgeOrderExecutor.Bind()
s.HedgeOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
// bbgo.Sync(ctx, s)
})
s.HedgeOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange()
// sync covered position
// sell trade -> negative delta ->
// 1) long position -> reduce long position
// 2) short position -> increase short position
// buy trade -> positive delta ->
// 1) short position -> reduce short position
// 2) short position -> increase short position
// TODO: make this atomic
s.mu.Lock()
s.CoveredPosition = s.CoveredPosition.Add(c)
s.mu.Unlock()
})
return nil
}
type Strategy struct {
*CrossExchangeMarketMakingStrategy
Environment *bbgo.Environment
Symbol string `json:"symbol"`
// HedgeExchange session name
HedgeExchange string `json:"hedgeExchange"`
// MakerExchange session name
MakerExchange string `json:"makerExchange"`
UpdateInterval types.Duration `json:"updateInterval"`
HedgeInterval types.Duration `json:"hedgeInterval"`
FullReplenishInterval types.Duration `json:"fullReplenishInterval"`
OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`
Margin fixedpoint.Value `json:"margin"`
BidMargin fixedpoint.Value `json:"bidMargin"`
AskMargin fixedpoint.Value `json:"askMargin"`
StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
// Quantity is used for fixed quantity of the first layer
Quantity fixedpoint.Value `json:"quantity"`
// QuantityScale helps user to define the quantity by layer scale
QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
// DepthScale helps user to define the depth by layer scale
DepthScale *bbgo.LayerScale `json:"depthScale,omitempty"`
// MaxExposurePosition defines the unhedged quantity of stop
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
DisableHedge bool `json:"disableHedge"`
NotifyTrade bool `json:"notifyTrade"`
// RecoverTrade tries to find the missing trades via the REStful API
RecoverTrade bool `json:"recoverTrade"`
RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`
NumLayers int `json:"numLayers"`
// Pips is the pips of the layer prices
Pips fixedpoint.Value `json:"pips"`
ProfitFixerConfig *ProfitFixerConfig `json:"profitFixer"`
// --------------------------------
// private fields
// --------------------------------
// pricingBook is the order book (depth) from the hedging session
pricingBook *types.StreamOrderBook
hedgeErrorLimiter *rate.Limiter
hedgeErrorRateReservation *rate.Reservation
askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
lastPrice fixedpoint.Value
stopC, authedC chan struct{}
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s:%s-%s", ID, s.Symbol, s.MakerExchange, s.HedgeExchange)
}
func (s *Strategy) Initialize() error {
if s.CrossExchangeMarketMakingStrategy == nil {
s.CrossExchangeMarketMakingStrategy = &CrossExchangeMarketMakingStrategy{}
}
s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
return nil
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
if err != nil {
panic(err)
}
hedgeSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
Depth: types.DepthLevelMedium,
Speed: types.SpeedLow,
})
hedgeSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
}
func (s *Strategy) Validate() error {
if s.MakerExchange == "" {
return errors.New("maker exchange is not configured")
}
if s.HedgeExchange == "" {
return errors.New("maker exchange is not configured")
}
if s.DepthScale == nil {
return errors.New("depthScale can not be empty")
}
if len(s.Symbol) == 0 {
return errors.New("symbol is required")
}
return nil
}
func (s *Strategy) Defaults() error {
if s.UpdateInterval == 0 {
s.UpdateInterval = types.Duration(5 * time.Second)
}
if s.FullReplenishInterval == 0 {
s.FullReplenishInterval = types.Duration(10 * time.Minute)
}
if s.HedgeInterval == 0 {
s.HedgeInterval = types.Duration(3 * time.Second)
}
if s.NumLayers == 0 {
s.NumLayers = 1
}
if s.Margin.IsZero() {
s.Margin = defaultMargin
}
if s.BidMargin.IsZero() {
if !s.Margin.IsZero() {
s.BidMargin = s.Margin
} else {
s.BidMargin = defaultMargin
}
}
if s.AskMargin.IsZero() {
if !s.Margin.IsZero() {
s.AskMargin = s.Margin
} else {
s.AskMargin = defaultMargin
}
}
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
return nil
}
func (s *Strategy) CrossRun(
ctx context.Context, _ bbgo.OrderExecutionRouter,
sessions map[string]*bbgo.ExchangeSession,
) error {
makerSession, hedgeSession, err := selectSessions2(sessions, s.MakerExchange, s.HedgeExchange)
if err != nil {
return err
}
log.Infof("makerSession: %s hedgeSession: %s", makerSession.Name, hedgeSession.Name)
if s.ProfitFixerConfig != nil {
bbgo.Notify("Fixing %s profitStats and position...", s.Symbol)
log.Infof("profitFixer is enabled, checking checkpoint: %+v", s.ProfitFixerConfig.TradesSince)
if s.ProfitFixerConfig.TradesSince.Time().IsZero() {
return errors.New("tradesSince time can not be zero")
}
makerMarket, _ := makerSession.Market(s.Symbol)
s.CrossExchangeMarketMakingStrategy.Position = types.NewPositionFromMarket(makerMarket)
s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket)
fixer := NewProfitFixer(makerMarket)
if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
fixer.AddExchange(makerSession.Name, ss)
}
if ss, ok := hedgeSession.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding hedgeSession %s to profitFixer", hedgeSession.Name)
fixer.AddExchange(hedgeSession.Name, ss)
}
if err2 := fixer.Fix(ctx, s.ProfitFixerConfig.TradesSince.Time(), time.Now(), s.CrossExchangeMarketMakingStrategy.ProfitStats, s.CrossExchangeMarketMakingStrategy.Position); err2 != nil {
return err2
}
bbgo.Notify("Fixed %s position", s.Symbol, s.CrossExchangeMarketMakingStrategy.Position)
bbgo.Notify("Fixed %s profitStats", s.Symbol, s.CrossExchangeMarketMakingStrategy.ProfitStats)
}
if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx,
s.Environment,
makerSession,
hedgeSession,
s.Symbol, ID, s.InstanceID()); err != nil {
return err
}
s.pricingBook = types.NewStreamBook(s.Symbol)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
s.stopC = make(chan struct{})
s.authedC = make(chan struct{}, 5)
bindAuthSignal(ctx, s.makerSession.UserDataStream, s.authedC)
bindAuthSignal(ctx, s.hedgeSession.UserDataStream, s.authedC)
if s.RecoverTrade {
go s.runTradeRecover(ctx)
}
go func() {
log.Infof("waiting for user data stream to get authenticated")
select {
case <-ctx.Done():
return
case <-s.authedC:
}
select {
case <-ctx.Done():
return
case <-s.authedC:
}
log.Infof("user data stream authenticated, start placing orders...")
posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
defer posTicker.Stop()
fullReplenishTicker := time.NewTicker(util.MillisecondsJitter(s.FullReplenishInterval.Duration(), 200))
defer fullReplenishTicker.Stop()
// clean up the previous open orders
if err := s.cleanUpOpenOrders(ctx, s.makerSession); err != nil {
log.WithError(err).Errorf("error cleaning up open orders")
}
s.updateQuote(ctx, 0)
lastOrderReplenishTime := time.Now()
for {
select {
case <-s.stopC:
log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
return
case <-ctx.Done():
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
return
case <-fullReplenishTicker.C:
s.updateQuote(ctx, 0)
lastOrderReplenishTime = time.Now()
case sig, ok := <-s.pricingBook.C:
// when any book change event happened
if !ok {
return
}
if time.Since(lastOrderReplenishTime) < 10*time.Second {
continue
}
switch sig.Type {
case types.BookSignalSnapshot:
s.updateQuote(ctx, 0)
case types.BookSignalUpdate:
s.updateQuote(ctx, 5)
}
lastOrderReplenishTime = time.Now()
case <-posTicker.C:
// For positive position and positive covered position:
// uncover position = +5 - +3 (covered position) = 2
//
// For positive position and negative covered position:
// uncover position = +5 - (-3) (covered position) = 8
//
// meaning we bought 5 on MAX and sent buy order with 3 on binance
//
// For negative position:
// uncover position = -5 - -3 (covered position) = -2
s.HedgeOrderExecutor.TradeCollector().Process()
s.MakerOrderExecutor.TradeCollector().Process()
position := s.Position.GetBase()
uncoverPosition := position.Sub(s.CoveredPosition)
absPos := uncoverPosition.Abs()
if absPos.Compare(s.hedgeMarket.MinQuantity) > 0 {
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
s.Symbol,
position,
s.CoveredPosition,
uncoverPosition,
)
if !s.DisableHedge {
s.Hedge(ctx, uncoverPosition.Neg())
}
}
}
}
}()
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
close(s.stopC)
// wait for the quoter to stop
time.Sleep(s.UpdateInterval.Duration())
if err := s.MakerOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
}
if err := s.HedgeOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
}
bbgo.Sync(ctx, s)
bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
})
return nil
}
func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
side := types.SideTypeBuy
if pos.IsZero() {
return
}
quantity := pos.Abs()
if pos.Sign() < 0 {
side = types.SideTypeSell
}
lastPrice := s.lastPrice
sourceBook := s.pricingBook.CopyDepth(1)
switch side {
case types.SideTypeBuy:
if bestAsk, ok := sourceBook.BestAsk(); ok {
lastPrice = bestAsk.Price
}
case types.SideTypeSell:
if bestBid, ok := sourceBook.BestBid(); ok {
lastPrice = bestBid.Price
}
}
notional := quantity.Mul(lastPrice)
if notional.Compare(s.hedgeMarket.MinNotional) <= 0 {
log.Warnf("%s %v less than min notional, skipping hedge", s.Symbol, notional)
return
}
// adjust quantity according to the balances
account := s.hedgeSession.GetAccount()
switch side {
case types.SideTypeBuy:
// check quote quantity
if quote, ok := account.Balance(s.hedgeMarket.QuoteCurrency); ok {
if quote.Available.Compare(notional) < 0 {
// adjust price to higher 0.1%, so that we can ensure that the order can be executed
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
quantity = s.hedgeMarket.TruncateQuantity(quantity)
}
}
case types.SideTypeSell:
// check quote quantity
if base, ok := account.Balance(s.hedgeMarket.BaseCurrency); ok {
if base.Available.Compare(quantity) < 0 {
quantity = base.Available
}
}
}
// truncate quantity for the supported precision
quantity = s.hedgeMarket.TruncateQuantity(quantity)
if notional.Compare(s.hedgeMarket.MinNotional.Mul(minGap)) <= 0 {
log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.hedgeMarket.MinNotional)
return
}
if quantity.Compare(s.hedgeMarket.MinQuantity.Mul(minGap)) <= 0 {
log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.hedgeMarket.MinQuantity)
return
}
if s.hedgeErrorRateReservation != nil {
if !s.hedgeErrorRateReservation.OK() {
return
}
bbgo.Notify("Hit hedge error rate limit, waiting...")
time.Sleep(s.hedgeErrorRateReservation.Delay())
s.hedgeErrorRateReservation = nil
}
log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
_, err := s.HedgeOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Market: s.hedgeMarket,
Symbol: s.Symbol,
Type: types.OrderTypeMarket,
Side: side,
Quantity: quantity,
})
if err != nil {
s.hedgeErrorRateReservation = s.hedgeErrorLimiter.Reserve()
log.WithError(err).Errorf("market order submit error: %s", err.Error())
return
}
// if the hedge is on sell side, then we should add positive position
switch side {
case types.SideTypeSell:
s.mu.Lock()
s.CoveredPosition = s.CoveredPosition.Add(quantity)
s.mu.Unlock()
case types.SideTypeBuy:
s.mu.Lock()
s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
s.mu.Unlock()
}
}
func (s *Strategy) runTradeRecover(ctx context.Context) {
tradeScanInterval := s.RecoverTradeScanPeriod.Duration()
if tradeScanInterval == 0 {
tradeScanInterval = 30 * time.Minute
}
tradeScanOverlapBufferPeriod := 5 * time.Minute
tradeScanTicker := time.NewTicker(tradeScanInterval)
defer tradeScanTicker.Stop()
for {
select {
case <-ctx.Done():
return
case <-tradeScanTicker.C:
log.Infof("scanning trades from %s ago...", tradeScanInterval)
startTime := time.Now().Add(-tradeScanInterval).Add(-tradeScanOverlapBufferPeriod)
if err := s.HedgeOrderExecutor.TradeCollector().Recover(ctx, s.hedgeSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
log.WithError(err).Errorf("query trades error")
}
if err := s.MakerOrderExecutor.TradeCollector().Recover(ctx, s.makerSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
log.WithError(err).Errorf("query trades error")
}
}
}
}
func (s *Strategy) generateMakerOrders(
pricingBook *types.StreamOrderBook, maxLayer int, availableBase fixedpoint.Value, availableQuote fixedpoint.Value,
) ([]types.SubmitOrder, error) {
_, _, hasPrice := pricingBook.BestBidAndAsk()
if !hasPrice {
return nil, nil
}
var submitOrders []types.SubmitOrder
var accumulatedBidQuantity = fixedpoint.Zero
var accumulatedAskQuantity = fixedpoint.Zero
var accumulatedBidQuoteQuantity = fixedpoint.Zero
// copy the pricing book because during the generation the book data could change
dupPricingBook := pricingBook.Copy()
log.Infof("pricingBook: \n\tbids: %+v \n\tasks: %+v",
dupPricingBook.SideBook(types.SideTypeBuy),
dupPricingBook.SideBook(types.SideTypeSell))
if maxLayer == 0 || maxLayer > s.NumLayers {
maxLayer = s.NumLayers
}
var availableBalances = map[types.SideType]fixedpoint.Value{
types.SideTypeBuy: availableQuote,
types.SideTypeSell: availableBase,
}
for _, side := range []types.SideType{types.SideTypeBuy, types.SideTypeSell} {
sideBook := dupPricingBook.SideBook(side)
if sideBook.Len() == 0 {
log.Warnf("orderbook %s side is empty", side)
continue
}
availableSideBalance, ok := availableBalances[side]
if !ok {
log.Warnf("no available balance for side %s side", side)
continue
}
layerLoop:
for i := 1; i <= maxLayer; i++ {
// simple break, we need to check the market minNotional and minQuantity later
if !availableSideBalance.Eq(fixedpoint.PosInf) {
if availableSideBalance.IsZero() || availableSideBalance.Sign() < 0 {
break layerLoop
}
}
requiredDepthFloat, err := s.DepthScale.Scale(i)
if err != nil {
return nil, errors.Wrapf(err, "depthScale scale error")
}
// requiredDepth is the required depth in quote currency
requiredDepth := fixedpoint.NewFromFloat(requiredDepthFloat)
index := sideBook.IndexByQuoteVolumeDepth(requiredDepth)
pvs := types.PriceVolumeSlice{}
if index == -1 {
pvs = sideBook[:]
} else {
pvs = sideBook[0 : index+1]
}
if len(pvs) == 0 {
continue
}
log.Infof("side: %s required depth: %f, pvs: %+v", side, requiredDepth.Float64(), pvs)
depthPrice, err := averageDepthPrice(pvs)
if err != nil {
log.WithError(err).Errorf("error aggregating depth price")
continue
}
switch side {
case types.SideTypeBuy:
if s.BidMargin.Sign() > 0 {
depthPrice = depthPrice.Mul(fixedpoint.One.Sub(s.BidMargin))
}
depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Down)
case types.SideTypeSell:
if s.AskMargin.Sign() > 0 {
depthPrice = depthPrice.Mul(fixedpoint.One.Add(s.AskMargin))
}
depthPrice = depthPrice.Round(s.makerMarket.PricePrecision+1, fixedpoint.Up)
}
depthPrice = s.makerMarket.TruncatePrice(depthPrice)
quantity := requiredDepth.Div(depthPrice)
quantity = s.makerMarket.TruncateQuantity(quantity)
log.Infof("side: %s required depth: %f price: %f quantity: %f", side, requiredDepth.Float64(), depthPrice.Float64(), quantity.Float64())
switch side {
case types.SideTypeBuy:
quantity = quantity.Sub(accumulatedBidQuantity)
accumulatedBidQuantity = accumulatedBidQuantity.Add(quantity)
quoteQuantity := fixedpoint.Mul(quantity, depthPrice)
quoteQuantity = quoteQuantity.Round(s.makerMarket.PricePrecision, fixedpoint.Up)
if !availableSideBalance.Eq(fixedpoint.PosInf) && availableSideBalance.Compare(quoteQuantity) <= 0 {
quoteQuantity = availableSideBalance
quantity = quoteQuantity.Div(depthPrice).Round(s.makerMarket.PricePrecision, fixedpoint.Down)
}
if quantity.Compare(s.makerMarket.MinQuantity) <= 0 || quoteQuantity.Compare(s.makerMarket.MinNotional) <= 0 {
break layerLoop
}
availableSideBalance = availableSideBalance.Sub(quoteQuantity)
accumulatedBidQuoteQuantity = accumulatedBidQuoteQuantity.Add(quoteQuantity)
case types.SideTypeSell:
quantity = quantity.Sub(accumulatedAskQuantity)
quoteQuantity := quantity.Mul(depthPrice)
// balance check
if !availableSideBalance.Eq(fixedpoint.PosInf) && availableSideBalance.Compare(quantity) <= 0 {
break layerLoop
}
if quantity.Compare(s.makerMarket.MinQuantity) <= 0 || quoteQuantity.Compare(s.makerMarket.MinNotional) <= 0 {
break layerLoop
}
availableSideBalance = availableSideBalance.Sub(quantity)
accumulatedAskQuantity = accumulatedAskQuantity.Add(quantity)
}
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimitMaker,
Market: s.makerMarket,
Side: side,
Price: depthPrice,
Quantity: quantity,
})
}
}
return submitOrders, nil
}
func (s *Strategy) partiallyCancelOrders(ctx context.Context, maxLayer int) error {
buyOrders, sellOrders := s.MakerOrderExecutor.ActiveMakerOrders().Orders().SeparateBySide()
buyOrders = types.SortOrdersByPrice(buyOrders, true)
sellOrders = types.SortOrdersByPrice(sellOrders, false)
buyOrdersToCancel := buyOrders[0:min(maxLayer, len(buyOrders))]
sellOrdersToCancel := sellOrders[0:min(maxLayer, len(sellOrders))]
err1 := s.MakerOrderExecutor.GracefulCancel(ctx, buyOrdersToCancel...)
err2 := s.MakerOrderExecutor.GracefulCancel(ctx, sellOrdersToCancel...)
return stderrors.Join(err1, err2)
}
func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
if maxLayer == 0 {
if err := s.MakerOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
s.MakerOrderExecutor.ActiveMakerOrders().Print()
return
}
} else {
if err := s.partiallyCancelOrders(ctx, maxLayer); err != nil {
log.WithError(err).Warnf("%s partial order cancel failed", s.Symbol)
return
}
}
numOfMakerOrders := s.MakerOrderExecutor.ActiveMakerOrders().NumOfOrders()
if numOfMakerOrders > 0 {
log.Warnf("maker orders are not all canceled")
return
}
bestBid, bestAsk, hasPrice := s.pricingBook.BestBidAndAsk()
if !hasPrice {
return
}
bestBidPrice := bestBid.Price
bestAskPrice := bestAsk.Price
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
s.lastPrice = bestBidPrice.Add(bestAskPrice).Div(Two)
bookLastUpdateTime := s.pricingBook.LastUpdateTime()
if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
log.WithError(err).Warnf("quote update error, %s price not updating, order book last update: %s ago",
s.Symbol,
time.Since(bookLastUpdateTime))
}
if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
log.WithError(err).Warnf("quote update error, %s price not updating, order book last update: %s ago",
s.Symbol,
time.Since(bookLastUpdateTime))
}
balances, err := s.MakerOrderExecutor.Session().Exchange.QueryAccountBalances(ctx)
if err != nil {
log.WithError(err).Errorf("balance query error")
return
}
log.Infof("balances: %+v", balances.NotZero())
quoteBalance, ok := balances[s.makerMarket.QuoteCurrency]
if !ok {
return
}
baseBalance, ok := balances[s.makerMarket.BaseCurrency]
if !ok {
return
}
log.Infof("quote balance: %s, base balance: %s", quoteBalance, baseBalance)
submitOrders, err := s.generateMakerOrders(s.pricingBook, maxLayer, baseBalance.Available, quoteBalance.Available)
if err != nil {
log.WithError(err).Errorf("generate order error")
return
}
if len(submitOrders) == 0 {
log.Warnf("no orders are generated")
return
}
_, err = s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Errorf("order error: %s", err.Error())
return
}
}
func (s *Strategy) cleanUpOpenOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
openOrders, err := retry.QueryOpenOrdersUntilSuccessful(ctx, session.Exchange, s.Symbol)
if err != nil {
return err
}
if len(openOrders) == 0 {
return nil
}
log.Infof("found existing open orders:")
types.OrderSlice(openOrders).Print()
if err := session.Exchange.CancelOrders(ctx, openOrders...); err != nil {
return err
}
return nil
}
func selectSessions2(
sessions map[string]*bbgo.ExchangeSession, n1, n2 string,
) (s1, s2 *bbgo.ExchangeSession, err error) {
for _, n := range []string{n1, n2} {
if _, ok := sessions[n]; !ok {
return nil, nil, fmt.Errorf("session %s is not defined", n)
}
}
s1 = sessions[n1]
s2 = sessions[n2]
return s1, s2, nil
}
func averageDepthPrice(pvs types.PriceVolumeSlice) (price fixedpoint.Value, err error) {
if len(pvs) == 0 {
return fixedpoint.Zero, fmt.Errorf("empty pv slice")
}
totalQuoteAmount := fixedpoint.Zero
totalQuantity := fixedpoint.Zero
for i := 0; i < len(pvs); i++ {
pv := pvs[i]
quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
totalQuantity = totalQuantity.Add(pv.Volume)
}
price = totalQuoteAmount.Div(totalQuantity)
return price, nil
}
func min(a, b int) int {
if a < b {
return a
}
return b
}
func bindAuthSignal(ctx context.Context, stream types.Stream, c chan<- struct{}) {
stream.OnAuth(func() {
select {
case <-ctx.Done():
return
case c <- struct{}{}:
default:
}
})
}