add deposit2transfer strategy

pkg/strategy/deposit2transfer/strategy.go

@@ -0,0 +1,138 @@
+package deposit2transfer
+
+import (
+	"context"
+	"errors"
+	"fmt"
+
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/exchange/binance"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const ID = "deposit2transfer"
+
+var log = logrus.WithField("strategy", ID)
+
+var errNotBinanceExchange = errors.New("not binance exchange, currently only support binance exchange")
+
+func init() {
+	// Register the pointer of the strategy struct,
+	// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
+	// Note: built-in strategies need to imported manually in the bbgo cmd package.
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	Environment *bbgo.Environment
+
+	Interval types.Interval `json:"interval"`
+
+	SpotSession    string `json:"spotSession"`
+	FuturesSession string `json:"futuresSession"`
+
+	spotSession, futuresSession *bbgo.ExchangeSession
+
+	binanceFutures, binanceSpot *binance.Exchange
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
+
+func (s *Strategy) Defaults() error {
+	if s.Interval == "" {
+		s.Interval = types.Interval1m
+	}
+
+	return nil
+}
+
+func (s *Strategy) Validate() error {
+	if len(s.SpotSession) == 0 {
+		return errors.New("spotSession name is required")
+	}
+
+	if len(s.FuturesSession) == 0 {
+		return errors.New("futuresSession name is required")
+	}
+
+	return nil
+}
+
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s", ID)
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	var ok bool
+	s.binanceFutures, ok = session.Exchange.(*binance.Exchange)
+	if !ok {
+		return errNotBinanceExchange
+	}
+
+	s.binanceSpot, ok = session.Exchange.(*binance.Exchange)
+	if !ok {
+		return errNotBinanceExchange
+	}
+
+	// instanceID := s.InstanceID()
+	/*
+		if err := s.transferIn(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, fixedpoint.Zero); err != nil {
+			log.WithError(err).Errorf("futures asset transfer in error")
+		}
+
+		if err := s.transferOut(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, fixedpoint.Zero); err != nil {
+			log.WithError(err).Errorf("futures asset transfer out error")
+		}
+
+		if err := backoff.RetryGeneral(ctx, func() error {
+			return s.transferIn(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, trade.Quantity)
+		}); err != nil {
+			log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
+			return err
+		}
+
+		if err := backoff.RetryGeneral(ctx, func() error {
+			return s.transferOut(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, quantity)
+		}); err != nil {
+			log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
+			return err
+		}
+	*/
+
+	if binanceStream, ok := s.futuresSession.UserDataStream.(*binance.Stream); ok {
+		binanceStream.OnAccountUpdateEvent(func(e *binance.AccountUpdateEvent) {
+			s.handleAccountUpdate(ctx, e)
+		})
+	}
+
+	return nil
+}
+
+func (s *Strategy) handleAccountUpdate(ctx context.Context, e *binance.AccountUpdateEvent) {
+	switch e.AccountUpdate.EventReasonType {
+	case binance.AccountUpdateEventReasonDeposit:
+	case binance.AccountUpdateEventReasonWithdraw:
+	case binance.AccountUpdateEventReasonFundingFee:
+		//  EventBase:{
+		// 		Event:ACCOUNT_UPDATE
+		// 		Time:1679760000932
+		// 	}
+		// 	Transaction:1679760000927
+		// 	AccountUpdate:{
+		// 			EventReasonType:FUNDING_FEE
+		// 			Balances:[{
+		// 					Asset:USDT
+		// 					WalletBalance:56.64251742
+		// 					CrossWalletBalance:56.64251742
+		// 					BalanceChange:-0.00037648
+		// 			}]
+		// 		}
+		// 	}
+	}
+}

pkg/strategy/deposit2transfer/transfer.go

@@ -0,0 +1,104 @@
+package deposit2transfer
+
+import (
+	"context"
+	"fmt"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type FuturesTransfer interface {
+	TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error
+	QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)
+}
+
+func (s *Strategy) resetTransfer(ctx context.Context, ex FuturesTransfer, asset string) error {
+	balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
+	if err != nil {
+		return err
+	}
+
+	b, ok := balances[asset]
+	if !ok {
+		return nil
+	}
+
+	amount := b.MaxWithdrawAmount
+	if amount.IsZero() {
+		return nil
+	}
+
+	log.Infof("transfering out futures account asset %s %s", amount, asset)
+
+	err = ex.TransferFuturesAccountAsset(ctx, asset, amount, types.TransferOut)
+	if err != nil {
+		return err
+	}
+	return nil
+}
+
+func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error {
+	balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
+	if err != nil {
+		return err
+	}
+
+	b, ok := balances[asset]
+	if !ok {
+		return fmt.Errorf("%s balance not found", asset)
+	}
+
+	log.Infof("found futures balance: %+v", b)
+
+	// add the previous pending base transfer and the current trade quantity
+	amount := b.MaxWithdrawAmount
+
+	// try to transfer more if we enough balance
+	amount = fixedpoint.Min(amount, b.MaxWithdrawAmount)
+
+	// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
+	if amount.IsZero() {
+		return nil
+	}
+
+	// de-leverage and get the collateral base quantity
+	collateralBase := s.FuturesPosition.GetBase().Abs().Div(s.Leverage)
+	_ = collateralBase
+
+	// if s.State.TotalBaseTransfer.Compare(collateralBase)
+
+	log.Infof("transfering out futures account asset %s %s", amount, asset)
+	if err := ex.TransferFuturesAccountAsset(ctx, asset, amount, types.TransferOut); err != nil {
+		return err
+	}
+
+	return nil
+}
+
+func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error {
+	balances, err := s.spotSession.Exchange.QueryAccountBalances(ctx)
+	if err != nil {
+		return err
+	}
+
+	b, ok := balances[asset]
+	if !ok {
+		return fmt.Errorf("%s balance not found", asset)
+	}
+
+	// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
+	if !quantity.IsZero() && b.Available.Compare(quantity) < 0 {
+		log.Infof("adding to pending base transfer: %s %s", quantity, asset)
+		return nil
+	}
+
+	amount := b.Available
+
+	log.Infof("transfering in futures account asset %s %s", amount, asset)
+	if err := ex.TransferFuturesAccountAsset(ctx, asset, amount, types.TransferIn); err != nil {
+		return err
+	}
+
+	return nil
+}