lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

xfunding: add premium checker

Browse Source
This commit is contained in:
c9s 2023-03-22 22:15:01 +08:00
parent 3c69ccc25a
commit 6265ad248e
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 27 additions and 75 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

102
pkg/strategy/xfunding/strategy.go
View File

@ -44,10 +44,12 @@ type Strategy struct {
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
// Interval types.Interval `json:"interval"`
FundingRate *struct {
High fixedpoint.Value `json:"high"`
Neutral fixedpoint.Value `json:"neutral"`
} `json:"fundingRate"`
// ShortFundingRate is the funding rate range for short positions
// TODO: right now we don't support negative funding rate (long position) since it's rarer
ShortFundingRate *struct {
High fixedpoint.Value `json:"high"`
Low fixedpoint.Value `json:"low"`
} `json:"shortFundingRate"`
SupportDetection []struct {
Interval types.Interval `json:"interval"`
@ -86,6 +88,7 @@ type Strategy struct {
// positionAction is default to NoOp
positionAction PositionAction
positionType types.PositionType
}
func (s *Strategy) ID() string {
@ -167,77 +170,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
premiumIndex, err := session.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.Error("exchange does not support funding rate api")
}
// skip k-lines from other symbols
for _, detection := range s.SupportDetection {
var lastMA = ma.Last()
closePrice := kline.GetClose()
closePriceF := closePrice.Float64()
// skip if the closed price is under the moving average
if closePriceF < lastMA {
log.Infof("skip %s closed price %v < last ma %f", s.Symbol, closePrice, lastMA)
return
}
fundingRate := premiumIndex.LastFundingRate
if fundingRate.Compare(s.FundingRate.High) >= 0 {
bbgo.Notify("%s funding rate %s is too high! threshold %s",
s.Symbol,
fundingRate.Percentage(),
s.FundingRate.High.Percentage(),
)
} else {
log.Infof("skip funding rate is too low")
return
}
prettyBaseVolume := s.Market.BaseCurrencyFormatter()
prettyQuoteVolume := s.Market.QuoteCurrencyFormatter()
if detection.MinVolume.Sign() > 0 && kline.Volume.Compare(detection.MinVolume) > 0 {
bbgo.Notify("Detected %s %s resistance base volume %s > min base volume %s, quote volume %s",
s.Symbol, detection.Interval.String(),
prettyBaseVolume.FormatMoney(kline.Volume.Trunc()),
prettyBaseVolume.FormatMoney(detection.MinVolume.Trunc()),
prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()),
)
bbgo.Notify(kline)
baseBalance, ok := session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
return
}
if baseBalance.Available.Sign() > 0 && baseBalance.Total().Compare(s.MaxExposurePosition) < 0 {
log.Infof("opening a short position")
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: s.Quantity,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
}
} else if detection.MinQuoteVolume.Sign() > 0 && kline.QuoteVolume.Compare(detection.MinQuoteVolume) > 0 {
bbgo.Notify("Detected %s %s resistance quote volume %s > min quote volume %s, base volume %s",
s.Symbol, detection.Interval.String(),
prettyQuoteVolume.FormatMoney(kline.QuoteVolume.Trunc()),
prettyQuoteVolume.FormatMoney(detection.MinQuoteVolume.Trunc()),
prettyBaseVolume.FormatMoney(kline.Volume.Trunc()),
)
bbgo.Notify(kline)
}
}
}))
return nil
}
@ -265,6 +197,26 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
s.futuresOrderExecutor = s.allocateOrderExecutor(ctx, s.futuresSession, instanceID, s.FuturesPosition)
s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
premiumIndex, err := s.futuresSession.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.WithError(err).Error("premium index query error")
return
}
fundingRate := premiumIndex.LastFundingRate
if s.ShortFundingRate != nil {
if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
s.positionAction = PositionOpening
s.positionType = types.PositionShort
} else if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
s.positionAction = PositionClosing
}
}
}))
return nil
}