lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 01:01:56 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

xfunding: add state for recording TotalBaseTransfer

Browse Source
This commit is contained in:
c9s 2023-03-23 14:46:02 +08:00
parent b7edc38dc7
commit 8b87a8706b
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
2 changed files with 17 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

3
config/grid2-max.yaml
View File

@ -11,7 +11,8 @@ notifications:
sessions: sessions:
max: max:
exchange: max exchange: max
envVarPrefix: max envVarPrefix: MAX
# example command: # example command:
# godotenv -f .env.local -- go run ./cmd/bbgo backtest --config config/grid2-max.yaml --base-asset-baseline # godotenv -f .env.local -- go run ./cmd/bbgo backtest --config config/grid2-max.yaml --base-asset-baseline

15
pkg/strategy/xfunding/strategy.go
View File

@ -108,6 +108,7 @@ type Strategy struct {
type State struct { type State struct {
PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"` PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"` UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
} }
@ -238,6 +239,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
if s.State == nil { if s.State == nil {
s.State = &State{ s.State = &State{
PendingBaseTransfer: fixedpoint.Zero, PendingBaseTransfer: fixedpoint.Zero,
TotalBaseTransfer: fixedpoint.Zero,
UsedQuoteInvestment: fixedpoint.Zero, UsedQuoteInvestment: fixedpoint.Zero,
} }
} }
@ -364,12 +366,25 @@ func (s *Strategy) transferIn(ctx context.Context, ex *binance.Exchange, trade t
amount := s.State.PendingBaseTransfer.Add(trade.Quantity) amount := s.State.PendingBaseTransfer.Add(trade.Quantity)
pos := s.SpotPosition.GetBase()
rest := pos.Sub(s.State.TotalBaseTransfer)
if rest.Sign() < 0 {
return nil
}
amount = fixedpoint.Min(rest, amount)
log.Infof("transfering futures account asset %s %s", amount, currency) log.Infof("transfering futures account asset %s %s", amount, currency)
if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferIn); err != nil { if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferIn); err != nil {
return err return err
} }
// reset pending transfer
s.State.PendingBaseTransfer = fixedpoint.Zero s.State.PendingBaseTransfer = fixedpoint.Zero
// record the transfer in the total base transfer
s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(amount)
return nil return nil
} }