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Merge pull request #1725 from c9s/c9s/xmaker/stb-improvements

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IMPROVE: [xmaker] improve hedge margin account leverage calculation
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c9s 2024-09-02 15:29:53 +08:00 committed by GitHub
commit 2bf1072977
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1 changed files with 55 additions and 23 deletions
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78
pkg/strategy/xmaker/strategy.go
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@ -119,6 +119,8 @@ type Strategy struct {
// MaxExposurePosition defines the unhedged quantity of stop
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
MaxHedgeAccountLeverage fixedpoint.Value `json:"maxHedgeAccountLeverage"`
DisableHedge bool `json:"disableHedge"`
NotifyTrade bool `json:"notifyTrade"`
@ -479,6 +481,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
makerQuota.BaseAsset.Add(b.Available)
} else {
disableMakerAsk = true
s.logger.Infof("%s maker ask disabled: insufficient base balance %s", s.Symbol, b.String())
}
}
@ -487,6 +490,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
makerQuota.QuoteAsset.Add(b.Available)
} else {
disableMakerBid = true
s.logger.Infof("%s maker bid disabled: insufficient quote balance %s", s.Symbol, b.String())
}
}
@ -503,6 +507,10 @@ func (s *Strategy) updateQuote(ctx context.Context) {
!hedgeAccount.MarginLevel.IsZero() {
if hedgeAccount.MarginLevel.Compare(s.MinMarginLevel) < 0 {
s.logger.Infof("hedge account margin level %s is less then the min margin level %s, calculating the borrowed positions",
hedgeAccount.MarginLevel.String(),
s.MinMarginLevel.String())
if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
quoteDebt := quote.Debt()
if quoteDebt.Sign() > 0 {
@ -517,24 +525,46 @@ func (s *Strategy) updateQuote(ctx context.Context) {
}
}
} else {
// credit buffer
creditBufferRatio := fixedpoint.NewFromFloat(1.2)
if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
netQuote := quote.Net()
if netQuote.Sign() > 0 {
hedgeQuota.QuoteAsset.Add(netQuote.Mul(creditBufferRatio))
}
}
s.logger.Infof("hedge account margin level %s is greater than the min margin level %s, calculating the net value",
hedgeAccount.MarginLevel.String(),
s.MinMarginLevel.String())
if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
netBase := base.Net()
if netBase.Sign() > 0 {
hedgeQuota.BaseAsset.Add(netBase.Mul(creditBufferRatio))
netValueInUsd, calcErr := s.accountValueCalculator.NetValue(ctx)
if calcErr != nil {
s.logger.WithError(calcErr).Errorf("unable to calculate the net value")
} else {
// calculate credit buffer
s.logger.Infof("hedge account net value in usd: %f", netValueInUsd.Float64())
maximumValueInUsd := netValueInUsd.Mul(s.MaxHedgeAccountLeverage)
s.logger.Infof("hedge account maximum leveraged value in usd: %f (%f x)", maximumValueInUsd.Float64(), s.MaxHedgeAccountLeverage.Float64())
if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
debt := quote.Debt()
quota := maximumValueInUsd.Sub(debt)
s.logger.Infof("hedge account quote balance: %s, debt: %s, quota: %s",
quote.String(),
debt.String(),
quota.String())
hedgeQuota.QuoteAsset.Add(quota)
}
if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
debt := base.Debt()
quota := maximumValueInUsd.Div(bestAsk.Price).Sub(debt)
s.logger.Infof("hedge account base balance: %s, debt: %s, quota: %s",
base.String(),
debt.String(),
quota.String())
hedgeQuota.BaseAsset.Add(quota)
}
}
// netValueInUsd, err := s.accountValueCalculator.NetValue(ctx)
}
} else {
if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
// to make bid orders, we need enough base asset in the foreign exchange,
@ -544,13 +574,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if b.Available.Compare(minAvailable) > 0 {
hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
} else {
s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker bid disabled: insufficient hedge base balance %s", s.Symbol, b.String())
disableMakerBid = true
}
} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
hedgeQuota.BaseAsset.Add(b.Available)
} else {
s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker bid disabled: insufficient hedge base balance %s", s.Symbol, b.String())
disableMakerBid = true
}
}
@ -563,17 +593,16 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if b.Available.Compare(minAvailable) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
} else {
s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker ask disabled: insufficient hedge quote balance %s", s.Symbol, b.String())
disableMakerAsk = true
}
} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available)
} else {
s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker ask disabled: insufficient hedge quote balance %s", s.Symbol, b.String())
disableMakerAsk = true
}
}
}
// if max exposure position is configured, we should not:
@ -1009,6 +1038,10 @@ func (s *Strategy) Defaults() error {
s.MinMarginLevel = fixedpoint.NewFromFloat(3.0)
}
if s.MaxHedgeAccountLeverage.IsZero() {
s.MaxHedgeAccountLeverage = fixedpoint.NewFromFloat(1.2)
}
if s.BidMargin.IsZero() {
if !s.Margin.IsZero() {
s.BidMargin = s.Margin
@ -1267,9 +1300,8 @@ func (s *Strategy) CrossRun(
return errors.New("tradesSince time can not be zero")
}
makerMarket, _ := makerSession.Market(s.Symbol)
position := types.NewPositionFromMarket(makerMarket)
profitStats := types.NewProfitStats(makerMarket)
position := types.NewPositionFromMarket(s.makerMarket)
profitStats := types.NewProfitStats(s.makerMarket)
fixer := common.NewProfitFixer()
// fixer.ConverterManager = s.ConverterManager
@ -1284,7 +1316,7 @@ func (s *Strategy) CrossRun(
fixer.AddExchange(sourceSession.Name, ss)
}
if err2 := fixer.Fix(ctx, makerMarket.Symbol,
if err2 := fixer.Fix(ctx, s.makerMarket.Symbol,
s.ProfitFixerConfig.TradesSince.Time(),
time.Now(),
profitStats,