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add MaxExposurePosition settings

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This commit is contained in:
c9s 2021-04-04 11:14:09 +08:00
parent 4ed95e6070
commit 13a8597d59
1 changed files with 19 additions and 7 deletions
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26
pkg/strategy/xmaker/strategy.go
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@ -50,12 +50,13 @@ type Strategy struct {
UpdateInterval types.Duration `json:"updateInterval"` UpdateInterval types.Duration `json:"updateInterval"`
HedgeInterval types.Duration `json:"hedgeInterval"` HedgeInterval types.Duration `json:"hedgeInterval"`
Margin fixedpoint.Value `json:"margin"` Margin fixedpoint.Value `json:"margin"`
BidMargin fixedpoint.Value `json:"bidMargin"` BidMargin fixedpoint.Value `json:"bidMargin"`
AskMargin fixedpoint.Value `json:"askMargin"` AskMargin fixedpoint.Value `json:"askMargin"`
Quantity fixedpoint.Value `json:"quantity"` Quantity fixedpoint.Value `json:"quantity"`
QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"` QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`
DisableHedge bool `json:"disableHedge"` MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
DisableHedge bool `json:"disableHedge"`
NumLayers int `json:"numLayers"` NumLayers int `json:"numLayers"`
Pips int `json:"pips"` Pips int `json:"pips"`
@ -150,6 +151,18 @@ func (s *Strategy) updateQuote(ctx context.Context) {
} }
} }
// if max exposure position is configured, we should not:
// 1. place bid orders when we already bought too much
// 2. place ask orders when we already sold too much
if s.MaxExposurePosition > 0 {
pos := s.state.HedgePosition.AtomicLoad()
if pos < -s.MaxExposurePosition {
disableMakerAsk = true
} else if pos > s.MaxExposurePosition {
disableMakerBid = true
}
}
hedgeBalances := s.sourceSession.Account.Balances() hedgeBalances := s.sourceSession.Account.Balances()
hedgeQuota := &bbgo.QuotaTransaction{} hedgeQuota := &bbgo.QuotaTransaction{}
if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok { if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
@ -481,4 +494,3 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
return nil return nil
} }