mirror of
https://github.com/c9s/bbgo.git
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risk: move leverage quantity calculation to the risk package
This commit is contained in:
c9s
parent
54affd2f99
commit
36cfaa924d
193
pkg/risk/account_value.go
Normal file
193
pkg/risk/account_value.go
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@ -0,0 +1,193 @@
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package risk
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import (
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"context"
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"fmt"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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var one = fixedpoint.One
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var maxLeverage = fixedpoint.NewFromInt(10)
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type AccountValueCalculator struct {
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session *bbgo.ExchangeSession
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quoteCurrency string
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prices map[string]fixedpoint.Value
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tickers map[string]types.Ticker
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updateTime time.Time
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}
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func NewAccountValueCalculator(session *bbgo.ExchangeSession, quoteCurrency string) *AccountValueCalculator {
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return &AccountValueCalculator{
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session: session,
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quoteCurrency: quoteCurrency,
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prices: make(map[string]fixedpoint.Value),
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tickers: make(map[string]types.Ticker),
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}
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}
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func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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balances := c.session.Account.Balances()
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currencies := balances.Currencies()
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var symbols []string
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for _, currency := range currencies {
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symbol := currency + c.quoteCurrency
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symbols = append(symbols, symbol)
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}
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tickers, err := c.session.Exchange.QueryTickers(ctx, symbols...)
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if err != nil {
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return err
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}
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c.tickers = tickers
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for symbol, ticker := range tickers {
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c.prices[symbol] = ticker.Last
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if ticker.Time.After(c.updateTime) {
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c.updateTime = ticker.Time
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}
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}
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return nil
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}
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func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error) {
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debtValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return debtValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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debtValue = debtValue.Add(b.Debt().Mul(price))
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}
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return debtValue, nil
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}
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func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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accountValue = accountValue.Add(b.Net().Mul(price))
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}
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return accountValue, nil
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}
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func calculateAccountNetValue(session *bbgo.ExchangeSession) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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ctx := context.Background()
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c := NewAccountValueCalculator(session, "USDT")
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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return c.NetValue(ctx)
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}
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func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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if leverage.IsZero() {
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leverage = fixedpoint.NewFromInt(3)
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}
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if usingLeverage {
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if !quantity.IsZero() {
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return quantity, nil
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}
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// quantity is zero, we need to calculate the quantity
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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logrus.Infof("calculating leveraged quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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baseBalanceValue := baseBalance.Net().Mul(price)
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accountValue := baseBalanceValue.Add(quoteBalance.Net())
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// avoid using all account value since there will be some trade loss for interests and the fee
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accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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logrus.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
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if session.IsolatedMargin {
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originLeverage := leverage
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leverage = fixedpoint.Min(leverage, maxLeverage)
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logrus.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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originLeverage.Float64(),
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leverage.Float64())
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}
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// spot margin use the equity value, so we use the total quote balance here
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maxPosition := CalculateMaxPosition(price, accountValue, leverage)
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debt := baseBalance.Debt()
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logrus.Infof("margin leverage: calculated maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
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maxPosition.Float64(),
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debt.Float64(),
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price.Float64(),
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accountValue.Float64(),
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market.QuoteCurrency,
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leverage.Float64())
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return maxPosition.Sub(debt), nil
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}
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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}
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return maxPositionQuantity, nil
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}
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}
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// For spot, we simply sell the base quoteCurrency
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if quantity.IsZero() {
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logrus.Warnf("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
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if !balance.Available.IsZero() {
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return balance.Available, nil
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}
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} else {
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return fixedpoint.Min(quantity, balance.Available), nil
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}
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}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
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}
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@ -2,8 +2,6 @@ package pivotshort
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import (
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"context"
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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@ -108,7 +106,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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s.Quantity.Float64(),
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s.Leverage.Float64())
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quantity, err := useQuantityOrBaseBalance(s.session, s.Market, s.lastLow, s.Quantity, s.Leverage)
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastLow, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -203,7 +201,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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quantity, err := useQuantityOrBaseBalance(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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@ -240,179 +238,3 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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}))
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}
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type AccountValueCalculator struct {
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session *bbgo.ExchangeSession
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quoteCurrency string
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prices map[string]fixedpoint.Value
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tickers map[string]types.Ticker
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updateTime time.Time
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}
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func NewAccountValueCalculator(session *bbgo.ExchangeSession, quoteCurrency string) *AccountValueCalculator {
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return &AccountValueCalculator{
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session: session,
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quoteCurrency: quoteCurrency,
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prices: make(map[string]fixedpoint.Value),
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tickers: make(map[string]types.Ticker),
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}
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}
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func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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balances := c.session.Account.Balances()
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currencies := balances.Currencies()
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var symbols []string
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for _, currency := range currencies {
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symbol := currency + c.quoteCurrency
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symbols = append(symbols, symbol)
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}
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tickers, err := c.session.Exchange.QueryTickers(ctx, symbols...)
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if err != nil {
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return err
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}
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c.tickers = tickers
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for symbol, ticker := range tickers {
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c.prices[symbol] = ticker.Last
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if ticker.Time.After(c.updateTime) {
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c.updateTime = ticker.Time
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}
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}
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return nil
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}
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func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error) {
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debtValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return debtValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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debtValue = debtValue.Add(b.Debt().Mul(price))
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}
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return debtValue, nil
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}
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func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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accountValue = accountValue.Add(b.Net().Mul(price))
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}
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return accountValue, nil
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}
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func calculateAccountNetValue(session *bbgo.ExchangeSession) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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ctx := context.Background()
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c := NewAccountValueCalculator(session, "USDT")
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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return c.NetValue(ctx)
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}
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func useQuantityOrBaseBalance(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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if leverage.IsZero() {
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leverage = fixedpoint.NewFromInt(3)
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}
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if usingLeverage {
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if !quantity.IsZero() {
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return quantity, nil
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}
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// quantity is zero, we need to calculate the quantity
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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log.Infof("calculating quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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baseBalanceValue := baseBalance.Net().Mul(price)
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accountValue := baseBalanceValue.Add(quoteBalance.Net())
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// avoid using all account value since there will be some trade loss for interests and the fee
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accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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log.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
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if session.IsolatedMargin {
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originLeverage := leverage
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leverage = fixedpoint.Min(leverage, fixedpoint.NewFromInt(10)) // max leverage is 10
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log.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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originLeverage.Float64(),
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leverage.Float64())
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}
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// spot margin use the equity value, so we use the total quote balance here
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maxPosition := risk.CalculateMaxPosition(price, accountValue, leverage)
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debt := baseBalance.Debt()
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log.Infof("margin leverage: calculated maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
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maxPosition.Float64(),
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debt.Float64(),
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price.Float64(),
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accountValue.Float64(),
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market.QuoteCurrency,
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leverage.Float64())
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return maxPosition.Sub(debt), nil
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}
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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}
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return maxPositionQuantity, nil
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}
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}
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// For spot, we simply sell the base quoteCurrency
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if quantity.IsZero() {
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log.Warnf("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
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if !balance.Available.IsZero() {
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return balance.Available, nil
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}
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} else {
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return fixedpoint.Min(quantity, balance.Available), nil
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}
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}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
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}
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