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add stopHedgeQuoteBalance and stopHedgeBaseBalance

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This commit is contained in:
c9s 2021-05-11 12:47:45 +08:00
parent d2a770bc05
commit 5f8e3259eb
1 changed files with 18 additions and 4 deletions
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22
pkg/strategy/xmaker/strategy.go
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@ -65,6 +65,9 @@ type Strategy struct {
BidMargin fixedpoint.Value `json:"bidMargin"`
AskMargin fixedpoint.Value `json:"askMargin"`
StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
// Quantity is used for fixed quantity of the first layer
Quantity fixedpoint.Value `json:"quantity"`
@ -74,11 +77,18 @@ type Strategy struct {
// QuantityScale helps user to define the quantity by layer scale
QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
// MaxExposurePosition defines the unhedged quantity of stop
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
DisableHedge bool `json:"disableHedge"`
DisableHedge bool `json:"disableHedge"`
NumLayers int `json:"numLayers"`
Pips int `json:"pips"`
// Pips is the pips of the layer prices
Pips int `json:"pips"`
// --------------------------------
// private field
makerSession *bbgo.ExchangeSession
sourceSession *bbgo.ExchangeSession
@ -203,7 +213,9 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if b, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
// to make bid orders, we need enough base asset in the foreign exchange,
// if the base asset balance is not enough for selling
if b.Available.Float64() > s.sourceMarket.MinQuantity {
if s.StopHedgeBaseBalance > 0 && b.Available > (s.StopHedgeBaseBalance + fixedpoint.NewFromFloat(s.sourceMarket.MinQuantity)) {
hedgeQuota.BaseAsset.Add(b.Available - s.StopHedgeBaseBalance - fixedpoint.NewFromFloat(s.sourceMarket.MinQuantity))
} else if b.Available.Float64() > s.sourceMarket.MinQuantity {
hedgeQuota.BaseAsset.Add(b.Available)
} else {
disableMakerBid = true
@ -213,7 +225,9 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if b, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
// to make ask orders, we need enough quote asset in the foreign exchange,
// if the quote asset balance is not enough for buying
if b.Available.Float64() > s.sourceMarket.MinNotional {
if s.StopHedgeQuoteBalance > 0 && b.Available > (s.StopHedgeQuoteBalance + fixedpoint.NewFromFloat(s.sourceMarket.MinNotional)) {
hedgeQuota.QuoteAsset.Add(b.Available - s.StopHedgeQuoteBalance - fixedpoint.NewFromFloat(s.sourceMarket.MinNotional))
} else if b.Available.Float64() > s.sourceMarket.MinNotional {
hedgeQuota.QuoteAsset.Add(b.Available)
} else {
disableMakerAsk = true