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sessions: | ||
max: | ||
exchange: &exchange max | ||
envVarPrefix: max | ||
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persistence: | ||
json: | ||
directory: var/data | ||
redis: | ||
host: 127.0.0.1 | ||
port: 6379 | ||
db: 0 | ||
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exchangeStrategies: | ||
- on: *exchange | ||
sentinel: | ||
symbol: BTCUSDT | ||
interval: 1m | ||
scoreThreshold: 0.6 |
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package sentinel | ||
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import "math" | ||
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func mean(floats []float64) float64 { | ||
var sum float64 | ||
for _, f := range floats { | ||
sum += f | ||
} | ||
return sum / float64(len(floats)) | ||
} | ||
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func calculateMovingMeanAndStdDev(samples []float64, length int) (float64, float64) { | ||
if len(samples) < length { | ||
return 0, 0 | ||
} | ||
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var sum, mean, variance float64 | ||
for _, sample := range samples[len(samples)-length:] { | ||
sum += sample | ||
} | ||
mean = sum / float64(length) | ||
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for _, sample := range samples[len(samples)-length:] { | ||
variance += (sample - mean) * (sample - mean) | ||
} | ||
variance /= float64(length) | ||
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return mean, math.Sqrt(variance) | ||
} |
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package sentinel | ||
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import ( | ||
"context" | ||
"time" | ||
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"github.com/c9s/bbgo/pkg/bbgo" | ||
"github.com/c9s/bbgo/pkg/types" | ||
"github.com/narumiruna/go-iforest/pkg/iforest" | ||
log "github.com/sirupsen/logrus" | ||
) | ||
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const ID = "sentinel" | ||
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func init() { | ||
bbgo.RegisterStrategy(ID, &Strategy{}) | ||
} | ||
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type Strategy struct { | ||
Symbol string `json:"symbol"` | ||
Interval types.Interval `json:"interval"` | ||
ScoreThreshold float64 `json:"scoreThreshold"` | ||
KLineLimit int `json:"klineLimit"` | ||
Window int `json:"window"` | ||
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IsolationForest *iforest.IsolationForest `json:"isolationForest"` | ||
NotificationInterval time.Duration `json:"notificationInterval"` | ||
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lastNotifyTime time.Time | ||
} | ||
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func (s *Strategy) ID() string { | ||
return ID | ||
} | ||
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func (s *Strategy) Defaults() error { | ||
if s.ScoreThreshold == 0 { | ||
s.ScoreThreshold = 0.6 | ||
} | ||
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if s.KLineLimit == 0 { | ||
s.KLineLimit = 1440 | ||
} | ||
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if s.Window == 0 { | ||
s.Window = 60 | ||
} | ||
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if s.NotificationInterval == 0 { | ||
s.NotificationInterval = 10 * time.Minute | ||
} | ||
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return nil | ||
} | ||
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { | ||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) | ||
} | ||
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { | ||
session.MarketDataStream.OnKLine(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { | ||
if !s.isMarketAvailable(session, s.Symbol) { | ||
return | ||
} | ||
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klines, err := s.queryKLines(ctx, session) | ||
if err != nil { | ||
log.Errorf("Unable to query klines: %v", err) | ||
return | ||
} | ||
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volumes := s.extractVolumes(klines) | ||
samples := s.generateSamples(volumes) | ||
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if s.shouldSkipIsolationForest(volumes, samples) { | ||
s.logSkipIsolationForest(samples, volumes, kline) | ||
return | ||
} | ||
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s.fitIsolationForest(samples) | ||
scores := s.IsolationForest.Score(samples) | ||
s.handleIsolationForestScore(scores, kline) | ||
})) | ||
return nil | ||
} | ||
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func (s *Strategy) isMarketAvailable(session *bbgo.ExchangeSession, symbol string) bool { | ||
_, ok := session.Market(symbol) | ||
return ok | ||
} | ||
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func (s *Strategy) queryKLines(ctx context.Context, session *bbgo.ExchangeSession) ([]types.KLine, error) { | ||
endTime := time.Now() | ||
options := types.KLineQueryOptions{ | ||
Limit: s.KLineLimit, | ||
EndTime: &endTime, | ||
} | ||
return session.Exchange.QueryKLines(ctx, s.Symbol, s.Interval, options) | ||
} | ||
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func (s *Strategy) extractVolumes(klines []types.KLine) []float64 { | ||
volumes := make([]float64, 0, len(klines)) | ||
for _, kline := range klines { | ||
volumes = append(volumes, kline.Volume.Float64()) | ||
} | ||
return volumes | ||
} | ||
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func (s *Strategy) generateSamples(volumes []float64) [][]float64 { | ||
samples := make([][]float64, 0, len(volumes)) | ||
for i := range volumes { | ||
if i < s.Window { | ||
continue | ||
} | ||
mean, stddev := calculateMovingMeanAndStdDev(volumes[:i], s.Window) | ||
samples = append(samples, []float64{mean, stddev}) | ||
} | ||
return samples | ||
} | ||
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func (s *Strategy) shouldSkipIsolationForest(volumes []float64, samples [][]float64) bool { | ||
volumeMean := mean(volumes) | ||
lastMovingMean := samples[len(samples)-1][0] | ||
return lastMovingMean < volumeMean | ||
} | ||
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func (s *Strategy) logSkipIsolationForest(samples [][]float64, volumes []float64, kline types.KLine) { | ||
log.Infof("Skipping isolation forest calculation for symbol: %s, last moving mean: %f, average volume: %f, kline: %s", s.Symbol, samples[len(samples)-1][0], mean(volumes), kline.String()) | ||
} | ||
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func (s *Strategy) fitIsolationForest(samples [][]float64) { | ||
s.IsolationForest = iforest.New() | ||
s.IsolationForest.Fit(samples) | ||
log.Infof("Isolation forest fitted with %d samples and %d/%d trees", len(samples), len(s.IsolationForest.Trees), s.IsolationForest.NumTrees) | ||
} | ||
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func (s *Strategy) handleIsolationForestScore(scores []float64, kline types.KLine) { | ||
lastScore := scores[len(scores)-1] | ||
log.Warnf("Symbol: %s, isolation forest score: %f, threshold: %f, kline: %s", s.Symbol, lastScore, s.ScoreThreshold, kline.String()) | ||
if lastScore > s.ScoreThreshold { | ||
s.notifyIsolationForestScore(lastScore) | ||
} | ||
} | ||
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func (s *Strategy) notifyIsolationForestScore(score float64) { | ||
now := time.Now() | ||
if now.Sub(s.lastNotifyTime) < s.NotificationInterval { | ||
log.Infof("Skipping notification for symbol: %s, score: %f, due to short interval", s.Symbol, score) | ||
return | ||
} | ||
s.lastNotifyTime = now | ||
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if channel, ok := bbgo.Notification.RouteSymbol(s.Symbol); ok { | ||
bbgo.NotifyTo(channel, "symbol: %s, isolation forest score: %f", s.Symbol, score) | ||
} else { | ||
bbgo.Notify("symbol: %s isolation forest score: %f", s.Symbol, score) | ||
} | ||
} |