From 3b1725014bf94aa9f532b72827a87d3b04a5f26b Mon Sep 17 00:00:00 2001 From: c9s Date: Sun, 11 Sep 2022 23:51:24 +0800 Subject: [PATCH] bbgo: fix account value calculation for mixed usd fiat --- pkg/bbgo/risk.go | 60 ++++++++++++++++++++++++++++++++++++++---------- 1 file changed, 48 insertions(+), 12 deletions(-) diff --git a/pkg/bbgo/risk.go b/pkg/bbgo/risk.go index 0a1752065..6433c4dde 100644 --- a/pkg/bbgo/risk.go +++ b/pkg/bbgo/risk.go @@ -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")