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xdepthmaker: update updateQuote method
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c9s
parent
2f1a700b89
commit
a82bc86455
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@ -589,7 +589,6 @@ func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook) ([]ty
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bestBidPrice := bestBid.Price
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bestAskPrice := bestAsk.Price
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log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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lastMidPrice := bestBidPrice.Add(bestAskPrice).Div(Two)
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_ = lastMidPrice
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@ -698,8 +697,11 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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return
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}
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// use mid-price for the last price
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
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bestBidPrice := bestBid.Price
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bestAskPrice := bestAsk.Price
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log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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s.lastPrice = bestBidPrice.Add(bestAskPrice).Div(Two)
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bookLastUpdateTime := s.pricingBook.LastUpdateTime()
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@ -717,210 +719,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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return
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}
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sourceBook := s.pricingBook.CopyDepth(10)
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if valid, err := sourceBook.IsValid(); !valid {
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log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
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return
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}
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var disableMakerBid = false
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var disableMakerAsk = false
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// check maker's balance quota
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// we load the balances from the account while we're generating the orders,
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// the balance may have a chance to be deducted by other strategies or manual orders submitted by the user
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makerBalances := s.makerSession.GetAccount().Balances()
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makerQuota := &bbgo.QuotaTransaction{}
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if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
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if b.Available.Compare(s.makerMarket.MinQuantity) > 0 {
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makerQuota.BaseAsset.Add(b.Available)
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} else {
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disableMakerAsk = true
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}
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}
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if b, ok := makerBalances[s.makerMarket.QuoteCurrency]; ok {
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if b.Available.Compare(s.makerMarket.MinNotional) > 0 {
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makerQuota.QuoteAsset.Add(b.Available)
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} else {
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disableMakerBid = true
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}
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}
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hedgeBalances := s.hedgeSession.GetAccount().Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.hedgeMarket.BaseCurrency]; ok {
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// to make bid orders, we need enough base asset in the foreign exchange,
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// if the base asset balance is not enough for selling
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if s.StopHedgeBaseBalance.Sign() > 0 {
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minAvailable := s.StopHedgeBaseBalance.Add(s.hedgeMarket.MinQuantity)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available.Sub(minAvailable))
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} else {
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log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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} else if b.Available.Compare(s.hedgeMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
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disableMakerBid = true
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}
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}
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if b, ok := hedgeBalances[s.hedgeMarket.QuoteCurrency]; ok {
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// to make ask orders, we need enough quote asset in the foreign exchange,
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// if the quote asset balance is not enough for buying
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if s.StopHedgeQuoteBalance.Sign() > 0 {
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minAvailable := s.StopHedgeQuoteBalance.Add(s.hedgeMarket.MinNotional)
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if b.Available.Compare(minAvailable) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available.Sub(minAvailable))
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} else {
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log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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} else if b.Available.Compare(s.hedgeMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
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disableMakerAsk = true
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}
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}
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// if max exposure position is configured, we should not:
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// 1. place bid orders when we already bought too much
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// 2. place ask orders when we already sold too much
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if s.MaxExposurePosition.Sign() > 0 {
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pos := s.Position.GetBase()
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if pos.Compare(s.MaxExposurePosition.Neg()) > 0 {
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// stop sell if we over-sell
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disableMakerAsk = true
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} else if pos.Compare(s.MaxExposurePosition) > 0 {
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// stop buy if we over buy
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disableMakerBid = true
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}
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}
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if disableMakerAsk && disableMakerBid {
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log.Warnf("%s bid/ask maker is disabled due to insufficient balances", s.Symbol)
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return
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}
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bestBidPrice := bestBid.Price
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bestAskPrice := bestAsk.Price
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log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
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var submitOrders []types.SubmitOrder
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var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
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var bidQuantity = s.Quantity
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var askQuantity = s.Quantity
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var bidMargin = s.BidMargin
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var askMargin = s.AskMargin
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var pips = s.Pips
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bidPrice := bestBidPrice
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askPrice := bestAskPrice
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for i := 0; i < s.NumLayers; i++ {
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// for maker bid orders
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if !disableMakerBid {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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submitOrders, err := s.generateMakerOrders(s.pricingBook)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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log.WithError(err).Errorf("generate order error")
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return
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}
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log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
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// override the default bid quantity
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bidQuantity = fixedpoint.NewFromFloat(qf)
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}
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accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
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if s.UseDepthPrice {
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if s.DepthQuantity.Sign() > 0 {
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bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
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} else {
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bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
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}
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}
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
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if i > 0 && pips.Sign() > 0 {
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bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
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Mul(s.makerMarket.TickSize)))
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}
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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// if we bought, then we need to sell the base from the hedge session
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: bidPrice,
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Quantity: bidQuantity,
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TimeInForce: types.TimeInForceGTC,
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})
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makerQuota.Commit()
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hedgeQuota.Commit()
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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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}
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// for maker ask orders
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if !disableMakerAsk {
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if s.QuantityScale != nil {
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qf, err := s.QuantityScale.Scale(i + 1)
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if err != nil {
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log.WithError(err).Errorf("quantityScale error")
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return
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}
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log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
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// override the default bid quantity
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askQuantity = fixedpoint.NewFromFloat(qf)
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}
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accumulativeAskQuantity = accumulativeAskQuantity.Add(askQuantity)
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if s.UseDepthPrice {
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if s.DepthQuantity.Sign() > 0 {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
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} else {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
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}
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}
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askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
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if i > 0 && pips.Sign() > 0 {
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askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
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}
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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// if we bought, then we need to sell the base from the hedge session
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.makerMarket,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: askPrice,
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Quantity: askQuantity,
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TimeInForce: types.TimeInForceGTC,
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})
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makerQuota.Commit()
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hedgeQuota.Commit()
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} else {
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makerQuota.Rollback()
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hedgeQuota.Rollback()
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}
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}
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}
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if len(submitOrders) == 0 {
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log.Warnf("no orders are generated")
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return
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