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xfunding: implement close position transfer
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c9s
parent
aba80398d9
commit
3624dd0338
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@ -273,45 +273,60 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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//
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// when closing a position, we place orders on the futures account first, then the spot account
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// we need to close the position according to its base quantity instead of quote quantity
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if s.positionType == types.PositionShort {
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switch s.positionAction {
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case PositionOpening:
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if trade.Side != types.SideTypeBuy {
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log.Errorf("unexpected trade side: %+v, expecting BUY trade", trade)
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return
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}
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s.mu.Lock()
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defer s.mu.Unlock()
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s.State.UsedQuoteInvestment = s.State.UsedQuoteInvestment.Add(trade.QuoteQuantity)
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if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
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s.positionAction = PositionNoOp
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}
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// 1) if we have trade, try to query the balance and transfer the balance to the futures wallet account
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// TODO: handle missing trades here. If the process crashed during the transfer, how to recover?
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if err := backoff.RetryGeneric(ctx, func() error {
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return s.transferIn(ctx, binanceSpot, trade)
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}); err != nil {
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log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
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return
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}
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// 2) transferred successfully, sync futures position
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// compare spot position and futures position, increase the position size until they are the same size
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case PositionClosing:
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if trade.Side != types.SideTypeSell {
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log.Errorf("unexpected trade side: %+v, expecting SELL trade", trade)
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return
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}
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if s.positionType != types.PositionShort {
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return
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}
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switch s.positionAction {
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case PositionOpening:
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if trade.Side != types.SideTypeBuy {
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log.Errorf("unexpected trade side: %+v, expecting BUY trade", trade)
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return
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}
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s.mu.Lock()
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defer s.mu.Unlock()
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s.State.UsedQuoteInvestment = s.State.UsedQuoteInvestment.Add(trade.QuoteQuantity)
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if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
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s.positionAction = PositionNoOp
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}
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// if we have trade, try to query the balance and transfer the balance to the futures wallet account
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// TODO: handle missing trades here. If the process crashed during the transfer, how to recover?
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if err := backoff.RetryGeneral(ctx, func() error {
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return s.transferIn(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
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}); err != nil {
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log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
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return
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}
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case PositionClosing:
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if trade.Side != types.SideTypeSell {
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log.Errorf("unexpected trade side: %+v, expecting SELL trade", trade)
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return
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}
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}
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})
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s.futuresOrderExecutor = s.allocateOrderExecutor(ctx, s.futuresSession, instanceID, s.FuturesPosition)
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s.futuresOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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if s.positionType != types.PositionShort {
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return
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}
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switch s.positionAction {
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case PositionClosing:
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if err := backoff.RetryGeneral(ctx, func() error {
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return s.transferOut(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
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}); err != nil {
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log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
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return
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}
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}
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})
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s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
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// s.queryAndDetectPremiumIndex(ctx, binanceFutures)
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@ -421,6 +436,8 @@ func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
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}
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// syncFuturesPosition syncs the futures position with the given spot position
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// when the spot is transferred successfully, sync futures position
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// compare spot position and futures position, increase the position size until they are the same size
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func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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if s.positionType != types.PositionShort {
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return
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@ -495,7 +512,6 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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Quantity: orderQuantity,
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Price: orderPrice,
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Market: s.futuresMarket,
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// TimeInForce: types.TimeInForceGTC,
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})
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if err != nil {
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@ -574,38 +590,40 @@ func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed
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log.Infof("last %s funding rate: %s", s.Symbol, fundingRate.Percentage())
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if s.ShortFundingRate != nil {
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if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
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if s.ShortFundingRate == nil {
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return changed
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}
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log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
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fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
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if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
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s.positionAction = PositionOpening
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s.positionType = types.PositionShort
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log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
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fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
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// reset the transfer stats
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s.State.PositionStartTime = premiumIndex.Time
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s.State.PendingBaseTransfer = fixedpoint.Zero
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s.State.TotalBaseTransfer = fixedpoint.Zero
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changed = true
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} else if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
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s.positionAction = PositionOpening
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s.positionType = types.PositionShort
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log.Infof("funding rate %s is lower than the Low threshold %s, start closing position...",
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fundingRate.Percentage(), s.ShortFundingRate.Low.Percentage())
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// reset the transfer stats
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s.State.PositionStartTime = premiumIndex.Time
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s.State.PendingBaseTransfer = fixedpoint.Zero
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s.State.TotalBaseTransfer = fixedpoint.Zero
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changed = true
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} else if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
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holdingPeriod := premiumIndex.Time.Sub(s.State.PositionStartTime)
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if holdingPeriod < time.Duration(s.MinHoldingPeriod) {
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log.Warnf("position holding period %s is less than %s, skip closing", holdingPeriod, s.MinHoldingPeriod)
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return
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}
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log.Infof("funding rate %s is lower than the Low threshold %s, start closing position...",
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fundingRate.Percentage(), s.ShortFundingRate.Low.Percentage())
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s.positionAction = PositionClosing
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// reset the transfer stats
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s.State.PendingBaseTransfer = fixedpoint.Zero
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s.State.TotalBaseTransfer = fixedpoint.Zero
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changed = true
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holdingPeriod := premiumIndex.Time.Sub(s.State.PositionStartTime)
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if holdingPeriod < time.Duration(s.MinHoldingPeriod) {
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log.Warnf("position holding period %s is less than %s, skip closing", holdingPeriod, s.MinHoldingPeriod)
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return
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}
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s.positionAction = PositionClosing
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// reset the transfer stats
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s.State.PendingBaseTransfer = fixedpoint.Zero
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s.State.TotalBaseTransfer = fixedpoint.Zero
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changed = true
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}
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return changed
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@ -13,15 +13,13 @@ type FuturesTransfer interface {
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QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)
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}
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func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, trade types.Trade) error {
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currency := s.spotMarket.BaseCurrency
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func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, currency string, trade types.Trade) error {
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// base asset needs BUY trades
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if trade.Side == types.SideTypeBuy {
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return nil
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}
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balances, err := ex.QueryAccountBalances(ctx)
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balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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@ -31,16 +29,23 @@ func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, trade ty
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return fmt.Errorf("%s balance not found", currency)
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}
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quantity := trade.Quantity
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if s.Leverage.Compare(fixedpoint.One) > 0 {
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// de-leverage and get the collateral base quantity for transfer
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quantity = quantity.Div(s.Leverage)
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}
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// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
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if b.Available.Compare(trade.Quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", trade.Quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(trade.Quantity)
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if b.Available.IsZero() || b.Available.Compare(quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
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return nil
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}
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amount := s.State.PendingBaseTransfer.Add(trade.Quantity)
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amount := s.State.PendingBaseTransfer.Add(quantity)
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pos := s.SpotPosition.GetBase()
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pos := s.FuturesPosition.GetBase().Abs().Div(s.Leverage)
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rest := pos.Sub(s.State.TotalBaseTransfer)
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if rest.Sign() < 0 {
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@ -62,15 +67,14 @@ func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, trade ty
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return nil
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}
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func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, trade types.Trade) error {
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currency := s.spotMarket.BaseCurrency
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func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, currency string, trade types.Trade) error {
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// base asset needs BUY trades
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if trade.Side == types.SideTypeSell {
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return nil
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}
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balances, err := ex.QueryAccountBalances(ctx)
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balances, err := s.spotSession.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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@ -81,15 +85,16 @@ func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, trade typ
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}
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// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
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if b.Available.Compare(trade.Quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", trade.Quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(trade.Quantity)
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quantity := trade.Quantity
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if b.Available.Compare(quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
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return nil
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}
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amount := s.State.PendingBaseTransfer.Add(trade.Quantity)
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amount := s.State.PendingBaseTransfer.Add(quantity)
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pos := s.SpotPosition.GetBase()
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pos := s.SpotPosition.GetBase().Abs()
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rest := pos.Sub(s.State.TotalBaseTransfer)
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if rest.Sign() < 0 {
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@ -8,7 +8,7 @@ import (
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var MaxRetries uint64 = 101
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func RetryGeneric(ctx context.Context, op backoff.Operation) (err error) {
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func RetryGeneral(ctx context.Context, op backoff.Operation) (err error) {
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err = backoff.Retry(op, backoff.WithContext(
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backoff.WithMaxRetries(
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backoff.NewExponentialBackOff(),
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