mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
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
|
|
@ -26,18 +26,53 @@ var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
|
|||
Help: "",
|
||||
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
|
||||
|
||||
var numOfLayersMetrics = prometheus.NewGaugeVec(
|
||||
var bidMarginMetrics = prometheus.NewGaugeVec(
|
||||
prometheus.GaugeOpts{
|
||||
Name: "xmaker_num_of_layers",
|
||||
Help: "",
|
||||
Name: "xmaker_bid_margin",
|
||||
Help: "the current bid margin (dynamic)",
|
||||
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
|
||||
|
||||
var askMarginMetrics = prometheus.NewGaugeVec(
|
||||
prometheus.GaugeOpts{
|
||||
Name: "xmaker_ask_margin",
|
||||
Help: "the current ask margin (dynamic)",
|
||||
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
|
||||
|
||||
var configNumOfLayersMetrics = prometheus.NewGaugeVec(
|
||||
prometheus.GaugeOpts{
|
||||
Name: "xmaker_config_num_of_layers",
|
||||
Help: "",
|
||||
}, []string{"strategy_type", "strategy_id", "symbol"})
|
||||
|
||||
var configMaxExposureMetrics = prometheus.NewGaugeVec(
|
||||
prometheus.GaugeOpts{
|
||||
Name: "xmaker_config_max_exposure",
|
||||
Help: "",
|
||||
}, []string{"strategy_type", "strategy_id", "symbol"})
|
||||
|
||||
var configBidMarginMetrics = prometheus.NewGaugeVec(
|
||||
prometheus.GaugeOpts{
|
||||
Name: "xmaker_config_bid_margin",
|
||||
Help: "",
|
||||
}, []string{"strategy_type", "strategy_id", "symbol"})
|
||||
|
||||
var configAskMarginMetrics = prometheus.NewGaugeVec(
|
||||
prometheus.GaugeOpts{
|
||||
Name: "xmaker_config_ask_margin",
|
||||
Help: "",
|
||||
}, []string{"strategy_type", "strategy_id", "symbol"})
|
||||
|
||||
func init() {
|
||||
prometheus.MustRegister(
|
||||
openOrderBidExposureInUsdMetrics,
|
||||
openOrderAskExposureInUsdMetrics,
|
||||
makerBestBidPriceMetrics,
|
||||
makerBestAskPriceMetrics,
|
||||
numOfLayersMetrics,
|
||||
bidMarginMetrics,
|
||||
askMarginMetrics,
|
||||
configNumOfLayersMetrics,
|
||||
configMaxExposureMetrics,
|
||||
configBidMarginMetrics,
|
||||
configAskMarginMetrics,
|
||||
)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -401,9 +401,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
|
||||
bidExposureInUsd := fixedpoint.Zero
|
||||
askExposureInUsd := fixedpoint.Zero
|
||||
|
||||
bidPrice := bestBidPrice
|
||||
askPrice := bestAskPrice
|
||||
|
||||
bidMarginMetrics.With(labels).Set(bidMargin.Float64())
|
||||
askMarginMetrics.With(labels).Set(askMargin.Float64())
|
||||
|
||||
for i := 0; i < s.NumLayers; i++ {
|
||||
// for maker bid orders
|
||||
if !disableMakerBid {
|
||||
|
|
@ -430,13 +433,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
}
|
||||
|
||||
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
|
||||
if i > 0 && pips.Sign() > 0 {
|
||||
if i == 0 {
|
||||
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
|
||||
} else if i > 0 && pips.Sign() > 0 {
|
||||
bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
|
||||
Mul(s.makerMarket.TickSize)))
|
||||
}
|
||||
|
||||
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
|
||||
|
||||
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
|
||||
// if we bought, then we need to sell the base from the hedge session
|
||||
submitOrders = append(submitOrders, types.SubmitOrder{
|
||||
|
|
@ -487,12 +490,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
}
|
||||
|
||||
askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
|
||||
if i > 0 && pips.Sign() > 0 {
|
||||
if i == 0 {
|
||||
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
|
||||
} else if i > 0 && pips.Sign() > 0 {
|
||||
askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
|
||||
}
|
||||
|
||||
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
|
||||
|
||||
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
|
||||
|
||||
// if we bought, then we need to sell the base from the hedge session
|
||||
|
|
@ -753,6 +756,7 @@ func (s *Strategy) Defaults() error {
|
|||
// circuitBreakerAlertLimiter is for CircuitBreaker alerts
|
||||
s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
|
||||
s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
|
||||
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
|
||||
return nil
|
||||
}
|
||||
|
||||
|
|
@ -773,8 +777,8 @@ func (s *Strategy) Validate() error {
|
|||
}
|
||||
|
||||
func (s *Strategy) quoteWorker(ctx context.Context) {
|
||||
quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
|
||||
defer quoteTicker.Stop()
|
||||
ticker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
|
||||
defer ticker.Stop()
|
||||
|
||||
defer func() {
|
||||
if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
|
||||
|
|
@ -793,7 +797,7 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
|
|||
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
|
||||
return
|
||||
|
||||
case <-quoteTicker.C:
|
||||
case <-ticker.C:
|
||||
s.updateQuote(ctx)
|
||||
|
||||
}
|
||||
|
|
@ -848,7 +852,7 @@ func (s *Strategy) CrossRun(
|
|||
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
|
||||
) error {
|
||||
|
||||
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
|
||||
instanceID := s.InstanceID()
|
||||
|
||||
// configure sessions
|
||||
sourceSession, ok := sessions[s.SourceExchange]
|
||||
|
|
@ -880,9 +884,6 @@ func (s *Strategy) CrossRun(
|
|||
}
|
||||
|
||||
indicators := s.sourceSession.Indicators(s.Symbol)
|
||||
if !ok {
|
||||
return fmt.Errorf("%s standard indicator set not found", s.Symbol)
|
||||
}
|
||||
|
||||
s.boll = indicators.BOLL(types.IntervalWindow{
|
||||
Interval: s.BollBandInterval,
|
||||
|
|
@ -890,10 +891,15 @@ func (s *Strategy) CrossRun(
|
|||
}, 1.0)
|
||||
|
||||
// restore state
|
||||
instanceID := s.InstanceID()
|
||||
s.groupID = util.FNV32(instanceID)
|
||||
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
|
||||
|
||||
configLabels := prometheus.Labels{"strategy_id": s.InstanceID(), "strategy_type": ID, "symbol": s.Symbol}
|
||||
configNumOfLayersMetrics.With(configLabels).Set(float64(s.NumLayers))
|
||||
configMaxExposureMetrics.With(configLabels).Set(s.MaxExposurePosition.Float64())
|
||||
configBidMarginMetrics.With(configLabels).Set(s.BidMargin.Float64())
|
||||
configAskMarginMetrics.With(configLabels).Set(s.AskMargin.Float64())
|
||||
|
||||
if s.Position == nil {
|
||||
s.Position = types.NewPositionFromMarket(s.makerMarket)
|
||||
s.Position.Strategy = ID
|
||||
|
|
@ -1037,8 +1043,12 @@ func (s *Strategy) CrossRun(
|
|||
go s.quoteWorker(ctx)
|
||||
|
||||
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
// the ctx here is the shutdown context (not the strategy context)
|
||||
|
||||
// defer work group done to mark the strategy as stopped
|
||||
defer wg.Done()
|
||||
|
||||
// send stop signal to the quoteWorker
|
||||
close(s.stopC)
|
||||
|
||||
// wait for the quoter to stop
|
||||
|
|
@ -1048,7 +1058,7 @@ func (s *Strategy) CrossRun(
|
|||
log.WithError(err).Errorf("graceful cancel error")
|
||||
}
|
||||
|
||||
bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
|
||||
bbgo.Notify("Shutting down %s %s", ID, s.Symbol, s.Position)
|
||||
})
|
||||
|
||||
return nil
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user