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index.js
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'use strict'
const _isEmpty = require('lodash/isEmpty')
const _isFinite = require('lodash/isFinite')
const _isFunction = require('lodash/isFunction')
const { candleWidth } = require('bfx-hf-util')
const { subscribe } = require('bfx-api-node-core')
const PromiseThrottle = require('promise-throttle')
const debug = require('debug')('bfx:hf:strategy-exec')
const {
onSeedCandle, onCandle, onTrade, closeOpenPositions,
getPosition, onOrder
} = require('bfx-hf-strategy')
const _generateStrategyResults = require('bfx-hf-strategy/lib/util/generate_strategy_results')
const { calcRealizedPositionPnl, calcUnrealizedPositionPnl } = require('bfx-hf-strategy/lib/pnl')
const EventEmitter = require('events')
const CANDLE_FETCH_LIMIT = 1000
const CANDLE_FETCH_SECTION = 'hist'
const pt = new PromiseThrottle({
requestsPerSecond: 10.0 / 60.0, // taken from docs
promiseImplementation: Promise
})
const ORDER_CLOSE_EVENT = 'auth:oc'
class LiveStrategyExecution extends EventEmitter {
/**
* @param {object} args
* @param {object} args.strategy - as created by define() from bfx-hf-strategy
* @param {object} args.ws2Manager - WSv2 pool instance from bfx-api-node-core
* @param {object} args.rest - restv2 instance
* @param {object} args.strategyOptions - execution parameters
* @param {string} args.strategyOptions.symbol - market to execute on
* @param {string} args.strategyOptions.timeframe - time frame to execute on
* @param {boolean} args.strategyOptions.trades - if true, trade data is subscribed to and processed
* @param {number} args.strategyOptions.candleSeed - size of indicator candle seed window, before which trading is disabled
* @param {object} args.priceFeed
* @param {object} args.perfManager
*/
constructor (args) {
super()
const { strategy, ws2Manager, rest, strategyOptions, priceFeed, perfManager } = args
this.strategyState = {
...strategy,
useMaxLeverage: strategyOptions.useMaxLeverage,
leverage: strategyOptions.leverage,
increaseLeverage: strategyOptions.increaseLeverage,
addStopOrder: strategyOptions.addStopOrder,
stopOrderPercent: strategyOptions.stopOrderPercent,
isDerivative: strategyOptions.isDerivative,
maxLeverage: strategyOptions.maxLeverage,
baseCurrency: strategyOptions.baseCurrency,
quoteCurrency: strategyOptions.quoteCurrency,
emit: this.emit.bind(this)
}
this.ws2Manager = ws2Manager
this.rest = rest
this.strategyOptions = strategyOptions
this.priceFeed = priceFeed
this.perfManager = perfManager
const { candlePrice = 'close' } = strategy
this.candlePrice = candlePrice
this.lastCandle = null
this.lastTrade = null
this.processing = false
this.stopped = false
this.messages = []
this.lastPriceFeedUpdate = 0
this.paused = false
this.pausedMts = {}
this._registerManagerEventListeners()
}
_padCandles (candles, candleWidth) {
const paddedCandles = [...candles]
for (let i = 0; i < candles.length - 1; i += 1) {
const candle = candles[i]
const nextCandle = candles[i + 1]
const candlesToFill = ((nextCandle.mts - candle.mts) / candleWidth) - 1
if (candlesToFill > 0) {
const fillerCandles = Array.apply(null, Array(candlesToFill)).map((c, i) => {
return {
...candle,
mts: candle.mts + (candleWidth * (i + 1)),
open: candle.close,
close: candle.close,
high: candle.close,
low: candle.close,
volume: 0
}
})
paddedCandles.splice(i + 1, 0, ...fillerCandles)
}
}
return paddedCandles
}
async invoke (strategyHandler) {
this.strategyState = await strategyHandler(this.strategyState)
}
/**
* @private
*/
_registerManagerEventListeners () {
if (_isEmpty(this.ws2Manager)) {
throw new Error('WS2 manager not available')
}
const { trades: includeTrades, symbol, timeframe } = this.strategyOptions
const candleKey = `trade:${timeframe}:${symbol}`
this.ws2Manager.onWS('trades', { symbol }, async (trades) => {
if (trades.length > 1) { // we don't pass snapshots through
return
}
if (includeTrades) {
this._enqueueMessage('trade', trades)
}
if (trades.mts > this.lastPriceFeedUpdate) {
this.priceFeed.update(trades.price, trades.mts)
this.lastPriceFeedUpdate = trades.mts
}
})
this.ws2Manager.onWS('candles', { key: candleKey }, async (candles) => {
if (candles.length > 1) { // seeding happens at start via RESTv2
return
}
const [candle] = candles
candle.symbol = symbol
candle.tf = timeframe
this._enqueueMessage('candle', candle)
})
// closed orders
this.ws2Manager.onWS(ORDER_CLOSE_EVENT, {}, async (data) => {
this._enqueueMessage(ORDER_CLOSE_EVENT, data)
})
this.ws2Manager.onWS('open', {}, this._onWSOpen.bind(this))
this.ws2Manager.onWS('close', {}, this._onWSClose.bind(this))
}
/**
* @private
*/
_onWSClose () {
if (this.paused) {
return
}
this.pausedMts.pausedOn = Date.now()
this.paused = true
}
/**
* @private
*/
async _onWSOpen () {
if (!this.paused) return
this.pausedMts.resumedOn = Date.now()
// fetching and processing candles for paused duration
const candles = await this._fetchCandlesForPausedDuration()
const candleDataMessage = candles.map(candle => {
return {
type: 'candle',
data: candle.toJS()
}
})
this.messages.unshift(...candleDataMessage)
// preventing wrong processing order incase residual messages were remaining before unshift
this.messages.sort((a, b) => {
return a.data.mts - b.data.mts
})
this.paused = false
this.pausedMts = {}
}
/**
* @private
*/
async _fetchCandlesForPausedDuration () {
const { pausedOn: start, resumedOn: end } = this.pausedMts
if (!_isFinite(start) || !_isFinite(end)) {
return []
}
const { timeframe, symbol } = this.strategyOptions
const cWidth = candleWidth(timeframe)
const candles = await this._fetchCandles({
symbol,
timeframe,
section: CANDLE_FETCH_SECTION,
query: {
start: start - (120 * 1000), // 2 min threshold
end,
sort: 1
}
}, cWidth)
return candles
}
/**
* @private
*/
async _fetchCandles (candleOpts, cWidth) {
const candleResponse = await pt.add(
this.rest.candles.bind(this.rest, candleOpts)
)
const candles = this._padCandles(candleResponse, cWidth)
return candles
}
/**
* @private
*/
async _seedCandles () {
const { candleSeed, timeframe, symbol } = this.strategyOptions
debug('seeding with last ~%d candles...', candleSeed)
const cWidth = candleWidth(timeframe)
const now = Date.now()
const seedStart = now - (candleSeed * cWidth)
for (let i = 0; i < Math.ceil(candleSeed / CANDLE_FETCH_LIMIT); i += 1) {
let seededCandles = 0
let candle
const start = seedStart + (i * 1000 * cWidth)
const end = Math.min(seedStart + ((i + 1) * 1000 * cWidth), now)
const candles = await this._fetchCandles({
symbol,
timeframe,
section: CANDLE_FETCH_SECTION,
query: {
limit: CANDLE_FETCH_LIMIT,
start,
end,
sort: 1
}
}, cWidth)
for (let i = 0; i < candles.length; i += 1) {
candle = candles[i]
if (this.lastCandle && this.lastCandle.mts >= candle.mts) {
continue
}
candle.tf = timeframe
candle.symbol = symbol
this.strategyState = await onSeedCandle(this.strategyState, candle)
this.lastCandle = candle
seededCandles += 1
}
debug(
'seeded with %d candles from %s - %s',
seededCandles, new Date(start).toLocaleString(), new Date(end).toLocaleString()
)
}
}
/**
* @private
*/
_enqueueMessage (type, data) {
if (this.stopped) {
return
}
this.messages.push({ type, data })
if (!this.processing || !this.paused) {
this._processMessages().catch((err) => {
debug('error processing: %s', err)
this.emit('error', err)
})
}
}
/**
* @private
*/
async _processMessages () {
this.processing = true
while (!_isEmpty(this.messages)) {
const msg = this.messages.shift()
await this._processMessage(msg)
}
this.processing = false
}
_emitStrategyExecutionResults (type = 'candle', data) {
const { symbol } = this.strategyOptions
const { candlePrice } = this.strategyState
const price = type === 'candle' ? data[candlePrice] : data.price
const openPosition = getPosition(this.strategyState, symbol)
if (openPosition && price) {
this.emit('opened_position_data', {
...openPosition,
realizedPnl: calcRealizedPositionPnl(openPosition),
unrealizedPnl: calcUnrealizedPositionPnl(openPosition, price)
})
}
this.emit('rt_execution_results', this.generateResults(openPosition))
}
/**
* @private
*/
async _processTradeData (data) {
if (this.lastTrade && this.lastTrade.id >= data.id) {
return
}
const { symbol } = this.strategyState
data.symbol = symbol
debug('recv trade: %j', data)
this.strategyState = await onTrade(this.strategyState, data)
this.lastTrade = data
this._emitStrategyExecutionResults('trade', data)
}
/**
* @private
*/
async _processOrderData (data) {
this.strategyState = await onOrder(this.strategyState, data)
}
/**
* @private
*/
async _processCandleData (data) {
if (data.mts > this.lastPriceFeedUpdate) {
this.priceFeed.update(data[this.candlePrice], data.mts)
this.lastPriceFeedUpdate = data.mts
}
if (this.lastCandle === null || this.lastCandle.mts === data.mts) {
// in case of first candle received or candle update event
this.lastCandle = data
this._emitStrategyExecutionResults('candle', data)
} else if (this.lastCandle.mts < data.mts) {
debug('recv candle %j', data)
debug('closed candle %j', this.lastCandle)
this.strategyState = await onCandle(this.strategyState, this.lastCandle) // send closed candle data
this.lastCandle = data // save new candle data
this._emitStrategyExecutionResults('candle', data)
}
}
/**
* @private
*/
async _processMessage (msg) {
const { type, data } = msg
switch (type) {
case 'trade': {
await this._processTradeData(data)
break
}
case 'candle': {
await this._processCandleData(data)
break
}
case ORDER_CLOSE_EVENT: {
await this._processOrderData(data)
break
}
default: {
debug('unknown message type: %s', type)
}
}
}
/**
* @private
*/
_subscribeCandleAndTradeEvents () {
const { symbol, timeframe } = this.strategyOptions
const candleKey = `trade:${timeframe}:${symbol}`
this.ws2Manager.withSocket((socket) => {
const nextSocket = subscribe(socket, 'candles', { key: candleKey })
return subscribe(nextSocket, 'trades', { symbol })
})
}
/**
* @public
*/
async execute () {
await this._seedCandles()
this._subscribeCandleAndTradeEvents()
this.perfManager.on('update', () => this._emitStrategyExecutionResults('perf', { price: this.priceFeed.price.toNumber() }))
}
/**
* @public
*/
async stopExecution () {
const { onEnd } = this.strategyState
if (_isFunction(onEnd)) {
this.strategyState = await onEnd(this.strategyState)
}
const openPosition = getPosition(this.strategyState)
if (openPosition) {
this.strategyState = await closeOpenPositions(this.strategyState)
}
this.stopped = true
}
/**
* @public
* @returns {object}
*/
generateResults (openPosition = null) {
return _generateStrategyResults(this.perfManager, this.strategyState, openPosition)
}
/**
* @public
*/
setWallets (wallets) {
this.strategyState.wallets = wallets
}
}
module.exports = LiveStrategyExecution