spreaddog

README

SpreadDog

SpreadDog is used to monitor the spread of different markets from different exchanges.

• DO NOT RUN THIS PROJECT IN ANY PRODUCTION ENVIRONMENT
• THE CODEBASE IS DIFFERENT FROM ORIGINAL BBGO
• THIS IS JUST A SAMPLE PROJECT

This is an example project of creating custom strategy in the bbgo. bbgo is a very flexible trading framework, and we can write our own strategies or run builtin strategies from bbgo. I suggest you to trace the bbgo codes and write your own strategies.

Note that this project is just an SAMPLE project to show how flexible bbgo is. In order to make it simple, I remove some functions from bbgo. Please clone bbgo from the original repository and write your own strategies.

REGISTRATION

You could register exchange accounts from the following referral link.

• FTX: https://ftx.com/#a=ycdesu
• MAX: https://max.maicoin.com/signup?r=5b5c8be5

Settings

dotenv file

SpreadDog monitors the public data, so it doesn't need your exchange credentials. You only have to apply the SLACK_TOKEN in your dotenv file. Let's create the dotenv file .env.local and specify the SLACK_TOKEN. You only have to give chat:write permission to your slack bot.

SLACK_TOKEN=<your slack token>

I remove some checks from bbgo, so we don't have to assign exchange credentials here.

config

modify config/spreadmonitor.yaml yourself.

There are three sections in the config: exchanges, notification and strategy parameters.

1. Define the exchange you want to access. Here we define three exchanges: ftx, max and binance. You don't have to assign the credentials.

---
sessions:
  ftx:
    exchange: ftx
    envVarPrefix: ftx
    publicOnly: true

  max:
    exchange: max
    envVarPrefix: max
    publicOnly: true

  binance:
    exchange: binance
    envVarPrefix: binance
    publicOnly: true

1. Define the slack channel. bbgo also supports telegram, please read the tutorial from the original repo https://github.com/c9s/bbgo.

When the SpreadDog is started, it sends a keep alive message to the defaultChannel every 8 hours.

notifications:
  slack:
    # will send keep alive message to the channel every 8 hours.
    defaultChannel: "general"

1. Configure the strategy parameters

You could attach more than one config to the - spreadmonitor array.

The spread definition: TargetExchangePrice / SourceExchangePrice. The behavior is described in the following comments:

crossExchangeStrategies:
  # The spread definition: TargetExchangePrice / SourceExchangePrice
  - spreadmonitor:
      - sourceExchange: binance
        # taker fee in the exchange, such as 0.0000023
        sourceExchangeTakerFee: 0
        # ask or bid
        sourceExchangeSide: bid
        # MUST follows the naming rule of an exchange. For example, FTX uses `/` to separate base and quote unit, so we should
        # use `LTC/USDT` in ftx but `LTCUSDT` in max and binance.
        sourceExchangeMarket: LTCUSDT

        targetExchange: ftx
        targetExchangeTakerFee: 0
        targetExchangeSide: ask
        targetExchangeMarket: LTC/USD

        # the string will be in the beginning of the alert
        upperLimitMessage: LTC/USD spread of binance > ftx
        # An alert will be sent if the spread is above the upper limit.
        spreadUpperLimitBps: 10
        # support `s` for second, `m` for minute and `h` for hour.
        # An alert will be emitted if the spread is greater than `spreadUpperLimitBps` for `aboveLimitDuration`.
        # In this example, if the current spread is 20 bps for 1 hour, an alert will be emitted.
        aboveLimitDuration: 1h

        lowerLimitMessage: LTC/USD spread of binance < ftx
        # You will receive a notification if the spread is less than or equal to `spreadLowerLimitBps` for `belowLimitDuration`.
        spreadLowerLimitBps: 2
        belowLimitDuration: 10s

        slackChannelName: test
        
        # Within the quietDuration, you will only receive ONE above limit alert and ONE below limit alert.
        # Let's say the `quietDuration` is 1h. When you receive an lower limit alert at 3pm, 
        # you will not receive another one until 4pm.
        quietDuration: 1h

1. Start it

go run ./cmd/bbgo run --config=config/spreadmonitor.yaml