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Merge pull request #1718 from c9s/c9s/xmaker/config-metrics
FEATURE: [xmaker] add more config metrics
This commit is contained in:
c9s
GitHub
commit
4af12a7e5d
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@ -26,18 +26,53 @@ var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
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Help: "",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var numOfLayersMetrics = prometheus.NewGaugeVec(
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var bidMarginMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_num_of_layers",
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Help: "",
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Name: "xmaker_bid_margin",
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Help: "the current bid margin (dynamic)",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var askMarginMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_ask_margin",
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Help: "the current ask margin (dynamic)",
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}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
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var configNumOfLayersMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_config_num_of_layers",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "symbol"})
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var configMaxExposureMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_config_max_exposure",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "symbol"})
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var configBidMarginMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_config_bid_margin",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "symbol"})
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var configAskMarginMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_config_ask_margin",
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Help: "",
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}, []string{"strategy_type", "strategy_id", "symbol"})
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func init() {
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prometheus.MustRegister(
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openOrderBidExposureInUsdMetrics,
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openOrderAskExposureInUsdMetrics,
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makerBestBidPriceMetrics,
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makerBestAskPriceMetrics,
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numOfLayersMetrics,
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bidMarginMetrics,
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askMarginMetrics,
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configNumOfLayersMetrics,
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configMaxExposureMetrics,
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configBidMarginMetrics,
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configAskMarginMetrics,
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)
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}
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@ -401,9 +401,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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bidExposureInUsd := fixedpoint.Zero
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askExposureInUsd := fixedpoint.Zero
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bidPrice := bestBidPrice
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askPrice := bestAskPrice
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bidMarginMetrics.With(labels).Set(bidMargin.Float64())
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askMarginMetrics.With(labels).Set(askMargin.Float64())
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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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@ -430,13 +433,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
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if i > 0 && pips.Sign() > 0 {
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if i == 0 {
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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} else if i > 0 && pips.Sign() > 0 {
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bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
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Mul(s.makerMarket.TickSize)))
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}
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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// if we bought, then we need to sell the base from the hedge session
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submitOrders = append(submitOrders, types.SubmitOrder{
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@ -487,12 +490,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
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if i > 0 && pips.Sign() > 0 {
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if i == 0 {
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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} else if i > 0 && pips.Sign() > 0 {
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askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
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}
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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// if we bought, then we need to sell the base from the hedge session
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@ -753,6 +756,7 @@ func (s *Strategy) Defaults() error {
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// circuitBreakerAlertLimiter is for CircuitBreaker alerts
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s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
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s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
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s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
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return nil
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}
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@ -773,8 +777,8 @@ func (s *Strategy) Validate() error {
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}
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func (s *Strategy) quoteWorker(ctx context.Context) {
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quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
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defer quoteTicker.Stop()
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ticker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
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defer ticker.Stop()
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defer func() {
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if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
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@ -793,7 +797,7 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
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log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
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return
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case <-quoteTicker.C:
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case <-ticker.C:
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s.updateQuote(ctx)
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}
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@ -848,7 +852,7 @@ func (s *Strategy) CrossRun(
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ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
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) error {
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s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
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instanceID := s.InstanceID()
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// configure sessions
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sourceSession, ok := sessions[s.SourceExchange]
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@ -880,9 +884,6 @@ func (s *Strategy) CrossRun(
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}
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indicators := s.sourceSession.Indicators(s.Symbol)
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if !ok {
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return fmt.Errorf("%s standard indicator set not found", s.Symbol)
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}
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s.boll = indicators.BOLL(types.IntervalWindow{
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Interval: s.BollBandInterval,
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@ -890,10 +891,15 @@ func (s *Strategy) CrossRun(
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}, 1.0)
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// restore state
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instanceID := s.InstanceID()
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s.groupID = util.FNV32(instanceID)
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log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
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configLabels := prometheus.Labels{"strategy_id": s.InstanceID(), "strategy_type": ID, "symbol": s.Symbol}
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configNumOfLayersMetrics.With(configLabels).Set(float64(s.NumLayers))
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configMaxExposureMetrics.With(configLabels).Set(s.MaxExposurePosition.Float64())
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configBidMarginMetrics.With(configLabels).Set(s.BidMargin.Float64())
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configAskMarginMetrics.With(configLabels).Set(s.AskMargin.Float64())
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.makerMarket)
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s.Position.Strategy = ID
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@ -1037,8 +1043,12 @@ func (s *Strategy) CrossRun(
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go s.quoteWorker(ctx)
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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// the ctx here is the shutdown context (not the strategy context)
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// defer work group done to mark the strategy as stopped
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defer wg.Done()
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// send stop signal to the quoteWorker
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close(s.stopC)
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// wait for the quoter to stop
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@ -1048,7 +1058,7 @@ func (s *Strategy) CrossRun(
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log.WithError(err).Errorf("graceful cancel error")
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}
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bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
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bbgo.Notify("Shutting down %s %s", ID, s.Symbol, s.Position)
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})
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return nil
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