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xalign: fix reversed market

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This commit is contained in:
c9s 2024-03-15 15:57:17 +08:00
parent f618485536
commit 6831c40371
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 19 additions and 4 deletions
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23
pkg/strategy/xalign/strategy.go
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@ -90,7 +90,9 @@ func (s *Strategy) Validate() error {
return nil
}
func (s *Strategy) aggregateBalances(ctx context.Context, sessions map[string]*bbgo.ExchangeSession) (totalBalances types.BalanceMap, sessionBalances map[string]types.BalanceMap) {
func (s *Strategy) aggregateBalances(
ctx context.Context, sessions map[string]*bbgo.ExchangeSession,
) (totalBalances types.BalanceMap, sessionBalances map[string]types.BalanceMap) {
totalBalances = make(types.BalanceMap)
sessionBalances = make(map[string]types.BalanceMap)
@ -112,7 +114,9 @@ func (s *Strategy) aggregateBalances(ctx context.Context, sessions map[string]*b
return totalBalances, sessionBalances
}
func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[string]*bbgo.ExchangeSession, currency string, changeQuantity fixedpoint.Value) (*bbgo.ExchangeSession, *types.SubmitOrder) {
func (s *Strategy) selectSessionForCurrency(
ctx context.Context, sessions map[string]*bbgo.ExchangeSession, currency string, changeQuantity fixedpoint.Value,
) (*bbgo.ExchangeSession, *types.SubmitOrder) {
for _, sessionName := range s.PreferredSessions {
session := sessions[sessionName]
@ -128,10 +132,19 @@ func (s *Strategy) selectSessionForCurrency(ctx context.Context, sessions map[st
}
for _, quoteCurrency := range quoteCurrencies {
// check both quoteCurrency/currency and currency/quoteCurrency
symbol := currency + quoteCurrency
market, ok := session.Market(symbol)
if !ok {
continue
// for TWD in USDT/TWD market, buy TWD means sell USDT
symbol = quoteCurrency + currency
market, ok = session.Market(symbol)
if !ok {
continue
}
// reverse side
side = side.Reverse()
}
ticker, err := session.Exchange.QueryTicker(ctx, symbol)
@ -376,7 +389,9 @@ func (s *Strategy) align(ctx context.Context, sessions map[string]*bbgo.Exchange
}
}
func (s *Strategy) calculateRefillQuantity(totalBalances types.BalanceMap, currency string, expectedBalance fixedpoint.Value) fixedpoint.Value {
func (s *Strategy) calculateRefillQuantity(
totalBalances types.BalanceMap, currency string, expectedBalance fixedpoint.Value,
) fixedpoint.Value {
if b, ok := totalBalances[currency]; ok {
netBalance := b.Net()
return expectedBalance.Sub(netBalance)