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