mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-21 22:43:52 +00:00
xmaker: reset and set position start time
This commit is contained in:
parent
b137707723
commit
59862303aa
|
@ -136,6 +136,10 @@ type Strategy struct {
|
|||
DepthQuantity fixedpoint.Value `json:"depthQuantity"`
|
||||
SourceDepthLevel types.Depth `json:"sourceDepthLevel"`
|
||||
|
||||
// MaxHedgeDelayDuration is the maximum delay duration to hedge the position
|
||||
MaxDelayHedgeDuration types.Duration `json:"maxHedgeDelayDuration"`
|
||||
DelayHedgeSignalThreshold float64 `json:"delayHedgeSignalThreshold"`
|
||||
|
||||
EnableBollBandMargin bool `json:"enableBollBandMargin"`
|
||||
BollBandInterval types.Interval `json:"bollBandInterval"`
|
||||
BollBandMargin fixedpoint.Value `json:"bollBandMargin"`
|
||||
|
@ -230,6 +234,9 @@ type Strategy struct {
|
|||
// lastAggregatedSignal stores the last aggregated signal with mutex
|
||||
// TODO: use float64 series instead, so that we can store history signal values
|
||||
lastAggregatedSignal MutexFloat64
|
||||
|
||||
positionStartedAt *time.Time
|
||||
positionStartedAtMutex sync.Mutex
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
|
@ -335,6 +342,34 @@ func (s *Strategy) getBollingerTrend(quote *Quote) int {
|
|||
}
|
||||
}
|
||||
|
||||
// setPositionStartTime sets the position start time only if it's not set
|
||||
func (s *Strategy) setPositionStartTime(now time.Time) {
|
||||
s.positionStartedAtMutex.Lock()
|
||||
if s.positionStartedAt == nil {
|
||||
s.positionStartedAt = &now
|
||||
}
|
||||
|
||||
s.positionStartedAtMutex.Unlock()
|
||||
}
|
||||
|
||||
func (s *Strategy) resetPositionStartTime() {
|
||||
s.positionStartedAtMutex.Lock()
|
||||
s.positionStartedAt = nil
|
||||
s.positionStartedAtMutex.Unlock()
|
||||
}
|
||||
|
||||
func (s *Strategy) getPositionHoldingPeriod(now time.Time) (time.Duration, bool) {
|
||||
s.positionStartedAtMutex.Lock()
|
||||
startedAt := s.positionStartedAt
|
||||
s.positionStartedAtMutex.Unlock()
|
||||
|
||||
if startedAt == nil || startedAt.IsZero() {
|
||||
return 0, false
|
||||
}
|
||||
|
||||
return now.Sub(*startedAt), true
|
||||
}
|
||||
|
||||
func (s *Strategy) applySignalMargin(ctx context.Context, quote *Quote) error {
|
||||
signal, err := s.aggregateSignal(ctx)
|
||||
if err != nil {
|
||||
|
@ -1160,7 +1195,7 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
|
|||
if s.sourceSession.Margin {
|
||||
// check the margin level
|
||||
if !s.MinMarginLevel.IsZero() && !account.MarginLevel.IsZero() && account.MarginLevel.Compare(s.MinMarginLevel) < 0 {
|
||||
log.Errorf("margin level %f is too low (< %f), skip hedge", account.MarginLevel.Float64(), s.MinMarginLevel.Float64())
|
||||
s.logger.Errorf("margin level %f is too low (< %f), skip hedge", account.MarginLevel.Float64(), s.MinMarginLevel.Float64())
|
||||
return
|
||||
}
|
||||
} else {
|
||||
|
@ -1172,7 +1207,7 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
|
|||
quantity = s.sourceMarket.TruncateQuantity(quantity)
|
||||
|
||||
if s.sourceMarket.IsDustQuantity(quantity, lastPrice) {
|
||||
log.Warnf("skip dust quantity: %s @ price %f", quantity.String(), lastPrice.Float64())
|
||||
s.logger.Warnf("skip dust quantity: %s @ price %f", quantity.String(), lastPrice.Float64())
|
||||
return
|
||||
}
|
||||
|
||||
|
@ -1180,6 +1215,7 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
|
|||
if !s.hedgeErrorRateReservation.OK() {
|
||||
return
|
||||
}
|
||||
|
||||
bbgo.Notify("Hit hedge error rate limit, waiting...")
|
||||
time.Sleep(s.hedgeErrorRateReservation.Delay())
|
||||
s.hedgeErrorRateReservation = nil
|
||||
|
@ -1355,15 +1391,17 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
|
|||
select {
|
||||
|
||||
case <-s.stopC:
|
||||
log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
|
||||
s.logger.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
|
||||
return
|
||||
|
||||
case <-ctx.Done():
|
||||
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
|
||||
s.logger.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
|
||||
return
|
||||
|
||||
case <-ticker.C:
|
||||
s.updateQuote(ctx)
|
||||
if err := s.updateQuote(ctx); err != nil {
|
||||
s.logger.WithError(err).Errorf("unable to place maker orders")
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
|
@ -1379,11 +1417,11 @@ func (s *Strategy) accountUpdater(ctx context.Context) {
|
|||
|
||||
case <-ticker.C:
|
||||
if _, err := s.sourceSession.UpdateAccount(ctx); err != nil {
|
||||
log.WithError(err).Errorf("unable to update account")
|
||||
s.logger.WithError(err).Errorf("unable to update account")
|
||||
}
|
||||
|
||||
if err := s.accountValueCalculator.UpdatePrices(ctx); err != nil {
|
||||
log.WithError(err).Errorf("unable to update account value with prices")
|
||||
s.logger.WithError(err).Errorf("unable to update account value with prices")
|
||||
return
|
||||
}
|
||||
|
||||
|
@ -1405,7 +1443,7 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
|
|||
case <-ctx.Done():
|
||||
return
|
||||
|
||||
case <-ticker.C:
|
||||
case tt := <-ticker.C:
|
||||
// For positive position and positive covered position:
|
||||
// uncover position = +5 - +3 (covered position) = 2
|
||||
//
|
||||
|
@ -1420,11 +1458,17 @@ func (s *Strategy) hedgeWorker(ctx context.Context) {
|
|||
|
||||
position := s.Position.GetBase()
|
||||
|
||||
if position.IsZero() || s.Position.IsDust() {
|
||||
s.resetPositionStartTime()
|
||||
} else {
|
||||
s.setPositionStartTime(tt)
|
||||
}
|
||||
|
||||
coveredPosition := s.CoveredPosition.Get()
|
||||
uncoverPosition := position.Sub(coveredPosition)
|
||||
absPos := uncoverPosition.Abs()
|
||||
if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
|
||||
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
|
||||
s.logger.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
|
||||
s.Symbol,
|
||||
position,
|
||||
coveredPosition,
|
||||
|
|
Loading…
Reference in New Issue
Block a user