lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

xfunding: add MinHoldingPeriod support

Browse Source
This commit is contained in:
c9s 2023-03-23 22:36:35 +08:00
parent a933f90cc8
commit aba80398d9
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 18 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

19
pkg/strategy/xfunding/strategy.go
View File

@ -57,6 +57,8 @@ type Strategy struct {
QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
MinHoldingPeriod types.Duration `json:"minHoldingPeriod"`
// ShortFundingRate is the funding rate range for short positions
// TODO: right now we don't support negative funding rate (long position) since it's rarer
ShortFundingRate *struct {
@ -111,6 +113,7 @@ type Strategy struct {
}
type State struct {
PositionStartTime time.Time `json:"positionStartTime"`
PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
@ -146,7 +149,14 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Defaults() error {
s.Leverage = fixedpoint.One
if s.Leverage.IsZero() {
s.Leverage = fixedpoint.One
}
if s.MinHoldingPeriod == 0 {
s.MinHoldingPeriod = types.Duration(3 * 24 * time.Hour)
}
return nil
}
@ -574,6 +584,7 @@ func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed
s.positionType = types.PositionShort
// reset the transfer stats
s.State.PositionStartTime = premiumIndex.Time
s.State.PendingBaseTransfer = fixedpoint.Zero
s.State.TotalBaseTransfer = fixedpoint.Zero
changed = true
@ -582,6 +593,12 @@ func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed
log.Infof("funding rate %s is lower than the Low threshold %s, start closing position...",
fundingRate.Percentage(), s.ShortFundingRate.Low.Percentage())
holdingPeriod := premiumIndex.Time.Sub(s.State.PositionStartTime)
if holdingPeriod < time.Duration(s.MinHoldingPeriod) {
log.Warnf("position holding period %s is less than %s, skip closing", holdingPeriod, s.MinHoldingPeriod)
return
}
s.positionAction = PositionClosing
// reset the transfer stats