Merge pull request #1722 from c9s/c9s/xmaker/add-signals

FEATURE: [xmaker] add signals

pkg/strategy/xmaker/metrics.go

@@ -38,6 +38,12 @@ var askMarginMetrics = prometheus.NewGaugeVec(
 		Help: "the current ask margin (dynamic)",
 	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
 
+var aggregatedSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_aggregated_signal",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
 var configNumOfLayersMetrics = prometheus.NewGaugeVec(
 	prometheus.GaugeOpts{
 		Name: "xmaker_config_num_of_layers",
@@ -70,6 +76,7 @@ func init() {
 		makerBestAskPriceMetrics,
 		bidMarginMetrics,
 		askMarginMetrics,
+		aggregatedSignalMetrics,
 		configNumOfLayersMetrics,
 		configMaxExposureMetrics,
 		configBidMarginMetrics,

pkg/strategy/xmaker/signal_boll.go

@@ -0,0 +1,87 @@
+package xmaker
+
+import (
+	"context"
+
+	"github.com/prometheus/client_golang/prometheus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator/v2"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var bollingerBandSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_bollinger_band_signal",
+		Help: "",
+	}, []string{"symbol"})
+
+func init() {
+	prometheus.MustRegister(bollingerBandSignalMetrics)
+}
+
+type BollingerBandTrendSignal struct {
+	types.IntervalWindow
+	MinBandWidth float64 `json:"minBandWidth"`
+	MaxBandWidth float64 `json:"maxBandWidth"`
+
+	indicator *indicatorv2.BOLLStream
+	symbol    string
+	lastK     *types.KLine
+}
+
+func (s *BollingerBandTrendSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
+	if s.MaxBandWidth == 0.0 {
+		s.MaxBandWidth = 2.0
+	}
+
+	if s.MinBandWidth == 0.0 {
+		s.MinBandWidth = 1.0
+	}
+
+	s.symbol = symbol
+	s.indicator = session.Indicators(symbol).BOLL(s.IntervalWindow, s.MinBandWidth)
+
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.symbol, s.IntervalWindow.Interval, func(kline types.KLine) {
+		s.lastK = &kline
+	}))
+
+	bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
+	return nil
+}
+
+func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64, error) {
+	if s.lastK == nil {
+		return 0, nil
+	}
+
+	closePrice := s.lastK.Close
+
+	// when bid price is lower than the down band, then it's in the downtrend
+	// when ask price is higher than the up band, then it's in the uptrend
+	lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0))
+	lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0))
+
+	maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth
+
+	signal := 0.0
+
+	// if the price is inside the band, do not vote
+	if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
+		signal = 0.0
+	} else if closePrice.Compare(lastDownBand) < 0 {
+		signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0
+	} else if closePrice.Compare(lastUpBand) > 0 {
+		signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0
+	}
+
+	log.Infof("[BollingerBandTrendSignal] %f up/down = %f/%f, close price = %f",
+		signal,
+		lastUpBand.Float64(),
+		lastDownBand.Float64(),
+		closePrice.Float64())
+
+	bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(signal)
+	return signal, nil
+}

pkg/strategy/xmaker/signal_book.go

@@ -0,0 +1,68 @@
+package xmaker
+
+import (
+	"context"
+
+	"github.com/pkg/errors"
+	"github.com/prometheus/client_golang/prometheus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+var orderBookSignalMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_order_book_signal",
+		Help: "",
+	}, []string{"symbol"})
+
+func init() {
+	prometheus.MustRegister(orderBookSignalMetrics)
+}
+
+type OrderBookBestPriceVolumeSignal struct {
+	RatioThreshold fixedpoint.Value `json:"ratioThreshold"`
+	MinVolume      fixedpoint.Value `json:"minVolume"`
+
+	symbol string
+	book   *types.StreamOrderBook
+}
+
+func (s *OrderBookBestPriceVolumeSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
+	if s.book == nil {
+		return errors.New("s.book can not be nil")
+	}
+
+	s.symbol = symbol
+	orderBookSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
+	return nil
+}
+
+func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (float64, error) {
+	bid, ask, ok := s.book.BestBidAndAsk()
+	if !ok {
+		return 0.0, nil
+	}
+
+	// TODO: may use scale to define this
+	sumVol := bid.Volume.Add(ask.Volume)
+	bidRatio := bid.Volume.Div(sumVol)
+	askRatio := ask.Volume.Div(sumVol)
+	denominator := fixedpoint.One.Sub(s.RatioThreshold)
+	signal := 0.0
+	if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
+		signal = 0.0
+	} else if bidRatio.Compare(s.RatioThreshold) >= 0 {
+		numerator := bidRatio.Sub(s.RatioThreshold)
+		signal = numerator.Div(denominator).Float64()
+	} else if askRatio.Compare(s.RatioThreshold) >= 0 {
+		numerator := askRatio.Sub(s.RatioThreshold)
+		signal = -numerator.Div(denominator).Float64()
+	}
+
+	log.Infof("[OrderBookBestPriceVolumeSignal] %f bid/ask = %f/%f", signal, bid.Volume.Float64(), ask.Volume.Float64())
+
+	orderBookSignalMetrics.WithLabelValues(s.symbol).Set(signal)
+	return signal, nil
+}