Merge pull request #1712 from c9s/c9s/xmaker/add-profit-fixer

FEATURE: [xmaker] add profit fixer

config/xmaker.yaml

@@ -59,6 +59,9 @@ crossExchangeStrategies:
     # 0.1 pip is 0.01, here we use 10, so we will get 18000.00, 18001.00 and
     # 18002.00
     pips: 10
+    ## profitFixer is used for fixing the profit stats and the position
+    # profitFixer:
+    #   tradesSince: "2024-08-01T15:00:00.000+08:00"
     circuitBreaker:
       enabled: true
       maximumConsecutiveTotalLoss: 36.0

pkg/risk/circuitbreaker/basic.go

@@ -75,6 +75,8 @@ func init() {
 }
 
 type BasicCircuitBreaker struct {
+	Enabled bool `json:"enabled"`
+
 	MaximumConsecutiveTotalLoss fixedpoint.Value `json:"maximumConsecutiveTotalLoss"`
 
 	MaximumConsecutiveLossTimes int `json:"maximumConsecutiveLossTimes"`
@@ -117,14 +119,17 @@ type BasicCircuitBreaker struct {
 
 func NewBasicCircuitBreaker(strategyID, strategyInstance string) *BasicCircuitBreaker {
 	b := &BasicCircuitBreaker{
+		Enabled:                       true,
 		MaximumConsecutiveLossTimes:   8,
 		MaximumHaltTimes:              3,
 		MaximumHaltTimesExceededPanic: false,
+
 		HaltDuration:     types.Duration(1 * time.Hour),
 		strategyID:       strategyID,
 		strategyInstance: strategyInstance,
 		metricsLabels:    prometheus.Labels{"strategy": strategyID, "strategyInstance": strategyInstance},
 	}
+
 	b.updateMetrics()
 	return b
 }
@@ -182,7 +187,7 @@ func (b *BasicCircuitBreaker) RecordProfit(profit fixedpoint.Value, now time.Tim
 		b.winRatio = float64(b.winTimes) / float64(b.lossTimes)
 	}
 
-	b.updateMetrics()
+	defer b.updateMetrics()
 
 	if b.MaximumConsecutiveLossTimes > 0 && b.consecutiveLossTimes >= b.MaximumConsecutiveLossTimes {
 		b.halt(now, "exceeded MaximumConsecutiveLossTimes")
@@ -224,6 +229,10 @@ func (b *BasicCircuitBreaker) reset() {
 }
 
 func (b *BasicCircuitBreaker) IsHalted(now time.Time) (string, bool) {
+	if !b.Enabled {
+		return "disabled", false
+	}
+
 	b.mu.Lock()
 	defer b.mu.Unlock()
 
@@ -251,6 +260,8 @@ func (b *BasicCircuitBreaker) halt(now time.Time, reason string) {
 	haltCounterMetrics.With(labels).Set(float64(b.haltCounter))
 	haltMetrics.With(labels).Set(1.0)
 
+	defer b.updateMetrics()
+
 	if b.MaximumHaltTimesExceededPanic && b.haltCounter > b.MaximumHaltTimes {
 		panic(fmt.Errorf("total %d halt times > maximumHaltTimesExceededPanic %d", b.haltCounter, b.MaximumHaltTimes))
 	}

pkg/strategy/xmaker/strategy.go

@@ -17,12 +17,16 @@ import (
 	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/pricesolver"
 	"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
+	"github.com/c9s/bbgo/pkg/strategy/common"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
 )
 
 var defaultMargin = fixedpoint.NewFromFloat(0.003)
-var Two = fixedpoint.NewFromInt(2)
+var two = fixedpoint.NewFromInt(2)
+
+var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
+var minGap = fixedpoint.NewFromFloat(1.02)
 
 const priceUpdateTimeout = 30 * time.Second
 
@@ -89,6 +93,9 @@ type Strategy struct {
 	// Pips is the pips of the layer prices
 	Pips fixedpoint.Value `json:"pips"`
 
+	// ProfitFixerConfig is the profit fixer configuration
+	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
+
 	// --------------------------------
 	// private field
 
@@ -215,7 +222,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
 	}
 
 	// use mid-price for the last price
-	s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
+	s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
 
 	s.priceSolver.Update(s.Symbol, s.lastPrice)
 
@@ -543,9 +550,6 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
 	_ = createdOrders
 }
 
-var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
-var minGap = fixedpoint.NewFromFloat(1.02)
-
 func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
 	side := types.SideTypeBuy
 	if pos.IsZero() {
@@ -852,6 +856,47 @@ func (s *Strategy) CrossRun(
 		})
 	}
 
+	if s.ProfitFixerConfig != nil {
+		bbgo.Notify("Fixing %s profitStats and position...", s.Symbol)
+
+		log.Infof("profitFixer is enabled, checking checkpoint: %+v", s.ProfitFixerConfig.TradesSince)
+
+		if s.ProfitFixerConfig.TradesSince.Time().IsZero() {
+			return errors.New("tradesSince time can not be zero")
+		}
+
+		makerMarket, _ := makerSession.Market(s.Symbol)
+		position := types.NewPositionFromMarket(makerMarket)
+		profitStats := types.NewProfitStats(makerMarket)
+
+		fixer := common.NewProfitFixer()
+		// fixer.ConverterManager = s.ConverterManager
+
+		if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
+			log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
+			fixer.AddExchange(makerSession.Name, ss)
+		}
+
+		if ss, ok := sourceSession.Exchange.(types.ExchangeTradeHistoryService); ok {
+			log.Infof("adding hedgeSession %s to profitFixer", sourceSession.Name)
+			fixer.AddExchange(sourceSession.Name, ss)
+		}
+
+		if err2 := fixer.Fix(ctx, makerMarket.Symbol,
+			s.ProfitFixerConfig.TradesSince.Time(),
+			time.Now(),
+			profitStats,
+			position); err2 != nil {
+			return err2
+		}
+
+		bbgo.Notify("Fixed %s position", s.Symbol, position)
+		bbgo.Notify("Fixed %s profitStats", s.Symbol, profitStats)
+
+		s.Position = position
+		s.ProfitStats.ProfitStats = profitStats
+	}
+
 	s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
 	s.book.BindStream(s.sourceSession.MarketDataStream)