BBGO 2022 - Modern Crypto Trading Bot

Transcript

1. Yo-an Lin 2022 BBGO v2022 Overview, Design and Strategy Development
2. Design Concept • Simple, Simple and Simple. • Easy to Use and Develop. • Single Binary To Deliver, Install, Use.
3. Requirement/Features • Multi-session support. • Easy to extend indicators. • Multi-session x Multi-strategy in one single process. • Ability to develop private strategy. • Back-testing with KLine Data (candlestick data) • Grid Search Optimizer
4. Architecture
5. Architecture Single BBGO Process Binance Session Strategy #1 Strategy #2 Cross Exchange Strategy #1 Cross Exchange Strategy #2 Binance Spot Session Binance Session FTX Session Binance Isolated Margin Session Binance Cross Margin Session Binance Isolated Margin Session Binance Session MAX Session Binance Session MAX Margin Session Stream MarketDataStream UserDataStream Stream MarketDataStream UserDataStream Stream MarketDataStream UserDataStream Stream MarketDataStream UserDataStream
6. Exchange Session & Strategy Binance Spot Session MarketDataStream UserDataStream Market Info Standard Indicators Market Data Store Trade Store Account Information Margin Related Info Strategy #1 Bind Callbacks Bind Callbacks Access Common Exchange API Send Request
7. ExchangeSession & API Server Binance Spot Session MarketDataStream UserDataStream Common Exchange API Binance API Server WebSocket WebSocket RESTful API *bbgo.ExchangeSession
8. How To Run BBGO?
9. All you need are just 3 fi les
10. bbgo
 bbgo.yaml
 .env.local
11. bbgo
 bbgo.yaml
 .env.local Binary Con fi g File Credential
12. exchangeStrategies: - on: binance grid: symbol: BTCUSDT quantity: 0.001 gridNumber: 20 profitSpread: 1000.0 upperPrice: 30_000.0 lowerPrice: 28_000.0 bbgo.yaml
13. DB_DRIVER=mysql DB_DSN=root:123123@tcp(127.0.0.1:3306)/bbgo MAX_API_KEY=…. MAX_API_SECRET=…. BINANCE_API_KEY=…. BINANCE_API_SECRET=…. .env.local
14. $ bbgo run
15. $ bbgo backtest
16. Strategy Skeleton
17. Strategy Skeleton Strategy Struct package pivotshort type Strategy struct { Symbol string `json:"symbol"` } pkg/strategy/pivotshort/strategy.go
18. Strategy Skeleton Registering Strategy package pivotshort const ID = "pivotshort" func init() { bbgo.RegisterStrategy(ID, &Strategy{}) }
19. Strategy Skeleton Main Strategy Methods • ID() — returns the strategy ID. • InstanceID() — returns the instance ID of the strategy. • Subscribe(session) — for adding the market data subscriptions. • Run() — the core strategy logics.
20. Strategy Skeleton ID methods const ID = "pivotshort" func (s *Strategy) ID() string { return ID } func (s *Strategy) InstanceID() string { return ID + ":" + s.Symbol }
21. Strategy Skeleton Subscribe func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) }
22. Strategy Skeleton Run() func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { return nil }
23. Strategy Skeleton Binding KLine Closed Event session.MarketDataStream.OnKLineClosed( types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { bbgo.Notify(kline) }))
24. Strategy Skeleton Con fi guration exchangeStrategies: - on: binance pivotshort: symbol: ETHUSDT interval: 5m window: 200 bbgo.yaml
25. Configuration Decoding
26. Configuration Decoding Built-in Types For Unmarshalling Data import ( "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type Strategy struct { Interval types.Interval `json:"interval"` Partial fixedpoint.Value `json:"partial"` Duration types.Duration `json:"duration"` Quantity fixedpoint.Value `json:"quantity"` }
27. Configuration Decoding Con fi guration Sample exchangeStrategies: - on: binance pivotshort: symbol: ETHUSDT interval: 5m partial: 50% quantity: 0.01 duration: 1h30m bbgo.yaml
28. Configuration Decoding A complex example exchangeStrategies: - on: binance pivotshort: symbol: ETHUSDT interval: 5m window: 200 breakLow: ratio: 0% quantity: 10.0 marketOrder: true stopEMARange: 2% stopEMA: interval: 1h window: 99 resistanceShort: enabled: true interval: 5m window: 80 quantity: 10.0 minDistance: 5% groupDistance: 1% ratio: 1.2% numOfLayers: 3 layerSpread: 0.5% exits: - roiStopLoss: percentage: 0.8% - roiTakeProfit: percentage: 35% - protectiveStopLoss: activationRatio: 0.6% stopLossRatio: 0.1% placeStopOrder: false - protectiveStopLoss: activationRatio: 5% stopLossRatio: 1% placeStopOrder: false - lowerShadowTakeProfit: interval: 30m window: 99 ratio: 3% - cumulatedVolumeTakeProfit: interval: 5m window: 2 minQuoteVolume: 200_000_000
29. Position
30. What’s Position? *types.Position • Position manages your average cost, base quantity and quote quantity. • When you buy 1 BTC at 19300, your average cost = 19300, base = 1, quote = -19300 • Then you sell 0.5 BTC at 20000, your average cost = 19300, base = 0.5, quote = -9300 • Then you buy 0.5 BTC at 18000, your average cost = 18650, base = 1, quote = -18300
31. Types of Position Long Position and Short Position • When you hold Long position, it means you hold positive base quantity. • You spent quote currency (-19000 USDT) and increase base quantity (+1 BTC) • When you hold Short position, it means you hold negative base quantity. • You spent base currency (-1 BTC) and increase quote quantity (+19000 USDT) • The base asset borrow in the spot margin trading. • Or, Sell Short in the futures contract. • Or, if you hold some inventory with zero cost basis, you can sell these inventory to hold a short position.
32. position := types.NewPositionFromMarket(market) profit, netProfit, madeProfit := position.AddTrade(Trade{ Exchange: ExchangeBinance, Price: fixedpoint.NewFromInt(2000), Quantity: fixedpoint.NewFromInt(10), QuoteQuantity: fixedpoint.NewFromInt(2000 * 10), Symbol: "BTCUSDT", Side: SideTypeBuy, Fee: fixedpoint.NewFromInt(2000 * 10.0).Mul(feeRate).Div(bnbPrice), FeeCurrency: "BNB", })
33. Order / Trade Management
34. Order / Trade Management Tracking Orders and Trade • Di ff erent Strategies shares the same user data stream for each exchange. • The strategy itself needs to know which trade belongs to its sent orders. • *bbgo.TradeCollector helps you collect the trades of your sent orders. • *types.Position will be updated by *bbgo.TradeCollector. • *bbgo.ActiveOrderBook helps you manage the open orders. • Each strategy can manage its own position and active orders.
35. Order / Trade Management *bbgo.TradeCollector • When sending orders to exchange, you register the returned order ID to the trade collector. • TradeCollector receives the trades from the user data stream and update the position. • Updating position also generates the pro fi t information.
36. Order / Trade Management *bbgo.ActiveOrderBook activeOrderBook := bbgo.NewActiveOrderBook(symbol) activeOrderBook.BindStream(session.UserDataStream)
37. Order / Trade Management *bbgo.ActiveOrderBook createdOrders, err := session.Exchange.SubmitOrders(ctx, types.SubmitOrder{ Symbol: symbol, Side: types.SideTypeBuy, Type: types.OrderTypeLimit, Quantity: fixedpoint.NewFromFloat(10.0), Price: fixedpoint.NewFromFloat(19000.0), Tag: "short", }) activeOrderBook.Add(createdOrders...)
38. Order / Trade Management *bbgo.TradeCollector symbol := "BTCUSDT" position := types.NewPosition(symbol, "BTC", "USDT") orderStore := bbgo.NewOrderStore(symbol) tradeCollector := bbgo.NewTradeCollector(symbol, position, orderStore) tradeCollector.BindStream(session.UserDataStream)
39. Order / Trade Management *bbgo.TradeCollector tradeCollector.OnPositionUpdate(func(position *types.Position) { bbgo.Notify(position) }) tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) { bbgo.Notify(trade, profit) })
40. Order / Trade Management *bbgo.GeneralOrderExecutor s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position) s.orderExecutor.BindProfitStats(s.ProfitStats) s.orderExecutor.BindTradeStats(s.TradeStats) s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) { bbgo.Sync(s) }) s.orderExecutor.Bind()
41. Exit Methods
42. Exit Methods • ROIStopLoss • ROITakePro fi t • TrailingStop • ProtectiveStop • CumulatedVolumeTakePro fi t • LowerShadowTakePro fi t
43. Exit Methods type Strategy struct { ExitMethods bbgo.ExitMethodSet `json:"exits"` } 
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { s.ExitMethods.SetAndSubscribe(session, s) } 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { 
 for _, method := range s.ExitMethods { method.Bind(session, s.orderExecutor) } }
44. exits: # (0) roiStopLoss is the stop loss percentage of the position ROI (currently the price change) - roiStopLoss: percentage: 0.8% # (1) roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change) # force to take the profit ROI exceeded the percentage. - roiTakeProfit: percentage: 35% # (2) protective stop loss -- short term - protectiveStopLoss: activationRatio: 0.6% stopLossRatio: 0.1% placeStopOrder: false # (3) protective stop loss -- long term - protectiveStopLoss: activationRatio: 5% stopLossRatio: 1% placeStopOrder: false
45. Back-Testing
46. Back-Testing Con fi guration backtest: sessions: - binance startTime: "2022-01-01" endTime: "2022-01-30" symbols: - ETHUSDT
47. Back-Testing Con fi guration backtest: sessions: - binance startTime: "2022-01-01" endTime: "2022-01-30" symbols: - ETHUSDT accounts: binance: balances: ETH: 10.0 USDT: 5000.0
48. Back-Testing Con fi guration backtest: sessions: - binance startTime: "2022-01-01" endTime: "now" symbols: - ETHUSDT accounts: binance: balances: ETH: 10.0 USDT: 5000.0
49. Back-Testing Con fi guration backtest: sessions: - binance startTime: "2022-01-01" endTime: "yesterday" symbols: - ETHUSDT accounts: binance: balances: ETH: 10.0 USDT: 5000.0
50. Back-Testing Run back-test $ bbgo backtest
51. Back-Testing Run back-test $ bbgo backtest \
 --con fi g pivotshort-ETHUSDT.yaml \
 --debug \
 --output output --subdir
52. Back-Testing back-test report app $ cd apps/backtest-report && yarn dev
53. Back-Testing Back-Test Report
54. Back-Testing Back-Test Report
55. Back-Test Report Details
56. symbol: ETHUSDT winningRatio: "0.94736842" numOfLossTrade: 19 numOfPro fi tTrade: 18 grossPro fi t: "30171.32449936" grossLoss: "-3515.41900049" pro fi ts: - "1.59999990" - "11586.99999990" - "20.60000000" - "16.89999999" - "10.39999989" - "12.00000000" - "30.70000000" - "276.80000000" - "267.10000000" - "205.80000000" - "26.29999999" - "24.60000000" - "29.90000000" - "10716.39999990" - "146.24999989" - "10.01649999" - "175.20000000" - "6613.75799990" losses: - "-36.58000000" - "-202.20000000" - "-208.20000000" - "-203.90000000" - "-239.30000000" - "-220.30000000" - "-6.49700000" - "-270.10000010" - "-267.20000000" - "-248.70000000" - "-236.50000000" - "-9.19999999" - "-268.89999999" - "-299.80000000" - "-214.03850010" - "-170.08900000" - "-159.00000000" - "-5.38250000" - "-249.53200030" mostPro fi tableTrade: "11586.99999990" mostLossTrade: "-299.80000000" pro fi tFactor: "8.58256853" totalNetPro fi t: "26655.90549887" Initial deposit: 10 ETH, 5000 USDT ~= 43000 USD equity Performance: +61% (no leverage)
57. symbol: ETHUSDT winningRatio: "0.94736842" numOfLossTrade: 19 numOfPro fi tTrade: 18 grossPro fi t: "30171.32449936" grossLoss: "-3515.41900049" pro fi ts: - "1.59999990" - "11586.99999990" - "20.60000000" - "16.89999999" - "10.39999989" - "12.00000000" - "30.70000000" - "276.80000000" - "267.10000000" - "205.80000000" - "26.29999999" - "24.60000000" - "29.90000000" - "10716.39999990" - "146.24999989" - "10.01649999" - "175.20000000" - "6613.75799990" losses: - "-36.58000000" - "-202.20000000" - "-208.20000000" - "-203.90000000" - "-239.30000000" - "-220.30000000" - "-6.49700000" - "-270.10000010" - "-267.20000000" - "-248.70000000" - "-236.50000000" - "-9.19999999" - "-268.89999999" - "-299.80000000" - "-214.03850010" - "-170.08900000" - "-159.00000000" - "-5.38250000" - "-249.53200030" mostPro fi tableTrade: "11586.99999990" mostLossTrade: "-299.80000000" pro fi tFactor: "8.58256853" totalNetPro fi t: "26655.90549887" Pro fi t Loss Details
58. The win/loss ratio is your wins divided by your losses. In the example, suppose for the sake of simplicity that 60 trades were winners, and 40 were losers. Your win/loss ratio would be 60/40 = 1.5. That would mean that you are winning 50% more often than you are losing. symbol: ETHUSDT winningRatio: "0.94736842" numOfLossTrade: 19 numOfPro fi tTrade: 18 grossPro fi t: "30171.32449936" grossLoss: "-3515.41900049" pro fi ts: - "1.59999990" - "11586.99999990" - "20.60000000" - "16.89999999" - "10.39999989" - "12.00000000" - "30.70000000" - "276.80000000" - "267.10000000" - "205.80000000" - "26.29999999" - "24.60000000" - "29.90000000" - "10716.39999990" - "146.24999989" - "10.01649999" - "175.20000000" - "6613.75799990" losses: - "-36.58000000" - "-202.20000000" - "-208.20000000" - "-203.90000000" - "-239.30000000" - "-220.30000000" - "-6.49700000" - "-270.10000010" - "-267.20000000" - "-248.70000000" - "-236.50000000" - "-9.19999999" - "-268.89999999" - "-299.80000000" - "-214.03850010" - "-170.08900000" - "-159.00000000" - "-5.38250000" - "-249.53200030" mostPro fi tableTrade: "11586.99999990" mostLossTrade: "-299.80000000" pro fi tFactor: "8.58256853" totalNetPro fi t: "26655.90549887"
59. Gross pro fi t — the sum of all pro fi table trades in terms of money; Gross loss — the sum of all unpro fi table trades in terms of money; symbol: ETHUSDT winningRatio: "0.94736842" numOfLossTrade: 19 numOfPro fi tTrade: 18 grossPro fi t: "30171.32449936" grossLoss: "-3515.41900049" pro fi ts: - "1.59999990" - "11586.99999990" - "20.60000000" - "16.89999999" - "10.39999989" - "12.00000000" - "30.70000000" - "276.80000000" - "267.10000000" - "205.80000000" - "26.29999999" - "24.60000000" - "29.90000000" - "10716.39999990" - "146.24999989" - "10.01649999" - "175.20000000" - "6613.75799990" losses: - "-36.58000000" - "-202.20000000" - "-208.20000000" - "-203.90000000" - "-239.30000000" - "-220.30000000" - "-6.49700000" - "-270.10000010" - "-267.20000000" - "-248.70000000" - "-236.50000000" - "-9.19999999" - "-268.89999999" - "-299.80000000" - "-214.03850010" - "-170.08900000" - "-159.00000000" - "-5.38250000" - "-249.53200030" mostPro fi tableTrade: "11586.99999990" mostLossTrade: "-299.80000000" pro fi tFactor: "8.58256853" totalNetPro fi t: "26655.90549887"
60. Pro fi t Factor—The ratio between gross pro fi t and gross loss in per cents. The one value means that pro fi t equals to loss symbol: ETHUSDT winningRatio: "0.94736842" numOfLossTrade: 19 numOfPro fi tTrade: 18 grossPro fi t: "30171.32449936" grossLoss: "-3515.41900049" pro fi ts: - "1.59999990" - "11586.99999990" - "20.60000000" - "16.89999999" - "10.39999989" - "12.00000000" - "30.70000000" - "276.80000000" - "267.10000000" - "205.80000000" - "26.29999999" - "24.60000000" - "29.90000000" - "10716.39999990" - "146.24999989" - "10.01649999" - "175.20000000" - "6613.75799990" losses: - "-36.58000000" - "-202.20000000" - "-208.20000000" - "-203.90000000" - "-239.30000000" - "-220.30000000" - "-6.49700000" - "-270.10000010" - "-267.20000000" - "-248.70000000" - "-236.50000000" - "-9.19999999" - "-268.89999999" - "-299.80000000" - "-214.03850010" - "-170.08900000" - "-159.00000000" - "-5.38250000" - "-249.53200030" mostPro fi tableTrade: "11586.99999990" mostLossTrade: "-299.80000000" pro fi tFactor: "8.58256853" totalNetPro fi t: "26655.90549887"
61. Optimization
62. Optimization Optimizing the strategy parameters • A good strategy might have many parameters for di ff erent scenarios. • It’s hard to try the parameters one by one. • There are too many combinations. • The optimizer helps you fi nd the best combination. • BBGO uses JSON patch syntax to de fi ne the optimization. • You can optimize ANYTHING de fi ned in the con fi g fi le.
63. Optimization De fi ning the optimization ranges --- executor: type: local local: maxNumberOfProcesses: 10 matrix: - type: iterate label: interval path: '/exchangeStrategies/0/pivotshort/interval' values: [ "1m", "5m", "30m" ] - type: range path: '/exchangeStrategies/0/pivotshort/window' label: window min: 100.0 max: 200.0 step: 20.0
64. Built-in Strategies • supertrend — using super trend indicator to entry and exit. • ewo — elliot wave oscillator. • bollmaker - bollinger band maker strategy. • fmaker - factor-based maker (linear regression) • xmaker - market making strategy • pivotshort - shorting focus strategy