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xmaker: add price checker and field logger

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c9s 2024-08-27 17:41:37 +08:00
parent f81ce5ce95
commit a740ef10c2
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 38 additions and 15 deletions
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53
pkg/strategy/xmaker/strategy.go
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@ -26,7 +26,6 @@ var defaultMargin = fixedpoint.NewFromFloat(0.003)
var two = fixedpoint.NewFromInt(2)
var lastPriceModifier = fixedpoint.NewFromFloat(1.001)
var minGap = fixedpoint.NewFromFloat(1.02)
const priceUpdateTimeout = 30 * time.Second
@ -134,6 +133,8 @@ type Strategy struct {
reportProfitStatsRateLimiter *rate.Limiter
circuitBreakerAlertLimiter *rate.Limiter
logger logrus.FieldLogger
}
func (s *Strategy) ID() string {
@ -189,6 +190,12 @@ func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Valu
func (s *Strategy) Initialize() error {
s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
s.logger = logrus.WithFields(logrus.Fields{
"symbol": s.Symbol,
"strategy": ID,
"strategy_id": s.InstanceID(),
})
return nil
}
@ -208,7 +215,7 @@ func (s *Strategy) getBollingerTrend(quote *Quote) int {
lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last(0))
lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
log.Infof("bollinger band: up/down = %f/%f, bid/ask = %f/%f",
s.logger.Infof("bollinger band: up/down = %f/%f, bid/ask = %f/%f",
lastUpBand.Float64(),
lastDownBand.Float64(),
quote.BestBidPrice.Float64(),
@ -231,7 +238,7 @@ func (s *Strategy) applyBollingerMargin(
lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last(0))
if lastUpBand.IsZero() || lastDownBand.IsZero() {
log.Warnf("bollinger band value is zero, skipping")
s.logger.Warnf("bollinger band value is zero, skipping")
return nil
}
@ -245,7 +252,7 @@ func (s *Strategy) applyBollingerMargin(
// so that 1.x can multiply the original bid margin
bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
log.Infof("%s bollband downtrend: increasing bid margin %f (bidMargin) + %f (bollMargin) = %f (finalBidMargin)",
s.logger.Infof("%s bollband downtrend: increasing bid margin %f (bidMargin) + %f (bollMargin) = %f (finalBidMargin)",
s.Symbol,
quote.BidMargin.Float64(),
bollMargin.Float64(),
@ -262,7 +269,7 @@ func (s *Strategy) applyBollingerMargin(
// so that the original bid margin can be multiplied by 1.x
bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
log.Infof("%s bollband uptrend adjusting bid margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
s.logger.Infof("%s bollband uptrend adjusting bid margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
s.Symbol,
quote.AskMargin.Float64(),
bollMargin.Float64(),
@ -281,7 +288,7 @@ func (s *Strategy) applyBollingerMargin(
func (s *Strategy) updateQuote(ctx context.Context) {
if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
s.logger.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
s.activeMakerOrders.Print()
return
}
@ -293,7 +300,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if s.CircuitBreaker != nil {
now := time.Now()
if reason, halted := s.CircuitBreaker.IsHalted(now); halted {
log.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
s.logger.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
if s.circuitBreakerAlertLimiter.AllowN(now, 1) {
bbgo.Notify("Strategy is halted, reason: %s", reason)
@ -316,14 +323,14 @@ func (s *Strategy) updateQuote(ctx context.Context) {
bookLastUpdateTime := s.book.LastUpdateTime()
if _, err := s.bidPriceHeartBeat.Update(bestBid); err != nil {
log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
s.logger.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
s.Symbol,
time.Since(bookLastUpdateTime))
return
}
if _, err := s.askPriceHeartBeat.Update(bestAsk); err != nil {
log.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
s.logger.WithError(err).Errorf("quote update error, %s price not updating, order book last update: %s ago",
s.Symbol,
time.Since(bookLastUpdateTime))
return
@ -331,7 +338,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
sourceBook := s.book.CopyDepth(10)
if valid, err := sourceBook.IsValid(); !valid {
log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
s.logger.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
return
}
@ -369,13 +376,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if b.Available.Compare(minAvailable) > 0 {
hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
} else {
log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
disableMakerBid = true
}
} else if b.Available.Compare(s.sourceMarket.MinQuantity) > 0 {
hedgeQuota.BaseAsset.Add(b.Available)
} else {
log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
disableMakerBid = true
}
}
@ -388,13 +395,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
if b.Available.Compare(minAvailable) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
} else {
log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
disableMakerAsk = true
}
} else if b.Available.Compare(s.sourceMarket.MinNotional) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available)
} else {
log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
s.logger.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
disableMakerAsk = true
}
}
@ -421,7 +428,15 @@ func (s *Strategy) updateQuote(ctx context.Context) {
bestBidPrice := bestBid.Price
bestAskPrice := bestAsk.Price
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
s.logger.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
if bestBidPrice.Compare(bestAskPrice) > 0 {
log.Errorf("best bid price %f is higher than best ask price %f, skip quoting",
bestBidPrice.Float64(),
bestAskPrice.Float64(),
)
return
}
var submitOrders []types.SubmitOrder
var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
@ -455,6 +470,14 @@ func (s *Strategy) updateQuote(ctx context.Context) {
bidPrice := quote.BestBidPrice
askPrice := quote.BestAskPrice
if bidPrice.Compare(askPrice) > 0 {
log.Errorf("maker bid price %f is higher than maker ask price %f, skip quoting",
bidPrice.Float64(),
askPrice.Float64(),
)
return
}
bidMarginMetrics.With(labels).Set(quote.BidMargin.Float64())
askMarginMetrics.With(labels).Set(quote.AskMargin.Float64())