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xfunding: implement reduceFuturesPosition

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c9s 2023-03-23 18:09:16 +08:00
parent 1b5126c9a1
commit 7ba7eb8be7
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1 changed files with 59 additions and 9 deletions
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68
pkg/strategy/xfunding/strategy.go
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@ -408,7 +408,57 @@ func (s *Strategy) triggerPositionAction(ctx context.Context) {
}
}
func (s *Strategy) reduceFuturesPosition(ctx context.Context) {}
func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
switch s.positionAction {
case PositionOpening, PositionNoOp:
return
}
futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
if futuresBase.Sign() > 0 {
// unexpected error
log.Errorf("unexpected futures position (got positive, expecting negative)")
return
}
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
if futuresBase.Compare(fixedpoint.Zero) < 0 {
orderPrice := ticker.Sell
orderQuantity := futuresBase.Abs()
orderQuantity = fixedpoint.Max(orderQuantity, s.futuresMarket.MinQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Infof("skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return
}
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: orderQuantity,
Price: orderPrice,
Market: s.futuresMarket,
ReduceOnly: true,
})
if err != nil {
log.WithError(err).Errorf("can not submit order")
return
}
log.Infof("created orders: %+v", createdOrders)
}
}
// syncFuturesPosition syncs the futures position with the given spot position
func (s *Strategy) syncFuturesPosition(ctx context.Context) {
@ -422,14 +472,6 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
case PositionOpening, PositionNoOp:
}
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
spotBase := s.SpotPosition.GetBase() // should be positive base quantity here
futuresBase := s.FuturesPosition.GetBase() // should be negative base quantity here
@ -446,6 +488,14 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
return
}
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
return
}
// compare with the spot position and increase the position
quoteValue, err := bbgo.CalculateQuoteQuantity(ctx, s.futuresSession, s.futuresMarket.QuoteCurrency, s.Leverage)
if err != nil {