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bbgo: fix account value calculation for mixed usd fiat

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c9s 2022-09-11 23:51:24 +08:00
parent 307c5f2a8d
commit 3b1725014b
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 48 additions and 12 deletions
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60
pkg/bbgo/risk.go
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@ -188,15 +188,24 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
return marginLevel, nil
}
func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
totalUsdValue := fixedpoint.Zero
// get all usd value if any
for currency, balance := range balances {
if types.IsUSDFiatCurrency(currency) {
totalUsdValue = totalUsdValue.Add(balance.Net())
}
}
return totalUsdValue
}
func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
// default leverage guard
if leverage.IsZero() {
leverage = defaultLeverage
}
baseBalance, _ := session.Account.Balance(market.BaseCurrency)
quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
if !usingLeverage {
// For spot, we simply sell the base quoteCurrency
@ -215,6 +224,19 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings")
}
baseBalance, _ := session.Account.Balance(market.BaseCurrency)
quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
balances := session.Account.Balances()
// for isolated margin we can calculate from these two pair
totalUsdValue := fixedpoint.Zero
if types.IsUSDFiatCurrency(market.QuoteCurrency) {
totalUsdValue = aggregateUsdValue(balances)
} else {
// TODO: translate quote currency like BTC of ETH/BTC to usd value
totalUsdValue = quoteBalance.Net()
}
if !quantity.IsZero() {
return quantity, nil
}
@ -228,14 +250,13 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
// calculate the quantity automatically
if session.Margin || session.IsolatedMargin {
baseBalanceValue := baseBalance.Net().Mul(price)
accountValue := baseBalanceValue.Add(quoteBalance.Net())
accountUsdValue := baseBalanceValue.Add(totalUsdValue)
// avoid using all account value since there will be some trade loss for interests and the fee
accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
accountUsdValue = accountUsdValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
log.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
log.Infof("calculated account usd value %f %s", accountUsdValue.Float64(), market.QuoteCurrency)
originLeverage := leverage
if session.IsolatedMargin {
@ -253,7 +274,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
}
// spot margin use the equity value, so we use the total quote balance here
maxPosition := risk.CalculateMaxPosition(price, accountValue, leverage)
maxPosition := risk.CalculateMaxPosition(price, accountUsdValue, leverage)
debt := baseBalance.Debt()
maxQuantity := maxPosition.Sub(debt)
@ -262,7 +283,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
maxPosition.Float64(),
debt.Float64(),
price.Float64(),
accountValue.Float64(),
accountUsdValue.Float64(),
market.QuoteCurrency,
leverage.Float64())
@ -271,10 +292,10 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
if session.Futures || session.IsolatedFutures {
// TODO: get mark price here
maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage)
maxPositionQuantity := risk.CalculateMaxPosition(price, totalUsdValue, leverage)
requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
return maxPositionQuantity, fmt.Errorf("margin total usd value %f is not enough, can not submit order", totalUsdValue.Float64())
}
return maxPositionQuantity, nil
@ -290,7 +311,6 @@ func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quote
}
quoteBalance, _ := session.Account.Balance(quoteCurrency)
accountValue := NewAccountValueCalculator(session, quoteCurrency)
usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
if !usingLeverage {
@ -298,7 +318,23 @@ func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quote
return quoteBalance.Available.Mul(fixedpoint.Min(leverage, fixedpoint.One)), nil
}
originLeverage := leverage
if session.IsolatedMargin {
leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
maxIsolatedMarginLeverage.Float64(),
originLeverage.Float64(),
leverage.Float64())
} else {
leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
maxCrossMarginLeverage.Float64(),
originLeverage.Float64(),
leverage.Float64())
}
// using leverage -- starts from here
accountValue := NewAccountValueCalculator(session, quoteCurrency)
availableQuote, err := accountValue.AvailableQuote(ctx)
if err != nil {
log.WithError(err).Errorf("can not update available quote")