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xfunding: initialize NeutralPosition

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c9s 2023-03-26 01:07:50 +08:00
parent 5c21445b15
commit 23746678b4
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1 changed files with 21 additions and 5 deletions
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20
pkg/strategy/xfunding/strategy.go
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@ -110,9 +110,21 @@ type Strategy struct {
Reset bool `json:"reset"` Reset bool `json:"reset"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"` ProfitStats *types.ProfitStats `persistence:"profit_stats"`
// SpotPosition is used for the spot position (usually long position)
// so that we know how much spot we have bought and the average cost of the spot.
SpotPosition *types.Position `persistence:"spot_position"` SpotPosition *types.Position `persistence:"spot_position"`
// FuturesPosition is used for the futures position
// this position is the reverse side of the spot position, when spot position is long, then the futures position will be short.
// but the base quantity should be the same as the spot position
FuturesPosition *types.Position `persistence:"futures_position"` FuturesPosition *types.Position `persistence:"futures_position"`
// NeutralPosition is used for sharing spot/futures position
// when creating the spot position and futures position, there will be a spread between the spot position and the futures position.
// this neutral position can calculate the spread cost between these two positions
NeutralPosition *types.Position `persistence:"neutral_position"`
State *State `persistence:"state"` State *State `persistence:"state"`
// mu is used for locking state // mu is used for locking state
@ -241,12 +253,16 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.ProfitStats = types.NewProfitStats(s.Market) s.ProfitStats = types.NewProfitStats(s.Market)
} }
if s.SpotPosition == nil || s.Reset {
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
}
if s.FuturesPosition == nil || s.Reset { if s.FuturesPosition == nil || s.Reset {
s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket) s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
} }
if s.SpotPosition == nil || s.Reset { if s.NeutralPosition == nil || s.Reset {
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket) s.NeutralPosition = types.NewPositionFromMarket(s.futuresMarket)
} }
if s.State == nil || s.Reset { if s.State == nil || s.Reset {