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xmaker: calculate balance for arbitrage

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c9s 2024-09-09 18:12:46 +08:00 committed by lychiyu
parent 6f391c7a1f
commit 3c4e3c0979
1 changed files with 11 additions and 7 deletions
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18
pkg/strategy/xmaker/strategy.go
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@ -774,7 +774,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64()) askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64())
if s.EnableArbitrage { if s.EnableArbitrage {
done, err := s.tryArbitrage(ctx, quote) done, err := s.tryArbitrage(ctx, quote, makerBalances)
if err != nil { if err != nil {
s.logger.WithError(err).Errorf("unable to arbitrage") s.logger.WithError(err).Errorf("unable to arbitrage")
} else if done { } else if done {
@ -935,28 +935,32 @@ func aggregatePriceVolumeSliceWithPriceFilter(pvs types.PriceVolumeSlice, filter
} }
// tryArbitrage tries to arbitrage between the source and maker exchange // tryArbitrage tries to arbitrage between the source and maker exchange
func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote) (bool, error) { func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, balances types.BalanceMap) (bool, error) {
marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin)) marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.AskMargin)) marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
quoteBalance, hasQuote := balances[s.makerMarket.QuoteCurrency]
baseBalance, hasBase := balances[s.makerMarket.BaseCurrency]
var iocOrders []types.SubmitOrder var iocOrders []types.SubmitOrder
if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok { if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok {
if makerAsk.Price.Compare(marginBidPrice) <= 0 { if hasQuote && makerAsk.Price.Compare(marginBidPrice) <= 0 {
askPvs := s.makerBook.SideBook(types.SideTypeSell) askPvs := s.makerBook.SideBook(types.SideTypeSell)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice) sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice)
qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume)
iocOrders = append(iocOrders, types.SubmitOrder{ iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Side: types.SideTypeBuy, Side: types.SideTypeBuy,
Price: sumPv.Price, Price: sumPv.Price,
Quantity: sumPv.Volume, Quantity: qty,
TimeInForce: types.TimeInForceIOC, TimeInForce: types.TimeInForceIOC,
}) })
} else if makerBid.Price.Compare(marginAskPrice) >= 0 { } else if hasBase && makerBid.Price.Compare(marginAskPrice) >= 0 {
bidPvs := s.makerBook.SideBook(types.SideTypeBuy) bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginBidPrice) sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginBidPrice)
qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume)
// send ioc order for arbitrage // send ioc order for arbitrage
iocOrders = append(iocOrders, types.SubmitOrder{ iocOrders = append(iocOrders, types.SubmitOrder{
@ -964,7 +968,7 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote) (bool, error)
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Side: types.SideTypeSell, Side: types.SideTypeSell,
Price: sumPv.Price, Price: sumPv.Price,
Quantity: sumPv.Volume, Quantity: qty,
TimeInForce: types.TimeInForceIOC, TimeInForce: types.TimeInForceIOC,
}) })
} }