lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-25 16:25:16 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

Merge pull request #1768 from c9s/c9s/xmaker/improvements2

Browse Source 
IMPROVE: [xmaker] add more improvements
This commit is contained in:
c9s 2024-10-07 17:38:49 +08:00 committed by GitHub
commit a5d4130625
No known key found for this signature in database
GPG Key ID: B5690EEEBB952194
1 changed files with 38 additions and 16 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

54
pkg/strategy/xmaker/strategy.go
View File

@ -26,6 +26,8 @@ import (
var defaultMargin = fixedpoint.NewFromFloat(0.003) var defaultMargin = fixedpoint.NewFromFloat(0.003)
var two = fixedpoint.NewFromInt(2) var two = fixedpoint.NewFromInt(2)
const feeTokenQuote = "USDT"
const priceUpdateTimeout = 30 * time.Second const priceUpdateTimeout = 30 * time.Second
const ID = "xmaker" const ID = "xmaker"
@ -88,6 +90,8 @@ type Strategy struct {
HedgeInterval types.Duration `json:"hedgeInterval"` HedgeInterval types.Duration `json:"hedgeInterval"`
OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"` OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`
SubscribeFeeTokenMarkets bool `json:"subscribeFeeTokenMarkets"`
EnableSignalMargin bool `json:"enableSignalMargin"` EnableSignalMargin bool `json:"enableSignalMargin"`
SignalConfigList []SignalConfig `json:"signals"` SignalConfigList []SignalConfig `json:"signals"`
SignalMarginScale *bbgo.SlideRule `json:"signalMarginScale,omitempty"` SignalMarginScale *bbgo.SlideRule `json:"signalMarginScale,omitempty"`
@ -232,6 +236,12 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: sig.BollingerBandTrendSignal.Interval}) sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: sig.BollingerBandTrendSignal.Interval})
} }
} }
if s.SubscribeFeeTokenMarkets {
subscribeOpts := types.SubscribeOptions{Interval: "1m"}
sourceSession.Subscribe(types.KLineChannel, sourceSession.Exchange.PlatformFeeCurrency()+feeTokenQuote, subscribeOpts)
makerSession.Subscribe(types.KLineChannel, makerSession.Exchange.PlatformFeeCurrency()+feeTokenQuote, subscribeOpts)
}
} }
func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) { func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
@ -1453,6 +1463,20 @@ func (s *Strategy) CrossRun(
s.Position.StrategyInstanceID = instanceID s.Position.StrategyInstanceID = instanceID
} }
if s.makerSession.MakerFeeRate.Sign() > 0 || s.makerSession.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), types.ExchangeFee{
MakerFeeRate: s.makerSession.MakerFeeRate,
TakerFeeRate: s.makerSession.TakerFeeRate,
})
}
if s.sourceSession.MakerFeeRate.Sign() > 0 || s.sourceSession.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
MakerFeeRate: s.sourceSession.MakerFeeRate,
TakerFeeRate: s.sourceSession.TakerFeeRate,
})
}
s.Position.UpdateMetrics() s.Position.UpdateMetrics()
bbgo.Notify("xmaker: %s position is restored", s.Symbol, s.Position) bbgo.Notify("xmaker: %s position is restored", s.Symbol, s.Position)
@ -1469,22 +1493,9 @@ func (s *Strategy) CrossRun(
} }
} }
if s.makerSession.MakerFeeRate.Sign() > 0 || s.makerSession.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(types.ExchangeName(s.MakerExchange), types.ExchangeFee{
MakerFeeRate: s.makerSession.MakerFeeRate,
TakerFeeRate: s.makerSession.TakerFeeRate,
})
}
if s.sourceSession.MakerFeeRate.Sign() > 0 || s.sourceSession.TakerFeeRate.Sign() > 0 {
s.Position.SetExchangeFeeRate(types.ExchangeName(s.SourceExchange), types.ExchangeFee{
MakerFeeRate: s.sourceSession.MakerFeeRate,
TakerFeeRate: s.sourceSession.TakerFeeRate,
})
}
s.priceSolver = pricesolver.NewSimplePriceResolver(sourceMarkets) s.priceSolver = pricesolver.NewSimplePriceResolver(sourceMarkets)
s.priceSolver.BindStream(s.sourceSession.MarketDataStream) s.priceSolver.BindStream(s.sourceSession.MarketDataStream)
s.sourceSession.UserDataStream.OnTradeUpdate(s.priceSolver.UpdateFromTrade)
s.accountValueCalculator = bbgo.NewAccountValueCalculator(s.sourceSession, s.priceSolver, s.sourceMarket.QuoteCurrency) s.accountValueCalculator = bbgo.NewAccountValueCalculator(s.sourceSession, s.priceSolver, s.sourceMarket.QuoteCurrency)
if err := s.accountValueCalculator.UpdatePrices(ctx); err != nil { if err := s.accountValueCalculator.UpdatePrices(ctx); err != nil {
@ -1492,9 +1503,15 @@ func (s *Strategy) CrossRun(
} }
s.sourceSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) { s.sourceSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
s.priceSolver.Update(k.Symbol, k.Close)
feeToken := s.sourceSession.Exchange.PlatformFeeCurrency() feeToken := s.sourceSession.Exchange.PlatformFeeCurrency()
if feePrice, ok := s.priceSolver.ResolvePrice(feeToken, "USDT"); ok { if feePrice, ok := s.priceSolver.ResolvePrice(feeToken, feeTokenQuote); ok {
s.Position.SetFeeAverageCost(feeToken, feePrice)
}
}))
s.makerSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
feeToken := s.makerSession.Exchange.PlatformFeeCurrency()
if feePrice, ok := s.priceSolver.ResolvePrice(feeToken, feeTokenQuote); ok {
s.Position.SetFeeAverageCost(feeToken, feePrice) s.Position.SetFeeAverageCost(feeToken, feePrice)
} }
})) }))
@ -1509,6 +1526,11 @@ func (s *Strategy) CrossRun(
} }
position := types.NewPositionFromMarket(s.makerMarket) position := types.NewPositionFromMarket(s.makerMarket)
position.ExchangeFeeRates = s.Position.ExchangeFeeRates
position.FeeRate = s.Position.FeeRate
position.StrategyInstanceID = s.Position.StrategyInstanceID
position.Strategy = s.Position.Strategy
profitStats := types.NewProfitStats(s.makerMarket) profitStats := types.NewProfitStats(s.makerMarket)
fixer := common.NewProfitFixer() fixer := common.NewProfitFixer()