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autoborrow: use margin level instead of margin ratio
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c9s
parent
095f25f30b
commit
7b2398ce39
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@ -7,11 +7,11 @@ exchangeStrategies:
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# minMarginRatio for triggering auto borrow
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# we trigger auto borrow only when the margin ratio is above the number
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minMarginRatio: 1.5
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minMarginLevel: 1.5
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# maxMarginRatio for stop auto-repay
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# if the margin ratio is high enough, we don't have the urge to repay
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maxMarginRatio: 10.0
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maxMarginLevel: 10.0
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assets:
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- asset: ETH
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@ -22,4 +22,3 @@ exchangeStrategies:
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low: 1000.0
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maxQuantityPerBorrow: 100.0
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maxTotalBorrow: 10.0
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minMarginRatio: 1.3
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@ -28,8 +28,8 @@ func init() {
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interval: 30m
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repayWhenDeposit: true
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# minMarginRatio for triggering auto borrow
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minMarginRatio: 1.5
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# minMarginLevel for triggering auto borrow
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minMarginLevel: 1.5
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assets:
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- asset: ETH
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low: 3.0
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@ -53,8 +53,8 @@ type Strategy struct {
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*bbgo.Notifiability
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Interval types.Interval `json:"interval"`
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MinMarginRatio fixedpoint.Value `json:"minMarginRatio"`
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MaxMarginRatio fixedpoint.Value `json:"maxMarginRatio"`
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MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`
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MaxMarginLevel fixedpoint.Value `json:"maxMarginLevel"`
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AutoRepayWhenDeposit bool `json:"autoRepayWhenDeposit"`
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Assets []MarginAsset `json:"assets"`
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@ -73,7 +73,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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func (s *Strategy) checkAndBorrow(ctx context.Context) {
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if s.MinMarginRatio.IsZero() {
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if s.MinMarginLevel.IsZero() {
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return
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}
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@ -82,16 +82,22 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
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return
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}
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minMarginRatio := s.MinMarginRatio
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curMarginRatio := s.ExchangeSession.GetAccount().MarginRatio
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minMarginLevel := s.MinMarginLevel
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account := s.ExchangeSession.GetAccount()
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curMarginLevel := account.MarginLevel
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log.Infof("current account margin level: %s margin ratio: %s, margin tolerance: %s",
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account.MarginLevel.String(),
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account.MarginRatio.String(),
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account.MarginTolerance.String(),
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)
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// if margin ratio is too low, do not borrow
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if curMarginRatio.Compare(minMarginRatio) < 0 {
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log.Infof("current margin ratio %f < min margin ratio %f, skip autoborrow", curMarginRatio.Float64(), minMarginRatio.Float64())
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if curMarginLevel.Compare(minMarginLevel) < 0 {
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log.Infof("current margin level %f < min margin level %f, skip autoborrow", curMarginLevel.Float64(), minMarginLevel.Float64())
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return
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}
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balances := s.ExchangeSession.GetAccount().Balances()
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if len(balances) == 0 {
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log.Warn("balance is empty, skip autoborrow")
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@ -135,8 +141,8 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
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Action: "Borrow",
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Asset: marginAsset.Asset,
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Amount: toBorrow,
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MarginRatio: curMarginRatio,
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MinMarginRatio: minMarginRatio,
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MarginLevel: curMarginLevel,
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MinMarginLevel: minMarginLevel,
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})
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log.Infof("sending borrow request %f %s", toBorrow.Float64(), marginAsset.Asset)
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s.marginBorrowRepay.BorrowMarginAsset(ctx, marginAsset.Asset, toBorrow)
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@ -152,8 +158,8 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
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Action: "Borrow",
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Asset: marginAsset.Asset,
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Amount: toBorrow,
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MarginRatio: curMarginRatio,
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MinMarginRatio: minMarginRatio,
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MarginLevel: curMarginLevel,
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MinMarginLevel: minMarginLevel,
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})
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log.Infof("sending borrow request %f %s", toBorrow.Float64(), marginAsset.Asset)
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@ -180,11 +186,11 @@ func (s *Strategy) run(ctx context.Context, interval time.Duration) {
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}
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func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
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if s.MinMarginRatio.IsZero() {
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if s.MinMarginLevel.IsZero() {
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return
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}
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if s.ExchangeSession.GetAccount().MarginRatio.Compare(s.MinMarginRatio) > 0 {
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if s.ExchangeSession.GetAccount().MarginLevel.Compare(s.MinMarginLevel) > 0 {
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return
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}
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@ -196,11 +202,11 @@ func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
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}
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func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) {
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if s.MinMarginRatio.IsZero() {
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if s.MinMarginLevel.IsZero() {
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return
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}
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if s.ExchangeSession.GetAccount().MarginRatio.Compare(s.MinMarginRatio) > 0 {
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if s.ExchangeSession.GetAccount().MarginLevel.Compare(s.MinMarginLevel) > 0 {
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return
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}
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@ -211,8 +217,8 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE
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return
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}
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minMarginRatio := s.MinMarginRatio
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curMarginRatio := s.ExchangeSession.GetAccount().MarginRatio
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minMarginLevel := s.MinMarginLevel
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curMarginLevel := s.ExchangeSession.GetAccount().MarginLevel
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if b, ok := s.ExchangeSession.GetAccount().Balance(event.Asset); ok {
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if b.Available.IsZero() || b.Borrowed.IsZero() {
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@ -224,8 +230,8 @@ func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateE
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Action: "Borrow",
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Asset: b.Currency,
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Amount: toRepay,
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MarginRatio: curMarginRatio,
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MinMarginRatio: minMarginRatio,
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MarginLevel: curMarginLevel,
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MinMarginLevel: minMarginLevel,
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})
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if err := s.marginBorrowRepay.RepayMarginAsset(context.Background(), event.Asset, toRepay); err != nil {
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log.WithError(err).Errorf("margin repay error")
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@ -237,8 +243,8 @@ type MarginAction struct {
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Action string
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Asset string
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Amount fixedpoint.Value
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MarginRatio fixedpoint.Value
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MinMarginRatio fixedpoint.Value
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MarginLevel fixedpoint.Value
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MinMarginLevel fixedpoint.Value
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}
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func (a *MarginAction) SlackAttachment() slack.Attachment {
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@ -263,12 +269,12 @@ func (a *MarginAction) SlackAttachment() slack.Attachment {
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},
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{
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Title: "Current Margin Ratio",
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Value: a.MarginRatio.String(),
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Value: a.MarginLevel.String(),
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Short: true,
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},
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{
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Title: "Min Margin Ratio",
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Value: a.MinMarginRatio.String(),
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Value: a.MinMarginLevel.String(),
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Short: true,
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},
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},
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@ -277,8 +283,8 @@ func (a *MarginAction) SlackAttachment() slack.Attachment {
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// This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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if s.MinMarginRatio.IsZero() {
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log.Warnf("minMarginRatio is 0, you should configure this minimal margin ratio for controlling the liquidation risk")
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if s.MinMarginLevel.IsZero() {
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log.Warnf("minMarginLevel is 0, you should configure this minimal margin ratio for controlling the liquidation risk")
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}
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s.ExchangeSession = session
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