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xfunding: refactor and refine PositionState checking

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c9s 2023-03-24 00:52:36 +08:00
parent c1fbbbe400
commit 62e6b232ed
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2 changed files with 45 additions and 46 deletions
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9
pkg/strategy/xfunding/positionstate_string.go
View File

@ -8,14 +8,15 @@ func _() {
// An "invalid array index" compiler error signifies that the constant values have changed.
// Re-run the stringer command to generate them again.
var x [1]struct{}
_ = x[PositionNoOp-0]
_ = x[PositionClosed-0]
_ = x[PositionOpening-1]
_ = x[PositionClosing-2]
_ = x[PositionReady-2]
_ = x[PositionClosing-3]
}
const _PositionState_name = "PositionNoOpPositionOpeningPositionClosing"
const _PositionState_name = "PositionClosedPositionOpeningPositionReadyPositionClosing"
var _PositionState_index = [...]uint8{0, 12, 27, 42}
var _PositionState_index = [...]uint8{0, 14, 29, 42, 57}
func (i PositionState) String() string {
if i < 0 || i >= PositionState(len(_PositionState_index)-1) {

82
pkg/strategy/xfunding/strategy.go
View File

@ -21,15 +21,16 @@ import (
const ID = "xfunding"
// Position State Transitions:
// NoOp -> Opening | Closing
// Opening -> NoOp -> Closing
// Closing -> NoOp -> Opening
// NoOp -> Opening
// Opening -> Ready -> Closing
// Closing -> Closed -> Opening
//go:generate stringer -type=PositionState
type PositionState int
const (
PositionNoOp PositionState = iota
PositionClosed PositionState = iota
PositionOpening
PositionReady
PositionClosing
)
@ -142,16 +143,7 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
})
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
for _, detection := range s.SupportDetection {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: detection.Interval,
})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: detection.MovingAverageIntervalWindow.Interval,
})
}
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
func (s *Strategy) Defaults() error {
if s.Leverage.IsZero() {
@ -257,7 +249,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
if s.State == nil {
s.State = &State{
PositionState: PositionNoOp,
PositionState: PositionClosed,
PendingBaseTransfer: fixedpoint.Zero,
TotalBaseTransfer: fixedpoint.Zero,
UsedQuoteInvestment: fixedpoint.Zero,
@ -295,7 +287,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.State.UsedQuoteInvestment = s.State.UsedQuoteInvestment.Add(trade.QuoteQuantity)
if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
s.State.PositionState = PositionNoOp
s.State.PositionState = PositionClosed
}
// if we have trade, try to query the balance and transfer the balance to the futures wallet account
@ -391,7 +383,7 @@ func (s *Strategy) triggerPositionAction(ctx context.Context) {
func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
switch s.State.PositionState {
case PositionOpening, PositionNoOp:
case PositionOpening, PositionClosed:
return
}
@ -452,7 +444,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
switch s.State.PositionState {
case PositionClosing:
return
case PositionOpening, PositionNoOp:
case PositionOpening, PositionClosed:
}
spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
@ -539,16 +531,16 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
return
}
s.mu.Lock()
defer s.mu.Unlock()
if s.State.PositionState != PositionOpening {
return
}
s.mu.Lock()
defer s.mu.Unlock()
if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
// stop increase the position
s.State.PositionState = PositionNoOp
s.State.PositionState = PositionReady
return
}
@ -595,7 +587,7 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
}
func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed bool) {
if s.State.PositionState != PositionNoOp {
if s.State.PositionState != PositionClosed {
return changed
}
@ -607,34 +599,39 @@ func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed
return changed
}
if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
switch s.State.PositionState {
log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
case PositionClosed:
if fundingRate.Compare(s.ShortFundingRate.High) >= 0 {
log.Infof("funding rate %s is higher than the High threshold %s, start opening position...",
fundingRate.Percentage(), s.ShortFundingRate.High.Percentage())
s.startOpeningPosition(types.PositionShort, premiumIndex.Time)
changed = true
} else if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
log.Infof("funding rate %s is lower than the Low threshold %s, start closing position...",
fundingRate.Percentage(), s.ShortFundingRate.Low.Percentage())
holdingPeriod := premiumIndex.Time.Sub(s.State.PositionStartTime)
if holdingPeriod < time.Duration(s.MinHoldingPeriod) {
log.Warnf("position holding period %s is less than %s, skip closing", holdingPeriod, s.MinHoldingPeriod)
return
s.startOpeningPosition(types.PositionShort, premiumIndex.Time)
changed = true
}
s.startClosingPosition()
changed = true
case PositionReady:
if fundingRate.Compare(s.ShortFundingRate.Low) <= 0 {
log.Infof("funding rate %s is lower than the Low threshold %s, start closing position...",
fundingRate.Percentage(), s.ShortFundingRate.Low.Percentage())
holdingPeriod := premiumIndex.Time.Sub(s.State.PositionStartTime)
if holdingPeriod < time.Duration(s.MinHoldingPeriod) {
log.Warnf("position holding period %s is less than %s, skip closing", holdingPeriod, s.MinHoldingPeriod)
return
}
s.startClosingPosition()
changed = true
}
}
return changed
}
func (s *Strategy) startOpeningPosition(pt types.PositionType, t time.Time) {
// we should only open a new position when there is no op on the position
if s.State.PositionState != PositionNoOp {
// only open a new position when there is no position
if s.State.PositionState != PositionClosed {
return
}
@ -648,7 +645,8 @@ func (s *Strategy) startOpeningPosition(pt types.PositionType, t time.Time) {
}
func (s *Strategy) startClosingPosition() {
if s.State.PositionState != PositionNoOp {
// we can't close a position that is not ready
if s.State.PositionState != PositionReady {
return
}