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xdepthmaker: simplify hedge

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This commit is contained in:
c9s 2024-09-23 22:16:53 +08:00
parent b02580f9f6
commit 61ea41d999
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GPG Key ID: 7385E7E464CB0A54
3 changed files with 19 additions and 38 deletions
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6
pkg/exchange/bitget/stream.go
View File

@ -435,13 +435,13 @@ func (s *Stream) handleOrderTradeEvent(m OrderTradeEvent) {
return
}
debugf("received %s (%s) OrderTradeEvent: %+v", m.instId, m.actionType, m)
debugf("received OrderTradeEvent %s (%s): %+v", m.instId, m.actionType, m)
for _, order := range m.Orders {
if order.TradeId == 0 {
debugf("%s order update #%d: %+v", m.instId, order.OrderId, order)
debugf("received %s order update #%d: %+v", m.instId, order.OrderId, order)
} else {
debugf("%s order update #%d and trade update #%d: %+v", m.instId, order.OrderId, order, order.TradeId)
debugf("received %s order update #%d and trade update #%d: %+v", m.instId, order.OrderId, order.TradeId, order)
}
globalOrder, err := order.toGlobalOrder()

32
pkg/strategy/xdepthmaker/strategy.go
View File

@ -16,6 +16,7 @@ import (
"github.com/c9s/bbgo/pkg/exchange/retry"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/strategy/xmaker"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
"github.com/c9s/bbgo/pkg/util/tradingutil"
@ -570,37 +571,15 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
// adjust quantity according to the balances
account := s.hedgeSession.GetAccount()
switch side {
case types.SideTypeBuy:
// check quote quantity
if quote, ok := account.Balance(s.hedgeMarket.QuoteCurrency); ok {
if quote.Available.Compare(notional) < 0 {
// adjust price to higher 0.1%, so that we can ensure that the order can be executed
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
quantity = s.hedgeMarket.TruncateQuantity(quantity)
}
}
case types.SideTypeSell:
// check quote quantity
if base, ok := account.Balance(s.hedgeMarket.BaseCurrency); ok {
if base.Available.Compare(quantity) < 0 {
quantity = base.Available
}
}
}
quantity = xmaker.AdjustHedgeQuantityWithAvailableBalance(account,
s.hedgeMarket, side, quantity, lastPrice)
// truncate quantity for the supported precision
quantity = s.hedgeMarket.TruncateQuantity(quantity)
if notional.Compare(s.hedgeMarket.MinNotional.Mul(minGap)) <= 0 {
log.Warnf("the adjusted amount %v is less than minimal notional %v, skipping hedge", notional, s.hedgeMarket.MinNotional)
return
}
if quantity.Compare(s.hedgeMarket.MinQuantity.Mul(minGap)) <= 0 {
log.Warnf("the adjusted quantity %v is less than minimal quantity %v, skipping hedge", quantity, s.hedgeMarket.MinQuantity)
if s.hedgeMarket.IsDustQuantity(quantity, lastPrice) {
log.Warnf("skip dust quantity: %s @ price %f", quantity.String(), lastPrice.Float64())
return
}
@ -613,7 +592,6 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
s.hedgeErrorRateReservation = nil
}
log.Infof("submitting %s hedge order %s %v", s.HedgeSymbol, side.String(), quantity)
bbgo.Notify("Submitting %s hedge order %s %v", s.HedgeSymbol, side.String(), quantity)
_, err := s.HedgeOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{

19
pkg/strategy/xmaker/strategy.go
View File

@ -1030,17 +1030,19 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances
return true, nil
}
func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
account *types.Account, side types.SideType, quantity, lastPrice fixedpoint.Value,
func AdjustHedgeQuantityWithAvailableBalance(
account *types.Account,
market types.Market,
side types.SideType, quantity, lastPrice fixedpoint.Value,
) fixedpoint.Value {
switch side {
case types.SideTypeBuy:
// check quote quantity
if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
if quote.Available.Compare(s.sourceMarket.MinNotional) < 0 {
if quote, ok := account.Balance(market.QuoteCurrency); ok {
if quote.Available.Compare(market.MinNotional) < 0 {
// adjust price to higher 0.1%, so that we can ensure that the order can be executed
availableQuote := s.sourceMarket.TruncateQuoteQuantity(quote.Available)
availableQuote := market.TruncateQuoteQuantity(quote.Available)
quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice, availableQuote)
}
@ -1048,7 +1050,7 @@ func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
case types.SideTypeSell:
// check quote quantity
if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
if base, ok := account.Balance(market.BaseCurrency); ok {
if base.Available.Compare(quantity) < 0 {
quantity = base.Available
}
@ -1056,7 +1058,7 @@ func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
}
// truncate the quantity to the supported precision
return s.sourceMarket.TruncateQuantity(quantity)
return market.TruncateQuantity(quantity)
}
func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
@ -1094,7 +1096,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
return
}
} else {
quantity = s.adjustHedgeQuantityWithAvailableBalance(account, side, quantity, lastPrice)
quantity = AdjustHedgeQuantityWithAvailableBalance(
account, s.sourceMarket, side, quantity, lastPrice)
}
// truncate quantity for the supported precision