mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-21 22:43:52 +00:00
xmaker: refactor hedge worker and quote worker
This commit is contained in:
c9s
parent
ea93bf959a
commit
6fb6467d59
|
|
@ -192,7 +192,7 @@ func (s *Strategy) Initialize() error {
|
|||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter) {
|
||||
func (s *Strategy) updateQuote(ctx context.Context) {
|
||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
|
||||
log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
|
||||
s.activeMakerOrders.Print()
|
||||
|
|
@ -706,35 +706,6 @@ func (s *Strategy) tradeRecover(ctx context.Context) {
|
|||
}
|
||||
|
||||
func (s *Strategy) Defaults() error {
|
||||
if s.CircuitBreaker == nil {
|
||||
s.CircuitBreaker = circuitbreaker.NewBasicCircuitBreaker(ID, s.InstanceID())
|
||||
}
|
||||
|
||||
// circuitBreakerAlertLimiter is for CircuitBreaker alerts
|
||||
s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
|
||||
s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) Validate() error {
|
||||
if s.Quantity.IsZero() || s.QuantityScale == nil {
|
||||
return errors.New("quantity or quantityScale can not be empty")
|
||||
}
|
||||
|
||||
if !s.QuantityMultiplier.IsZero() && s.QuantityMultiplier.Sign() < 0 {
|
||||
return errors.New("quantityMultiplier can not be a negative number")
|
||||
}
|
||||
|
||||
if len(s.Symbol) == 0 {
|
||||
return errors.New("symbol is required")
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) CrossRun(
|
||||
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
|
||||
) error {
|
||||
if s.BollBandInterval == "" {
|
||||
s.BollBandInterval = types.Interval1m
|
||||
}
|
||||
|
|
@ -775,6 +746,108 @@ func (s *Strategy) CrossRun(
|
|||
}
|
||||
}
|
||||
|
||||
if s.CircuitBreaker == nil {
|
||||
s.CircuitBreaker = circuitbreaker.NewBasicCircuitBreaker(ID, s.InstanceID())
|
||||
}
|
||||
|
||||
// circuitBreakerAlertLimiter is for CircuitBreaker alerts
|
||||
s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
|
||||
s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) Validate() error {
|
||||
if s.Quantity.IsZero() || s.QuantityScale == nil {
|
||||
return errors.New("quantity or quantityScale can not be empty")
|
||||
}
|
||||
|
||||
if !s.QuantityMultiplier.IsZero() && s.QuantityMultiplier.Sign() < 0 {
|
||||
return errors.New("quantityMultiplier can not be a negative number")
|
||||
}
|
||||
|
||||
if len(s.Symbol) == 0 {
|
||||
return errors.New("symbol is required")
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) quoteWorker(ctx context.Context) {
|
||||
quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
|
||||
defer quoteTicker.Stop()
|
||||
|
||||
defer func() {
|
||||
if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
|
||||
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
|
||||
}
|
||||
}()
|
||||
|
||||
for {
|
||||
select {
|
||||
|
||||
case <-s.stopC:
|
||||
log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
|
||||
return
|
||||
|
||||
case <-ctx.Done():
|
||||
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
|
||||
return
|
||||
|
||||
case <-quoteTicker.C:
|
||||
s.updateQuote(ctx)
|
||||
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) hedgeWorker(ctx context.Context) {
|
||||
ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
|
||||
defer ticker.Stop()
|
||||
|
||||
for {
|
||||
select {
|
||||
case <-ctx.Done():
|
||||
return
|
||||
|
||||
case <-ticker.C:
|
||||
// For positive position and positive covered position:
|
||||
// uncover position = +5 - +3 (covered position) = 2
|
||||
//
|
||||
// For positive position and negative covered position:
|
||||
// uncover position = +5 - (-3) (covered position) = 8
|
||||
//
|
||||
// meaning we bought 5 on MAX and sent buy order with 3 on binance
|
||||
//
|
||||
// For negative position:
|
||||
// uncover position = -5 - -3 (covered position) = -2
|
||||
s.tradeCollector.Process()
|
||||
|
||||
position := s.Position.GetBase()
|
||||
|
||||
uncoverPosition := position.Sub(s.CoveredPosition)
|
||||
absPos := uncoverPosition.Abs()
|
||||
if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
|
||||
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
|
||||
s.Symbol,
|
||||
position,
|
||||
s.CoveredPosition,
|
||||
uncoverPosition,
|
||||
)
|
||||
|
||||
s.Hedge(ctx, uncoverPosition.Neg())
|
||||
}
|
||||
|
||||
if s.reportProfitStatsRateLimiter.Allow() {
|
||||
bbgo.Notify(s.ProfitStats)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) CrossRun(
|
||||
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
|
||||
) error {
|
||||
|
||||
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
|
||||
|
||||
// configure sessions
|
||||
|
|
@ -945,6 +1018,7 @@ func (s *Strategy) CrossRun(
|
|||
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
||||
bbgo.Notify(position)
|
||||
})
|
||||
|
||||
s.tradeCollector.OnRecover(func(trade types.Trade) {
|
||||
bbgo.Notify("Recovered trade", trade)
|
||||
})
|
||||
|
|
@ -959,67 +1033,8 @@ func (s *Strategy) CrossRun(
|
|||
go s.tradeRecover(ctx)
|
||||
}
|
||||
|
||||
go func() {
|
||||
hedgeTicker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
|
||||
defer hedgeTicker.Stop()
|
||||
|
||||
quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
|
||||
defer quoteTicker.Stop()
|
||||
|
||||
defer func() {
|
||||
if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
|
||||
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
|
||||
}
|
||||
}()
|
||||
|
||||
for {
|
||||
select {
|
||||
|
||||
case <-s.stopC:
|
||||
log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
|
||||
return
|
||||
|
||||
case <-ctx.Done():
|
||||
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
|
||||
return
|
||||
|
||||
case <-quoteTicker.C:
|
||||
s.updateQuote(ctx, orderExecutionRouter)
|
||||
|
||||
case <-hedgeTicker.C:
|
||||
// For positive position and positive covered position:
|
||||
// uncover position = +5 - +3 (covered position) = 2
|
||||
//
|
||||
// For positive position and negative covered position:
|
||||
// uncover position = +5 - (-3) (covered position) = 8
|
||||
//
|
||||
// meaning we bought 5 on MAX and sent buy order with 3 on binance
|
||||
//
|
||||
// For negative position:
|
||||
// uncover position = -5 - -3 (covered position) = -2
|
||||
s.tradeCollector.Process()
|
||||
|
||||
position := s.Position.GetBase()
|
||||
|
||||
uncoverPosition := position.Sub(s.CoveredPosition)
|
||||
absPos := uncoverPosition.Abs()
|
||||
if !s.DisableHedge && absPos.Compare(s.sourceMarket.MinQuantity) > 0 {
|
||||
log.Infof("%s base position %v coveredPosition: %v uncoverPosition: %v",
|
||||
s.Symbol,
|
||||
position,
|
||||
s.CoveredPosition,
|
||||
uncoverPosition,
|
||||
)
|
||||
|
||||
s.Hedge(ctx, uncoverPosition.Neg())
|
||||
}
|
||||
|
||||
if s.reportProfitStatsRateLimiter.Allow() {
|
||||
bbgo.Notify(s.ProfitStats)
|
||||
}
|
||||
}
|
||||
}
|
||||
}()
|
||||
go s.hedgeWorker(ctx)
|
||||
go s.quoteWorker(ctx)
|
||||
|
||||
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user