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xmaker: add account updater and handle margin account to add more flexibility
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c9s
parent
108fb6138a
commit
1d6282a10b
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@ -129,6 +129,8 @@ type Strategy struct {
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askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
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accountValueCalculator *bbgo.AccountValueCalculator
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lastPrice fixedpoint.Value
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groupID uint32
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@ -193,7 +195,6 @@ func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Valu
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func (s *Strategy) Initialize() error {
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s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.logger = logrus.WithFields(logrus.Fields{
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"symbol": s.Symbol,
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"strategy": ID,
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@ -272,7 +273,7 @@ func (s *Strategy) applyBollingerMargin(
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
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s.logger.Infof("%s bollband uptrend adjusting bid margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
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s.logger.Infof("%s bollband uptrend adjusting ask margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
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s.Symbol,
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quote.AskMargin.Float64(),
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bollMargin.Float64(),
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@ -369,44 +370,90 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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}
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hedgeBalances := s.sourceSession.GetAccount().Balances()
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// if
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// 1) the source session is a margin session
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// 2) the min margin level is configured
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// 3) the hedge account's margin level is lower than the min margin level
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hedgeAccount := s.sourceSession.GetAccount()
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hedgeBalances := hedgeAccount.Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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// to make bid orders, we need enough base asset in the foreign exchange,
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// if the base asset balance is not enough for selling
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if s.StopHedgeBaseBalance.Sign() > 0 {
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minAvailable := s.StopHedgeBaseBalance.Add(s.sourceMarket.MinQuantity)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
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if s.sourceSession.Margin &&
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!s.MinMarginLevel.IsZero() &&
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!hedgeAccount.MarginLevel.IsZero() {
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if hedgeAccount.MarginLevel.Compare(s.MinMarginLevel) < 0 {
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if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
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quoteDebt := quote.Debt()
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if quoteDebt.Sign() > 0 {
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hedgeQuota.BaseAsset.Add(quoteDebt.Div(bestBid.Price))
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}
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}
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if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
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baseDebt := base.Debt()
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if baseDebt.Sign() > 0 {
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hedgeQuota.QuoteAsset.Add(baseDebt.Mul(bestAsk.Price))
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}
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}
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} else {
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// credit buffer
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creditBufferRatio := fixedpoint.NewFromFloat(1.2)
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if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
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netQuote := quote.Net()
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if netQuote.Sign() > 0 {
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hedgeQuota.BaseAsset.Add(netQuote.Mul(creditBufferRatio).Div(bestBid.Price))
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}
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}
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if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
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netBase := base.Net()
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if netBase.Sign() > 0 {
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hedgeQuota.QuoteAsset.Add(netBase.Mul(creditBufferRatio).Mul(bestAsk.Price))
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}
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}
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// netValueInUsd, err := s.accountValueCalculator.NetValue(ctx)
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}
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} else {
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if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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// to make bid orders, we need enough base asset in the foreign exchange,
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// if the base asset balance is not enough for selling
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if s.StopHedgeBaseBalance.Sign() > 0 {
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minAvailable := s.StopHedgeBaseBalance.Add(s.sourceMarket.MinQuantity)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
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} else {
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s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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}
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if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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// to make ask orders, we need enough quote asset in the foreign exchange,
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// if the quote asset balance is not enough for buying
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if s.StopHedgeQuoteBalance.Sign() > 0 {
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minAvailable := s.StopHedgeQuoteBalance.Add(s.sourceMarket.MinNotional)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
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if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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// to make ask orders, we need enough quote asset in the foreign exchange,
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// if the quote asset balance is not enough for buying
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if s.StopHedgeQuoteBalance.Sign() > 0 {
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minAvailable := s.StopHedgeQuoteBalance.Add(s.sourceMarket.MinNotional)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
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} else {
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s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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}
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// if max exposure position is configured, we should not:
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@ -653,10 +700,9 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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_ = createdOrders
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}
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func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(side types.SideType, quantity, lastPrice fixedpoint.Value) fixedpoint.Value {
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// adjust quantity according to the balances
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account := s.sourceSession.GetAccount()
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func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
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account *types.Account, side types.SideType, quantity, lastPrice fixedpoint.Value,
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) fixedpoint.Value {
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switch side {
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case types.SideTypeBuy:
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@ -710,20 +756,15 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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}
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}
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account := s.sourceSession.GetAccount()
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if s.sourceSession.Margin {
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// check the margin level
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account, err := s.sourceSession.UpdateAccount(ctx)
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if err != nil {
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log.WithError(err).Errorf("unable to update account")
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return
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}
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if !s.MinMarginLevel.IsZero() && !account.MarginLevel.IsZero() && account.MarginLevel.Compare(s.MinMarginLevel) < 0 {
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log.Errorf("margin level %f is too low (< %f), skip hedge", account.MarginLevel.Float64(), s.MinMarginLevel.Float64())
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return
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}
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} else {
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quantity = s.adjustHedgeQuantityWithAvailableBalance(side, quantity, lastPrice)
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quantity = s.adjustHedgeQuantityWithAvailableBalance(account, side, quantity, lastPrice)
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}
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// truncate quantity for the supported precision
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@ -920,6 +961,35 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
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}
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}
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func (s *Strategy) accountUpdater(ctx context.Context) {
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ticker := time.NewTicker(1 * time.Minute)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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if _, err := s.sourceSession.UpdateAccount(ctx); err != nil {
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log.WithError(err).Errorf("unable to update account")
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}
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if err := s.accountValueCalculator.UpdatePrices(ctx); err != nil {
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log.WithError(err).Errorf("unable to update account value with prices")
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return
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}
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netValue, err := s.accountValueCalculator.NetValue(ctx)
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if err != nil {
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log.WithError(err).Errorf("unable to update account")
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return
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}
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s.logger.Infof("hedge session net value ~= %f USD", netValue.Float64())
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}
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}
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}
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func (s *Strategy) hedgeWorker(ctx context.Context) {
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ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
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defer ticker.Stop()
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@ -1008,6 +1078,8 @@ func (s *Strategy) CrossRun(
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return fmt.Errorf("maker session market %s is not defined", s.Symbol)
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}
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s.accountValueCalculator = bbgo.NewAccountValueCalculator(s.sourceSession, s.sourceMarket.QuoteCurrency)
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indicators := s.sourceSession.Indicators(s.Symbol)
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s.boll = indicators.BOLL(types.IntervalWindow{
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@ -1164,6 +1236,7 @@ func (s *Strategy) CrossRun(
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go s.tradeRecover(ctx)
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}
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go s.accountUpdater(ctx)
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go s.hedgeWorker(ctx)
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go s.quoteWorker(ctx)
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