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rebalance: remove ignoreLock and simplify code

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なるみ 2022-06-15 23:07:27 +08:00
parent f19e1fdf87
commit a4814951d4
2 changed files with 11 additions and 23 deletions
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1
config/rebalance.yaml
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@ -9,7 +9,6 @@ exchangeStrategies:
rebalance:
interval: 1d
baseCurrency: TWD
ignoreLocked: true
targetWeights:
BTC: 40%
ETH: 20%

33
pkg/strategy/rebalance/strategy.go
View File

@ -28,7 +28,6 @@ type Strategy struct {
BaseCurrency string `json:"baseCurrency"`
TargetWeights map[string]fixedpoint.Value `json:"targetWeights"`
Threshold fixedpoint.Value `json:"threshold"`
IgnoreLocked bool `json:"ignoreLocked"`
Verbose bool `json:"verbose"`
DryRun bool `json:"dryRun"`
// max amount to buy or sell per order
@ -111,9 +110,7 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
return
}
balances := session.GetAccount().Balances()
quantities := s.getQuantities(balances)
marketValues := prices.Mul(quantities)
marketValues := prices.Mul(s.quantities(session))
orders := s.generateSubmitOrders(prices, marketValues)
for _, order := range orders {
@ -136,6 +133,11 @@ func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecut
}
func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) (prices types.Float64Slice, err error) {
tickers, err := session.Exchange.QueryTickers(ctx, s.symbols()...)
if err != nil {
return nil, err
}
for _, currency := range s.currencies {
if currency == s.BaseCurrency {
prices = append(prices, 1.0)
@ -143,34 +145,21 @@ func (s *Strategy) prices(ctx context.Context, session *bbgo.ExchangeSession) (p
}
symbol := currency + s.BaseCurrency
ticker, err := session.Exchange.QueryTicker(ctx, symbol)
if err != nil {
s.Notifiability.Notify("query ticker error: %s", err.Error())
log.WithError(err).Error("query ticker error")
return prices, err
}
prices = append(prices, ticker.Last.Float64())
prices = append(prices, tickers[symbol].Last.Float64())
}
return prices, nil
}
func (s *Strategy) getQuantities(balances types.BalanceMap) (quantities types.Float64Slice) {
func (s *Strategy) quantities(session *bbgo.ExchangeSession) (quantities types.Float64Slice) {
balances := session.GetAccount().Balances()
for _, currency := range s.currencies {
if s.IgnoreLocked {
quantities = append(quantities, balances[currency].Total().Float64())
} else {
quantities = append(quantities, balances[currency].Available.Float64())
}
quantities = append(quantities, balances[currency].Total().Float64())
}
return quantities
}
func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice) (submitOrders []types.SubmitOrder) {
currentWeights := marketValues.Normalize()
totalValue := marketValues.Sum()
log.Infof("total value: %f", totalValue)
for i, currency := range s.currencies {
if currency == s.BaseCurrency {
@ -201,7 +190,7 @@ func (s *Strategy) generateSubmitOrders(prices, marketValues types.Float64Slice)
continue
}
quantity := fixedpoint.NewFromFloat((weightDifference * totalValue) / currentPrice)
quantity := fixedpoint.NewFromFloat((weightDifference * marketValues.Sum()) / currentPrice)
side := types.SideTypeBuy
if quantity.Sign() < 0 {