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xmaker: add enableDelayHedge option

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c9s 2024-10-15 18:51:37 +08:00
parent 1210a79fc7
commit 334c868117
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1 changed files with 31 additions and 6 deletions
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37
pkg/strategy/xmaker/strategy.go
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@ -136,6 +136,8 @@ type Strategy struct {
DepthQuantity fixedpoint.Value `json:"depthQuantity"` DepthQuantity fixedpoint.Value `json:"depthQuantity"`
SourceDepthLevel types.Depth `json:"sourceDepthLevel"` SourceDepthLevel types.Depth `json:"sourceDepthLevel"`
// EnableDelayHedge enables the delay hedge feature
EnableDelayHedge bool `json:"enableDelayHedge"`
// MaxHedgeDelayDuration is the maximum delay duration to hedge the position // MaxHedgeDelayDuration is the maximum delay duration to hedge the position
MaxDelayHedgeDuration types.Duration `json:"maxHedgeDelayDuration"` MaxDelayHedgeDuration types.Duration `json:"maxHedgeDelayDuration"`
DelayHedgeSignalThreshold float64 `json:"delayHedgeSignalThreshold"` DelayHedgeSignalThreshold float64 `json:"delayHedgeSignalThreshold"`
@ -217,7 +219,7 @@ type Strategy struct {
accountValueCalculator *bbgo.AccountValueCalculator accountValueCalculator *bbgo.AccountValueCalculator
lastPrice fixedpoint.Value lastPrice fixedpoint.MutexValue
groupID uint32 groupID uint32
stopC chan struct{} stopC chan struct{}
@ -635,9 +637,9 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
} }
// use mid-price for the last price // use mid-price for the last price
s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two) midPrice := bestBid.Price.Add(bestAsk.Price).Div(two)
s.lastPrice.Set(midPrice)
s.priceSolver.Update(s.Symbol, s.lastPrice) s.priceSolver.Update(s.Symbol, midPrice)
bookLastUpdateTime := s.sourceBook.LastUpdateTime() bookLastUpdateTime := s.sourceBook.LastUpdateTime()
@ -679,7 +681,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
makerQuota := &bbgo.QuotaTransaction{} makerQuota := &bbgo.QuotaTransaction{}
if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok { if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
if s.makerMarket.IsDustQuantity(b.Available, s.lastPrice) { if s.makerMarket.IsDustQuantity(b.Available, s.lastPrice.Get()) {
disableMakerAsk = true disableMakerAsk = true
s.logger.Infof("%s maker ask disabled: insufficient base balance %s", s.Symbol, b.String()) s.logger.Infof("%s maker ask disabled: insufficient base balance %s", s.Symbol, b.String())
} else { } else {
@ -1176,7 +1178,18 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
side = types.SideTypeSell side = types.SideTypeSell
} }
lastPrice := s.lastPrice signal := s.lastAggregatedSignal.Get()
// if the signal is strong enough, we can delay the hedge and wait for the next tick
if math.Abs(signal) > s.DelayHedgeSignalThreshold {
if period, ok := s.getPositionHoldingPeriod(time.Now()); ok {
if period < s.MaxDelayHedgeDuration.Duration() {
return
}
}
}
lastPrice := s.lastPrice.Get()
sourceBook := s.sourceBook.CopyDepth(1) sourceBook := s.sourceBook.CopyDepth(1)
switch side { switch side {
@ -1302,6 +1315,14 @@ func (s *Strategy) Defaults() error {
s.BollBandInterval = types.Interval1m s.BollBandInterval = types.Interval1m
} }
if s.MaxDelayHedgeDuration == 0 {
s.MaxDelayHedgeDuration = types.Duration(10 * time.Second)
}
if s.DelayHedgeSignalThreshold == 0.0 {
s.DelayHedgeSignalThreshold = 0.5
}
if s.SourceDepthLevel == "" { if s.SourceDepthLevel == "" {
s.SourceDepthLevel = types.DepthLevelMedium s.SourceDepthLevel = types.DepthLevelMedium
} }
@ -1468,6 +1489,10 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
uncoverPosition := position.Sub(coveredPosition) uncoverPosition := position.Sub(coveredPosition)
absPos := uncoverPosition.Abs() absPos := uncoverPosition.Abs()
if s.sourceMarket.IsDustQuantity(absPos, s.lastPrice.Get()) {
continue
}
if !s.DisableHedge { if !s.DisableHedge {
continue continue
} }