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xmaker: integrate CircuitBreaker
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parent
5f65e87e89
commit
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@ -59,6 +59,13 @@ crossExchangeStrategies:
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# 0.1 pip is 0.01, here we use 10, so we will get 18000.00, 18001.00 and
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# 18002.00
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pips: 10
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persistence:
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type: redis
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circuitBreaker:
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maximumConsecutiveTotalLoss: 36.0
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maximumConsecutiveLossTimes: 10
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maximumLossPerRound: 15.0
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maximumTotalLoss: 80.0
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ignoreConsecutiveDustLoss: true
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consecutiveDustLossThreshold: 0.003
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haltDuration: "30m"
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maximumHaltTimes: 2
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maximumHaltTimesExceededPanic: true
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@ -223,21 +223,21 @@ func (b *BasicCircuitBreaker) reset() {
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b.updateMetrics()
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}
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func (b *BasicCircuitBreaker) IsHalted(now time.Time) bool {
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func (b *BasicCircuitBreaker) IsHalted(now time.Time) (string, bool) {
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b.mu.Lock()
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defer b.mu.Unlock()
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if !b.halted {
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return false
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return "", false
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}
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// check if it's an expired halt
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if now.After(b.haltTo) {
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b.reset()
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return false
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return "", false
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}
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return true
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return b.haltReason, true
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}
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func (b *BasicCircuitBreaker) halt(now time.Time, reason string) {
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@ -22,6 +22,9 @@ import (
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var defaultMargin = fixedpoint.NewFromFloat(0.003)
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var Two = fixedpoint.NewFromInt(2)
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// circuitBreakerAlertLimiter is for CircuitBreaker alerts
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var circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
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const priceUpdateTimeout = 30 * time.Second
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const ID = "xmaker"
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@ -190,6 +193,19 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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return
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}
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if s.CircuitBreaker != nil {
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now := time.Now()
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if reason, halted := s.CircuitBreaker.IsHalted(now); halted {
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log.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
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if circuitBreakerAlertLimiter.AllowN(now, 1) {
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bbgo.Notify("Strategy is halted, reason: %s", reason)
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}
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return
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}
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}
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bestBid, bestAsk, hasPrice := s.book.BestBidAndAsk()
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if !hasPrice {
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return
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@ -573,6 +589,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
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bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
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// TODO: improve order executor
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orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
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returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Market: s.sourceMarket,
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@ -824,6 +842,10 @@ func (s *Strategy) CrossRun(
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s.ProfitStats.AddProfit(p)
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s.Environment.RecordPosition(s.Position, trade, &p)
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if s.CircuitBreaker != nil {
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s.CircuitBreaker.RecordProfit(profit, trade.Time.Time())
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}
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}
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})
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