bbgo_origin/pkg/bbgo/risk.go

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package bbgo
import (
"context"
"fmt"
"time"
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log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/risk"
"github.com/c9s/bbgo/pkg/types"
)
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var defaultLeverage = fixedpoint.NewFromInt(3)
var maxIsolatedMarginLeverage = fixedpoint.NewFromInt(10)
var maxCrossMarginLeverage = fixedpoint.NewFromInt(3)
type AccountValueCalculator struct {
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session *ExchangeSession
quoteCurrency string
prices map[string]fixedpoint.Value
tickers map[string]types.Ticker
updateTime time.Time
}
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func NewAccountValueCalculator(session *ExchangeSession, quoteCurrency string) *AccountValueCalculator {
return &AccountValueCalculator{
session: session,
quoteCurrency: quoteCurrency,
prices: make(map[string]fixedpoint.Value),
tickers: make(map[string]types.Ticker),
}
}
func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
balances := c.session.Account.Balances()
currencies := balances.Currencies()
var symbols []string
for _, currency := range currencies {
if currency == c.quoteCurrency {
continue
}
symbol := currency + c.quoteCurrency
symbols = append(symbols, symbol)
}
tickers, err := c.session.Exchange.QueryTickers(ctx, symbols...)
if err != nil {
return err
}
c.tickers = tickers
for symbol, ticker := range tickers {
c.prices[symbol] = ticker.Last
if ticker.Time.After(c.updateTime) {
c.updateTime = ticker.Time
}
}
return nil
}
func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error) {
debtValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return debtValue, err
}
}
balances := c.session.Account.Balances()
for _, b := range balances {
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
debtValue = debtValue.Add(b.Debt().Mul(price))
}
return debtValue, nil
}
func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Value, error) {
marketValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return marketValue, err
}
}
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
marketValue = marketValue.Add(b.Total())
continue
}
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
marketValue = marketValue.Add(b.Total().Mul(price))
}
return marketValue, nil
}
func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return accountValue, err
}
}
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
accountValue = accountValue.Add(b.Net())
continue
}
symbol := b.Currency + c.quoteCurrency // for BTC/USDT, ETH/USDT pairs
symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
if price, ok := c.prices[symbol]; ok {
accountValue = accountValue.Add(b.Net().Mul(price))
} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
price2 := one.Div(priceReverse)
accountValue = accountValue.Add(b.Net().Mul(price2))
}
}
return accountValue, nil
}
func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return accountValue, err
}
}
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
accountValue = accountValue.Add(b.Net())
continue
}
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
accountValue = accountValue.Add(b.Net().Mul(price))
}
return accountValue, nil
}
// MarginLevel calculates the margin level from the asset market value and the debt value
// See https://www.binance.com/en/support/faq/360030493931
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func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error) {
marginLevel := fixedpoint.Zero
marketValue, err := c.MarketValue(ctx)
if err != nil {
return marginLevel, err
}
debtValue, err := c.DebtValue(ctx)
if err != nil {
return marginLevel, err
}
marginLevel = marketValue.Div(debtValue)
return marginLevel, nil
}
func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
totalUsdValue := fixedpoint.Zero
// get all usd value if any
for currency, balance := range balances {
if types.IsUSDFiatCurrency(currency) {
totalUsdValue = totalUsdValue.Add(balance.Net())
}
}
return totalUsdValue
}
func usdFiatBalances(balances types.BalanceMap) (fiats types.BalanceMap, rest types.BalanceMap) {
rest = make(types.BalanceMap)
fiats = make(types.BalanceMap)
for currency, balance := range balances {
if types.IsUSDFiatCurrency(currency) {
fiats[currency] = balance
} else {
rest[currency] = balance
}
}
return fiats, rest
}
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func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
if leverage.IsZero() {
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leverage = defaultLeverage
}
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baseBalance, hasBaseBalance := session.Account.Balance(market.BaseCurrency)
quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
balances := session.Account.Balances()
usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if !usingLeverage {
// For spot, we simply sell the base quoteCurrency
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if hasBaseBalance {
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if quantity.IsZero() {
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log.Warnf("sell quantity is not set, using all available base balance: %v", baseBalance)
if !baseBalance.Available.IsZero() {
return baseBalance.Available, nil
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}
} else {
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return fixedpoint.Min(quantity, baseBalance.Available), nil
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}
}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings, your account balances: %+v", balances)
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}
usdBalances, restBalances := usdFiatBalances(balances)
// for isolated margin we can calculate from these two pair
totalUsdValue := fixedpoint.Zero
if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
totalUsdValue = aggregateUsdValue(balances)
} else if len(restBalances) > 1 {
accountValue := NewAccountValueCalculator(session, "USDT")
netValue, err := accountValue.NetValue(context.Background())
if err != nil {
return quantity, err
}
totalUsdValue = netValue
} else {
// TODO: translate quote currency like BTC of ETH/BTC to usd value
totalUsdValue = aggregateUsdValue(usdBalances)
}
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if !quantity.IsZero() {
return quantity, nil
}
if price.IsZero() {
return quantity, fmt.Errorf("%s price can not be zero", market.Symbol)
}
// using leverage -- starts from here
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log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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// calculate the quantity automatically
if session.Margin || session.IsolatedMargin {
baseBalanceValue := baseBalance.Net().Mul(price)
accountUsdValue := baseBalanceValue.Add(totalUsdValue)
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// avoid using all account value since there will be some trade loss for interests and the fee
accountUsdValue = accountUsdValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
log.Infof("calculated account usd value %f %s", accountUsdValue.Float64(), market.QuoteCurrency)
originLeverage := leverage
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if session.IsolatedMargin {
leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
maxIsolatedMarginLeverage.Float64(),
originLeverage.Float64(),
leverage.Float64())
} else {
leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
maxCrossMarginLeverage.Float64(),
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originLeverage.Float64(),
leverage.Float64())
}
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// spot margin use the equity value, so we use the total quote balance here
maxPosition := risk.CalculateMaxPosition(price, accountUsdValue, leverage)
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debt := baseBalance.Debt()
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maxQuantity := maxPosition.Sub(debt)
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log.Infof("margin leverage: calculated maxQuantity=%f maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
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maxQuantity.Float64(),
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maxPosition.Float64(),
debt.Float64(),
price.Float64(),
accountUsdValue.Float64(),
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market.QuoteCurrency,
leverage.Float64())
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return maxQuantity, nil
}
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if session.Futures || session.IsolatedFutures {
// TODO: get mark price here
maxPositionQuantity := risk.CalculateMaxPosition(price, totalUsdValue, leverage)
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requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
return maxPositionQuantity, fmt.Errorf("margin total usd value %f is not enough, can not submit order", totalUsdValue.Float64())
}
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return maxPositionQuantity, nil
}
return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
}
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func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {
// default leverage guard
if leverage.IsZero() {
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leverage = defaultLeverage
}
quoteBalance, _ := session.Account.Balance(quoteCurrency)
usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
if !usingLeverage {
// For spot, we simply return the quote balance
return quoteBalance.Available.Mul(fixedpoint.Min(leverage, fixedpoint.One)), nil
}
originLeverage := leverage
if session.IsolatedMargin {
leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
maxIsolatedMarginLeverage.Float64(),
originLeverage.Float64(),
leverage.Float64())
} else {
leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
maxCrossMarginLeverage.Float64(),
originLeverage.Float64(),
leverage.Float64())
}
// using leverage -- starts from here
accountValue := NewAccountValueCalculator(session, quoteCurrency)
availableQuote, err := accountValue.AvailableQuote(ctx)
if err != nil {
log.WithError(err).Errorf("can not update available quote")
return fixedpoint.Zero, err
}
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log.Infof("calculating available leveraged quote quantity: account available quote = %+v", availableQuote)
return availableQuote.Mul(leverage), nil
}