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xfunding: add stringer support on PremiumIndex

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c9s 2023-03-24 01:57:43 +08:00
parent 62e6b232ed
commit 209fb102fa
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3 changed files with 34 additions and 21 deletions
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1
config/xfunding.yaml
View File

@ -37,3 +37,4 @@ crossExchangeStrategies:
shortFundingRate: shortFundingRate:
high: 0.000% high: 0.000%
low: -0.01% low: -0.01%
reset: true

49
pkg/strategy/xfunding/strategy.go
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@ -43,6 +43,24 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{}) bbgo.RegisterStrategy(ID, &Strategy{})
} }
type State struct {
PositionStartTime time.Time `json:"positionStartTime"`
// PositionState is default to NoOp
PositionState PositionState
PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
}
func (s *State) Reset() {
s.PositionState = PositionClosed
s.PendingBaseTransfer = fixedpoint.Zero
s.TotalBaseTransfer = fixedpoint.Zero
s.UsedQuoteInvestment = fixedpoint.Zero
}
// Strategy is the xfunding fee strategy // Strategy is the xfunding fee strategy
// Right now it only supports short position in the USDT futures account. // Right now it only supports short position in the USDT futures account.
// When opening the short position, it uses spot account to buy inventory, then transfer the inventory to the futures account as collateral assets. // When opening the short position, it uses spot account to buy inventory, then transfer the inventory to the futures account as collateral assets.
@ -95,6 +113,7 @@ type Strategy struct {
SpotSession string `json:"spotSession"` SpotSession string `json:"spotSession"`
FuturesSession string `json:"futuresSession"` FuturesSession string `json:"futuresSession"`
Reset bool `json:"reset"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"` ProfitStats *types.ProfitStats `persistence:"profit_stats"`
SpotPosition *types.Position `persistence:"spot_position"` SpotPosition *types.Position `persistence:"spot_position"`
@ -114,17 +133,6 @@ type Strategy struct {
positionType types.PositionType positionType types.PositionType
} }
type State struct {
PositionStartTime time.Time `json:"positionStartTime"`
// PositionState is default to NoOp
PositionState PositionState
PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
}
func (s *Strategy) ID() string { func (s *Strategy) ID() string {
return ID return ID
} }
@ -235,19 +243,19 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
} }
} }
if s.ProfitStats == nil { if s.ProfitStats == nil || s.Reset {
s.ProfitStats = types.NewProfitStats(s.Market) s.ProfitStats = types.NewProfitStats(s.Market)
} }
if s.FuturesPosition == nil { if s.FuturesPosition == nil || s.Reset {
s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket) s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
} }
if s.SpotPosition == nil { if s.SpotPosition == nil || s.Reset {
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket) s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
} }
if s.State == nil { if s.State == nil || s.Reset {
s.State = &State{ s.State = &State{
PositionState: PositionClosed, PositionState: PositionClosed,
PendingBaseTransfer: fixedpoint.Zero, PendingBaseTransfer: fixedpoint.Zero,
@ -365,12 +373,13 @@ func (s *Strategy) queryAndDetectPremiumIndex(ctx context.Context, binanceFuture
log.Infof("premiumIndex: %+v", premiumIndex) log.Infof("premiumIndex: %+v", premiumIndex)
if changed := s.detectPremiumIndex(premiumIndex); changed { if changed := s.detectPremiumIndex(premiumIndex); changed {
log.Infof("position action: %s %s", s.positionType, s.State.PositionState.String()) log.Infof("position state changed: %s %s", s.positionType, s.State.PositionState.String())
s.triggerPositionAction(ctx)
} }
s.sync(ctx)
} }
func (s *Strategy) triggerPositionAction(ctx context.Context) { func (s *Strategy) sync(ctx context.Context) {
switch s.State.PositionState { switch s.State.PositionState {
case PositionOpening: case PositionOpening:
s.increaseSpotPosition(ctx) s.increaseSpotPosition(ctx)
@ -441,10 +450,8 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
return return
} }
switch s.State.PositionState { if s.State.PositionState != PositionOpening {
case PositionClosing:
return return
case PositionOpening, PositionClosed:
} }
spotBase := s.SpotPosition.GetBase() // should be positive base quantity here spotBase := s.SpotPosition.GetBase() // should be positive base quantity here

5
pkg/types/premiumindex.go
View File

@ -1,6 +1,7 @@
package types package types
import ( import (
"fmt"
"time" "time"
"github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/fixedpoint"
@ -13,3 +14,7 @@ type PremiumIndex struct {
NextFundingTime time.Time `json:"nextFundingTime"` NextFundingTime time.Time `json:"nextFundingTime"`
Time time.Time `json:"time"` Time time.Time `json:"time"`
} }
func (i *PremiumIndex) String() string {
return fmt.Sprintf("%s %s %s %s NEXT: %s", i.Symbol, i.MarkPrice.String(), i.LastFundingRate.Percentage(), i.Time, i.NextFundingTime)
}