xmaker: refactor getInitialLayerQuantity for quantity multiplier
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bb525c72f7
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1d71e5c80a
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@ -417,21 +417,48 @@ func (s *Strategy) aggregateSignal(ctx context.Context) (float64, error) {
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return sum / voters, nil
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}
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func (s *Strategy) updateQuote(ctx context.Context) {
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// getInitialLayerQuantity returns the initial quantity for the layer
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// i is the layer index, starting from 0
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func (s *Strategy) getInitialLayerQuantity(i int) (fixedpoint.Value, error) {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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return fixedpoint.Zero, fmt.Errorf("quantityScale error: %w", err)
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}
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log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
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// override the default quantity
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return fixedpoint.NewFromFloat(qf), nil
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}
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q := s.Quantity
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if s.QuantityMultiplier.Sign() > 0 && i > 0 {
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q = fixedpoint.NewFromFloat(
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q.Float64() * math.Pow(
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s.QuantityMultiplier.Float64(), float64(i+1)))
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}
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// fallback to the fixed quantity
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return q, nil
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}
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func (s *Strategy) updateQuote(ctx context.Context) error {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
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s.logger.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
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s.activeMakerOrders.Print()
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return
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return nil
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}
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if s.activeMakerOrders.NumOfOrders() > 0 {
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s.logger.Warnf("unable to cancel all %s orders, skipping placing maker orders", s.Symbol)
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return
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return nil
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}
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signal, err := s.aggregateSignal(ctx)
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if err != nil {
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return
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return err
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}
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s.logger.Infof("aggregated signal: %f", signal)
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@ -446,14 +473,14 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bbgo.Notify("Strategy %s is halted, reason: %s", ID, reason)
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}
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return
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return nil
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}
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}
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bestBid, bestAsk, hasPrice := s.sourceBook.BestBidAndAsk()
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if !hasPrice {
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s.logger.Warnf("no valid price, skip quoting")
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return
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return fmt.Errorf("no valid book price")
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}
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bestBidPrice := bestBid.Price
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@ -461,11 +488,10 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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s.logger.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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if bestBidPrice.Compare(bestAskPrice) > 0 {
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log.Errorf("best bid price %f is higher than best ask price %f, skip quoting",
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return fmt.Errorf("best bid price %f is higher than best ask price %f, skip quoting",
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bestBidPrice.Float64(),
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bestAskPrice.Float64(),
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)
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return
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}
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if s.EnableArbitrage {
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@ -495,20 +521,20 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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s.logger.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.Symbol,
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time.Since(bookLastUpdateTime))
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return
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return err
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}
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if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
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s.logger.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
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s.Symbol,
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time.Since(bookLastUpdateTime))
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return
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return err
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}
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sourceBook := s.sourceBook.CopyDepth(10)
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if valid, err := sourceBook.IsValid(); !valid {
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s.logger.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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return
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return err
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}
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var disableMakerBid = false
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@ -679,12 +705,11 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if disableMakerAsk && disableMakerBid {
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log.Warnf("%s bid/ask maker is disabled due to insufficient balances", s.Symbol)
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return
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return nil
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}
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var submitOrders []types.SubmitOrder
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var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
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var bidQuantity = s.Quantity
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var askQuantity = s.Quantity
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var quote = &Quote{
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@ -715,22 +740,14 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bidMarginMetrics.With(s.metricsLabels).Set(quote.BidMargin.Float64())
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askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64())
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for i := 0; i < s.NumLayers; i++ {
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// for maker bid orders
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if !disableMakerBid {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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}
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log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
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// override the default bid quantity
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bidQuantity = fixedpoint.NewFromFloat(qf)
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if !disableMakerBid {
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for i := 0; i < s.NumLayers; i++ {
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bidQuantity, err := s.getInitialLayerQuantity(i)
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if err != nil {
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return err
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}
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// for maker bid orders
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accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
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if s.UseDepthPrice {
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@ -785,14 +802,15 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
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}
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}
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}
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for i := 0; i < s.NumLayers; i++ {
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// for maker ask orders
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if !disableMakerAsk {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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return fmt.Errorf("quantityScale error: %w", err)
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}
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log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
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@ -859,12 +877,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if len(submitOrders) == 0 {
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log.Warnf("no orders generated")
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return
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return nil
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}
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formattedOrders, err := s.makerSession.FormatOrders(submitOrders)
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if err != nil {
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return
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return err
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}
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orderCreateCallback := func(createdOrder types.Order) {
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@ -877,7 +895,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, orderCreateCallback, formattedOrders...)
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if err != nil {
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log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
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return
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return err
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}
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openOrderBidExposureInUsdMetrics.With(s.metricsLabels).Set(bidExposureInUsd.Float64())
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@ -885,6 +903,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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_ = errIdx
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_ = createdOrders
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return nil
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}
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func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
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