scmaker: basic prototype

config/scmaker.yaml

@@ -0,0 +1,50 @@
+sessions:
+  binance:
+    exchange: max
+    envVarPrefix: max
+
+
+exchangeStrategies:
+- on: max
+  scmaker:
+    symbol: USDCUSDT
+
+    ## adjustmentUpdateInterval is the interval for adjusting position
+    adjustmentUpdateInterval: 1m
+
+    ## liquidityUpdateInterval is the interval for updating liquidity orders
+    liquidityUpdateInterval: 1h
+
+    midPriceEMA:
+      interval: 1h
+      window: 99
+
+    ## priceRangeBollinger is used for the liquidity price range
+    priceRangeBollinger:
+      interval: 1h
+      window: 10
+      k: 1.0
+
+    numOfLiquidityLayers: 10
+
+    liquidityLayerTick: 0.01
+
+    strengthInterval: 1m
+
+    liquidityScale:
+      exp:
+        domain: [0, 10]
+        range: [100, 500]
+
+backtest:
+  sessions:
+    - max
+  startTime: "2023-05-01"
+  endTime: "2023-06-01"
+  symbols:
+  - USDCUSDT
+  account:
+    max:
+      balances:
+        USDC: 5000
+        USDT: 5000

pkg/cmd/strategy/builtin.go

@@ -29,6 +29,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/rebalance"
 	_ "github.com/c9s/bbgo/pkg/strategy/rsmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/schedule"
+	_ "github.com/c9s/bbgo/pkg/strategy/scmaker"
 	_ "github.com/c9s/bbgo/pkg/strategy/skeleton"
 	_ "github.com/c9s/bbgo/pkg/strategy/supertrend"
 	_ "github.com/c9s/bbgo/pkg/strategy/support"

pkg/strategy/scmaker/intensity.go

@@ -0,0 +1,44 @@
+package scmaker
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type IntensityStream struct {
+	*indicator.Float64Series
+
+	Buy, Sell *indicator.RMAStream
+	window    int
+}
+
+func Intensity(source indicator.KLineSubscription, window int) *IntensityStream {
+	s := &IntensityStream{
+		Float64Series: indicator.NewFloat64Series(),
+		window:        window,
+
+		Buy:  indicator.RMA2(indicator.NewFloat64Series(), window, false),
+		Sell: indicator.RMA2(indicator.NewFloat64Series(), window, false),
+	}
+
+	threshold := fixedpoint.NewFromFloat(100.0)
+	source.AddSubscriber(func(k types.KLine) {
+		volume := k.Volume.Float64()
+
+		// ignore zero volume events or <= 10usd events
+		if volume == 0.0 || k.Close.Mul(k.Volume).Compare(threshold) <= 0 {
+			return
+		}
+
+		c := k.Close.Compare(k.Open)
+		if c > 0 {
+			s.Buy.PushAndEmit(volume)
+		} else if c < 0 {
+			s.Sell.PushAndEmit(volume)
+		}
+		s.Float64Series.PushAndEmit(k.High.Sub(k.Low).Float64())
+	})
+
+	return s
+}