rsmaker

Documentation

Index

• Constants
• type Strategy
  • func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error
  • func (s *Strategy) CurrentPosition() *types.Position
  • func (s *Strategy) GetStatus() types.StrategyStatus
  • func (s *Strategy) ID() string
  • func (s *Strategy) Resume(ctx context.Context) error
  • func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error
  • func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)
  • func (s *Strategy) Suspend(ctx context.Context) error
  • func (s *Strategy) Validate() error

Constants

const ID = "rsmaker"

Types

type Strategy

type Strategy struct {
	Environment          *bbgo.Environment
	StandardIndicatorSet *bbgo.StandardIndicatorSet
	Market               types.Market

	// Symbol is the market symbol you want to trade
	Symbol string `json:"symbol"`

	// Interval is how long do you want to update your order price and quantity
	Interval types.Interval `json:"interval"`

	bbgo.QuantityOrAmount

	// Spread is the price spread from the middle price.
	// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
	// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
	// Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
	Spread fixedpoint.Value `json:"spread"`

	// BidSpread overrides the spread setting, this spread will be used for the buy order
	BidSpread fixedpoint.Value `json:"bidSpread,omitempty"`

	// AskSpread overrides the spread setting, this spread will be used for the sell order
	AskSpread fixedpoint.Value `json:"askSpread,omitempty"`

	// MinProfitSpread is the minimal order price spread from the current average cost.
	// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
	// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
	MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`

	// UseTickerPrice use the ticker api to get the mid price instead of the closed kline price.
	// The back-test engine is kline-based, so the ticker price api is not supported.
	// Turn this on if you want to do real trading.
	UseTickerPrice bool `json:"useTickerPrice"`

	// MaxExposurePosition is the maximum position you can hold
	// +10 means you can hold 10 ETH long position by maximum
	// -10 means you can hold -10 ETH short position by maximum
	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`

	// DynamicExposurePositionScale is used to define the exposure position range with the given percentage
	// when DynamicExposurePositionScale is set,
	// your MaxExposurePosition will be calculated dynamically according to the bollinger band you set.
	DynamicExposurePositionScale *bbgo.PercentageScale `json:"dynamicExposurePositionScale"`

	// Long means your position will be long position
	// Currently not used yet
	Long *bool `json:"long,omitempty"`

	// Short means your position will be long position
	// Currently not used yet
	Short *bool `json:"short,omitempty"`

	// DisableShort means you can don't want short position during the market making
	// Set to true if you want to hold more spot during market making.
	DisableShort bool `json:"disableShort"`

	// BuyBelowNeutralSMA if true, the market maker will only place buy order when the current price is below the neutral band SMA.
	BuyBelowNeutralSMA bool `json:"buyBelowNeutralSMA"`

	// NeutralBollinger is the smaller range of the bollinger band
	// If price is in this band, it usually means the price is oscillating.
	// If price goes out of this band, we tend to not place sell orders or buy orders
	NeutralBollinger *types.BollingerSetting `json:"neutralBollinger"`

	// DefaultBollinger is the wide range of the bollinger band
	// for controlling your exposure position
	DefaultBollinger *types.BollingerSetting `json:"defaultBollinger"`

	// DowntrendSkew is the order quantity skew for normal downtrend band.
	// The price is still in the default bollinger band.
	// greater than 1.0 means when placing buy order, place sell order with less quantity
	// less than 1.0 means when placing sell order, place buy order with less quantity
	DowntrendSkew fixedpoint.Value `json:"downtrendSkew"`

	// UptrendSkew is the order quantity skew for normal uptrend band.
	// The price is still in the default bollinger band.
	// greater than 1.0 means when placing buy order, place sell order with less quantity
	// less than 1.0 means when placing sell order, place buy order with less quantity
	UptrendSkew fixedpoint.Value `json:"uptrendSkew"`

	// TradeInBand
	// When this is on, places orders only when the current price is in the bollinger band.
	TradeInBand bool `json:"tradeInBand"`

	// ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow)
	ShadowProtection      bool             `json:"shadowProtection"`
	ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`

	Position    *types.Position    `persistence:"position"`
	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
	TradeStats  *types.TradeStats  `persistence:"trade_stats"`
	// contains filtered or unexported fields
}

func (*Strategy) ClosePosition

func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error

func (*Strategy) CurrentPosition

func (s *Strategy) CurrentPosition() *types.Position

func (*Strategy) GetStatus

func (s *Strategy) GetStatus() types.StrategyStatus

StrategyController

func (*Strategy) ID

func (s *Strategy) ID() string

func (*Strategy) Resume

func (s *Strategy) Resume(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) Suspend

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

func (*Strategy) Validate

func (s *Strategy) Validate() error