From 4429a29c292e4d4e4fabaca8113425a4b9fea43d Mon Sep 17 00:00:00 2001 From: c9s Date: Tue, 11 May 2021 00:10:49 +0800 Subject: [PATCH] disable hedge quote adjustment --- pkg/strategy/xmaker/strategy.go | 141 +++++++++++++++++++++----------- 1 file changed, 93 insertions(+), 48 deletions(-) diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go index cd134a68c..c9a292ebf 100644 --- a/pkg/strategy/xmaker/strategy.go +++ b/pkg/strategy/xmaker/strategy.go @@ -118,13 +118,18 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) { makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) } +func aggregatePrice(quantity fixedpoint.Value) (price fixedpoint.Value) { + + return +} + func (s *Strategy) updateQuote(ctx context.Context) { if err := s.makerSession.Exchange.CancelOrders(ctx, s.activeMakerOrders.Orders()...); err != nil { - log.WithError(err).Errorf("can not cancel orders") + log.WithError(err).Errorf("can not cancel %s orders", s.Symbol) return } - // avoid unlock issue + // avoid unlock issue and wait for the balance update if s.OrderCancelWaitTime > 0 { time.Sleep(s.OrderCancelWaitTime.Duration()) } else { @@ -144,86 +149,126 @@ func (s *Strategy) updateQuote(ctx context.Context) { } if valid, err := sourceBook.IsValid(); !valid { - log.WithError(err).Errorf("%s invalid order book: %v", s.Symbol, err) + log.WithError(err).Errorf("%s invalid order book, skip quoting: %v", s.Symbol, err) return } - bestBidPrice := sourceBook.Bids[0].Price - bestAskPrice := sourceBook.Asks[0].Price - log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64()) - - bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64()) - - askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64()) - - log.Infof("%s quote bid price: %f ask price: %f", s.Symbol, bidPrice.Float64(), askPrice.Float64()) - var disableMakerBid = false var disableMakerAsk = false - var submitOrders []types.SubmitOrder - // we load the balances from the account, - // however, while we're generating the orders, + // check maker's balance quota + // we load the balances from the account while we're generating the orders, // the balance may have a chance to be deducted by other strategies or manual orders submitted by the user makerBalances := s.makerSession.Account.Balances() makerQuota := &bbgo.QuotaTransaction{} if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok { - makerQuota.BaseAsset.Add(b.Available) - - if b.Available.Float64() <= s.makerMarket.MinQuantity { + if b.Available.Float64() > s.makerMarket.MinQuantity { + makerQuota.BaseAsset.Add(b.Available) + } else { disableMakerAsk = true } } if b, ok := makerBalances[s.makerMarket.QuoteCurrency]; ok { - makerQuota.QuoteAsset.Add(b.Available) - - if b.Available.Float64() <= s.makerMarket.MinNotional { + if b.Available.Float64() > s.makerMarket.MinNotional { + makerQuota.QuoteAsset.Add(b.Available) + } else { disableMakerBid = true } } + hedgeBalances := s.sourceSession.Account.Balances() + hedgeQuota := &bbgo.QuotaTransaction{} + if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok { + // to make bid orders, we need enough base asset in the foreign exchange, + // if the base asset balance is not enough for selling + if b.Available.Float64() > s.sourceMarket.MinQuantity { + hedgeQuota.BaseAsset.Add(b.Available) + } else { + disableMakerBid = true + } + } + + if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok { + // to make ask orders, we need enough quote asset in the foreign exchange, + // if the quote asset balance is not enough for buying + if b.Available.Float64() > s.sourceMarket.MinNotional { + hedgeQuota.QuoteAsset.Add(b.Available) + } else { + disableMakerAsk = true + } + } + // if max exposure position is configured, we should not: // 1. place bid orders when we already bought too much // 2. place ask orders when we already sold too much if s.MaxExposurePosition > 0 { pos := s.state.HedgePosition.AtomicLoad() if pos < -s.MaxExposurePosition { + // stop sell if we over-sell disableMakerAsk = true } else if pos > s.MaxExposurePosition { + // stop buy if we over buy disableMakerBid = true } } - hedgeBalances := s.sourceSession.Account.Balances() - hedgeQuota := &bbgo.QuotaTransaction{} - if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok { - hedgeQuota.BaseAsset.Add(b.Available) - - // to make bid orders, we need enough base asset in the foreign exchange, - // if the base asset balance is not enough for selling - if b.Available.Float64() <= s.sourceMarket.MinQuantity { - disableMakerBid = true - } - } - - if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok { - hedgeQuota.QuoteAsset.Add(b.Available) - - // to make ask orders, we need enough quote asset in the foreign exchange, - // if the quote asset balance is not enough for buying - if b.Available.Float64() <= s.sourceMarket.MinNotional { - disableMakerAsk = true - } - } - if disableMakerAsk && disableMakerBid { log.Warn("maker is disabled due to insufficient balances") return } - bidQuantity := s.Quantity - askQuantity := s.Quantity + var totalBidQuantity, totalAskQuantity fixedpoint.Value + + // askQuantity and bidQuantity could be different, so we are doing it twice + for i := 0; i < s.NumLayers; i++ { + askQuantity := s.Quantity + bidQuantity := s.Quantity + + if !disableMakerBid { + if s.QuantityScale != nil { + qf, err := s.QuantityScale.Scale(i + 1) + if err != nil { + log.WithError(err).Errorf("quantityScale error") + return + } + + log.Infof("scaling quantity to %f by layer: %d", qf, i+1) + + // override the default bid quantity + bidQuantity = fixedpoint.NewFromFloat(qf) + } + } + totalBidQuantity += bidQuantity + + // for maker ask orders + if !disableMakerAsk { + if s.QuantityScale != nil { + qf, err := s.QuantityScale.Scale(i + 1) + if err != nil { + log.WithError(err).Errorf("quantityScale error") + return + } + + // override the default bid quantity + askQuantity = fixedpoint.NewFromFloat(qf) + } + } + totalAskQuantity += askQuantity + } + + bestBidPrice := sourceBook.Bids[0].Price + bestAskPrice := sourceBook.Asks[0].Price + log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64()) + + bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64()) + askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64()) + + log.Infof("%s quote bid price: %f ask price: %f", s.Symbol, bidPrice.Float64(), askPrice.Float64()) + + var submitOrders []types.SubmitOrder + var bidQuantity = s.Quantity + var askQuantity = s.Quantity for i := 0; i < s.NumLayers; i++ { // for maker bid orders if !disableMakerBid { @@ -368,8 +413,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) { // check quote quantity if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok { if quote.Available < notional { - qf := bbgo.AdjustQuantityByMaxAmount(quantity.Float64(), lastPrice, quote.Available.Float64()) - quantity = fixedpoint.NewFromFloat(qf) + // qf := bbgo.AdjustQuantityByMaxAmount(quantity.Float64(), lastPrice, quote.Available.Float64()) + // quantity = fixedpoint.NewFromFloat(qf) } }