Merge pull request #1896 from c9s/c9s/xmaker/spread-maker

pkg/strategy/xmaker/delayedhedge.go

@@ -0,0 +1,23 @@
+package xmaker
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type DelayedHedge struct {
+	// EnableDelayHedge enables the delay hedge feature
+	Enabled bool `json:"enabled"`
+
+	// MaxDelayDuration is the maximum delay duration to hedge the position
+	MaxDelayDuration types.Duration `json:"maxDelay"`
+
+	// FixedDelayDuration is the fixed delay duration
+	FixedDelayDuration types.Duration `json:"fixedDelay"`
+
+	// SignalThreshold is the signal threshold to trigger the delay hedge
+	SignalThreshold float64 `json:"signalThreshold"`
+
+	// DynamicDelayScale is the dynamic delay scale
+	DynamicDelayScale *bbgo.SlideRule `json:"dynamicDelayScale,omitempty"`
+}

pkg/strategy/xmaker/metrics.go

@@ -78,6 +78,24 @@ var netProfitMarginHistogram = prometheus.NewHistogramVec(
 		Buckets: prometheus.ExponentialBuckets(0.001, 2.0, 10),
 	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
 
+var spreadMakerCounterMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_spread_maker_counter",
+		Help: "spread maker counter",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var spreadMakerVolumeMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_spread_maker_volume",
+		Help: "spread maker volume",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var spreadMakerQuoteVolumeMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_spread_maker_quote_volume",
+		Help: "spread maker quote volume",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
 func init() {
 	prometheus.MustRegister(
 		openOrderBidExposureInUsdMetrics,
@@ -92,5 +110,9 @@ func init() {
 		delayedHedgeCounterMetrics,
 		delayedHedgeMaxDurationMetrics,
 		netProfitMarginHistogram,
+
+		spreadMakerCounterMetrics,
+		spreadMakerVolumeMetrics,
+		spreadMakerQuoteVolumeMetrics,
 	)
 }

pkg/strategy/xmaker/spreadmaker.go

@@ -0,0 +1,209 @@
+package xmaker
+
+import (
+	"context"
+	"math"
+	"sync"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
+	"github.com/c9s/bbgo/pkg/exchange/retry"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type SpreadMaker struct {
+	Enabled bool `json:"enabled"`
+
+	MinProfitRatio   fixedpoint.Value `json:"minProfitRatio"`
+	MaxQuoteAmount   fixedpoint.Value `json:"maxQuoteAmount"`
+	MaxOrderLifespan types.Duration   `json:"maxOrderLifespan"`
+
+	SignalThreshold float64 `json:"signalThreshold"`
+
+	ReverseSignalOrderCancel bool `json:"reverseSignalOrderCancel"`
+
+	MakerOnly bool `json:"makerOnly"`
+
+	// order is the current spread maker order on the maker exchange
+	order *types.Order
+
+	// orderStore stores the history maker orders
+	orderStore *core.OrderStore
+
+	session *bbgo.ExchangeSession
+
+	market types.Market
+
+	orderQueryService types.ExchangeOrderQueryService
+
+	symbol string
+
+	mu sync.Mutex
+}
+
+func (c *SpreadMaker) Defaults() error {
+	if c.MinProfitRatio.IsZero() {
+		c.MinProfitRatio = fixedpoint.NewFromFloat(0.01 * 0.01)
+	}
+
+	if c.MaxQuoteAmount.IsZero() {
+		c.MaxQuoteAmount = fixedpoint.NewFromFloat(100)
+	}
+
+	if c.MaxOrderLifespan == 0 {
+		c.MaxOrderLifespan = types.Duration(2 * time.Second)
+	}
+
+	return nil
+}
+
+func (c *SpreadMaker) updateOrder(ctx context.Context) (*types.Order, error) {
+	c.mu.Lock()
+	defer c.mu.Unlock()
+
+	retOrder, err := c.orderQueryService.QueryOrder(ctx, c.order.AsQuery())
+	if err != nil {
+		return nil, err
+	}
+
+	c.order = retOrder
+	return retOrder, nil
+}
+
+func (c *SpreadMaker) canSpreadMaking(
+	signal float64, position *types.Position,
+	makerMarket types.Market,
+	bestBidPrice, bestAskPrice fixedpoint.Value, // maker best bid price
+) (*types.SubmitOrder, bool) {
+	side := position.Side()
+
+	if !isSignalSidePosition(signal, side) {
+		return nil, false
+	}
+
+	if math.Abs(signal) < c.SignalThreshold {
+		return nil, false
+	}
+
+	base := position.GetBase()
+	cost := position.GetAverageCost()
+	profitPrice := getPositionProfitPrice(side, cost, c.session.MakerFeeRate.Add(c.MinProfitRatio))
+
+	maxQuantity := c.MaxQuoteAmount.Div(cost)
+	orderQuantity := base.Abs()
+	orderQuantity = fixedpoint.Min(orderQuantity, maxQuantity)
+	orderSide := side.Reverse()
+
+	switch orderSide {
+	case types.SideTypeSell:
+		targetPrice := bestBidPrice.Add(makerMarket.TickSize)
+		targetPrice = fixedpoint.Max(profitPrice, targetPrice)
+		return c.newMakerOrder(makerMarket, orderSide, targetPrice, orderQuantity), true
+
+	case types.SideTypeBuy:
+		targetPrice := bestAskPrice.Sub(makerMarket.TickSize)
+		targetPrice = fixedpoint.Min(profitPrice, targetPrice)
+		return c.newMakerOrder(makerMarket, orderSide, targetPrice, orderQuantity), true
+	}
+
+	return nil, false
+}
+
+func (c *SpreadMaker) newMakerOrder(
+	market types.Market,
+	side types.SideType,
+	targetPrice, orderQuantity fixedpoint.Value,
+) *types.SubmitOrder {
+	orderType := types.OrderTypeLimit
+	if c.MakerOnly {
+		orderType = types.OrderTypeLimitMaker
+	}
+
+	return &types.SubmitOrder{
+		// ClientOrderID:    "",
+		Symbol:      c.symbol,
+		Side:        side,
+		Type:        orderType,
+		Price:       targetPrice,
+		Quantity:    orderQuantity,
+		Market:      market,
+		TimeInForce: types.TimeInForceGTC,
+	}
+}
+
+func (c *SpreadMaker) getOrder() (o types.Order, ok bool) {
+	c.mu.Lock()
+	if c.order != nil {
+		o = *c.order
+		ok = true
+	}
+	c.mu.Unlock()
+	return o, ok
+}
+
+func (c *SpreadMaker) cancelOrder(ctx context.Context) error {
+	if order, ok := c.getOrder(); ok {
+		return retry.CancelOrdersUntilSuccessful(ctx, c.session.Exchange, order)
+	}
+
+	return nil
+}
+
+// cancelAndQueryOrder cancels the current order and queries the order status until the order is canceled
+func (c *SpreadMaker) cancelAndQueryOrder(ctx context.Context) (*types.Order, error) {
+	if c.order == nil {
+		return nil, nil
+	}
+
+	if err := c.cancelOrder(ctx); err != nil {
+		return nil, err
+	}
+
+	c.mu.Lock()
+	order := c.order
+	c.order = nil
+	c.mu.Unlock()
+
+	finalOrder, err := retry.QueryOrderUntilCanceled(ctx, c.orderQueryService, order.Symbol, order.OrderID)
+	if err != nil {
+		return nil, err
+	}
+
+	return finalOrder, nil
+}
+
+func (c *SpreadMaker) shouldKeepOrder(o types.Order, now time.Time) bool {
+	creationTime := o.CreationTime.Time()
+	if creationTime.IsZero() {
+		return false
+	}
+
+	if creationTime.Add(c.MaxOrderLifespan.Duration()).Before(now) {
+		return true
+	}
+
+	return false
+}
+
+func (c *SpreadMaker) placeOrder(ctx context.Context, submitOrder *types.SubmitOrder) (*types.Order, error) {
+	createdOrder, err := c.session.Exchange.SubmitOrder(ctx, *submitOrder)
+	if err != nil {
+		return nil, err
+	}
+
+	c.mu.Lock()
+	c.order = createdOrder
+	c.mu.Unlock()
+	return createdOrder, nil
+}
+
+func (c *SpreadMaker) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
+	c.symbol = symbol
+	c.orderStore = core.NewOrderStore(symbol)
+	c.session = session
+	c.market, _ = c.session.Market(symbol)
+	c.orderQueryService = c.session.Exchange.(types.ExchangeOrderQueryService)
+	return nil
+}