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Merge pull request #935 from c9s/fix/open-position
bbgo: add price check and add max leverage for cross margin
This commit is contained in:
Yo-An Lin
GitHub
commit
2214920b37
126
pkg/bbgo/risk.go
126
pkg/bbgo/risk.go
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@ -14,7 +14,9 @@ import (
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var defaultLeverage = fixedpoint.NewFromInt(3)
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var maxLeverage = fixedpoint.NewFromInt(10)
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var maxIsolatedMarginLeverage = fixedpoint.NewFromInt(10)
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var maxCrossMarginLeverage = fixedpoint.NewFromInt(3)
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type AccountValueCalculator struct {
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session *ExchangeSession
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@ -128,13 +130,14 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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symbol := b.Currency + c.quoteCurrency // for BTC/USDT, ETH/USDT pairs
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symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
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if price, ok := c.prices[symbol]; ok {
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accountValue = accountValue.Add(b.Net().Mul(price))
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} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
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price2 := one.Div(priceReverse)
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accountValue = accountValue.Add(b.Net().Mul(price2))
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}
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accountValue = accountValue.Add(b.Net().Mul(price))
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}
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return accountValue, nil
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@ -186,60 +189,116 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
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return marginLevel, nil
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}
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func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
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totalUsdValue := fixedpoint.Zero
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// get all usd value if any
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for currency, balance := range balances {
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if types.IsUSDFiatCurrency(currency) {
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totalUsdValue = totalUsdValue.Add(balance.Net())
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}
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}
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return totalUsdValue
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}
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func usdFiatBalances(balances types.BalanceMap) (fiats types.BalanceMap, rest types.BalanceMap) {
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rest = make(types.BalanceMap)
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fiats = make(types.BalanceMap)
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for currency, balance := range balances {
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if types.IsUSDFiatCurrency(currency) {
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fiats[currency] = balance
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} else {
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rest[currency] = balance
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}
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}
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return fiats, rest
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}
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func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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}
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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baseBalance, hasBaseBalance := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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balances := session.Account.Balances()
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if !usingLeverage {
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// For spot, we simply sell the base quoteCurrency
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if hasBaseBalance {
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if quantity.IsZero() {
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log.Warnf("sell quantity is not set, using all available base balance: %v", balance)
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if !balance.Available.IsZero() {
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return balance.Available, nil
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log.Warnf("sell quantity is not set, using all available base balance: %v", baseBalance)
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if !baseBalance.Available.IsZero() {
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return baseBalance.Available, nil
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}
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} else {
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return fixedpoint.Min(quantity, balance.Available), nil
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return fixedpoint.Min(quantity, baseBalance.Available), nil
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}
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}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings")
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings, your account balances: %+v", balances)
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}
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usdBalances, restBalances := usdFiatBalances(balances)
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// for isolated margin we can calculate from these two pair
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totalUsdValue := fixedpoint.Zero
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if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
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totalUsdValue = aggregateUsdValue(balances)
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} else if len(restBalances) > 1 {
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accountValue := NewAccountValueCalculator(session, "USDT")
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netValue, err := accountValue.NetValue(context.Background())
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if err != nil {
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return quantity, err
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}
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totalUsdValue = netValue
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} else {
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// TODO: translate quote currency like BTC of ETH/BTC to usd value
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totalUsdValue = aggregateUsdValue(usdBalances)
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}
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if !quantity.IsZero() {
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return quantity, nil
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}
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if price.IsZero() {
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return quantity, fmt.Errorf("%s price can not be zero", market.Symbol)
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}
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// using leverage -- starts from here
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log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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baseBalanceValue := baseBalance.Net().Mul(price)
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accountValue := baseBalanceValue.Add(quoteBalance.Net())
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accountUsdValue := baseBalanceValue.Add(totalUsdValue)
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// avoid using all account value since there will be some trade loss for interests and the fee
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accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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accountUsdValue = accountUsdValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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log.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
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log.Infof("calculated account usd value %f %s", accountUsdValue.Float64(), market.QuoteCurrency)
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originLeverage := leverage
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if session.IsolatedMargin {
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originLeverage := leverage
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leverage = fixedpoint.Min(leverage, maxLeverage)
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log.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
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log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxIsolatedMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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} else {
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leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
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log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxCrossMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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}
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// spot margin use the equity value, so we use the total quote balance here
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maxPosition := risk.CalculateMaxPosition(price, accountValue, leverage)
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maxPosition := risk.CalculateMaxPosition(price, accountUsdValue, leverage)
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debt := baseBalance.Debt()
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maxQuantity := maxPosition.Sub(debt)
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@ -248,7 +307,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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maxPosition.Float64(),
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debt.Float64(),
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price.Float64(),
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accountValue.Float64(),
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accountUsdValue.Float64(),
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market.QuoteCurrency,
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leverage.Float64())
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@ -257,10 +316,10 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage)
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maxPositionQuantity := risk.CalculateMaxPosition(price, totalUsdValue, leverage)
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requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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return maxPositionQuantity, fmt.Errorf("margin total usd value %f is not enough, can not submit order", totalUsdValue.Float64())
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}
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return maxPositionQuantity, nil
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@ -276,7 +335,6 @@ func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quote
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}
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quoteBalance, _ := session.Account.Balance(quoteCurrency)
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accountValue := NewAccountValueCalculator(session, quoteCurrency)
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if !usingLeverage {
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@ -284,7 +342,23 @@ func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quote
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return quoteBalance.Available.Mul(fixedpoint.Min(leverage, fixedpoint.One)), nil
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}
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originLeverage := leverage
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if session.IsolatedMargin {
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leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
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log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxIsolatedMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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} else {
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leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
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log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxCrossMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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}
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// using leverage -- starts from here
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accountValue := NewAccountValueCalculator(session, quoteCurrency)
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availableQuote, err := accountValue.AvailableQuote(ctx)
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if err != nil {
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log.WithError(err).Errorf("can not update available quote")
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@ -155,3 +155,74 @@ func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
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fixedpoint.NewFromFloat(21000.0).Div(fixedpoint.NewFromFloat(19000.0).Mul(fixedpoint.NewFromFloat(1.003))).FormatString(6),
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marginLevel.FormatString(6))
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}
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func number(n float64) fixedpoint.Value {
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return fixedpoint.NewFromFloat(n)
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}
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func Test_aggregateUsdValue(t *testing.T) {
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type args struct {
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balances types.BalanceMap
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "mixed",
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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},
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},
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want: number(250.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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assert.Equalf(t, tt.want, aggregateUsdValue(tt.args.balances), "aggregateUsdValue(%v)", tt.args.balances)
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})
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}
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}
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func Test_usdFiatBalances(t *testing.T) {
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type args struct {
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balances types.BalanceMap
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}
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tests := []struct {
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name string
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args args
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wantFiats types.BalanceMap
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wantRest types.BalanceMap
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}{
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{
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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},
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},
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wantFiats: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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},
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wantRest: types.BalanceMap{
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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},
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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gotFiats, gotRest := usdFiatBalances(tt.args.balances)
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assert.Equalf(t, tt.wantFiats, gotFiats, "usdFiatBalances(%v)", tt.args.balances)
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assert.Equalf(t, tt.wantRest, gotRest, "usdFiatBalances(%v)", tt.args.balances)
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})
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}
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}
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@ -158,34 +158,3 @@ func (n *Notifier) SendPhoto(buffer *bytes.Buffer) {
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func (n *Notifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {
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// TODO
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}
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/*
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func (n *Notifier) NotifyTrade(trade *types.Trade) {
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_, _, err := n.client.PostMessageContext(context.Background(), n.TradeChannel,
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slack.MsgOptionText(util.Render(`:handshake: {{ .Symbol }} {{ .Side }} Trade Execution @ {{ .Price }}`, trade), true),
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slack.MsgOptionAttachments(trade.SlackAttachment()))
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if err != nil {
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logrus.WithError(err).Error("slack send error")
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}
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}
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*/
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/*
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func (n *Notifier) NotifyPnL(report *pnl.AverageCostPnlReport) {
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attachment := report.SlackAttachment()
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_, _, err := n.client.PostMessageContext(context.Background(), n.PnlChannel,
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slack.MsgOptionText(util.Render(
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`:heavy_dollar_sign: Here is your *{{ .symbol }}* PnL report collected since *{{ .startTime }}*`,
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map[string]interface{}{
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"symbol": report.Symbol,
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"startTime": report.StartTime.Format(time.RFC822),
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}), true),
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slack.MsgOptionAttachments(attachment))
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if err != nil {
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logrus.WithError(err).Errorf("slack send error")
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}
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}
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*/
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