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xmaker: refactor and clean up tryArbitrage

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c9s 2024-09-09 22:03:06 +08:00 committed by lychiyu
parent 3c4e3c0979
commit a6f364f6ae
1 changed files with 76 additions and 48 deletions
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124
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())
if s.EnableArbitrage {
done, err := s.tryArbitrage(ctx, quote, makerBalances)
done, err := s.tryArbitrage(ctx, quote, makerBalances, hedgeBalances)
if err != nil {
s.logger.WithError(err).Errorf("unable to arbitrage")
} else if done {
@ -935,66 +935,94 @@ func aggregatePriceVolumeSliceWithPriceFilter(pvs types.PriceVolumeSlice, filter
}
// tryArbitrage tries to arbitrage between the source and maker exchange
func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, balances types.BalanceMap) (bool, error) {
func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances, hedgeBalances types.BalanceMap) (bool, error) {
marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
quoteBalance, hasQuote := balances[s.makerMarket.QuoteCurrency]
baseBalance, hasBase := balances[s.makerMarket.BaseCurrency]
makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk()
if !ok {
return false, nil
}
var iocOrders []types.SubmitOrder
if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok {
if hasQuote && makerAsk.Price.Compare(marginBidPrice) <= 0 {
askPvs := s.makerBook.SideBook(types.SideTypeSell)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice)
qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume)
iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeBuy,
Price: sumPv.Price,
Quantity: qty,
TimeInForce: types.TimeInForceIOC,
})
} else if hasBase && makerBid.Price.Compare(marginAskPrice) >= 0 {
bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginBidPrice)
qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume)
// send ioc order for arbitrage
iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: sumPv.Price,
Quantity: qty,
TimeInForce: types.TimeInForceIOC,
})
if makerAsk.Price.Compare(marginBidPrice) <= 0 {
quoteBalance, hasQuote := makerBalances[s.makerMarket.QuoteCurrency]
if !hasQuote {
return false, nil
}
if len(iocOrders) == 0 {
askPvs := s.makerBook.SideBook(types.SideTypeSell)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice)
qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume)
if sourceBase, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
qty = fixedpoint.Min(qty, sourceBase.Available)
} else {
// insufficient hedge base balance for arbitrage
return false, nil
}
iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeBuy,
Price: sumPv.Price,
Quantity: qty,
TimeInForce: types.TimeInForceIOC,
})
} else if makerBid.Price.Compare(marginAskPrice) >= 0 {
baseBalance, hasBase := makerBalances[s.makerMarket.BaseCurrency]
if !hasBase {
return false, nil
}
bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginAskPrice)
qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume)
if sourceQuote, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
qty = fixedpoint.Min(qty, quote.BestAskPrice.Div(sourceQuote.Available))
} else {
// insufficient hedge quote balance for arbitrage
return false, nil
}
// send ioc order for arbitrage
formattedOrders, err := s.makerSession.FormatOrders(iocOrders)
if err != nil {
return false, err
}
defer s.tradeCollector.Process()
createdOrders, _, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, s.makerOrderCreateCallback, formattedOrders...)
if err != nil {
return false, err
}
s.logger.Infof("sent arbitrage orders: %+v", createdOrders)
return true, nil
iocOrders = append(iocOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: sumPv.Price,
Quantity: qty,
TimeInForce: types.TimeInForceIOC,
})
}
return false, nil
if len(iocOrders) == 0 {
return false, nil
}
// send ioc order for arbitrage
formattedOrders, err := s.makerSession.FormatOrders(iocOrders)
if err != nil {
return false, err
}
defer s.tradeCollector.Process()
createdOrders, _, err := bbgo.BatchPlaceOrder(
ctx,
s.makerSession.Exchange,
s.makerOrderCreateCallback,
formattedOrders...)
if err != nil {
return len(createdOrders) > 0, err
}
s.logger.Infof("sent arbitrage IOC order: %+v", createdOrders)
return true, nil
}
func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(