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xfunding: fix position ready set call

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c9s 2023-03-26 16:24:33 +08:00
parent 6f961556d7
commit 1e7afbc0c8
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2 changed files with 41 additions and 38 deletions
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2
config/xfunding.yaml
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@ -54,7 +54,7 @@ crossExchangeStrategies:
## shortFundingRate is the funding rate range you want to create your position
shortFundingRate:
## when funding rate is higher than this high value, the strategy will start buying spot and opening a short position
high: 0.0005%
high: 0.0001%
## when funding rate is lower than this low value, the strategy will start closing futures position and sell the spot
low: -0.01%

77
pkg/strategy/xfunding/strategy.go
View File

@ -332,6 +332,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
return errors.New("reset and closeFuturesPosition can not be used together")
}
log.Infof("state: %+v", s.State)
log.Infof("loaded spot position: %s", s.SpotPosition.String())
log.Infof("loaded futures position: %s", s.FuturesPosition.String())
log.Infof("loaded neutral position: %s", s.NeutralPosition.String())
@ -672,40 +673,46 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
s.State.TotalBaseTransfer.Mul(s.Leverage))
// if - futures position < max futures position, increase it
if futuresBase.Neg().Compare(maxFuturesBasePosition) < 0 {
orderPrice := ticker.Sell
diffQuantity := maxFuturesBasePosition.Sub(futuresBase.Neg())
if futuresBase.Neg().Compare(maxFuturesBasePosition) >= 0 {
s.setPositionState(PositionReady)
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 = 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
}
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.futuresMarket,
})
if err != nil {
log.WithError(err).Errorf("can not submit order")
return
}
log.Infof("created orders: %+v", createdOrders)
// DEBUG CODE - triggering closing position automatically
// s.startClosingPosition()
return
}
orderPrice := ticker.Sell
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 = 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
}
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.futuresMarket,
})
if err != nil {
log.WithError(err).Errorf("can not submit order")
return
}
log.Infof("created orders: %+v", createdOrders)
}
func (s *Strategy) syncSpotPosition(ctx context.Context) {
@ -812,11 +819,7 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
s.mu.Unlock()
if usedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
// stop increase the position
s.setPositionState(PositionReady)
// DEBUG CODE - triggering closing position automatically
// s.startClosingPosition()
// stop increase the stop position
return
}