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extract FeeBudget struct and move to common

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This commit is contained in:
narumi 2024-05-26 21:54:17 +08:00
parent 6b6bf2f722
commit 0f03bc785b
3 changed files with 155 additions and 83 deletions
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85
pkg/strategy/common/fee_budget.go Normal file
View File

@ -0,0 +1,85 @@
package common
import (
"time"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
log "github.com/sirupsen/logrus"
)
type FeeBudget struct {
DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
State *State `persistence:"state"`
}
func (f *FeeBudget) Initialize() {
if f.State == nil {
f.State = &State{}
f.State.Reset()
}
if f.State.IsOver24Hours() {
log.Warn("[FeeBudget] state is over 24 hours, resetting to zero")
f.State.Reset()
}
}
func (f *FeeBudget) IsBudgetAllowed() bool {
if f.DailyFeeBudgets == nil {
return true
}
if f.State.AccumulatedFees == nil {
return true
}
for asset, budget := range f.DailyFeeBudgets {
if fee, ok := f.State.AccumulatedFees[asset]; ok {
if fee.Compare(budget) >= 0 {
log.Warnf("[FeeBudget] accumulative fee %s exceeded the fee budget %s, skipping...", fee.String(), budget.String())
return false
}
}
}
return true
}
func (f *FeeBudget) HandleTradeUpdate(trade types.Trade) {
log.Infof("[FeeBudget] received trade %s", trade.String())
if f.State.IsOver24Hours() {
f.State.Reset()
}
// safe check
if f.State.AccumulatedFees == nil {
f.State.AccumulatedFees = make(map[string]fixedpoint.Value)
}
f.State.AccumulatedFees[trade.FeeCurrency] = f.State.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee)
f.State.AccumulatedVolume = f.State.AccumulatedVolume.Add(trade.Quantity)
log.Infof("[FeeBudget] accumulated fee: %s %s", f.State.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency)
}
type State struct {
AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
}
func (s *State) IsOver24Hours() bool {
return time.Since(s.AccumulatedFeeStartedAt) >= 24*time.Hour
}
func (s *State) Reset() {
t := time.Now()
dateTime := time.Date(t.Year(), t.Month(), t.Day(), 0, 0, 0, 0, t.Location())
log.Infof("[State] resetting accumulated started time to: %s", dateTime)
s.AccumulatedFeeStartedAt = dateTime
s.AccumulatedFees = make(map[string]fixedpoint.Value)
s.AccumulatedVolume = fixedpoint.Zero
}

52
pkg/strategy/common/fee_budget_test.go Normal file
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@ -0,0 +1,52 @@
package common
import (
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/stretchr/testify/assert"
)
func TestFeeBudget(t *testing.T) {
cases := []struct {
budgets map[string]fixedpoint.Value
trades []types.Trade
expected bool
}{
{
budgets: map[string]fixedpoint.Value{
"MAX": fixedpoint.NewFromFloat(0.5),
},
trades: []types.Trade{
{FeeCurrency: "MAX", Fee: fixedpoint.NewFromFloat(0.1)},
{FeeCurrency: "USDT", Fee: fixedpoint.NewFromFloat(10.0)},
},
expected: true,
},
{
budgets: map[string]fixedpoint.Value{
"MAX": fixedpoint.NewFromFloat(0.5),
},
trades: []types.Trade{
{FeeCurrency: "MAX", Fee: fixedpoint.NewFromFloat(0.1)},
{FeeCurrency: "MAX", Fee: fixedpoint.NewFromFloat(0.5)},
{FeeCurrency: "USDT", Fee: fixedpoint.NewFromFloat(10.0)},
},
expected: false,
},
}
for _, c := range cases {
feeBudget := FeeBudget{
DailyFeeBudgets: c.budgets,
}
feeBudget.Initialize()
for _, trade := range c.trades {
feeBudget.HandleTradeUpdate(trade)
}
assert.Equal(t, c.expected, feeBudget.IsBudgetAllowed())
}
}

101
pkg/strategy/xgap/strategy.go
View File

@ -37,29 +37,9 @@ func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
type State struct {
AccumulatedFeeStartedAt time.Time `json:"accumulatedFeeStartedAt,omitempty"`
AccumulatedFees map[string]fixedpoint.Value `json:"accumulatedFees,omitempty"`
AccumulatedVolume fixedpoint.Value `json:"accumulatedVolume,omitempty"`
}
func (s *State) IsOver24Hours() bool {
return time.Since(s.AccumulatedFeeStartedAt) >= 24*time.Hour
}
func (s *State) Reset() {
t := time.Now()
dateTime := time.Date(t.Year(), t.Month(), t.Day(), 0, 0, 0, 0, t.Location())
log.Infof("resetting accumulated started time to: %s", dateTime)
s.AccumulatedFeeStartedAt = dateTime
s.AccumulatedFees = make(map[string]fixedpoint.Value)
s.AccumulatedVolume = fixedpoint.Zero
}
type Strategy struct {
*common.Strategy
*common.FeeBudget
Environment *bbgo.Environment
@ -70,18 +50,15 @@ type Strategy struct {
Quantity fixedpoint.Value `json:"quantity"`
DryRun bool `json:"dryRun"`
DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
DailyTargetVolume fixedpoint.Value `json:"dailyTargetVolume,omitempty"`
UpdateInterval types.Duration `json:"updateInterval"`
SimulateVolume bool `json:"simulateVolume"`
SimulatePrice bool `json:"simulatePrice"`
DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
DailyTargetVolume fixedpoint.Value `json:"dailyTargetVolume,omitempty"`
UpdateInterval types.Duration `json:"updateInterval"`
SimulateVolume bool `json:"simulateVolume"`
SimulatePrice bool `json:"simulatePrice"`
sourceSession, tradingSession *bbgo.ExchangeSession
sourceMarket, tradingMarket types.Market
State *State `persistence:"state"`
mu sync.Mutex
lastSourceKLine, lastTradingKLine types.KLine
sourceBook, tradingBook *types.StreamOrderBook
@ -93,6 +70,10 @@ func (s *Strategy) Initialize() error {
if s.Strategy == nil {
s.Strategy = &common.Strategy{}
}
if s.FeeBudget == nil {
s.FeeBudget = &common.FeeBudget{}
}
return nil
}
@ -107,48 +88,6 @@ func (s *Strategy) Defaults() error {
return nil
}
func (s *Strategy) isBudgetAllowed() bool {
if s.DailyFeeBudgets == nil {
return true
}
if s.State.AccumulatedFees == nil {
return true
}
for asset, budget := range s.DailyFeeBudgets {
if fee, ok := s.State.AccumulatedFees[asset]; ok {
if fee.Compare(budget) >= 0 {
log.Warnf("accumulative fee %s exceeded the fee budget %s, skipping...", fee.String(), budget.String())
return false
}
}
}
return true
}
func (s *Strategy) handleTradeUpdate(trade types.Trade) {
log.Infof("received trade %s", trade.String())
if trade.Symbol != s.Symbol {
return
}
if s.State.IsOver24Hours() {
s.State.Reset()
}
// safe check
if s.State.AccumulatedFees == nil {
s.State.AccumulatedFees = make(map[string]fixedpoint.Value)
}
s.State.AccumulatedFees[trade.FeeCurrency] = s.State.AccumulatedFees[trade.FeeCurrency].Add(trade.Fee)
s.State.AccumulatedVolume = s.State.AccumulatedVolume.Add(trade.Quantity)
log.Infof("accumulated fee: %s %s", s.State.AccumulatedFees[trade.FeeCurrency].String(), trade.FeeCurrency)
}
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
sourceSession, ok := sessions[s.SourceExchange]
if !ok {
@ -191,19 +130,10 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
}
s.Strategy.Initialize(ctx, s.Environment, tradingSession, s.tradingMarket, ID, s.InstanceID())
s.FeeBudget.Initialize()
s.stopC = make(chan struct{})
if s.State == nil {
s.State = &State{}
s.State.Reset()
}
if s.State.IsOver24Hours() {
log.Warn("state is over 24 hours, resetting to zero")
s.State.Reset()
}
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
close(s.stopC)
@ -230,7 +160,12 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
s.tradingBook = types.NewStreamBook(s.Symbol)
s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
s.tradingSession.UserDataStream.OnTradeUpdate(s.handleTradeUpdate)
s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
if trade.Symbol != s.Symbol {
return
}
s.FeeBudget.HandleTradeUpdate(trade)
})
go func() {
ticker := time.NewTicker(
@ -247,7 +182,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
return
case <-ticker.C:
if !s.isBudgetAllowed() {
if !s.IsBudgetAllowed() {
continue
}