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Merge pull request #1712 from c9s/c9s/xmaker/add-profit-fixer
FEATURE: [xmaker] add profit fixer
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commit
866751cc3d
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@ -59,6 +59,9 @@ crossExchangeStrategies:
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# 0.1 pip is 0.01, here we use 10, so we will get 18000.00, 18001.00 and
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# 18002.00
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pips: 10
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## profitFixer is used for fixing the profit stats and the position
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# profitFixer:
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# tradesSince: "2024-08-01T15:00:00.000+08:00"
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circuitBreaker:
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enabled: true
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maximumConsecutiveTotalLoss: 36.0
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@ -75,6 +75,8 @@ func init() {
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}
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type BasicCircuitBreaker struct {
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Enabled bool `json:"enabled"`
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MaximumConsecutiveTotalLoss fixedpoint.Value `json:"maximumConsecutiveTotalLoss"`
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MaximumConsecutiveLossTimes int `json:"maximumConsecutiveLossTimes"`
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@ -117,14 +119,17 @@ type BasicCircuitBreaker struct {
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func NewBasicCircuitBreaker(strategyID, strategyInstance string) *BasicCircuitBreaker {
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b := &BasicCircuitBreaker{
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Enabled: true,
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MaximumConsecutiveLossTimes: 8,
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MaximumHaltTimes: 3,
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MaximumHaltTimesExceededPanic: false,
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HaltDuration: types.Duration(1 * time.Hour),
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strategyID: strategyID,
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strategyInstance: strategyInstance,
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metricsLabels: prometheus.Labels{"strategy": strategyID, "strategyInstance": strategyInstance},
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HaltDuration: types.Duration(1 * time.Hour),
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strategyID: strategyID,
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strategyInstance: strategyInstance,
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metricsLabels: prometheus.Labels{"strategy": strategyID, "strategyInstance": strategyInstance},
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}
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b.updateMetrics()
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return b
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}
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@ -182,7 +187,7 @@ func (b *BasicCircuitBreaker) RecordProfit(profit fixedpoint.Value, now time.Tim
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b.winRatio = float64(b.winTimes) / float64(b.lossTimes)
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}
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b.updateMetrics()
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defer b.updateMetrics()
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if b.MaximumConsecutiveLossTimes > 0 && b.consecutiveLossTimes >= b.MaximumConsecutiveLossTimes {
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b.halt(now, "exceeded MaximumConsecutiveLossTimes")
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@ -224,6 +229,10 @@ func (b *BasicCircuitBreaker) reset() {
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}
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func (b *BasicCircuitBreaker) IsHalted(now time.Time) (string, bool) {
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if !b.Enabled {
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return "disabled", false
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}
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b.mu.Lock()
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defer b.mu.Unlock()
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@ -251,6 +260,8 @@ func (b *BasicCircuitBreaker) halt(now time.Time, reason string) {
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haltCounterMetrics.With(labels).Set(float64(b.haltCounter))
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haltMetrics.With(labels).Set(1.0)
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defer b.updateMetrics()
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if b.MaximumHaltTimesExceededPanic && b.haltCounter > b.MaximumHaltTimes {
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panic(fmt.Errorf("total %d halt times > maximumHaltTimesExceededPanic %d", b.haltCounter, b.MaximumHaltTimes))
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}
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@ -17,12 +17,16 @@ import (
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indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/pricesolver"
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"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var defaultMargin = fixedpoint.NewFromFloat(0.003)
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var Two = fixedpoint.NewFromInt(2)
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var two = fixedpoint.NewFromInt(2)
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var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
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var minGap = fixedpoint.NewFromFloat(1.02)
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const priceUpdateTimeout = 30 * time.Second
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@ -89,6 +93,9 @@ type Strategy struct {
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// Pips is the pips of the layer prices
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Pips fixedpoint.Value `json:"pips"`
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// ProfitFixerConfig is the profit fixer configuration
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ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`
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// --------------------------------
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// private field
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@ -215,7 +222,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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}
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// use mid-price for the last price
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
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s.priceSolver.Update(s.Symbol, s.lastPrice)
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@ -543,9 +550,6 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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_ = createdOrders
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}
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var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
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var minGap = fixedpoint.NewFromFloat(1.02)
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func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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side := types.SideTypeBuy
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if pos.IsZero() {
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@ -852,6 +856,47 @@ func (s *Strategy) CrossRun(
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})
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}
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if s.ProfitFixerConfig != nil {
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bbgo.Notify("Fixing %s profitStats and position...", s.Symbol)
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log.Infof("profitFixer is enabled, checking checkpoint: %+v", s.ProfitFixerConfig.TradesSince)
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if s.ProfitFixerConfig.TradesSince.Time().IsZero() {
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return errors.New("tradesSince time can not be zero")
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}
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makerMarket, _ := makerSession.Market(s.Symbol)
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position := types.NewPositionFromMarket(makerMarket)
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profitStats := types.NewProfitStats(makerMarket)
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fixer := common.NewProfitFixer()
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// fixer.ConverterManager = s.ConverterManager
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if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
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log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
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fixer.AddExchange(makerSession.Name, ss)
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}
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if ss, ok := sourceSession.Exchange.(types.ExchangeTradeHistoryService); ok {
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log.Infof("adding hedgeSession %s to profitFixer", sourceSession.Name)
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fixer.AddExchange(sourceSession.Name, ss)
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}
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if err2 := fixer.Fix(ctx, makerMarket.Symbol,
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s.ProfitFixerConfig.TradesSince.Time(),
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time.Now(),
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profitStats,
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position); err2 != nil {
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return err2
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}
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bbgo.Notify("Fixed %s position", s.Symbol, position)
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bbgo.Notify("Fixed %s profitStats", s.Symbol, profitStats)
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s.Position = position
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s.ProfitStats.ProfitStats = profitStats
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}
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s.book = types.NewStreamBook(s.Symbol, s.sourceSession.ExchangeName)
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s.book.BindStream(s.sourceSession.MarketDataStream)
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