lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-21 22:43:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

risk: move spot condition to the top

Browse Source
This commit is contained in:
c9s 2022-07-22 12:04:43 +08:00
parent 36cfaa924d
commit a1387bb4dd
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 64 additions and 61 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

125
pkg/risk/account_value.go
View File

@ -115,78 +115,81 @@ func calculateAccountNetValue(session *bbgo.ExchangeSession) (fixedpoint.Value,
}
func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
// default leverage guard
if leverage.IsZero() {
leverage = fixedpoint.NewFromInt(3)
}
baseBalance, _ := session.Account.Balance(market.BaseCurrency)
quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
if usingLeverage {
if !quantity.IsZero() {
return quantity, nil
}
// quantity is zero, we need to calculate the quantity
baseBalance, _ := session.Account.Balance(market.BaseCurrency)
quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
logrus.Infof("calculating leveraged quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
// calculate the quantity automatically
if session.Margin || session.IsolatedMargin {
baseBalanceValue := baseBalance.Net().Mul(price)
accountValue := baseBalanceValue.Add(quoteBalance.Net())
// avoid using all account value since there will be some trade loss for interests and the fee
accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
logrus.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
if session.IsolatedMargin {
originLeverage := leverage
leverage = fixedpoint.Min(leverage, maxLeverage)
logrus.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
originLeverage.Float64(),
leverage.Float64())
if !usingLeverage {
// For spot, we simply sell the base quoteCurrency
balance, hasBalance := session.Account.Balance(market.BaseCurrency)
if hasBalance {
if quantity.IsZero() {
logrus.Warnf("sell quantity is not set, using all available base balance: %v", balance)
if !balance.Available.IsZero() {
return balance.Available, nil
}
} else {
return fixedpoint.Min(quantity, balance.Available), nil
}
// spot margin use the equity value, so we use the total quote balance here
maxPosition := CalculateMaxPosition(price, accountValue, leverage)
debt := baseBalance.Debt()
logrus.Infof("margin leverage: calculated maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
maxPosition.Float64(),
debt.Float64(),
price.Float64(),
accountValue.Float64(),
market.QuoteCurrency,
leverage.Float64())
return maxPosition.Sub(debt), nil
}
if session.Futures || session.IsolatedFutures {
// TODO: get mark price here
maxPositionQuantity := CalculateMaxPosition(price, quoteBalance.Available, leverage)
requiredPositionCost := CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
}
return maxPositionQuantity, nil
}
return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings")
}
// For spot, we simply sell the base quoteCurrency
balance, hasBalance := session.Account.Balance(market.BaseCurrency)
if hasBalance {
if quantity.IsZero() {
logrus.Warnf("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
if !balance.Available.IsZero() {
return balance.Available, nil
}
} else {
return fixedpoint.Min(quantity, balance.Available), nil
// using leverage -- starts from here
if !quantity.IsZero() {
return quantity, nil
}
logrus.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
// calculate the quantity automatically
if session.Margin || session.IsolatedMargin {
baseBalanceValue := baseBalance.Net().Mul(price)
accountValue := baseBalanceValue.Add(quoteBalance.Net())
// avoid using all account value since there will be some trade loss for interests and the fee
accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
logrus.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
if session.IsolatedMargin {
originLeverage := leverage
leverage = fixedpoint.Min(leverage, maxLeverage)
logrus.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
originLeverage.Float64(),
leverage.Float64())
}
// spot margin use the equity value, so we use the total quote balance here
maxPosition := CalculateMaxPosition(price, accountValue, leverage)
debt := baseBalance.Debt()
logrus.Infof("margin leverage: calculated maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
maxPosition.Float64(),
debt.Float64(),
price.Float64(),
accountValue.Float64(),
market.QuoteCurrency,
leverage.Float64())
return maxPosition.Sub(debt), nil
}
if session.Futures || session.IsolatedFutures {
// TODO: get mark price here
maxPositionQuantity := CalculateMaxPosition(price, quoteBalance.Available, leverage)
requiredPositionCost := CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
}
return maxPositionQuantity, nil
}
return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")