Skip to content

Commit

Permalink
strategy: bollmaker: dynamic spread by weighted Bollinger width ratio
Browse files Browse the repository at this point in the history
  • Loading branch information
@COLDTURNIP
COLDTURNIP committed Aug 29, 2022
1 parent f17249b commit 6314a31
Show file tree
Hide file tree
Showing 3 changed files with 224 additions and 63 deletions.
73 changes: 52 additions & 21 deletions config/bollmaker.yaml
View file
Original file line number Diff line number Diff line change
Expand Up @@ -60,28 +60,59 @@ exchangeStrategies:
# Dynamic spread is an experimental feature. Use at your own risk!
#
# dynamicSpread enables the automatic adjustment to bid and ask spread.
# Choose one of the scaling strategy to enable dynamicSpread:
# - amplitude: scales by K-line amplitude
# - weightedBollWidth: scales by weighted Bollinger band width (explained below)
# dynamicSpread:
# enabled: true
# # window is the window of the SMAs of spreads
# window: 1
# askSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# exp:
# # from down to up
# domain: [ 0.0001, 0.005 ]
# # when in down band, holds 1.0 by maximum
# # when in up band, holds 0.05 by maximum
# range: [ 0.001, 0.002 ]
# bidSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# exp:
# # from down to up
# domain: [ 0.0001, 0.005 ]
# # when in down band, holds 1.0 by maximum
# # when in up band, holds 0.05 by maximum
# range: [ 0.001, 0.002 ]
# amplitude: # delete other scaling strategy if this is defined
# # window is the window of the SMAs of spreads
# window: 1
# askSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# exp:
# # from down to up
# domain: [ 0.0001, 0.005 ]
# # when in down band, holds 1.0 by maximum
# # when in up band, holds 0.05 by maximum
# range: [ 0.001, 0.002 ]
# bidSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# exp:
# # from down to up
# domain: [ 0.0001, 0.005 ]
# # when in down band, holds 1.0 by maximum
# # when in up band, holds 0.05 by maximum
# range: [ 0.001, 0.002 ]
# weightedBollWidth: # delete other scaling strategy if this is defined
# # Scale spread base on weighted Bollinger band width ratio between default and neutral bands.
# # Given the default band: moving average bd_mid, band from bd_lower to bd_upper.
# # And the neutral band: from bn_lower to bn_upper
# # Set the sigmoid weighting function:
# # - to ask spread, the weighting density function d_weight(x) is sigmoid((x - bd_mid) / (bd_upper - bd_lower))
# # - to bid spread, the weighting density function d_weight(x) is sigmoid((bd_mid - x) / (bd_upper - bd_lower))
# # Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
# # - weighted_ratio = integral(d_weight from bn_lower to bn_upper) / integral(d_weight from bd_lower to bd_upper)
# # - The wider neutral band get greater ratio
# # - To ask spread, the higher neutral band get greater ratio
# # - To bid spread, the lower neutral band get greater ratio
# # The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
# askSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# linear:
# # from down to up
# domain: [ 0.1, 0.5 ]
# range: [ 0.001, 0.002 ]
# bidSpreadScale:
# byPercentage:
# # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
# linear:
# # from down to up
# domain: [ 0.1, 0.5 ]
# range: [ 0.001, 0.002 ]


# maxExposurePosition is the maximum position you can hold
# +10 means you can hold 10 ETH long position by maximum
Expand Down
202 changes: 166 additions & 36 deletions pkg/strategy/bollmaker/dynamic_spread.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -2,69 +2,125 @@ package bollmaker

import (
"github.com/pkg/errors"
"math"

"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)

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

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

// deprecated
types.IntervalWindow

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

DynamicAskSpread *indicator.SMA
DynamicBidSpread *indicator.SMA
// Initialize dynamic spreads and preload SMAs
func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicator.BOLL) {
switch {
case ds.Enabled != nil && !*ds.Enabled:
// do nothing
case ds.AmpSpreadSettings != nil:
ds.AmpSpreadSettings.initialize(symbol, session)
case ds.WeightedBollWidthRatioSpreadSettings != nil:
ds.WeightedBollWidthRatioSpreadSettings.initialize(neutralBoll, defaultBoll)
}
}

func (ds *DynamicSpreadSettings) IsEnabled() bool {
return ds.AmpSpreadSettings != nil || ds.WeightedBollWidthRatioSpreadSettings != nil
}

// Update dynamic spreads
func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
if !ds.Enabled {
return
switch {
case ds.AmpSpreadSettings != nil:
ds.AmpSpreadSettings.update(kline)
case ds.WeightedBollWidthRatioSpreadSettings != nil:
// Boll bands are updated outside of settings. Do nothing.
default:
// Disabled. Do nothing.
}
}

ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
// GetAskSpread returns current ask spread
func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
switch {
case ds.AmpSpreadSettings != nil:
return ds.AmpSpreadSettings.getAskSpread()
case ds.WeightedBollWidthRatioSpreadSettings != nil:
return ds.WeightedBollWidthRatioSpreadSettings.getAskSpread()
default:
return 0, errors.New("dynamic spread is not enabled")
}
}

switch kline.Direction() {
case types.DirectionUp:
ds.DynamicAskSpread.Update(ampl)
ds.DynamicBidSpread.Update(0)
case types.DirectionDown:
ds.DynamicBidSpread.Update(ampl)
ds.DynamicAskSpread.Update(0)
// GetBidSpread returns current dynamic bid spread
func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
switch {
case ds.AmpSpreadSettings != nil:
return ds.AmpSpreadSettings.getBidSpread()
case ds.WeightedBollWidthRatioSpreadSettings != nil:
return ds.WeightedBollWidthRatioSpreadSettings.getBidSpread()
default:
ds.DynamicAskSpread.Update(0)
ds.DynamicBidSpread.Update(0)
return 0, errors.New("dynamic spread is not enabled")
}
}

// Initialize dynamic spreads and preload SMAs
func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession) {
ds.DynamicBidSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
ds.DynamicAskSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
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"`

dynamicAskSpread *indicator.SMA
dynamicBidSpread *indicator.SMA
}

func (ds *DynamicSpreadAmpSettings) initialize(symbol string, session *bbgo.ExchangeSession) {
ds.dynamicBidSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
ds.dynamicAskSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: ds.Interval, Window: ds.Window}}
kLineStore, _ := session.MarketDataStore(symbol)
if klines, ok := kLineStore.KLinesOfInterval(ds.Interval); ok {
for i := 0; i < len(*klines); i++ {
ds.Update((*klines)[i])
ds.update((*klines)[i])
}
}
}

// GetAskSpread returns current ask spread
func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
if !ds.Enabled {
return 0, errors.New("dynamic spread is not enabled")
func (ds *DynamicSpreadAmpSettings) update(kline types.KLine) {
ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()

switch kline.Direction() {
case types.DirectionUp:
ds.dynamicAskSpread.Update(ampl)
ds.dynamicBidSpread.Update(0)
case types.DirectionDown:
ds.dynamicBidSpread.Update(ampl)
ds.dynamicAskSpread.Update(0)
default:
ds.dynamicAskSpread.Update(0)
ds.dynamicBidSpread.Update(0)
}
}

if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
func (ds *DynamicSpreadAmpSettings) getAskSpread() (askSpread float64, err error) {
if ds.AskSpreadScale != nil && ds.dynamicAskSpread.Length() >= ds.Window {
askSpread, err = ds.AskSpreadScale.Scale(ds.dynamicAskSpread.Last())
if err != nil {
log.WithError(err).Errorf("can not calculate dynamicAskSpread")
return 0, err
Expand All @@ -76,14 +132,9 @@ func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
}

// GetBidSpread returns current dynamic bid spread
func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
if !ds.Enabled {
return 0, errors.New("dynamic spread is not enabled")
}

if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
func (ds *DynamicSpreadAmpSettings) getBidSpread() (bidSpread float64, err error) {
if ds.BidSpreadScale != nil && ds.dynamicBidSpread.Length() >= ds.Window {
bidSpread, err = ds.BidSpreadScale.Scale(ds.dynamicBidSpread.Last())
if err != nil {
log.WithError(err).Errorf("can not calculate dynamicBidSpread")
return 0, err
Expand All @@ -94,3 +145,82 @@ func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {

return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
}

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"`

neutralBoll *indicator.BOLL
defaultBoll *indicator.BOLL
}

func (ds *DynamicSpreadBollWidthRatioSettings) initialize(neutralBoll, defaultBoll *indicator.BOLL) {
ds.neutralBoll = neutralBoll
ds.defaultBoll = defaultBoll
}

func (ds *DynamicSpreadBollWidthRatioSettings) getAskSpread() (askSpread float64, err error) {
askSpread, err = ds.AskSpreadScale.Scale(ds.getWeightedBBWidthRatio(true))
if err != nil {
log.WithError(err).Errorf("can not calculate dynamicAskSpread")
return 0, err
}

return askSpread, nil
}

func (ds *DynamicSpreadBollWidthRatioSettings) getBidSpread() (bidSpread float64, err error) {
bidSpread, err = ds.BidSpreadScale.Scale(ds.getWeightedBBWidthRatio(false))
if err != nil {
log.WithError(err).Errorf("can not calculate dynamicAskSpread")
return 0, err
}

return bidSpread, nil
}

func (ds *DynamicSpreadBollWidthRatioSettings) getWeightedBBWidthRatio(positiveSigmoid bool) float64 {
// Weight the width of Boll bands with sigmoid function and calculate the ratio after integral.
//
// Given the default band: moving average default_BB_mid, band from default_BB_lower to default_BB_upper.
// And the neutral band: from neutral_BB_lower to neutral_BB_upper.
//
// 1 x - default_BB_mid
// sigmoid weighting function f(y) = ------------- where y = --------------------
// 1 + exp(-y) default_BB_width
// Set the sigmoid weighting function:
// - to ask spread, the weighting density function d_weight(x) is sigmoid((x - default_BB_mid) / (default_BB_upper - default_BB_lower))
// - to bid spread, the weighting density function d_weight(x) is sigmoid((default_BB_mid - x) / (default_BB_upper - default_BB_lower))
//
// Then calculate the weighted band width ratio by taking integral of d_weight(x) from bx_lower to bx_upper:
// infinite integral of ask spread sigmoid weighting density function F(y) = ln(1 + exp(y))
// infinite integral of bid spread sigmoid weighting density function F(y) = y - ln(1 + exp(y))
// Note that we've rescaled the sigmoid function to fit default BB,
// the weighted default BB width is always calculated by integral(f of y from -1 to 1) = F(1) - F(-1)
// F(y_upper) - F(y_lower) F(y_upper) - F(y_lower)
// weighted ratio = ------------------------- = -------------------------
// F(1) - F(-1) 1
// where y_upper = (neutral_BB_upper - default_BB_mid) / default_BB_width
// y_lower = (neutral_BB_lower - default_BB_mid) / default_BB_width
// - The wider neutral band get greater ratio
// - To ask spread, the higher neutral band get greater ratio
// - To bid spread, the lower neutral band get greater ratio

defaultMid := ds.defaultBoll.SMA.Last()
defaultWidth := ds.defaultBoll.UpBand.Last() - ds.defaultBoll.DownBand.Last()
yUpper := (ds.neutralBoll.UpBand.Last() - defaultMid) / defaultWidth
yLower := (ds.neutralBoll.DownBand.Last() - defaultMid) / defaultWidth
var weightedUpper, weightedLower float64
if positiveSigmoid {
weightedUpper = math.Log(1 + math.Pow(math.E, yUpper))
weightedLower = math.Log(1 + math.Pow(math.E, yLower))
} else {
weightedUpper = yUpper - math.Log(1+math.Pow(math.E, yUpper))
weightedLower = yLower - math.Log(1+math.Pow(math.E, yLower))
}
// The weighted ratio always positive, and may be greater than 1 if neutral band is wider than default band.
return (weightedUpper - weightedLower) / 1.
}
12 changes: 6 additions & 6 deletions pkg/strategy/bollmaker/strategy.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -435,12 +435,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// StrategyController
s.Status = types.StrategyStatusRunning

s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)

// Setup dynamic spread
if s.DynamicSpread.Enabled {
if s.DynamicSpread.IsEnabled() {
if s.DynamicSpread.Interval == "" {
s.DynamicSpread.Interval = s.Interval
}
s.DynamicSpread.Initialize(s.Symbol, s.session)
s.DynamicSpread.Initialize(s.Symbol, s.session, s.neutralBoll, s.defaultBoll)
}

if s.DisableShort {
Expand All @@ -463,9 +466,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.ShadowProtectionRatio = fixedpoint.NewFromFloat(0.01)
}

s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)

// calculate group id for orders
instanceID := s.InstanceID()
s.groupID = util.FNV32(instanceID)
Expand Down Expand Up @@ -538,7 +538,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}

// Update spreads with dynamic spread
if s.DynamicSpread.Enabled {
if s.DynamicSpread.IsEnabled() {
s.DynamicSpread.Update(kline)
dynamicBidSpread, err := s.DynamicSpread.GetBidSpread()
if err == nil && dynamicBidSpread > 0 {
Expand Down

0 comments on commit 6314a31

Please sign in to comment.