liquiditymaker: use order generator

c9s · Nov 9, 2023 · cc5c033 · cc5c033
1 parent 5339078
commit cc5c033
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Showing 4 changed files with 142 additions and 168 deletions.
diff --git a/config/liquiditymaker.yaml b/config/liquiditymaker.yaml
@@ -0,0 +1,54 @@
+sessions:
+  max:
+    exchange: max
+    envVarPrefix: max
+    makerFeeRate: 0%
+    takerFeeRate: 0.025%
+
+#services:
+#  googleSpreadSheet:
+#    jsonTokenFile: ".credentials/google-cloud/service-account-json-token.json"
+#    spreadSheetId: "YOUR_SPREADSHEET_ID"
+
+exchangeStrategies:
+- on: max
+  liquiditymaker:
+    symbol: &symbol USDTTWD
+
+    ## adjustmentUpdateInterval is the interval for adjusting position
+    adjustmentUpdateInterval: 1m
+
+    ## liquidityUpdateInterval is the interval for updating liquidity orders
+    liquidityUpdateInterval: 1h
+
+    numOfLiquidityLayers: 30
+    askLiquidityAmount: 20_000.0
+    bidLiquidityAmount: 20_000.0
+    liquidityPriceRange: 2%
+    useLastTradePrice: true
+    spread: 1.1%
+
+    liquidityScale:
+      exp:
+        domain: [1, 30]
+        range: [1, 4]
+
+    ## maxExposure controls how much balance should be used for placing the maker orders
+    maxExposure: 200_000
+    minProfit: 0.01%
+
+
+backtest:
+  sessions:
+    - max
+  startTime: "2023-05-20"
+  endTime: "2023-06-01"
+  symbols:
+  - *symbol
+  account:
+    max:
+      makerFeeRate: 0.0%
+      takerFeeRate: 0.025%
+      balances:
+        USDT: 5000
+        TWD: 150_000
diff --git a/pkg/cmd/strategy/builtin.go b/pkg/cmd/strategy/builtin.go
@@ -25,6 +25,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/irr"
 	_ "github.com/c9s/bbgo/pkg/strategy/kline"
 	_ "github.com/c9s/bbgo/pkg/strategy/linregmaker"
+	_ "github.com/c9s/bbgo/pkg/strategy/liquiditymaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
 	_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
 	_ "github.com/c9s/bbgo/pkg/strategy/pricealert"

diff --git a/pkg/strategy/liquiditymaker/generator_test.go b/pkg/strategy/liquiditymaker/generator_test.go
@@ -42,7 +42,7 @@ func TestLiquidityOrderGenerator(t *testing.T) {
 	assert.InDelta(t, 1.0, scale.Call(1.0), 0.00001)
 	assert.InDelta(t, 4.0, scale.Call(30.0), 0.00001)
 
-	totalAmount := Number(200_000.0)
+	totalAmount := Number(20_000.0)
 
 	t.Run("ask orders", func(t *testing.T) {
 		orders := g.Generate(types.SideTypeSell, totalAmount, Number(2.0), Number(2.04), 30, scale)
@@ -55,26 +55,26 @@ func TestLiquidityOrderGenerator(t *testing.T) {
 		assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
 
 		AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
-			{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("1513.40")},
-			{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("1587.50")},
-			{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("1665.23")},
-			{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("1746.77")},
-			{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("1832.30")},
-			{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("1922.02")},
-			{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("2016.13")},
-			{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("2114.85")},
-			{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("2218.40")},
-			{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("2327.02")},
-			{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("2440.96")},
-			{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("2560.48")},
-			{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("2685.86")},
-			{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("2817.37")},
-			{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("2955.32")},
+			{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("151.34")},
+			{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("158.75")},
+			{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("166.52")},
+			{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("174.67")},
+			{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("183.23")},
+			{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("192.20")},
+			{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("201.61")},
+			{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("211.48")},
+			{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("221.84")},
+			{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("232.70")},
+			{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("244.09")},
+			{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("256.04")},
+			{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("268.58")},
+			{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("281.73")},
+			{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("295.53")},
 		}, orders[0:15])
 
 		AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
-			{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("5771.04")},
-			{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("6053.62")},
+			{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("577.10")},
+			{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("605.36")},
 		}, orders[28:30])
 	})
 
@@ -89,26 +89,26 @@ func TestLiquidityOrderGenerator(t *testing.T) {
 		assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
 
 		AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
-			{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("1551.37")},
-			{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("1627.33")},
-			{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("1707.01")},
-			{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("1790.59")},
-			{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("1878.27")},
-			{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("1970.24")},
-			{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("2066.71")},
-			{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("2167.91")},
-			{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("2274.06")},
-			{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("2385.40")},
-			{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("2502.20")},
-			{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("2624.72")},
-			{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("2753.24")},
-			{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("2888.05")},
-			{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("3029.46")},
+			{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("155.13")},
+			{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("162.73")},
+			{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("170.70")},
+			{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("179.05")},
+			{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("187.82")},
+			{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("197.02")},
+			{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("206.67")},
+			{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("216.79")},
+			{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("227.40")},
+			{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("238.54")},
+			{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("250.22")},
+			{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("262.47")},
+			{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("275.32")},
+			{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("288.80")},
+			{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("302.94")},
 		}, orders[0:15])
 
 		AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
-			{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("5915.83")},
-			{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("6205.49")},
+			{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("591.58")},
+			{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("620.54")},
 		}, orders[28:30])
 	})
 }