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xfunding: add mutex

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c9s 2023-03-23 17:36:30 +08:00
parent 02c28a07cc
commit 1b5126c9a1
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3 changed files with 48 additions and 14 deletions
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6
config/xfunding.yaml
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@ -9,6 +9,12 @@ notifications:
orderUpdate: true
submitOrder: true
persistence:
redis:
host: 127.0.0.1
port: 6379
db: 1
sessions:
binance:
exchange: binance

2
pkg/bbgo/order_processor.go
View File

@ -33,7 +33,7 @@ func AdjustQuantityByMinAmount(quantity, currentPrice, minAmount fixedpoint.Valu
amount := currentPrice.Mul(quantity)
if amount.Compare(minAmount) < 0 {
ratio := minAmount.Div(amount)
quantity = quantity.Mul(ratio)
return quantity.Mul(ratio)
}
return quantity

54
pkg/strategy/xfunding/strategy.go
View File

@ -94,7 +94,9 @@ type Strategy struct {
FuturesPosition *types.Position `persistence:"futures_position"`
State *State `persistence:"state"`
mu sync.Mutex
// mu is used for locking state
mu sync.Mutex
spotSession, futuresSession *bbgo.ExchangeSession
spotOrderExecutor, futuresOrderExecutor *bbgo.GeneralOrderExecutor
@ -246,6 +248,9 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
}
}
log.Infof("loaded spot position: %s", s.SpotPosition.String())
log.Infof("loaded futures position: %s", s.FuturesPosition.String())
binanceFutures := s.futuresSession.Exchange.(*binance.Exchange)
binanceSpot := s.spotSession.Exchange.(*binance.Exchange)
_ = binanceSpot
@ -428,7 +433,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
if spotBase.IsZero() {
if spotBase.IsZero() || spotBase.Sign() < 0 {
// skip when spot base is zero
return
}
@ -449,14 +454,25 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
}
log.Infof("calculated futures account quote value = %s", quoteValue.String())
if spotBase.Sign() > 0 && futuresBase.Neg().Compare(spotBase) < 0 {
// max futures base position (without negative sign)
maxFuturesBasePosition := fixedpoint.Min(
spotBase.Mul(s.Leverage),
s.State.TotalBaseTransfer.Mul(s.Leverage))
// if - futures position < max futures position, increase it
if futuresBase.Neg().Compare(maxFuturesBasePosition) < 0 {
orderPrice := ticker.Sell
diffQuantity := spotBase.Sub(futuresBase.Neg().Mul(s.Leverage))
diffQuantity := maxFuturesBasePosition.Sub(futuresBase.Neg())
if diffQuantity.Sign() < 0 {
log.Errorf("unexpected negative position diff: %s", diffQuantity.String())
return
}
log.Infof("position diff quantity: %s", diffQuantity.String())
orderQuantity := fixedpoint.Max(diffQuantity, s.futuresMarket.MinQuantity)
orderQuantity = bbgo.AdjustQuantityByMinAmount(orderQuantity, orderPrice, s.futuresMarket.MinNotional)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return
@ -486,12 +502,6 @@ func (s *Strategy) syncSpotPosition(ctx context.Context) {
}
func (s *Strategy) increaseSpotPosition(ctx context.Context) {
ticker, err := s.spotSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
if s.positionType != types.PositionShort {
log.Errorf("funding long position type is not supported")
return
@ -507,13 +517,27 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
return
}
_ = s.spotOrderExecutor.GracefulCancel(ctx)
ticker, err := s.spotSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
leftQuota := s.QuoteInvestment.Sub(s.State.UsedQuoteInvestment)
orderPrice := ticker.Buy
orderQuantity := fixedpoint.Min(s.IncrementalQuoteQuantity, leftQuota).Div(orderPrice)
orderQuantity = fixedpoint.Max(orderQuantity, s.spotMarket.MinQuantity)
_ = s.spotOrderExecutor.GracefulCancel(ctx)
log.Infof("initial spot order quantity %s", orderQuantity.String())
orderQuantity = fixedpoint.Max(orderQuantity, s.spotMarket.MinQuantity)
orderQuantity = s.spotMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.spotMarket.IsDustQuantity(orderQuantity, orderPrice) {
return
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
@ -542,6 +566,10 @@ func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed
if s.ShortFundingRate != nil {
if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
s.positionAction = PositionOpening
s.positionType = types.PositionShort
changed = true