diff --git a/config/autoborrow.yaml b/config/autoborrow.yaml index 42a32083a..6b94802f2 100644 --- a/config/autoborrow.yaml +++ b/config/autoborrow.yaml @@ -7,11 +7,11 @@ exchangeStrategies: # minMarginRatio for triggering auto borrow # we trigger auto borrow only when the margin ratio is above the number - minMarginRatio: 1.5 + minMarginLevel: 1.5 # maxMarginRatio for stop auto-repay # if the margin ratio is high enough, we don't have the urge to repay - maxMarginRatio: 10.0 + maxMarginLevel: 10.0 assets: - asset: ETH @@ -22,4 +22,3 @@ exchangeStrategies: low: 1000.0 maxQuantityPerBorrow: 100.0 maxTotalBorrow: 10.0 - minMarginRatio: 1.3 diff --git a/pkg/strategy/autoborrow/strategy.go b/pkg/strategy/autoborrow/strategy.go index b27e63393..e8a256384 100644 --- a/pkg/strategy/autoborrow/strategy.go +++ b/pkg/strategy/autoborrow/strategy.go @@ -28,8 +28,8 @@ func init() { interval: 30m repayWhenDeposit: true - # minMarginRatio for triggering auto borrow - minMarginRatio: 1.5 + # minMarginLevel for triggering auto borrow + minMarginLevel: 1.5 assets: - asset: ETH low: 3.0 @@ -53,8 +53,8 @@ type Strategy struct { *bbgo.Notifiability Interval types.Interval `json:"interval"` - MinMarginRatio fixedpoint.Value `json:"minMarginRatio"` - MaxMarginRatio fixedpoint.Value `json:"maxMarginRatio"` + MinMarginLevel fixedpoint.Value `json:"minMarginLevel"` + MaxMarginLevel fixedpoint.Value `json:"maxMarginLevel"` AutoRepayWhenDeposit bool `json:"autoRepayWhenDeposit"` Assets []MarginAsset `json:"assets"` @@ -73,7 +73,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { } func (s *Strategy) checkAndBorrow(ctx context.Context) { - if s.MinMarginRatio.IsZero() { + if s.MinMarginLevel.IsZero() { return } @@ -82,16 +82,22 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) { return } - minMarginRatio := s.MinMarginRatio - curMarginRatio := s.ExchangeSession.GetAccount().MarginRatio + minMarginLevel := s.MinMarginLevel + account := s.ExchangeSession.GetAccount() + curMarginLevel := account.MarginLevel + + log.Infof("current account margin level: %s margin ratio: %s, margin tolerance: %s", + account.MarginLevel.String(), + account.MarginRatio.String(), + account.MarginTolerance.String(), + ) // if margin ratio is too low, do not borrow - if curMarginRatio.Compare(minMarginRatio) < 0 { - log.Infof("current margin ratio %f < min margin ratio %f, skip autoborrow", curMarginRatio.Float64(), minMarginRatio.Float64()) + if curMarginLevel.Compare(minMarginLevel) < 0 { + log.Infof("current margin level %f < min margin level %f, skip autoborrow", curMarginLevel.Float64(), minMarginLevel.Float64()) return } - balances := s.ExchangeSession.GetAccount().Balances() if len(balances) == 0 { log.Warn("balance is empty, skip autoborrow") @@ -135,8 +141,8 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) { Action: "Borrow", Asset: marginAsset.Asset, Amount: toBorrow, - MarginRatio: curMarginRatio, - MinMarginRatio: minMarginRatio, + MarginLevel: curMarginLevel, + MinMarginLevel: minMarginLevel, }) log.Infof("sending borrow request %f %s", toBorrow.Float64(), marginAsset.Asset) s.marginBorrowRepay.BorrowMarginAsset(ctx, marginAsset.Asset, toBorrow) @@ -152,8 +158,8 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) { Action: "Borrow", Asset: marginAsset.Asset, Amount: toBorrow, - MarginRatio: curMarginRatio, - MinMarginRatio: minMarginRatio, + MarginLevel: curMarginLevel, + MinMarginLevel: minMarginLevel, }) log.Infof("sending borrow request %f %s", toBorrow.Float64(), marginAsset.Asset) @@ -180,11 +186,11 @@ func (s *Strategy) run(ctx context.Context, interval time.Duration) { } func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) { - if s.MinMarginRatio.IsZero() { + if s.MinMarginLevel.IsZero() { return } - if s.ExchangeSession.GetAccount().MarginRatio.Compare(s.MinMarginRatio) > 0 { + if s.ExchangeSession.GetAccount().MarginLevel.Compare(s.MinMarginLevel) > 0 { return } @@ -196,11 +202,11 @@ func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) { } func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) { - if s.MinMarginRatio.IsZero() { + if s.MinMarginLevel.IsZero() { return } - if s.ExchangeSession.GetAccount().MarginRatio.Compare(s.MinMarginRatio) > 0 { + if s.ExchangeSession.GetAccount().MarginLevel.Compare(s.MinMarginLevel) > 0 { return } @@ -211,8 +217,8 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE return } - minMarginRatio := s.MinMarginRatio - curMarginRatio := s.ExchangeSession.GetAccount().MarginRatio + minMarginLevel := s.MinMarginLevel + curMarginLevel := s.ExchangeSession.GetAccount().MarginLevel if b, ok := s.ExchangeSession.GetAccount().Balance(event.Asset); ok { if b.Available.IsZero() || b.Borrowed.IsZero() { @@ -224,8 +230,8 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE Action: "Borrow", Asset: b.Currency, Amount: toRepay, - MarginRatio: curMarginRatio, - MinMarginRatio: minMarginRatio, + MarginLevel: curMarginLevel, + MinMarginLevel: minMarginLevel, }) if err := s.marginBorrowRepay.RepayMarginAsset(context.Background(), event.Asset, toRepay); err != nil { log.WithError(err).Errorf("margin repay error") @@ -237,8 +243,8 @@ type MarginAction struct { Action string Asset string Amount fixedpoint.Value - MarginRatio fixedpoint.Value - MinMarginRatio fixedpoint.Value + MarginLevel fixedpoint.Value + MinMarginLevel fixedpoint.Value } func (a *MarginAction) SlackAttachment() slack.Attachment { @@ -263,12 +269,12 @@ func (a *MarginAction) SlackAttachment() slack.Attachment { }, { Title: "Current Margin Ratio", - Value: a.MarginRatio.String(), + Value: a.MarginLevel.String(), Short: true, }, { Title: "Min Margin Ratio", - Value: a.MinMarginRatio.String(), + Value: a.MinMarginLevel.String(), Short: true, }, }, @@ -277,8 +283,8 @@ func (a *MarginAction) SlackAttachment() slack.Attachment { // This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { - if s.MinMarginRatio.IsZero() { - log.Warnf("minMarginRatio is 0, you should configure this minimal margin ratio for controlling the liquidation risk") + if s.MinMarginLevel.IsZero() { + log.Warnf("minMarginLevel is 0, you should configure this minimal margin ratio for controlling the liquidation risk") } s.ExchangeSession = session