bbgo

README

bbgo

A trading bot framework written in Go. The name bbgo comes from the BB8 bot in the Star Wars movie. aka Buy BitCoin Go!

Current Status

Features

• Exchange abstraction interface.
• Stream integration (user data websocket, market data websocket).
• Real-time orderBook integration through websocket.
• TWAP order execution support. See TWAP Order Execution
• PnL calculation.
• Slack/Telegram notification.
• Back-testing: KLine-based back-testing engine. See Back-testing
• Built-in Grid strategy.
• Many built-in strategies.
• Multi-exchange session support: you can connect to more than 2 exchanges with different accounts or subaccounts.
• Standard indicators, e.g., SMA, EMA, BOLL, VMA, MACD...
• React-powered Web Dashboard.
• Docker image ready.
• Kubernetes support.
• Helm chart ready.

Screenshots

Supported Exchanges

• Binance Spot Exchange (and binance.us)
• FTX Spot Exchange
• OKEx Spot Exchange
• Kucoin Spot Exchange
• MAX Spot Exchange (located in Taiwan)

Requirements

Get your exchange API key and secret after you register the accounts (you can choose one or more exchanges):

• MAX: https://max.maicoin.com/signup?r=c7982718
• Binance: https://www.binancezh.com/en/register?ref=VGDGLT80
• FTX: https://ftx.com/#a=7710474
• OKEx: https://www.okex.com/join/2412712?src=from:ios-share
• Kucoin: https://www.kucoin.com/ucenter/signup?rcode=r3KX2D4

Since the exchange implementation and support are done by a small team, if you like the work they've done for you, It would be great if you can use their referral code as your support to them. :-D

Installation

Install from binary

The following script will help you set up a config file, dotenv file:

# grid trading strategy for binance exchange
bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/setup-grid.sh) binance

# grid trading strategy for max exchange
bash <(curl -s https://raw.githubusercontent.com/c9s/bbgo/main/scripts/setup-grid.sh) max

One-click Linode StackScript:

• BBGO Grid Trading on Binance https://cloud.linode.com/stackscripts/950715
• BBGO USDT/TWD Grid Trading on MAX https://cloud.linode.com/stackscripts/793380
• BBGO USDC/TWD Grid Trading on MAX https://cloud.linode.com/stackscripts/797776
• BBGO LINK/TWD Grid Trading on MAX https://cloud.linode.com/stackscripts/797774
• BBGO USDC/USDT Grid Trading on MAX https://cloud.linode.com/stackscripts/797777
• BBGO Standard Grid Trading on MAX https://cloud.linode.com/stackscripts/795788

Build from source

See Build from source

Configuration

Add your dotenv file:

# for Binance Exchange, if you have one
BINANCE_API_KEY=
BINANCE_API_SECRET=

# if you want to use binance.us, change this to 1
BINANCE_US=0

# for MAX exchange, if you have one
MAX_API_KEY=
MAX_API_SECRET=

# for FTX exchange, if you have one
FTX_API_KEY=
FTX_API_SECRET=
# specify it if credentials are for subaccount
FTX_SUBACCOUNT=

# for OKEx exchange, if you have one
OKEX_API_KEY=
OKEX_API_SECRET=
OKEX_API_PASSPHRASE

# for kucoin exchange, if you have one
KUCOIN_API_KEY=
KUCOIN_API_SECRET=
KUCOIN_API_PASSPHRASE=
KUCOIN_API_KEY_VERSION=2

Prepare your dotenv file .env.local and BBGO yaml config file bbgo.yaml.

The minimal bbgo.yaml could be generated by:

curl -o bbgo.yaml https://raw.githubusercontent.com/c9s/bbgo/main/config/minimal.yaml

To run strategy:

bbgo run

To start bbgo with the frontend dashboard:

bbgo run --enable-webserver

If you want to switch to other dotenv file, you can add an --dotenv option or --config:

bbgo sync --dotenv .env.dev --config config/grid.yaml --session binance

To query transfer history:

bbgo transfer-history --session max --asset USDT --since "2019-01-01"

To calculate pnl:

bbgo pnl --exchange binance --asset BTC --since "2019-01-01"

Advanced Configuration

Notification

• Setting up Telegram notification
• Setting up Slack notification

Synchronizing Trading Data

By default, BBGO does not sync your trading data from the exchange sessions, so it's hard to calculate your profit and loss correctly.

By synchronizing trades and orders to the local database, you can earn some benefits like PnL calculations, backtesting and asset calculation.

Configure MySQL Database

To use MySQL database for data syncing, first you need to install your mysql server:

# For Ubuntu Linux
sudo apt-get install -y mysql-server

Or run it in docker

Create your mysql database:

mysql -uroot -e "CREATE DATABASE bbgo CHARSET utf8"

Then put these environment variables in your .env.local file:

DB_DRIVER=mysql
DB_DSN="user:password@tcp(127.0.0.1:3306)/bbgo"

Configure Sqlite3 Database

Just put these environment variables in your .env.local file:

DB_DRIVER=sqlite3
DB_DSN=bbgo.sqlite3

Synchronizing your own trading data

Once you have your database configured, you can sync your own trading data from the exchange.

To sync your own trade data:

bbgo sync --session max
bbgo sync --session binance

Using Redis to keep persistence between BBGO sessions

To use Redis, first you need to install your Redis server:

# For Ubuntu/Debian Linux
sudo apt-get install -y redis

Set the following environment variables in your bbgo.yaml:

persistence:
  redis:
    host: 127.0.0.1  # The IP address or the hostname to your Redis server, 127.0.0.1 if same as BBGO  
    port: 6379  # Port to Redis server, default 6379
    db: 0  # DB number to use. You can set to another DB to avoid conflict if other applications are using Redis too.

Built-in Strategies

Check out the strategy directory strategy for all built-in strategies:

• pricealert strategy demonstrates how to use the notification system pricealert. See document.
• xpuremaker strategy demonstrates how to maintain the orderbook and submit maker orders xpuremaker
• buyandhold strategy demonstrates how to subscribe kline events and submit market order buyandhold
• bollgrid strategy implements a basic grid strategy with the built-in bollinger indicator bollgrid
• grid strategy implements the fixed price band grid strategy grid. See document.
• support strategy implements the fixed price band grid strategy support. See document.
• flashcrash strategy implements a strategy that catches the flashcrash flashcrash

To run these built-in strategies, just modify the config file to make the configuration suitable for you, for example if you want to run buyandhold strategy:

vim config/buyandhold.yaml

# run bbgo with the config
bbgo run --config config/buyandhold.yaml

Back-testing

See Back-testing

Adding New Built-in Strategy

Fork and clone this repository, Create a directory under pkg/strategy/newstrategy, write your strategy at pkg/strategy/newstrategy/strategy.go.

Define a strategy struct:

package newstrategy

import (
	"github.com/c9s/bbgo/pkg/fixedpoint"
)

type Strategy struct {
	Symbol string           `json:"symbol"`
	Param1 int              `json:"param1"`
	Param2 int              `json:"param2"`
	Param3 fixedpoint.Value `json:"param3"`
}

Register your strategy:

package newstrategy

const ID = "newstrategy"

const stateKey = "state-v1"

var log = logrus.WithField("strategy", ID)

func init() {
	bbgo.RegisterStrategy(ID, &Strategy{})
}

Implement the strategy methods:

package newstrategy

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "2m"})
}

func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
	// ....
	return nil
}

Edit pkg/cmd/builtin.go, and import the package, like this:

package cmd

// import built-in strategies
import (
	_ "github.com/c9s/bbgo/pkg/strategy/bollgrid"
	_ "github.com/c9s/bbgo/pkg/strategy/buyandhold"
	_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
	_ "github.com/c9s/bbgo/pkg/strategy/grid"
	_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
	_ "github.com/c9s/bbgo/pkg/strategy/support"
	_ "github.com/c9s/bbgo/pkg/strategy/swing"
	_ "github.com/c9s/bbgo/pkg/strategy/trailingstop"
	_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
	_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
)

Write your own strategy

Create your go package, and initialize the repository with go mod and add bbgo as a dependency:

go mod init
go get github.com/c9s/bbgo@main

Write your own strategy in the strategy file:

vim strategy.go

You can grab the skeleton strategy from https://github.com/c9s/bbgo/blob/main/pkg/strategy/skeleton/strategy.go

Now add your config:

mkdir config
(cd config && curl -o bbgo.yaml https://raw.githubusercontent.com/c9s/bbgo/main/config/minimal.yaml)

Add your strategy package path to the config file config/bbgo.yaml

---
build:
  dir: build
  imports:
  - github.com/your_id/your_swing
  targets:
  - name: swing-amd64-linux
    os: linux
    arch: amd64
  - name: swing-amd64-darwin
    os: darwin
    arch: amd64

Run bbgo run command, bbgo will compile a wrapper binary that imports your strategy:

dotenv -f .env.local -- bbgo run --config config/bbgo.yaml

Or you can build your own wrapper binary via:

bbgo build --config config/bbgo.yaml

Command Usages

Submitting Orders to a specific exchagne session

bbgo submit-order --session=okex --symbol=OKBUSDT --side=buy --price=10.0 --quantity=1

Listing Open Orders of a specific exchange session

bbgo list-orders open --session=okex --symbol=OKBUSDT
bbgo list-orders open --session=ftx --symbol=FTTUSDT
bbgo list-orders open --session=max --symbol=MAXUSDT
bbgo list-orders open --session=binance --symbol=BNBUSDT

Canceling an open order

# both order id and symbol is required for okex
bbgo cancel-order --session=okex --order-id=318223238325248000 --symbol=OKBUSDT

# for max, you can just give your order id
bbgo cancel-order --session=max --order-id=1234566

Debugging user data stream

bbgo userdatastream --session okex
bbgo userdatastream --session max
bbgo userdatastream --session binance

Dynamic Injection

In order to minimize the strategy code, bbgo supports dynamic dependency injection.

Before executing your strategy, bbgo injects the components into your strategy object if it found the embedded field that is using bbgo component. for example:

type Strategy struct {
*bbgo.Notifiability
}

And then, in your code, you can call the methods of Notifiability.

Supported components (single exchange strategy only for now):

• *bbgo.Notifiability
• bbgo.OrderExecutor

If you have Symbol string field in your strategy, your strategy will be detected as a symbol-based strategy, then the following types could be injected automatically:

• *bbgo.ExchangeSession
• types.Market

Strategy Execution Phases

1. Load config from the config file.
2. Allocate and initialize exchange sessions.
3. Add exchange sessions to the environment (the data layer).
4. Use the given environment to initialize the trader object (the logic layer).
5. The trader initializes the environment and start the exchange connections.
6. Call strategy.Run() method sequentially.

Exchange API Examples

Please check out the example directory: examples

Initialize MAX API:

key := os.Getenv("MAX_API_KEY")
secret := os.Getenv("MAX_API_SECRET")

maxRest := maxapi.NewRestClient(maxapi.ProductionAPIURL)
maxRest.Auth(key, secret)

Creating user data stream to get the orderbook (depth):

stream := max.NewStream(key, secret)
stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})

streambook := types.NewStreamBook(symbol)
streambook.BindStream(stream)

Deployment

• Helm Chart
• Baremetal machine or a VPS

Development

• Adding New Exchange
• Migration

Setting up your local repository

1. Click the "Fork" button from the GitHub repository.
2. Clone your forked repository into $GOPATH/github.com/c9s/bbgo.
3. Change directory into $GOPATH/github.com/c9s/bbgo.
4. Create a branch and start your development.
5. Test your changes.
6. Push your changes to your fork.
7. Send a pull request.

Setup frontend development environment

cd frontend
yarn install

Testing Desktop App

for webview

make embed && go run -tags web ./cmd/bbgo-webview

for lorca

make embed && go run -tags web ./cmd/bbgo-lorca

FAQ

What's Position?

• Base Currency & Quote Currency https://www.ig.com/au/glossary-trading-terms/base-currency-definition
• How to calculate average cost? https://www.janushenderson.com/en-us/investor/planning/calculate-average-cost/

Contributing

See Contributing

Financial Contributors

Community

You can join our telegram channels:

• BBGO International https://t.me/bbgo_intl
• BBGO Taiwan https://t.me/bbgocrypto

Supporter

• GitBook

License

MIT License