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xfunding: implement reduceFuturesPosition
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parent
1b5126c9a1
commit
7ba7eb8be7
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@ -408,7 +408,57 @@ func (s *Strategy) triggerPositionAction(ctx context.Context) {
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}
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}
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func (s *Strategy) reduceFuturesPosition(ctx context.Context) {}
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func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
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switch s.positionAction {
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case PositionOpening, PositionNoOp:
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return
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}
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futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
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if futuresBase.Sign() > 0 {
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// unexpected error
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log.Errorf("unexpected futures position (got positive, expecting negative)")
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return
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}
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_ = s.futuresOrderExecutor.GracefulCancel(ctx)
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ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Errorf("can not query ticker")
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return
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}
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if futuresBase.Compare(fixedpoint.Zero) < 0 {
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orderPrice := ticker.Sell
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orderQuantity := futuresBase.Abs()
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orderQuantity = fixedpoint.Max(orderQuantity, s.futuresMarket.MinQuantity)
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orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
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if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
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log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
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return
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}
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createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Quantity: orderQuantity,
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Price: orderPrice,
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Market: s.futuresMarket,
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ReduceOnly: true,
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit order")
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return
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}
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log.Infof("created orders: %+v", createdOrders)
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}
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}
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// syncFuturesPosition syncs the futures position with the given spot position
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func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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@ -422,14 +472,6 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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case PositionOpening, PositionNoOp:
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}
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_ = s.futuresOrderExecutor.GracefulCancel(ctx)
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ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Errorf("can not query ticker")
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return
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}
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spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
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futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
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@ -446,6 +488,14 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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return
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}
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_ = s.futuresOrderExecutor.GracefulCancel(ctx)
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ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Errorf("can not query ticker")
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return
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}
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// compare with the spot position and increase the position
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quoteValue, err := bbgo.CalculateQuoteQuantity(ctx, s.futuresSession, s.futuresMarket.QuoteCurrency, s.Leverage)
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if err != nil {
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