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pivotshort: improve useQuantityOrBaseBalance
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parent
0ba529cb45
commit
6c91af2392
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@ -2,10 +2,12 @@ package pivotshort
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import (
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import (
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"context"
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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)
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)
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@ -168,7 +170,16 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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// graceful cancel all active orders
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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_ = orderExecutor.GracefulCancel(ctx)
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quantity := s.useQuantityOrBaseBalance(s.Quantity)
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leverage := fixedpoint.NewFromInt(5)
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quantity, err := useQuantityOrBaseBalance(s.session, s.Market, closePrice, s.Quantity, leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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return
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}
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if s.MarketOrder {
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if s.MarketOrder {
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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())
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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())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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@ -204,24 +215,58 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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}
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}
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}
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}
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func (s *BreakLow) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoint.Value {
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func useQuantityOrBaseBalance(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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if s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures {
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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return quantity
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if usingLeverage {
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if !quantity.IsZero() {
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return quantity, nil
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}
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// quantity is zero, we need to calculate the quantity
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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baseBalanceValue := baseBalance.Total().Mul(price)
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accountValue := baseBalanceValue.Add(quoteBalance.Total())
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// spot margin use the equity value, so we use the total quote balance here
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maxPositionQuantity := risk.CalculateMaxPosition(price, accountValue, leverage)
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log.Infof("margin leverage: calculated maxPositionQuantity=%f price=%f accountValue=%f %s leverage=%f",
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maxPositionQuantity.Float64(),
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price.Float64(),
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accountValue.Float64(),
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market.QuoteCurrency,
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leverage.Float64())
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return maxPositionQuantity, nil
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}
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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}
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return maxPositionQuantity, nil
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}
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}
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}
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balance, hasBalance := s.session.Account.Balance(s.Market.BaseCurrency)
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// For spot, we simply sell the base currency
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if hasBalance {
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if quantity.IsZero() {
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if quantity.IsZero() {
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bbgo.Notify("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
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log.Warnf("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
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quantity = balance.Available
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quantity = balance.Available
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} else {
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} else {
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quantity = fixedpoint.Min(quantity, balance.Available)
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quantity = fixedpoint.Min(quantity, balance.Available)
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}
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}
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}
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}
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if quantity.IsZero() {
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
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log.Errorf("quantity is zero, can not submit sell order, please check settings")
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}
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return quantity
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}
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}
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