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https://github.com/c9s/bbgo.git
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disable hedge quote adjustment
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c9s
parent
fa3ca54a55
commit
4429a29c29
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@ -118,13 +118,18 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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}
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func aggregatePrice(quantity fixedpoint.Value) (price fixedpoint.Value) {
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return
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}
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func (s *Strategy) updateQuote(ctx context.Context) {
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if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("can not cancel orders")
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log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
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return
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}
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// avoid unlock issue
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// avoid unlock issue and wait for the balance update
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if s.OrderCancelWaitTime > 0 {
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time.Sleep(s.OrderCancelWaitTime.Duration())
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} else {
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@ -144,86 +149,126 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid order book: %v", s.Symbol, err)
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log.WithError(err).Errorf("%s invalid order book, skip quoting: %v", s.Symbol, err)
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return
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}
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bestBidPrice := sourceBook.Bids[0].Price
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bestAskPrice := sourceBook.Asks[0].Price
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log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64())
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bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
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askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64())
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log.Infof("%s quote bid price: %f ask price: %f", s.Symbol, bidPrice.Float64(), askPrice.Float64())
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var disableMakerBid = false
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var disableMakerAsk = false
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var submitOrders []types.SubmitOrder
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// we load the balances from the account,
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// however, while we're generating the orders,
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// check maker's balance quota
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// we load the balances from the account while we're generating the orders,
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// the balance may have a chance to be deducted by other strategies or manual orders submitted by the user
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makerBalances := s.makerSession.Account.Balances()
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makerQuota := &bbgo.QuotaTransaction{}
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if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
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makerQuota.BaseAsset.Add(b.Available)
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if b.Available.Float64() <= s.makerMarket.MinQuantity {
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if b.Available.Float64() > s.makerMarket.MinQuantity {
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makerQuota.BaseAsset.Add(b.Available)
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} else {
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disableMakerAsk = true
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}
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}
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if b, ok := makerBalances[s.makerMarket.QuoteCurrency]; ok {
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makerQuota.QuoteAsset.Add(b.Available)
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if b.Available.Float64() <= s.makerMarket.MinNotional {
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if b.Available.Float64() > s.makerMarket.MinNotional {
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makerQuota.QuoteAsset.Add(b.Available)
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} else {
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disableMakerBid = true
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}
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}
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hedgeBalances := s.sourceSession.Account.Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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// to make bid orders, we need enough base asset in the foreign exchange,
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// if the base asset balance is not enough for selling
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if b.Available.Float64() > s.sourceMarket.MinQuantity {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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disableMakerBid = true
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}
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}
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if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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// to make ask orders, we need enough quote asset in the foreign exchange,
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// if the quote asset balance is not enough for buying
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if b.Available.Float64() > s.sourceMarket.MinNotional {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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disableMakerAsk = true
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}
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}
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// if max exposure position is configured, we should not:
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// 1. place bid orders when we already bought too much
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// 2. place ask orders when we already sold too much
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if s.MaxExposurePosition > 0 {
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pos := s.state.HedgePosition.AtomicLoad()
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if pos < -s.MaxExposurePosition {
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// stop sell if we over-sell
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disableMakerAsk = true
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} else if pos > s.MaxExposurePosition {
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// stop buy if we over buy
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disableMakerBid = true
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}
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}
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hedgeBalances := s.sourceSession.Account.Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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hedgeQuota.BaseAsset.Add(b.Available)
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// to make bid orders, we need enough base asset in the foreign exchange,
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// if the base asset balance is not enough for selling
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if b.Available.Float64() <= s.sourceMarket.MinQuantity {
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disableMakerBid = true
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}
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}
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if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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hedgeQuota.QuoteAsset.Add(b.Available)
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// to make ask orders, we need enough quote asset in the foreign exchange,
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// if the quote asset balance is not enough for buying
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if b.Available.Float64() <= s.sourceMarket.MinNotional {
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disableMakerAsk = true
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}
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}
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if disableMakerAsk && disableMakerBid {
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log.Warn("maker is disabled due to insufficient balances")
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return
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}
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bidQuantity := s.Quantity
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askQuantity := s.Quantity
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var totalBidQuantity, totalAskQuantity fixedpoint.Value
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// askQuantity and bidQuantity could be different, so we are doing it twice
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for i := 0; i < s.NumLayers; i++ {
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askQuantity := s.Quantity
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bidQuantity := s.Quantity
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if !disableMakerBid {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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}
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log.Infof("scaling quantity to %f by layer: %d", qf, i+1)
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// override the default bid quantity
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bidQuantity = fixedpoint.NewFromFloat(qf)
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}
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}
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totalBidQuantity += bidQuantity
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// for maker ask orders
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if !disableMakerAsk {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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}
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// override the default bid quantity
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askQuantity = fixedpoint.NewFromFloat(qf)
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}
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}
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totalAskQuantity += askQuantity
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}
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bestBidPrice := sourceBook.Bids[0].Price
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bestAskPrice := sourceBook.Asks[0].Price
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log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64())
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bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
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askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64())
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log.Infof("%s quote bid price: %f ask price: %f", s.Symbol, bidPrice.Float64(), askPrice.Float64())
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var submitOrders []types.SubmitOrder
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var bidQuantity = s.Quantity
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var askQuantity = s.Quantity
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for i := 0; i < s.NumLayers; i++ {
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// for maker bid orders
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if !disableMakerBid {
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@ -368,8 +413,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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// check quote quantity
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if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
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if quote.Available < notional {
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qf := bbgo.AdjustQuantityByMaxAmount(quantity.Float64(), lastPrice, quote.Available.Float64())
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quantity = fixedpoint.NewFromFloat(qf)
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// qf := bbgo.AdjustQuantityByMaxAmount(quantity.Float64(), lastPrice, quote.Available.Float64())
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// quantity = fixedpoint.NewFromFloat(qf)
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}
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}
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