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xmaker: fix quantity truncation and add check for min quantity n min notional

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This commit is contained in:
c9s 2022-01-09 00:30:18 +08:00
parent 77373a6cd4
commit 9b92c8948d
2 changed files with 67 additions and 49 deletions
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55
pkg/strategy/xmaker/state.go Normal file
View File

@ -0,0 +1,55 @@
package xmaker
import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type State struct {
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
Position *types.Position `json:"position,omitempty"`
ProfitStats ProfitStats `json:"profitStats,omitempty"`
}
type ProfitStats struct {
bbgo.ProfitStats
MakerExchange types.ExchangeName `json:"makerExchange"`
AccumulatedMakerVolume fixedpoint.Value `json:"accumulatedMakerVolume,omitempty"`
AccumulatedMakerBidVolume fixedpoint.Value `json:"accumulatedMakerBidVolume,omitempty"`
AccumulatedMakerAskVolume fixedpoint.Value `json:"accumulatedMakerAskVolume,omitempty"`
TodayMakerVolume fixedpoint.Value `json:"todayMakerVolume,omitempty"`
TodayMakerBidVolume fixedpoint.Value `json:"todayMakerBidVolume,omitempty"`
TodayMakerAskVolume fixedpoint.Value `json:"todayMakerAskVolume,omitempty"`
}
func (s *ProfitStats) AddTrade(trade types.Trade) {
s.ProfitStats.AddTrade(trade)
if trade.Exchange == s.MakerExchange {
s.AccumulatedMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
switch trade.Side {
case types.SideTypeSell:
s.AccumulatedMakerAskVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerAskVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
case types.SideTypeBuy:
s.AccumulatedMakerBidVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerBidVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
}
}
}
func (s *ProfitStats) ResetToday() {
s.ProfitStats.ResetToday()
s.TodayMakerVolume = 0
s.TodayMakerBidVolume = 0
s.TodayMakerAskVolume = 0
}

61
pkg/strategy/xmaker/strategy.go
View File

@ -31,54 +31,6 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type State struct {
CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
Position *types.Position `json:"position,omitempty"`
ProfitStats ProfitStats `json:"profitStats,omitempty"`
}
type ProfitStats struct {
bbgo.ProfitStats
MakerExchange types.ExchangeName `json:"makerExchange"`
AccumulatedMakerVolume fixedpoint.Value `json:"accumulatedMakerVolume,omitempty"`
AccumulatedMakerBidVolume fixedpoint.Value `json:"accumulatedMakerBidVolume,omitempty"`
AccumulatedMakerAskVolume fixedpoint.Value `json:"accumulatedMakerAskVolume,omitempty"`
TodayMakerVolume fixedpoint.Value `json:"todayMakerVolume,omitempty"`
TodayMakerBidVolume fixedpoint.Value `json:"todayMakerBidVolume,omitempty"`
TodayMakerAskVolume fixedpoint.Value `json:"todayMakerAskVolume,omitempty"`
}
func (s *ProfitStats) AddTrade(trade types.Trade) {
s.ProfitStats.AddTrade(trade)
if trade.Exchange == s.MakerExchange {
s.AccumulatedMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
switch trade.Side {
case types.SideTypeSell:
s.AccumulatedMakerAskVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerAskVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
case types.SideTypeBuy:
s.AccumulatedMakerBidVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
s.TodayMakerBidVolume.AtomicAdd(fixedpoint.NewFromFloat(trade.Quantity))
}
}
}
func (s *ProfitStats) ResetToday() {
s.ProfitStats.ResetToday()
s.TodayMakerVolume = 0
s.TodayMakerBidVolume = 0
s.TodayMakerAskVolume = 0
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability
@ -495,7 +447,6 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
}
quantity := fixedpoint.Abs(pos)
quantity = s.sourceMarket.TruncateQuantity(quantity)
if pos < 0 {
side = types.SideTypeSell
@ -543,7 +494,19 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
quantity = base.Available
}
}
}
// truncate quantity for the supported precision
quantity = s.sourceMarket.TruncateQuantity(quantity)
if notional.Float64() <= s.sourceMarket.MinNotional {
s.Notifiability.Notify("The adjusted amount %f is less than minimal notional %f, skipping hedge", notional.Float64(), s.sourceMarket.MinNotional)
return
}
if quantity.Float64() <= s.sourceMarket.MinQuantity {
s.Notifiability.Notify("The adjusted quantity %f is less than minimal quantity %f, skipping hedge", quantity.Float64(), s.sourceMarket.MinQuantity)
return
}
log.Infof("submitting %s hedge order %s %f", s.Symbol, side.String(), quantity.Float64())