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xdepthmaker: remove disable hedge option

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c9s 2023-11-28 16:58:54 +08:00
parent 10a71d83f1
commit 18968c67a1
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 10 additions and 20 deletions
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30
pkg/strategy/xdepthmaker/strategy.go
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@ -134,8 +134,8 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
s.orderStore = core.NewOrderStore(s.Position.Symbol) s.orderStore = core.NewOrderStore(s.Position.Symbol)
s.orderStore.BindStream(hedgeSession.UserDataStream) s.orderStore.BindStream(hedgeSession.UserDataStream)
s.orderStore.BindStream(makerSession.UserDataStream) s.orderStore.BindStream(makerSession.UserDataStream)
s.tradeCollector = core.NewTradeCollector(symbol, s.Position, s.orderStore)
s.tradeCollector = core.NewTradeCollector(symbol, s.Position, s.orderStore)
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) { s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange() c := trade.PositionChange()
if trade.Exchange == s.hedgeSession.ExchangeName { if trade.Exchange == s.hedgeSession.ExchangeName {
@ -156,6 +156,8 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
s.Environ.RecordPosition(s.Position, trade, &p) s.Environ.RecordPosition(s.Position, trade, &p)
} }
}) })
s.tradeCollector.BindStream(s.hedgeSession.UserDataStream)
s.tradeCollector.BindStream(s.makerSession.UserDataStream)
return nil return nil
} }
@ -195,8 +197,6 @@ type Strategy struct {
// MaxExposurePosition defines the unhedged quantity of stop // MaxExposurePosition defines the unhedged quantity of stop
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"` MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
DisableHedge bool `json:"disableHedge"`
NotifyTrade bool `json:"notifyTrade"` NotifyTrade bool `json:"notifyTrade"`
// RecoverTrade tries to find the missing trades via the REStful API // RecoverTrade tries to find the missing trades via the REStful API
@ -240,7 +240,11 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
panic(err) panic(err)
} }
hedgeSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{}) hedgeSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
Depth: types.DepthLevelMedium,
Speed: types.SpeedHigh,
})
hedgeSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) hedgeSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
} }
@ -324,8 +328,6 @@ func (s *Strategy) CrossRun(
s.tradeCollector.OnRecover(func(trade types.Trade) { s.tradeCollector.OnRecover(func(trade types.Trade) {
bbgo.Notify("Recovered trade", trade) bbgo.Notify("Recovered trade", trade)
}) })
s.tradeCollector.BindStream(s.hedgeSession.UserDataStream)
s.tradeCollector.BindStream(s.makerSession.UserDataStream)
s.stopC = make(chan struct{}) s.stopC = make(chan struct{})
@ -337,12 +339,6 @@ func (s *Strategy) CrossRun(
posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200)) posTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
defer posTicker.Stop() defer posTicker.Stop()
quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
defer quoteTicker.Stop()
reportTicker := time.NewTicker(time.Hour)
defer reportTicker.Stop()
for { for {
select { select {
@ -354,12 +350,6 @@ func (s *Strategy) CrossRun(
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol) log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
return return
case <-quoteTicker.C:
s.updateQuote(ctx, orderExecutionRouter)
case <-reportTicker.C:
bbgo.Notify(s.ProfitStats)
case <-posTicker.C: case <-posTicker.C:
// For positive position and positive covered position: // For positive position and positive covered position:
// uncover position = +5 - +3 (covered position) = 2 // uncover position = +5 - +3 (covered position) = 2
@ -377,7 +367,7 @@ func (s *Strategy) CrossRun(
uncoverPosition := position.Sub(s.CoveredPosition) uncoverPosition := position.Sub(s.CoveredPosition)
absPos := uncoverPosition.Abs() absPos := uncoverPosition.Abs()
if !s.DisableHedge && absPos.Compare(s.hedgeMarket.MinQuantity) > 0 { if absPos.Compare(s.hedgeMarket.MinQuantity) > 0 {
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v", log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
s.Symbol, s.Symbol,
position, position,
@ -795,7 +785,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
} }
if len(submitOrders) == 0 { if len(submitOrders) == 0 {
log.Warnf("no orders generated") log.Warnf("no orders are generated")
return return
} }