grid2

package
v1.60.0 Latest Latest
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 Go to latest Published: Aug 21, 2024 License: AGPL-3.0 Imports: 25 Imported by: 1

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Constants

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const ID = "grid2"

Variables

This section is empty.

Functions

This section is empty.

Types

type Grid 

type Grid struct {
	UpperPrice fixedpoint.Value `json:"upperPrice"`
	LowerPrice fixedpoint.Value `json:"lowerPrice"`

	// Size is the number of total grids
	Size fixedpoint.Value `json:"size"`

	// TickSize is the price tick size, this is used for truncating price
	TickSize fixedpoint.Value `json:"tickSize"`

	// Spread is a immutable number
	Spread fixedpoint.Value `json:"spread"`

	// Pins are the pinned grid prices, from low to high
	Pins []Pin `json:"pins"`
	// contains filtered or unexported fields
}

func NewGrid 

func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid

func (*Grid) Above 

func (g *Grid) Above(price fixedpoint.Value) bool

func (*Grid) Below 

func (g *Grid) Below(price fixedpoint.Value) bool

func (*Grid) BottomPin 

func (g *Grid) BottomPin() Pin

func (*Grid) CalculateArithmeticPins 

func (g *Grid) CalculateArithmeticPins()

func (*Grid) CalculateGeometricPins 

func (g *Grid) CalculateGeometricPins()

func (*Grid) ExtendLowerPrice 

func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []Pin)

func (*Grid) ExtendUpperPrice 

func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin)

func (*Grid) FilterOrders added in v1.44.0 

func (g *Grid) FilterOrders(orders []types.Order) (ret []types.Order)

func (*Grid) HasPin 

func (g *Grid) HasPin(pin Pin) (ok bool)

func (*Grid) HasPrice added in v1.44.0 

func (g *Grid) HasPrice(price fixedpoint.Value) bool

func (*Grid) Height 

func (g *Grid) Height() fixedpoint.Value

func (*Grid) NextHigherPin 

func (g *Grid) NextHigherPin(price fixedpoint.Value) (Pin, bool)

NextHigherPin finds the next higher pin

func (*Grid) NextLowerPin 

func (g *Grid) NextLowerPin(price fixedpoint.Value) (Pin, bool)

NextLowerPin finds the next lower pin

func (*Grid) OutOfRange 

func (g *Grid) OutOfRange(price fixedpoint.Value) bool

func (*Grid) SearchPin 

func (g *Grid) SearchPin(price fixedpoint.Value) int

func (*Grid) String 

func (g *Grid) String() string

func (*Grid) TopPin 

func (g *Grid) TopPin() Pin

type GridProfit 

type GridProfit struct {
	Currency string           `json:"currency"`
	Profit   fixedpoint.Value `json:"profit"`
	Time     time.Time        `json:"time"`
	Order    types.Order      `json:"order"`
}

func (*GridProfit) PlainText 

func (p *GridProfit) PlainText() string

func (*GridProfit) SlackAttachment 

func (p *GridProfit) SlackAttachment() slack.Attachment

func (*GridProfit) String 

func (p *GridProfit) String() string

type GridProfitStats 

type GridProfitStats struct {
	Symbol           string                      `json:"symbol"`
	TotalBaseProfit  fixedpoint.Value            `json:"totalBaseProfit,omitempty"`
	TotalQuoteProfit fixedpoint.Value            `json:"totalQuoteProfit,omitempty"`
	FloatProfit      fixedpoint.Value            `json:"floatProfit,omitempty"`
	GridProfit       fixedpoint.Value            `json:"gridProfit,omitempty"`
	ArbitrageCount   int                         `json:"arbitrageCount,omitempty"`
	TotalFee         map[string]fixedpoint.Value `json:"totalFee,omitempty"`
	Volume           fixedpoint.Value            `json:"volume,omitempty"`
	Market           types.Market                `json:"market,omitempty"`
	Since            *time.Time                  `json:"since,omitempty"`
	InitialOrderID   uint64                      `json:"initialOrderID"`
	// contains filtered or unexported fields
}

func (*GridProfitStats) AddProfit 

func (s *GridProfitStats) AddProfit(profit *GridProfit)

func (*GridProfitStats) AddTrade 

func (s *GridProfitStats) AddTrade(trade types.Trade)

func (*GridProfitStats) Expiration added in v1.53.0 

func (s *GridProfitStats) Expiration() time.Duration

func (*GridProfitStats) PlainText added in v1.44.0 

func (s *GridProfitStats) PlainText() string

func (*GridProfitStats) SetTTL added in v1.53.0 

func (s *GridProfitStats) SetTTL(ttl time.Duration)

func (*GridProfitStats) SlackAttachment 

func (s *GridProfitStats) SlackAttachment() slack.Attachment

func (*GridProfitStats) String added in v1.44.0 

func (s *GridProfitStats) String() string

type OrderExecutor 

type OrderExecutor interface {
	SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error)
	ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error
	GracefulCancel(ctx context.Context, orders ...types.Order) error
	ActiveMakerOrders() *bbgo.ActiveOrderBook
}

type Pin 

type Pin fixedpoint.Value

type PinCalculator 

type PinCalculator func() []Pin

type PinOrderMap added in v1.44.1 

type PinOrderMap map[fixedpoint.Value]types.Order

PinOrderMap store the pin-order's relation, we will change key from string to fixedpoint.Value when FormatString fixed

func (PinOrderMap) AscendingOrders added in v1.44.1 

func (m PinOrderMap) AscendingOrders() []types.Order

AscendingOrders get the orders from pin order map and sort it in asc order

func (PinOrderMap) String added in v1.45.0 

func (m PinOrderMap) String() string

func (PinOrderMap) SyncOrderMap added in v1.44.1 

func (m PinOrderMap) SyncOrderMap() *types.SyncOrderMap

type PrettyPins added in v1.44.0 

type PrettyPins []Pin

func (PrettyPins) String added in v1.44.0 

func (pp PrettyPins) String() string

type PriceMap added in v1.43.1 

type PriceMap map[string]fixedpoint.Value

type ProfitFixer added in v1.47.0 

type ProfitFixer struct {
	// contains filtered or unexported fields
}

func (*ProfitFixer) Fix added in v1.47.0 

func (f *ProfitFixer) Fix(parent context.Context, since, until time.Time, initialOrderID uint64, profitStats *GridProfitStats) error

Fix fixes the total quote profit of the given grid

func (*ProfitFixer) SetLogger added in v1.47.0 

func (f *ProfitFixer) SetLogger(logger logrus.FieldLogger)

type Strategy 

type Strategy struct {
	Environment *bbgo.Environment

	// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
	// This field will be injected automatically since we defined the Symbol field.
	types.Market `json:"-"`

	// These fields will be filled from the config file (it translates YAML to JSON)
	Symbol string `json:"symbol"`

	// ProfitSpread is the fixed profit spread you want to submit the sell order
	// When ProfitSpread is enabled, the grid will shift up, e.g.,
	// If you opened a grid with the price range 10_000 to 20_000
	// With profit spread set to 3_000
	// The sell orders will be placed in the range 13_000 to 23_000
	// And the buy orders will be placed in the original price range 10_000 to 20_000
	ProfitSpread fixedpoint.Value `json:"profitSpread"`

	// GridNum is the grid number, how many orders you want to post on the orderbook.
	GridNum int64 `json:"gridNumber"`

	// BaseGridNum is an optional field used for base investment sell orders
	BaseGridNum int `json:"baseGridNumber,omitempty"`

	AutoRange *types.SimpleDuration `json:"autoRange"`

	UpperPrice fixedpoint.Value `json:"upperPrice"`

	LowerPrice fixedpoint.Value `json:"lowerPrice"`

	// Compound option is used for buying more inventory when
	// the profit is made by the filled sell order.
	Compound bool `json:"compound"`

	// EarnBase option is used for earning profit in base currency.
	// e.g. earn BTC in BTCUSDT and earn ETH in ETHUSDT
	// instead of earn USDT in BTCUSD
	EarnBase bool `json:"earnBase"`

	// QuantityOrAmount embeds the Quantity field and the Amount field
	// If you set up the Quantity field or the Amount field, you don't need to set the QuoteInvestment and BaseInvestment
	bbgo.QuantityOrAmount

	// If Quantity and Amount is not set, we can use the quote investment to calculate our quantity.
	QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`

	// BaseInvestment is the total base quantity you want to place as the sell order.
	BaseInvestment fixedpoint.Value `json:"baseInvestment"`

	TriggerPrice fixedpoint.Value `json:"triggerPrice"`

	StopLossPrice   fixedpoint.Value `json:"stopLossPrice"`
	TakeProfitPrice fixedpoint.Value `json:"takeProfitPrice"`

	// CloseWhenCancelOrder option is used to close the grid if any of the order is canceled.
	// This option let you simply remote control the grid from the crypto exchange mobile app.
	CloseWhenCancelOrder bool `json:"closeWhenCancelOrder"`

	// KeepOrdersWhenShutdown option is used for keeping the grid orders when shutting down bbgo
	KeepOrdersWhenShutdown bool `json:"keepOrdersWhenShutdown"`

	// RecoverOrdersWhenStart option is used for recovering grid orders
	RecoverOrdersWhenStart bool `json:"recoverOrdersWhenStart"`

	// ClearOpenOrdersWhenStart
	// If this is set, when bbgo started, it will clear the open orders in the same market (by symbol)
	ClearOpenOrdersWhenStart bool `json:"clearOpenOrdersWhenStart"`

	ClearOpenOrdersIfMismatch bool `json:"clearOpenOrdersIfMismatch"`

	ClearDuplicatedPriceOpenOrders bool `json:"clearDuplicatedPriceOpenOrders"`

	// UseCancelAllOrdersApiWhenClose uses a different API to cancel all the orders on the market when closing a grid
	UseCancelAllOrdersApiWhenClose bool `json:"useCancelAllOrdersApiWhenClose"`

	// ResetPositionWhenStart resets the position when the strategy is started
	ResetPositionWhenStart bool `json:"resetPositionWhenStart"`

	// StopIfLessThanMinimalQuoteInvestment stops the strategy if the quote investment does not match
	StopIfLessThanMinimalQuoteInvestment bool `json:"stopIfLessThanMinimalQuoteInvestment"`

	OrderFillDelay types.Duration `json:"orderFillDelay"`

	// PrometheusLabels will be used as the base prometheus labels
	PrometheusLabels prometheus.Labels `json:"prometheusLabels"`

	// OrderGroupID is the group ID used for the strategy instance for canceling orders
	OrderGroupID uint32 `json:"orderGroupID"`

	LogFields logrus.Fields `json:"logFields"`

	// FeeRate is used for calculating the minimal profit spread.
	// it makes sure that your grid configuration is profitable.
	FeeRate fixedpoint.Value `json:"feeRate"`

	SkipSpreadCheck             bool          `json:"skipSpreadCheck"`
	RecoverGridByScanningTrades bool          `json:"recoverGridByScanningTrades"`
	RecoverGridWithin           time.Duration `json:"recoverGridWithin"`

	EnableProfitFixer bool        `json:"enableProfitFixer"`
	FixProfitSince    *types.Time `json:"fixProfitSince"`

	// Debug enables the debug mode
	Debug bool `json:"debug"`

	GridProfitStats *GridProfitStats `persistence:"grid_profit_stats"`
	Position        *types.Position  `persistence:"position"`
	PersistenceTTL  types.Duration   `json:"persistenceTTL"`

	// ExchangeSession is an injection field
	ExchangeSession *bbgo.ExchangeSession

	// this ensures that bbgo.Sync to lock the object
	sync.Mutex
	// contains filtered or unexported fields
}

func (*Strategy) CleanUp added in v1.44.0 

func (s *Strategy) CleanUp(ctx context.Context) error

func (*Strategy) CloseGrid added in v1.44.0 

func (s *Strategy) CloseGrid(ctx context.Context) error

CloseGrid closes the grid orders

func (*Strategy) Defaults added in v1.44.0 

func (s *Strategy) Defaults() error

func (*Strategy) EmitGridClosed added in v1.44.0 

func (s *Strategy) EmitGridClosed()

func (*Strategy) EmitGridError added in v1.44.0 

func (s *Strategy) EmitGridError(err error)

func (*Strategy) EmitGridProfit added in v1.44.0 

func (s *Strategy) EmitGridProfit(stats *GridProfitStats, profit *GridProfit)

func (*Strategy) EmitGridReady added in v1.44.0 

func (s *Strategy) EmitGridReady()

func (*Strategy) ID 

func (s *Strategy) ID() string

func (*Strategy) Initialize added in v1.44.0 

func (s *Strategy) Initialize() error

func (*Strategy) InstanceID 

func (s *Strategy) InstanceID() string

InstanceID returns the instance identifier from the current grid configuration parameters

func (*Strategy) OnGridClosed added in v1.44.0 

func (s *Strategy) OnGridClosed(cb func())

func (*Strategy) OnGridError added in v1.44.0 

func (s *Strategy) OnGridError(cb func(err error))

func (*Strategy) OnGridProfit added in v1.44.0 

func (s *Strategy) OnGridProfit(cb func(stats *GridProfitStats, profit *GridProfit))

func (*Strategy) OnGridReady added in v1.44.0 

func (s *Strategy) OnGridReady(cb func())

func (*Strategy) OpenGrid added in v1.44.0 

func (s *Strategy) OpenGrid(ctx context.Context) error

func (*Strategy) Run 

func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error

func (*Strategy) Subscribe 

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)

func (*Strategy) Validate 

func (s *Strategy) Validate() error

type TwinOrder added in v1.48.0 

type TwinOrder struct {
	BuyOrder  types.Order
	SellOrder types.Order
}

func (*TwinOrder) Exist added in v1.48.0 

func (t *TwinOrder) Exist() bool

func (*TwinOrder) GetOrder added in v1.48.0 

func (t *TwinOrder) GetOrder() types.Order

func (*TwinOrder) IsValid added in v1.48.0 

func (t *TwinOrder) IsValid() bool

func (*TwinOrder) SetOrder added in v1.48.0 

func (t *TwinOrder) SetOrder(order types.Order)

type TwinOrderBook added in v1.53.0 

type TwinOrderBook struct {
	// contains filtered or unexported fields
}

TwinOrderBook is to verify grid For grid trading, there are twin orders between a grid e.g. 100, 200, 300, 400, 500 

BUY 100 and SELL 200 are a twin.
BUY 200 and SELL 300 are a twin.

Because they can't be placed on orderbook at the same time. We use sell price to be the twin orderbook's key New the twin orderbook with pins, and it will sort the pins in asc order. There must be a non nil TwinOrder on the every pin (except the first one). But the TwinOrder.Exist() may be false. It means there is no twin order on this grid

func (*TwinOrderBook) AddOrder added in v1.53.0 

func (b *TwinOrderBook) AddOrder(order types.Order, checkUpdateTime bool) error

func (*TwinOrderBook) EmptyTwinOrderSize added in v1.53.0 

func (b *TwinOrderBook) EmptyTwinOrderSize() int

EmptyTwinOrderSize is the amount of grid there is no twin order on it.

func (*TwinOrderBook) GetTwinOrder added in v1.53.0 

func (b *TwinOrderBook) GetTwinOrder(pin fixedpoint.Value) *TwinOrder

func (*TwinOrderBook) GetTwinOrderPin added in v1.53.0 

func (b *TwinOrderBook) GetTwinOrderPin(order types.Order) (fixedpoint.Value, error)

func (*TwinOrderBook) Size added in v1.53.0 

func (b *TwinOrderBook) Size() int

Size is the valid twin order on grid.

func (*TwinOrderBook) String added in v1.53.0 

func (b *TwinOrderBook) String() string

func (*TwinOrderBook) SyncOrderMap added in v1.53.0 

func (b *TwinOrderBook) SyncOrderMap() *types.SyncOrderMap

type TwinOrderMap added in v1.48.0 

type TwinOrderMap map[fixedpoint.Value]TwinOrder

func (TwinOrderMap) AscendingOrders added in v1.48.0 

func (m TwinOrderMap) AscendingOrders() []types.Order

func (TwinOrderMap) String added in v1.48.0 

func (m TwinOrderMap) String() string

func (TwinOrderMap) SyncOrderMap added in v1.48.0 

func (m TwinOrderMap) SyncOrderMap() *types.SyncOrderMap

Source Files

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 Package mocks is a generated GoMock package.

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