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xmaker: add enableDelayHedge option
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1210a79fc7
commit
334c868117
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@ -136,6 +136,8 @@ type Strategy struct {
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DepthQuantity fixedpoint.Value `json:"depthQuantity"`
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SourceDepthLevel types.Depth `json:"sourceDepthLevel"`
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// EnableDelayHedge enables the delay hedge feature
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EnableDelayHedge bool `json:"enableDelayHedge"`
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// MaxHedgeDelayDuration is the maximum delay duration to hedge the position
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MaxDelayHedgeDuration types.Duration `json:"maxHedgeDelayDuration"`
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DelayHedgeSignalThreshold float64 `json:"delayHedgeSignalThreshold"`
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@ -217,7 +219,7 @@ type Strategy struct {
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accountValueCalculator *bbgo.AccountValueCalculator
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lastPrice fixedpoint.Value
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lastPrice fixedpoint.MutexValue
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groupID uint32
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stopC chan struct{}
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@ -635,9 +637,9 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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}
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// use mid-price for the last price
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
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s.priceSolver.Update(s.Symbol, s.lastPrice)
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midPrice := bestBid.Price.Add(bestAsk.Price).Div(two)
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s.lastPrice.Set(midPrice)
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s.priceSolver.Update(s.Symbol, midPrice)
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bookLastUpdateTime := s.sourceBook.LastUpdateTime()
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@ -679,7 +681,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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makerQuota := &bbgo.QuotaTransaction{}
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if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
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if s.makerMarket.IsDustQuantity(b.Available, s.lastPrice) {
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if s.makerMarket.IsDustQuantity(b.Available, s.lastPrice.Get()) {
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disableMakerAsk = true
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s.logger.Infof("%s maker ask disabled: insufficient base balance %s", s.Symbol, b.String())
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} else {
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@ -1176,7 +1178,18 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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side = types.SideTypeSell
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}
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lastPrice := s.lastPrice
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signal := s.lastAggregatedSignal.Get()
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// if the signal is strong enough, we can delay the hedge and wait for the next tick
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if math.Abs(signal) > s.DelayHedgeSignalThreshold {
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if period, ok := s.getPositionHoldingPeriod(time.Now()); ok {
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if period < s.MaxDelayHedgeDuration.Duration() {
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return
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}
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}
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}
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lastPrice := s.lastPrice.Get()
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sourceBook := s.sourceBook.CopyDepth(1)
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switch side {
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@ -1302,6 +1315,14 @@ func (s *Strategy) Defaults() error {
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s.BollBandInterval = types.Interval1m
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}
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if s.MaxDelayHedgeDuration == 0 {
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s.MaxDelayHedgeDuration = types.Duration(10 * time.Second)
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}
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if s.DelayHedgeSignalThreshold == 0.0 {
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s.DelayHedgeSignalThreshold = 0.5
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}
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if s.SourceDepthLevel == "" {
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s.SourceDepthLevel = types.DepthLevelMedium
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}
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@ -1468,6 +1489,10 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
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uncoverPosition := position.Sub(coveredPosition)
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absPos := uncoverPosition.Abs()
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if s.sourceMarket.IsDustQuantity(absPos, s.lastPrice.Get()) {
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continue
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}
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if !s.DisableHedge {
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continue
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}
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