lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-21 22:43:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

xmaker: add profit fixer

Browse Source
This commit is contained in:
c9s 2024-08-26 12:45:18 +08:00
parent 9a1d9ae27b
commit 77e185ffa7
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 50 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

55
pkg/strategy/xmaker/strategy.go
View File

@ -17,12 +17,16 @@ import (
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
var defaultMargin = fixedpoint.NewFromFloat(0.003)
var Two = fixedpoint.NewFromInt(2)
var two = fixedpoint.NewFromInt(2)
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
var minGap = fixedpoint.NewFromFloat(1.02)
const priceUpdateTimeout = 30 * time.Second
@ -89,6 +93,9 @@ type Strategy struct {
// Pips is the pips of the layer prices
Pips fixedpoint.Value `json:"pips"`
// ProfitFixerConfig is the profit fixer configuration
ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
// --------------------------------
// private field
@ -215,7 +222,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
}
// use mid-price for the last price
s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
s.priceSolver.Update(s.Symbol, s.lastPrice)
@ -543,9 +550,6 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
_ = createdOrders
}
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
var minGap = fixedpoint.NewFromFloat(1.02)
func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
side := types.SideTypeBuy
if pos.IsZero() {
@ -852,6 +856,47 @@ func (s *Strategy) CrossRun(
})
}
if s.ProfitFixerConfig != nil {
bbgo.Notify("Fixing %s profitStats and position...", s.Symbol)
log.Infof("profitFixer is enabled, checking checkpoint: %+v", s.ProfitFixerConfig.TradesSince)
if s.ProfitFixerConfig.TradesSince.Time().IsZero() {
return errors.New("tradesSince time can not be zero")
}
makerMarket, _ := makerSession.Market(s.Symbol)
position := types.NewPositionFromMarket(makerMarket)
profitStats := types.NewProfitStats(makerMarket)
fixer := common.NewProfitFixer()
// fixer.ConverterManager = s.ConverterManager
if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
fixer.AddExchange(makerSession.Name, ss)
}
if ss, ok := sourceSession.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding hedgeSession %s to profitFixer", sourceSession.Name)
fixer.AddExchange(sourceSession.Name, ss)
}
if err2 := fixer.Fix(ctx, makerMarket.Symbol,
s.ProfitFixerConfig.TradesSince.Time(),
time.Now(),
profitStats,
position); err2 != nil {
return err2
}
bbgo.Notify("Fixed %s position", s.Symbol, position)
bbgo.Notify("Fixed %s profitStats", s.Symbol, profitStats)
s.Position = position
s.ProfitStats.ProfitStats = profitStats
}
s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
s.book.BindStream(s.sourceSession.MarketDataStream)