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xmaker: add price quoting protection
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0e927a9a06
commit
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@ -22,6 +22,8 @@ import (
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var defaultMargin = fixedpoint.NewFromFloat(0.003)
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var defaultMargin = fixedpoint.NewFromFloat(0.003)
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const priceNotUpdatingTimeout = 30 * time.Second
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const ID = "xmaker"
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const ID = "xmaker"
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const stateKey = "state-v1"
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const stateKey = "state-v1"
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@ -105,6 +107,9 @@ type Strategy struct {
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orderStore *bbgo.OrderStore
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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tradeCollector *bbgo.TradeCollector
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lastBidPrice, lastAskPrice fixedpoint.Value
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lastBidPriceTime, lastAskPriceTime time.Time
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lastPrice float64
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lastPrice float64
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groupID uint32
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groupID uint32
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@ -185,6 +190,42 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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// use mid-price for the last price
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// use mid-price for the last price
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s.lastPrice = (bestBid.Price + bestAsk.Price).Float64() / 2
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s.lastPrice = (bestBid.Price + bestAsk.Price).Float64() / 2
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if s.lastBidPrice == 0 {
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s.lastBidPrice = bestBid.Price
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s.lastBidPriceTime = time.Now()
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} else if s.lastBidPrice != bestBid.Price {
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s.lastBidPrice = bestAsk.Price
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s.lastBidPriceTime = time.Now()
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} else {
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// same price, check time
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if time.Since(s.lastBidPriceTime) > priceNotUpdatingTimeout {
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log.Errorf("%s bid price %f has not been updating for %s, last update: %s, skip quoting",
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s.Symbol,
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s.lastBidPrice.Float64(),
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priceNotUpdatingTimeout,
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s.lastBidPriceTime)
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return
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}
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}
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if s.lastAskPrice == 0 {
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s.lastAskPrice = bestAsk.Price
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s.lastAskPriceTime = time.Now()
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} else if s.lastAskPrice != bestAsk.Price {
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s.lastAskPrice = bestAsk.Price
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s.lastAskPriceTime = time.Now()
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} else {
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// same price, check time
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if time.Since(s.lastAskPriceTime) > priceNotUpdatingTimeout {
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log.Errorf("%s ask price %f has not been updating for %s, last update: %s, skip quoting",
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s.Symbol,
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s.lastAskPrice.Float64(),
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priceNotUpdatingTimeout,
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s.lastAskPriceTime)
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return
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}
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}
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sourceBook := s.book.CopyDepth(20)
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sourceBook := s.book.CopyDepth(20)
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if valid, err := sourceBook.IsValid(); !valid {
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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