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xmaker: add option for separate stream

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c9s 2024-11-14 21:13:23 +08:00
parent 2af2b4e7ad
commit 190f5bbfda
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1 changed files with 32 additions and 2 deletions
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34
pkg/strategy/xmaker/strategy.go
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@ -148,6 +148,8 @@ type Strategy struct {
BollBandMargin fixedpoint.Value `json:"bollBandMargin"`
BollBandMarginFactor fixedpoint.Value `json:"bollBandMarginFactor"`
SeparateMarketDataStream bool `json:"separateMarketDataStream"`
// MinMarginLevel is the minimum margin level to trigger the hedge
MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`
@ -233,6 +235,8 @@ type Strategy struct {
metricsLabels prometheus.Labels
sourceMarketDataStream, makerMarketDataStream types.Stream
sourceMarketDataConnectivity, sourceUserDataConnectivity *types.Connectivity
connectivityGroup *types.ConnectivityGroup
@ -1726,11 +1730,37 @@ func (s *Strategy) CrossRun(
s.ProfitStats.ProfitStats = profitStats
}
s.makerMarketDataStream = s.makerSession.MarketDataStream
s.sourceMarketDataStream = s.sourceSession.MarketDataStream
// separate market data stream
if s.SeparateMarketDataStream {
s.makerMarketDataStream = s.makerSession.Exchange.NewStream()
s.makerMarketDataStream.SetPublicOnly()
for _, sub := range s.makerSession.MarketDataStream.GetSubscriptions() {
s.makerMarketDataStream.Subscribe(sub.Channel, sub.Symbol, sub.Options)
}
if err := s.makerMarketDataStream.Connect(ctx); err != nil {
return err
}
s.sourceMarketDataStream = s.sourceSession.Exchange.NewStream()
s.sourceMarketDataStream.SetPublicOnly()
for _, sub := range s.sourceSession.MarketDataStream.GetSubscriptions() {
s.sourceMarketDataStream.Subscribe(sub.Channel, sub.Symbol, sub.Options)
}
if err := s.sourceMarketDataStream.Connect(ctx); err != nil {
return err
}
}
s.makerBook = types.NewStreamBook(s.Symbol, s.makerSession.ExchangeName)
s.makerBook.BindStream(s.makerSession.MarketDataStream)
s.makerBook.BindStream(s.makerMarketDataStream)
s.sourceBook = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
s.sourceBook.BindStream(s.sourceMarketDataStream)
if s.EnableSignalMargin {
s.logger.Infof("signal margin is enabled")