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xdepthmaker: update updateQuote method

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c9s 2023-11-30 13:55:46 +08:00
parent 2f1a700b89
commit a82bc86455
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 8 additions and 204 deletions
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210
pkg/strategy/xdepthmaker/strategy.go
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@ -589,7 +589,6 @@ func (s *Strategy) generateMakerOrders(pricingBook *types.StreamOrderBook) ([]ty
bestBidPrice := bestBid.Price
bestAskPrice := bestAsk.Price
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
lastMidPrice := bestBidPrice.Add(bestAskPrice).Div(Two)
_ = lastMidPrice
@ -698,8 +697,11 @@ func (s *Strategy) updateQuote(ctx context.Context) {
return
}
// use mid-price for the last price
s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(Two)
bestBidPrice := bestBid.Price
bestAskPrice := bestAsk.Price
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
s.lastPrice = bestBidPrice.Add(bestAskPrice).Div(Two)
bookLastUpdateTime := s.pricingBook.LastUpdateTime()
@ -717,210 +719,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
return
}
sourceBook := s.pricingBook.CopyDepth(10)
if valid, err := sourceBook.IsValid(); !valid {
log.WithError(err).Errorf("%s invalid copied order book, skip quoting: %v", s.Symbol, err)
return
}
var disableMakerBid = false
var disableMakerAsk = false
// check maker's balance quota
// we load the balances from the account while we're generating the orders,
// the balance may have a chance to be deducted by other strategies or manual orders submitted by the user
makerBalances := s.makerSession.GetAccount().Balances()
makerQuota := &bbgo.QuotaTransaction{}
if b, ok := makerBalances[s.makerMarket.BaseCurrency]; ok {
if b.Available.Compare(s.makerMarket.MinQuantity) > 0 {
makerQuota.BaseAsset.Add(b.Available)
} else {
disableMakerAsk = true
}
}
if b, ok := makerBalances[s.makerMarket.QuoteCurrency]; ok {
if b.Available.Compare(s.makerMarket.MinNotional) > 0 {
makerQuota.QuoteAsset.Add(b.Available)
} else {
disableMakerBid = true
}
}
hedgeBalances := s.hedgeSession.GetAccount().Balances()
hedgeQuota := &bbgo.QuotaTransaction{}
if b, ok := hedgeBalances[s.hedgeMarket.BaseCurrency]; ok {
// to make bid orders, we need enough base asset in the foreign exchange,
// if the base asset balance is not enough for selling
if s.StopHedgeBaseBalance.Sign() > 0 {
minAvailable := s.StopHedgeBaseBalance.Add(s.hedgeMarket.MinQuantity)
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())
disableMakerBid = true
}
} else if b.Available.Compare(s.hedgeMarket.MinQuantity) > 0 {
hedgeQuota.BaseAsset.Add(b.Available)
} else {
log.Warnf("%s maker bid disabled: insufficient base balance %s", s.Symbol, b.String())
disableMakerBid = true
}
}
if b, ok := hedgeBalances[s.hedgeMarket.QuoteCurrency]; ok {
// to make ask orders, we need enough quote asset in the foreign exchange,
// if the quote asset balance is not enough for buying
if s.StopHedgeQuoteBalance.Sign() > 0 {
minAvailable := s.StopHedgeQuoteBalance.Add(s.hedgeMarket.MinNotional)
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())
disableMakerAsk = true
}
} else if b.Available.Compare(s.hedgeMarket.MinNotional) > 0 {
hedgeQuota.QuoteAsset.Add(b.Available)
} else {
log.Warnf("%s maker ask disabled: insufficient quote balance %s", s.Symbol, b.String())
disableMakerAsk = true
}
}
// if max exposure position is configured, we should not:
// 1. place bid orders when we already bought too much
// 2. place ask orders when we already sold too much
if s.MaxExposurePosition.Sign() > 0 {
pos := s.Position.GetBase()
if pos.Compare(s.MaxExposurePosition.Neg()) > 0 {
// stop sell if we over-sell
disableMakerAsk = true
} else if pos.Compare(s.MaxExposurePosition) > 0 {
// stop buy if we over buy
disableMakerBid = true
}
}
if disableMakerAsk && disableMakerBid {
log.Warnf("%s bid/ask maker is disabled due to insufficient balances", s.Symbol)
return
}
bestBidPrice := bestBid.Price
bestAskPrice := bestAsk.Price
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
var submitOrders []types.SubmitOrder
var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
var bidQuantity = s.Quantity
var askQuantity = s.Quantity
var bidMargin = s.BidMargin
var askMargin = s.AskMargin
var pips = s.Pips
bidPrice := bestBidPrice
askPrice := bestAskPrice
for i := 0; i < s.NumLayers; i++ {
// for maker bid orders
if !disableMakerBid {
if s.QuantityScale != nil {
qf, err := s.QuantityScale.Scale(i + 1)
submitOrders, err := s.generateMakerOrders(s.pricingBook)
if err != nil {
log.WithError(err).Errorf("quantityScale error")
log.WithError(err).Errorf("generate order error")
return
}
log.Infof("%s scaling bid #%d quantity to %f", s.Symbol, i+1, qf)
// override the default bid quantity
bidQuantity = fixedpoint.NewFromFloat(qf)
}
accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
if s.UseDepthPrice {
if s.DepthQuantity.Sign() > 0 {
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
} else {
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
}
}
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
if i > 0 && pips.Sign() > 0 {
bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
Mul(s.makerMarket.TickSize)))
}
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimit,
Side: types.SideTypeBuy,
Price: bidPrice,
Quantity: bidQuantity,
TimeInForce: types.TimeInForceGTC,
})
makerQuota.Commit()
hedgeQuota.Commit()
} else {
makerQuota.Rollback()
hedgeQuota.Rollback()
}
}
// for maker ask orders
if !disableMakerAsk {
if s.QuantityScale != nil {
qf, err := s.QuantityScale.Scale(i + 1)
if err != nil {
log.WithError(err).Errorf("quantityScale error")
return
}
log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
// override the default bid quantity
askQuantity = fixedpoint.NewFromFloat(qf)
}
accumulativeAskQuantity = accumulativeAskQuantity.Add(askQuantity)
if s.UseDepthPrice {
if s.DepthQuantity.Sign() > 0 {
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
} else {
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
}
}
askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
if i > 0 && pips.Sign() > 0 {
askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
}
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Market: s.makerMarket,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: askPrice,
Quantity: askQuantity,
TimeInForce: types.TimeInForceGTC,
})
makerQuota.Commit()
hedgeQuota.Commit()
} else {
makerQuota.Rollback()
hedgeQuota.Rollback()
}
}
}
if len(submitOrders) == 0 {
log.Warnf("no orders are generated")
return