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xfunding: use closePosition option when only dust left in the futures position

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c9s 2023-06-16 16:18:17 +08:00
parent d730340b7a
commit 7904c73c53
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 27 additions and 8 deletions
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27
pkg/strategy/xfunding/strategy.go
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@ -638,10 +638,25 @@ func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
if futuresBase.Compare(fixedpoint.Zero) < 0 { if futuresBase.Compare(fixedpoint.Zero) < 0 {
orderPrice := ticker.Buy orderPrice := ticker.Buy
orderQuantity := futuresBase.Abs() orderQuantity := futuresBase.Abs()
// orderQuantity = fixedpoint.Max(orderQuantity, s.minQuantity) orderQuantity = fixedpoint.Max(orderQuantity, s.minQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice) orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) { if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket) submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Price: orderPrice,
Market: s.futuresMarket,
// quantity: Cannot be sent with closePosition=true(Close-All)
// reduceOnly: Cannot be sent with closePosition=true
ClosePosition: true,
}
if _, err := s.futuresOrderExecutor.SubmitOrders(ctx, submitOrder); err != nil {
log.WithError(err).Errorf("can not submit futures order with close position: %+v", submitOrder)
}
return return
} }
@ -722,7 +737,8 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
} }
// if - futures position < max futures position, increase it // if - futures position < max futures position, increase it
if futuresBase.Neg().Compare(maxFuturesBasePosition) >= 0 { // posDiff := futuresBase.Abs().Sub(maxFuturesBasePosition)
if futuresBase.Abs().Compare(maxFuturesBasePosition) >= 0 {
s.setPositionState(PositionReady) s.setPositionState(PositionReady)
bbgo.Notify("Position Ready") bbgo.Notify("Position Ready")
@ -746,12 +762,15 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
log.Infof("position diff quantity: %s", diffQuantity.String()) log.Infof("position diff quantity: %s", diffQuantity.String())
orderQuantity := diffQuantity orderQuantity := diffQuantity
// orderQuantity := fixedpoint.Max(diffQuantity, s.minQuantity) orderQuantity = fixedpoint.Max(diffQuantity, s.minQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice) orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
/*
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) { if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Warnf("unexpected dust quantity, skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket) log.Warnf("unexpected dust quantity, skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return return
} }
*/
submitOrder := types.SubmitOrder{ submitOrder := types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,