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xfunding: adjust quoteInvestment according to the quote balance

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c9s 2023-03-23 00:40:20 +08:00
parent 684f6c6e1d
commit 6668d683e1
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 45 additions and 8 deletions
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53
pkg/strategy/xfunding/strategy.go
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@ -186,12 +186,26 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
instanceID := s.InstanceID()
s.usedQuoteInvestment = fixedpoint.Zero
s.spotSession = sessions[s.SpotSession]
s.futuresSession = sessions[s.FuturesSession]
s.spotMarket, _ = s.spotSession.Market(s.Symbol)
s.futuresMarket, _ = s.futuresSession.Market(s.Symbol)
// adjust QuoteInvestment
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
s.QuoteInvestment = fixedpoint.Min(b.Available, s.QuoteInvestment)
if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
log.Infof("adjusted quoteInvestment from %s to %s according to the balance",
originalQuoteInvestment.String(),
s.QuoteInvestment.String(),
)
}
}
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.Market)
}
@ -204,6 +218,10 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
}
binanceFutures := s.futuresSession.Exchange.(*binance.Exchange)
binanceSpot := s.spotSession.Exchange.(*binance.Exchange)
_ = binanceSpot
s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
s.spotOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
// we act differently on the spot account
@ -224,14 +242,15 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.usedQuoteInvestment = s.usedQuoteInvestment.Add(trade.QuoteQuantity)
if s.usedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
s.positionAction = PositionNoOp
// 1) if we have trade, try to query the balance and transfer the balance to the futures wallet account
// 2) transferred successfully, sync futures position
// 3) compare spot position and futures position, increase the position size until they are the same size
}
// 1) if we have trade, try to query the balance and transfer the balance to the futures wallet account
// balances, err := binanceSpot.QueryAccountBalances(ctx)
// 2) transferred successfully, sync futures position
// 3) compare spot position and futures position, increase the position size until they are the same size
case PositionClosing:
if trade.Side != types.SideTypeBuy {
log.Errorf("unexpected trade side: %+v, expecting BUY trade", trade)
@ -244,9 +263,8 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.futuresOrderExecutor = s.allocateOrderExecutor(ctx, s.futuresSession, instanceID, s.FuturesPosition)
binanceExchange := s.futuresSession.Exchange.(*binance.Exchange)
s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
premiumIndex, err := binanceExchange.QueryPremiumIndex(ctx, s.Symbol)
premiumIndex, err := binanceFutures.QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
log.WithError(err).Error("premium index query error")
return
@ -263,6 +281,25 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
return nil
}
// TODO: replace type binance.Exchange with an interface
func (s *Strategy) transferIn(ctx context.Context, ex *binance.Exchange, trade types.Trade) error {
balances, err := ex.QueryAccountBalances(ctx)
if err != nil {
return err
}
b, ok := balances[s.spotMarket.BaseCurrency]
if !ok {
return nil
}
// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity
if b.Available.Compare(trade.Quantity) >= 0 {
}
return nil
}
func (s *Strategy) syncSpotPosition(ctx context.Context) {
ticker, err := s.spotSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {