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add balance type
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parent
449c0abeb0
commit
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@ -12,5 +12,6 @@ exchangeStrategies:
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maxAmount: 1_000 # max amount to buy or sell per order
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maxAmount: 1_000 # max amount to buy or sell per order
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orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
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orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
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priceType: MAKER # LAST, MID, TAKER or MAKER
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priceType: MAKER # LAST, MID, TAKER or MAKER
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balanceType: TOTAL
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dryRun: true
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dryRun: true
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onStart: true
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onStart: true
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@ -34,6 +34,7 @@ type Strategy struct {
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MaxAmount fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
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MaxAmount fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
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OrderType types.OrderType `json:"orderType"`
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OrderType types.OrderType `json:"orderType"`
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PriceType types.PriceType `json:"priceType"`
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PriceType types.PriceType `json:"priceType"`
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BalanceType types.BalanceType `json:"balanceType"`
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DryRun bool `json:"dryRun"`
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DryRun bool `json:"dryRun"`
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OnStart bool `json:"onStart"` // rebalance on start
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OnStart bool `json:"onStart"` // rebalance on start
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@ -51,6 +52,10 @@ func (s *Strategy) Defaults() error {
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if s.PriceType == "" {
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if s.PriceType == "" {
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s.PriceType = types.PriceTypeMaker
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s.PriceType = types.PriceTypeMaker
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}
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}
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if s.BalanceType == "" {
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s.BalanceType = types.BalanceTypeAvailable
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}
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return nil
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return nil
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}
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}
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@ -216,7 +221,7 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
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return nil, err
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return nil, err
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}
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}
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values := prices.Mul(toValueMap(balances))
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values := prices.Mul(s.toValueMap(balances))
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weights := values.Normalize()
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weights := values.Normalize()
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for symbol, market := range s.markets {
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for symbol, market := range s.markets {
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@ -286,11 +291,10 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
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return nil, nil
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return nil, nil
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}
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}
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func toValueMap(balances types.BalanceMap) types.ValueMap {
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func (s *Strategy) toValueMap(balances types.BalanceMap) types.ValueMap {
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m := make(types.ValueMap)
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m := make(types.ValueMap)
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for _, b := range balances {
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for _, b := range balances {
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// m[b.Currency] = b.Net()
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m[b.Currency] = s.BalanceType.Map(b)
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m[b.Currency] = b.Available
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}
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}
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return m
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return m
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}
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}
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69
pkg/types/balance_type.go
Normal file
69
pkg/types/balance_type.go
Normal file
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@ -0,0 +1,69 @@
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package types
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import (
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"encoding/json"
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"strings"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/pkg/errors"
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)
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type BalanceType string
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const (
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BalanceTypeAvailable BalanceType = "AVAILABLE"
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BalanceTypeLocked BalanceType = "LOCKED"
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BalanceTypeBorrowed BalanceType = "BORROWED"
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BalanceTypeInterest BalanceType = "INTEREST"
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BalanceTypeNet BalanceType = "NET"
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BalanceTypeTotal BalanceType = "TOTAL"
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BalanceTypeDebt BalanceType = "DEBT"
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)
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var ErrInvalidBalanceType = errors.New("invalid balance type")
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func ParseBalanceType(s string) (b BalanceType, err error) {
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b = BalanceType(strings.ToUpper(s))
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switch b {
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case BalanceTypeAvailable, BalanceTypeLocked, BalanceTypeBorrowed, BalanceTypeInterest, BalanceTypeNet, BalanceTypeTotal, BalanceTypeDebt:
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return b, nil
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}
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return b, ErrInvalidBalanceType
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}
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func (b *BalanceType) UnmarshalJSON(data []byte) error {
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var s string
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if err := json.Unmarshal(data, &s); err != nil {
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return err
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}
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t, err := ParseBalanceType(s)
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if err != nil {
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return err
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}
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*b = t
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return nil
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}
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func (b BalanceType) Map(balance Balance) fixedpoint.Value {
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switch b {
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case BalanceTypeAvailable:
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return balance.Available
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case BalanceTypeLocked:
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return balance.Locked
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case BalanceTypeBorrowed:
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return balance.Borrowed
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case BalanceTypeInterest:
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return balance.Interest
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case BalanceTypeNet:
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return balance.Net()
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case BalanceTypeTotal:
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return balance.Total()
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case BalanceTypeDebt:
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return balance.Debt()
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}
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return fixedpoint.Zero
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}
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@ -21,24 +21,13 @@ const (
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var ErrInvalidPriceType = errors.New("invalid price type")
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var ErrInvalidPriceType = errors.New("invalid price type")
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func StrToPriceType(s string) (price PriceType, err error) {
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func ParsePriceType(s string) (p PriceType, err error) {
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switch strings.ToLower(s) {
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p = PriceType(strings.ToUpper(s))
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case "last":
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switch p {
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price = PriceTypeLast
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case PriceTypeLast, PriceTypeBuy, PriceTypeSell, PriceTypeMid, PriceTypeMaker, PriceTypeTaker:
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case "buy":
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return p, err
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price = PriceTypeBuy
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case "sell":
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price = PriceTypeSell
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case "mid":
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price = PriceTypeMid
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case "maker":
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price = PriceTypeMaker
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case "taker":
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price = PriceTypeTaker
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default:
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err = ErrInvalidPriceType
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}
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}
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return price, err
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return p, ErrInvalidPriceType
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}
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}
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func (p *PriceType) UnmarshalJSON(data []byte) error {
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func (p *PriceType) UnmarshalJSON(data []byte) error {
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@ -48,12 +37,13 @@ func (p *PriceType) UnmarshalJSON(data []byte) error {
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return err
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return err
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}
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}
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t, err := StrToPriceType(s)
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t, err := ParsePriceType(s)
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if err != nil {
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if err != nil {
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return err
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return err
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}
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}
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*p = t
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*p = t
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return nil
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return nil
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}
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}
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