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xmaker: integrate bid/ask margin metrics

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This commit is contained in:
c9s 2024-08-27 15:39:38 +08:00
parent b3c8739983
commit 3d4ccd1344
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 24 additions and 7 deletions
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14
pkg/strategy/xmaker/metrics.go
View File

@ -26,6 +26,18 @@ var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var bidMarginMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_bid_margin",
Help: "the current bid margin (dynamic)",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var askMarginMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_ask_margin",
Help: "the current ask margin (dynamic)",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
var configNumOfLayersMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_config_num_of_layers",
@ -56,6 +68,8 @@ func init() {
openOrderAskExposureInUsdMetrics,
makerBestBidPriceMetrics,
makerBestAskPriceMetrics,
bidMarginMetrics,
askMarginMetrics,
configNumOfLayersMetrics,
configMaxExposureMetrics,
configBidMarginMetrics,

17
pkg/strategy/xmaker/strategy.go
View File

@ -401,9 +401,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
bidExposureInUsd := fixedpoint.Zero
askExposureInUsd := fixedpoint.Zero
bidPrice := bestBidPrice
askPrice := bestAskPrice
bidMarginMetrics.With(labels).Set(bidMargin.Float64())
askMarginMetrics.With(labels).Set(askMargin.Float64())
for i := 0; i < s.NumLayers; i++ {
// for maker bid orders
if !disableMakerBid {
@ -430,13 +433,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
}
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
if i > 0 && pips.Sign() > 0 {
if i == 0 {
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
} else if i > 0 && pips.Sign() > 0 {
bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
Mul(s.makerMarket.TickSize)))
}
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
@ -487,12 +490,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
}
askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
if i > 0 && pips.Sign() > 0 {
if i == 0 {
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
} else if i > 0 && pips.Sign() > 0 {
askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
}
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
// if we bought, then we need to sell the base from the hedge session