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xfunding: add syncFundingFeeRecords method

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c9s 2023-03-26 14:54:27 +08:00
parent a3f96871e2
commit 4d1f691300
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2 changed files with 43 additions and 7 deletions
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2
config/xfunding.yaml
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@ -59,4 +59,4 @@ crossExchangeStrategies:
low: -0.01%
## reset will reset the spot/futures positions, the transfer stats and the position state.
reset: true
# reset: true

48
pkg/strategy/xfunding/strategy.go
View File

@ -9,7 +9,9 @@ import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/exchange/batch"
"github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/util/backoff"
@ -157,6 +159,8 @@ type Strategy struct {
spotOrderExecutor, futuresOrderExecutor *bbgo.GeneralOrderExecutor
spotMarket, futuresMarket types.Market
binanceFutures, binanceSpot *binance.Exchange
// positionType is the futures position type
// currently we only support short position for the positive funding rate
positionType types.PositionType
@ -255,11 +259,13 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.spotMarket, _ = s.spotSession.Market(s.Symbol)
s.futuresMarket, _ = s.futuresSession.Market(s.Symbol)
binanceFutures, ok := s.futuresSession.Exchange.(*binance.Exchange)
var ok bool
s.binanceFutures, ok = s.futuresSession.Exchange.(*binance.Exchange)
if !ok {
return errNotBinanceExchange
}
binanceSpot, ok := s.spotSession.Exchange.(*binance.Exchange)
s.binanceSpot, ok = s.spotSession.Exchange.(*binance.Exchange)
if !ok {
return errNotBinanceExchange
}
@ -283,9 +289,10 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
if s.ProfitStats == nil || s.Reset {
s.ProfitStats = &ProfitStats{
ProfitStats: types.NewProfitStats(s.Market),
// when receiving funding fee, the funding fee asset is the quote currency of that market.
FundingFeeCurrency: s.futuresMarket.QuoteCurrency,
TotalFundingFee: fixedpoint.Zero,
FundingFeeRecords: nil,
}
}
@ -307,6 +314,12 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
log.Infof("loaded spot position: %s", s.SpotPosition.String())
log.Infof("loaded futures position: %s", s.FuturesPosition.String())
log.Infof("loaded neutral position: %s", s.NeutralPosition.String())
// sync funding fee txns
if !s.ProfitStats.LastFundingFeeTime.IsZero() {
s.syncFundingFeeRecords(ctx, s.ProfitStats.LastFundingFeeTime)
}
s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
s.spotOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
@ -334,7 +347,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
// if we have trade, try to query the balance and transfer the balance to the futures wallet account
// TODO: handle missing trades here. If the process crashed during the transfer, how to recover?
if err := backoff.RetryGeneral(ctx, func() error {
return s.transferIn(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
return s.transferIn(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, trade)
}); err != nil {
log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
return
@ -358,7 +371,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
switch s.getPositionState() {
case PositionClosing:
if err := backoff.RetryGeneral(ctx, func() error {
return s.transferOut(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
return s.transferOut(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, trade)
}); err != nil {
log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
return
@ -368,7 +381,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
})
s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
s.queryAndDetectPremiumIndex(ctx, binanceFutures)
s.queryAndDetectPremiumIndex(ctx, s.binanceFutures)
}))
if binanceStream, ok := s.futuresSession.UserDataStream.(*binance.Stream); ok {
@ -448,6 +461,29 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
return nil
}
func (s *Strategy) syncFundingFeeRecords(ctx context.Context, since time.Time) {
now := time.Now()
q := batch.BinanceFuturesIncomeBatchQuery{
BinanceFuturesIncomeHistoryService: s.binanceFutures,
}
dataC, errC := q.Query(ctx, s.Symbol, binanceapi.FuturesIncomeFundingFee, since, now)
for {
select {
case <-ctx.Done():
return
case income := <-dataC:
log.Infof("income: %+v", income)
case err := <-errC:
log.WithError(err).Errorf("unable to query futures income history")
return
}
}
}
func (s *Strategy) queryAndDetectPremiumIndex(ctx context.Context, binanceFutures *binance.Exchange) {
premiumIndex, err := binanceFutures.QueryPremiumIndex(ctx, s.Symbol)
if err != nil {