bollmaker

package
v0.0.0-...-ce66ebf Latest Latest
Warning

This package is not in the latest version of its module.

 Go to latest Published: Jul 15, 2023 License: AGPL-3.0 Imports: 11 Imported by: 0

Documentation

Overview

bollmaker is a maker strategy depends on the bollinger band

bollmaker uses two bollinger bands for trading: 1) the first bollinger is a long-term time frame bollinger, it controls your position. (how much you can hold) 2) the second bollinger is a short-term time frame bollinger, it controls whether places the orders or not.

Index

Constants

View Source 
const ID = "bollmaker"

Variables

This section is empty.

Functions

This section is empty.

Types

type BollingerSetting 

type BollingerSetting struct {
	types.IntervalWindow
	BandWidth float64 `json:"bandWidth"`
}

type DynamicSpreadAmpSettings 

type DynamicSpreadAmpSettings struct {
	types.IntervalWindow

	// AskSpreadScale is used to define the ask spread range with the given percentage.
	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`

	// BidSpreadScale is used to define the bid spread range with the given percentage.
	BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
	// contains filtered or unexported fields
}

type DynamicSpreadBollWidthRatioSettings 

type DynamicSpreadBollWidthRatioSettings struct {
	// AskSpreadScale is used to define the ask spread range with the given percentage.
	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`

	// BidSpreadScale is used to define the bid spread range with the given percentage.
	BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`

	// Sensitivity factor of the weighting function: 1 / (1 + exp(-(x - mid) * sensitivity / width))
	// A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
	Sensitivity float64 `json:"sensitivity"`
	// contains filtered or unexported fields
}

type DynamicSpreadSettings 

type DynamicSpreadSettings struct {
	AmpSpreadSettings                    *DynamicSpreadAmpSettings            `json:"amplitude"`
	WeightedBollWidthRatioSpreadSettings *DynamicSpreadBollWidthRatioSettings `json:"weightedBollWidth"`

	// deprecated
	Enabled *bool `json:"enabled"`

	// deprecated
	types.IntervalWindow

	// deprecated. AskSpreadScale is used to define the ask spread range with the given percentage.
	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`

	// deprecated. BidSpreadScale is used to define the bid spread range with the given percentage.
	BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
}

func (*DynamicSpreadSettings) GetAskSpread 

func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error)

GetAskSpread returns current ask spread

func (*DynamicSpreadSettings) GetBidSpread 

func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error)

GetBidSpread returns current dynamic bid spread

func (*DynamicSpreadSettings) Initialize 

func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicator.BOLLStream)

Initialize dynamic spreads and preload SMAs

func (*DynamicSpreadSettings) IsEnabled 

func (ds *DynamicSpreadSettings) IsEnabled() bool

func (*DynamicSpreadSettings) Update 

func (ds *DynamicSpreadSettings) Update(kline types.KLine)

Update dynamic spreads

type PriceTrend 

type PriceTrend string
const (
	NeutralTrend PriceTrend = "neutral"
	UpTrend      PriceTrend = "upTrend"
	DownTrend    PriceTrend = "downTrend"
	UnknownTrend PriceTrend = "unknown"
)

type State deprecated 

type State struct {
	// Deprecated: Position is deprecated, please define the Position field in the strategy struct directly.
	Position *types.Position `json:"position,omitempty"`

	// Deprecated: ProfitStats is deprecated, please define the ProfitStats field in the strategy struct directly.
	ProfitStats types.ProfitStats `json:"profitStats,omitempty"`
}

Deprecated: State is deprecated, please use the persistence tag

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"`

	types.IntervalWindow

	bbgo.QuantityOrAmount

	// TrendEMA is used for detecting the trend by a given EMA
	// you can define interval and window
	TrendEMA *bbgo.TrendEMA `json:"trendEMA"`

	// 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"`

	// DynamicSpread enables the automatic adjustment to bid and ask spread.
	DynamicSpread DynamicSpreadSettings `json:"dynamicSpread,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"`

	// MinProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage
	MinProfitActivationRate *fixedpoint.Value `json:"minProfitActivationRate"`

	// 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 *BollingerSetting `json:"neutralBollinger"`

	// DefaultBollinger is the wide range of the bollinger band
	// for controlling your exposure position
	DefaultBollinger *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"`

	ExitMethods bbgo.ExitMethodSet `json:"exits"`

	// persistence fields
	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
	ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`

	// StrategyController
	bbgo.StrategyController
	// 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) ID 

func (s *Strategy) ID() string

func (*Strategy) InstanceID 

func (s *Strategy) InstanceID() string

func (*Strategy) Run 

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

func (*Strategy) Subscribe 

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

func (*Strategy) Validate 

func (s *Strategy) Validate() error

Source Files

View all Source files

Jump to

Keyboard shortcuts

? : This menu
/ : Search site
f or F : Jump to
y or Y : Canonical URL
go.dev uses cookies from Google to deliver and enhance the quality of its services and to analyze traffic. Learn more.