add balance type

This commit is contained in:
narumi 2024-02-29 15:44:52 +08:00
parent 449c0abeb0
commit 3ef7d3e09e
4 changed files with 95 additions and 31 deletions

View File

@ -12,5 +12,6 @@ exchangeStrategies:
maxAmount: 1_000 # max amount to buy or sell per order maxAmount: 1_000 # max amount to buy or sell per order
orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
priceType: MAKER # LAST, MID, TAKER or MAKER priceType: MAKER # LAST, MID, TAKER or MAKER
balanceType: TOTAL
dryRun: true dryRun: true
onStart: true onStart: true

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@ -27,15 +27,16 @@ type Strategy struct {
Environment *bbgo.Environment Environment *bbgo.Environment
Schedule string `json:"schedule"` Schedule string `json:"schedule"`
QuoteCurrency string `json:"quoteCurrency"` QuoteCurrency string `json:"quoteCurrency"`
TargetWeights types.ValueMap `json:"targetWeights"` TargetWeights types.ValueMap `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"` Threshold fixedpoint.Value `json:"threshold"`
MaxAmount fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order MaxAmount fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
OrderType types.OrderType `json:"orderType"` OrderType types.OrderType `json:"orderType"`
PriceType types.PriceType `json:"priceType"` PriceType types.PriceType `json:"priceType"`
DryRun bool `json:"dryRun"` BalanceType types.BalanceType `json:"balanceType"`
OnStart bool `json:"onStart"` // rebalance on start DryRun bool `json:"dryRun"`
OnStart bool `json:"onStart"` // rebalance on start
symbols []string symbols []string
markets map[string]types.Market markets map[string]types.Market
@ -51,6 +52,10 @@ func (s *Strategy) Defaults() error {
if s.PriceType == "" { if s.PriceType == "" {
s.PriceType = types.PriceTypeMaker s.PriceType = types.PriceTypeMaker
} }
if s.BalanceType == "" {
s.BalanceType = types.BalanceTypeAvailable
}
return nil return nil
} }
@ -216,7 +221,7 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
return nil, err return nil, err
} }
values := prices.Mul(toValueMap(balances)) values := prices.Mul(s.toValueMap(balances))
weights := values.Normalize() weights := values.Normalize()
for symbol, market := range s.markets { for symbol, market := range s.markets {
@ -286,11 +291,10 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
return nil, nil return nil, nil
} }
func toValueMap(balances types.BalanceMap) types.ValueMap { func (s *Strategy) toValueMap(balances types.BalanceMap) types.ValueMap {
m := make(types.ValueMap) m := make(types.ValueMap)
for _, b := range balances { for _, b := range balances {
// m[b.Currency] = b.Net() m[b.Currency] = s.BalanceType.Map(b)
m[b.Currency] = b.Available
} }
return m return m
} }

69
pkg/types/balance_type.go Normal file
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@ -0,0 +1,69 @@
package types
import (
"encoding/json"
"strings"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/pkg/errors"
)
type BalanceType string
const (
BalanceTypeAvailable BalanceType = "AVAILABLE"
BalanceTypeLocked BalanceType = "LOCKED"
BalanceTypeBorrowed BalanceType = "BORROWED"
BalanceTypeInterest BalanceType = "INTEREST"
BalanceTypeNet BalanceType = "NET"
BalanceTypeTotal BalanceType = "TOTAL"
BalanceTypeDebt BalanceType = "DEBT"
)
var ErrInvalidBalanceType = errors.New("invalid balance type")
func ParseBalanceType(s string) (b BalanceType, err error) {
b = BalanceType(strings.ToUpper(s))
switch b {
case BalanceTypeAvailable, BalanceTypeLocked, BalanceTypeBorrowed, BalanceTypeInterest, BalanceTypeNet, BalanceTypeTotal, BalanceTypeDebt:
return b, nil
}
return b, ErrInvalidBalanceType
}
func (b *BalanceType) UnmarshalJSON(data []byte) error {
var s string
if err := json.Unmarshal(data, &s); err != nil {
return err
}
t, err := ParseBalanceType(s)
if err != nil {
return err
}
*b = t
return nil
}
func (b BalanceType) Map(balance Balance) fixedpoint.Value {
switch b {
case BalanceTypeAvailable:
return balance.Available
case BalanceTypeLocked:
return balance.Locked
case BalanceTypeBorrowed:
return balance.Borrowed
case BalanceTypeInterest:
return balance.Interest
case BalanceTypeNet:
return balance.Net()
case BalanceTypeTotal:
return balance.Total()
case BalanceTypeDebt:
return balance.Debt()
}
return fixedpoint.Zero
}

View File

@ -21,24 +21,13 @@ const (
var ErrInvalidPriceType = errors.New("invalid price type") var ErrInvalidPriceType = errors.New("invalid price type")
func StrToPriceType(s string) (price PriceType, err error) { func ParsePriceType(s string) (p PriceType, err error) {
switch strings.ToLower(s) { p = PriceType(strings.ToUpper(s))
case "last": switch p {
price = PriceTypeLast case PriceTypeLast, PriceTypeBuy, PriceTypeSell, PriceTypeMid, PriceTypeMaker, PriceTypeTaker:
case "buy": return p, err
price = PriceTypeBuy
case "sell":
price = PriceTypeSell
case "mid":
price = PriceTypeMid
case "maker":
price = PriceTypeMaker
case "taker":
price = PriceTypeTaker
default:
err = ErrInvalidPriceType
} }
return price, err return p, ErrInvalidPriceType
} }
func (p *PriceType) UnmarshalJSON(data []byte) error { func (p *PriceType) UnmarshalJSON(data []byte) error {
@ -48,12 +37,13 @@ func (p *PriceType) UnmarshalJSON(data []byte) error {
return err return err
} }
t, err := StrToPriceType(s) t, err := ParsePriceType(s)
if err != nil { if err != nil {
return err return err
} }
*p = t *p = t
return nil return nil
} }