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track arbitrage orders

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This commit is contained in:
c9s 2021-03-18 17:20:21 +08:00
parent a95c3b94a0
commit 4975fb5498
2 changed files with 64 additions and 14 deletions
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76
pkg/strategy/grid/strategy.go
View File

@ -32,7 +32,12 @@ type State struct {
FilledBuyGrids map[fixedpoint.Value]struct{} `json:"filledBuyGrids"`
FilledSellGrids map[fixedpoint.Value]struct{} `json:"filledSellGrids"`
Position *bbgo.Position `json:"position,omitempty"`
ArbitrageProfit fixedpoint.Value `json:"totalProfit"`
ArbitrageProfit fixedpoint.Value `json:"arbitrageProfit"`
// any created orders for tracking trades
// [source Order ID] -> arbitrage order
ArbitrageOrders map[uint64]types.Order `json:"arbitrageOrders"`
}
type Strategy struct {
@ -93,9 +98,6 @@ type Strategy struct {
// activeOrders is the locally maintained active order book of the maker orders.
activeOrders *bbgo.LocalActiveOrderBook
// any created orders for tracking trades
orders map[uint64]types.Order
// groupID is the group ID used for the strategy instance for canceling orders
groupID int64
}
@ -344,7 +346,6 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
log.Warn(err.Error())
}
}
}
func (s *Strategy) tradeUpdateHandler(trade types.Trade) {
@ -367,15 +368,16 @@ func (s *Strategy) tradeUpdateHandler(trade types.Trade) {
profit, madeProfit := s.state.Position.AddTrade(trade)
if madeProfit {
s.Notify("position profit: %f", profit.Float64())
s.Notify("average cost profit: %f", profit.Float64())
}
}
}
func (s *Strategy) submitReverseOrder(order types.Order) {
var side = order.Side.Reverse()
var price = order.Price
var quantity = order.Quantity
func (s *Strategy) handleFilledOrder(filledOrder types.Order) {
// generate arbitrage order
var side = filledOrder.Side.Reverse()
var price = filledOrder.Price
var quantity = filledOrder.Quantity
switch side {
case types.SideTypeSell:
@ -389,7 +391,7 @@ func (s *Strategy) submitReverseOrder(order types.Order) {
} else if s.Long {
// long = use the same amount to buy more quantity back
// the original amount
var amount = order.Price * order.Quantity
var amount = filledOrder.Price * filledOrder.Quantity
quantity = amount / price
}
@ -403,7 +405,7 @@ func (s *Strategy) submitReverseOrder(order types.Order) {
GroupID: s.groupID,
}
log.Infof("submitting arbitrage order: %s against %s", submitOrder.String(), order.String())
log.Infof("submitting arbitrage order: %s against filled order %s", submitOrder.String(), filledOrder.String())
createdOrders, err := s.OrderExecutor.SubmitOrders(context.Background(), submitOrder)
if err != nil {
@ -411,8 +413,51 @@ func (s *Strategy) submitReverseOrder(order types.Order) {
return
}
// create one-way link from the newly created orders
for _, o := range createdOrders {
s.state.ArbitrageOrders[o.OrderID] = filledOrder
}
s.orderStore.Add(createdOrders...)
s.activeOrders.Add(createdOrders...)
// calculate arbitrage profit
if s.Long {
switch filledOrder.Side {
case types.SideTypeSell:
if buyOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok {
// use base asset quantity here
baseProfit := buyOrder.Quantity - filledOrder.Quantity
s.state.ArbitrageProfit += fixedpoint.NewFromFloat(baseProfit)
s.Notify("grid arbitrage profit %f %s", baseProfit, s.Market.BaseCurrency)
}
case types.SideTypeBuy:
if sellOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok {
// use base asset quantity here
baseProfit := filledOrder.Quantity - sellOrder.Quantity
s.state.ArbitrageProfit += fixedpoint.NewFromFloat(baseProfit)
s.Notify("grid arbitrage profit %f %s", baseProfit, s.Market.BaseCurrency)
}
}
} else if !s.Long && s.Quantity > 0 {
switch filledOrder.Side {
case types.SideTypeSell:
if buyOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok {
// use base asset quantity here
quoteProfit := (filledOrder.Quantity * filledOrder.Price) - (buyOrder.Quantity * buyOrder.Price)
s.state.ArbitrageProfit += fixedpoint.NewFromFloat(quoteProfit)
s.Notify("grid arbitrage profit %f %s", quoteProfit, s.Market.BaseCurrency)
}
case types.SideTypeBuy:
if sellOrder, ok := s.state.ArbitrageOrders[filledOrder.OrderID]; ok {
// use base asset quantity here
quoteProfit := (sellOrder.Quantity * sellOrder.Price) - (filledOrder.Quantity * filledOrder.Price)
s.state.ArbitrageProfit += fixedpoint.NewFromFloat(quoteProfit)
s.Notify("grid arbitrage profit %f %s", quoteProfit, s.Market.QuoteCurrency)
}
}
}
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
@ -464,10 +509,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.state = &State{
FilledBuyGrids: make(map[fixedpoint.Value]struct{}),
FilledSellGrids: make(map[fixedpoint.Value]struct{}),
ArbitrageOrders: make(map[uint64]types.Order),
Position: position,
}
}
if s.state.ArbitrageOrders == nil {
s.state.ArbitrageOrders = make(map[uint64]types.Order)
}
s.Notify("current position %+v", s.state.Position)
instanceID := fmt.Sprintf("grid-%s-%d", s.Symbol, s.GridNum)
@ -479,7 +529,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.
s.activeOrders = bbgo.NewLocalActiveOrderBook()
s.activeOrders.OnFilled(s.submitReverseOrder)
s.activeOrders.OnFilled(s.handleFilledOrder)
s.activeOrders.BindStream(session.Stream)
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {

2
pkg/types/order.go
View File

@ -167,7 +167,7 @@ func (o Order) Backup() SubmitOrder {
}
func (o Order) String() string {
return fmt.Sprintf("order %s %f/%f at %f -> %s", o.Side, o.ExecutedQuantity, o.Quantity, o.Price, o.Status)
return fmt.Sprintf("order %s %s %f/%f at %f -> %s", o.Symbol, o.Side, o.ExecutedQuantity, o.Quantity, o.Price, o.Status)
}
func (o Order) PlainText() string {