From 6c91af2392cb1491933db26fe2a81f5a90bb9d94 Mon Sep 17 00:00:00 2001 From: c9s Date: Thu, 14 Jul 2022 17:36:03 +0800 Subject: [PATCH] pivotshort: improve useQuantityOrBaseBalance --- pkg/strategy/pivotshort/breaklow.go | 67 ++++++++++++++++++++++++----- 1 file changed, 56 insertions(+), 11 deletions(-) diff --git a/pkg/strategy/pivotshort/breaklow.go b/pkg/strategy/pivotshort/breaklow.go index f7e8361f7..f029daa6b 100644 --- a/pkg/strategy/pivotshort/breaklow.go +++ b/pkg/strategy/pivotshort/breaklow.go @@ -2,10 +2,12 @@ package pivotshort import ( "context" + "fmt" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/indicator" + "github.com/c9s/bbgo/pkg/risk" "github.com/c9s/bbgo/pkg/types" ) @@ -168,7 +170,16 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener // graceful cancel all active orders _ = orderExecutor.GracefulCancel(ctx) - quantity := s.useQuantityOrBaseBalance(s.Quantity) + leverage := fixedpoint.NewFromInt(5) + quantity, err := useQuantityOrBaseBalance(s.session, s.Market, closePrice, s.Quantity, leverage) + if err != nil { + log.WithError(err).Errorf("quantity calculation error") + } + + if quantity.IsZero() { + return + } + if s.MarketOrder { bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64()) _, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ @@ -204,24 +215,58 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener } } -func (s *BreakLow) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoint.Value { - if s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures { - return quantity +func useQuantityOrBaseBalance(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) { + usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures + if usingLeverage { + if !quantity.IsZero() { + return quantity, nil + } + + // quantity is zero, we need to calculate the quantity + baseBalance, _ := session.Account.Balance(market.BaseCurrency) + quoteBalance, _ := session.Account.Balance(market.QuoteCurrency) + + // calculate the quantity automatically + if session.Margin || session.IsolatedMargin { + baseBalanceValue := baseBalance.Total().Mul(price) + accountValue := baseBalanceValue.Add(quoteBalance.Total()) + + // spot margin use the equity value, so we use the total quote balance here + maxPositionQuantity := risk.CalculateMaxPosition(price, accountValue, leverage) + + log.Infof("margin leverage: calculated maxPositionQuantity=%f price=%f accountValue=%f %s leverage=%f", + maxPositionQuantity.Float64(), + price.Float64(), + accountValue.Float64(), + market.QuoteCurrency, + leverage.Float64()) + + return maxPositionQuantity, nil + } + + if session.Futures || session.IsolatedFutures { + // TODO: get mark price here + maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage) + requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell) + if quoteBalance.Available.Compare(requiredPositionCost) < 0 { + return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency) + } + + return maxPositionQuantity, nil + } + } - balance, hasBalance := s.session.Account.Balance(s.Market.BaseCurrency) + // For spot, we simply sell the base currency + balance, hasBalance := session.Account.Balance(market.BaseCurrency) if hasBalance { if quantity.IsZero() { - bbgo.Notify("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String()) + log.Warnf("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String()) quantity = balance.Available } else { quantity = fixedpoint.Min(quantity, balance.Available) } } - if quantity.IsZero() { - log.Errorf("quantity is zero, can not submit sell order, please check settings") - } - - return quantity + return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings") }