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xfunding: add dustQuantity check

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c9s 2024-03-06 21:41:49 +08:00
parent 4a4f91e7f9
commit b20b306818
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 30 additions and 27 deletions
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55
pkg/strategy/xfunding/strategy.go
View File

@ -288,22 +288,6 @@ func (s *Strategy) CrossRun(
return err
}
// adjust QuoteInvestment
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
// adjust available quote with the fee rate
available := b.Available.Mul(fixedpoint.NewFromFloat(1.0 - (0.01 * 0.075)))
s.QuoteInvestment = fixedpoint.Min(available, s.QuoteInvestment)
if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
log.Infof("adjusted quoteInvestment from %s to %s according to the balance",
originalQuoteInvestment.String(),
s.QuoteInvestment.String(),
)
}
}
if s.ProfitStats == nil || s.Reset {
s.ProfitStats = &ProfitStats{
ProfitStats: types.NewProfitStats(s.Market),
@ -334,7 +318,25 @@ func (s *Strategy) CrossRun(
s.State = newState()
}
if err := s.checkAndRestorePositionRisks(ctx); err != nil {
// adjust QuoteInvestment according to the available quote balance
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
// adjust available quote with the fee rate
spotFeeRate := 0.075
availableQuoteWithoutFee := b.Available.Mul(fixedpoint.NewFromFloat(1.0 - (spotFeeRate * 0.01)))
s.QuoteInvestment = fixedpoint.Min(availableQuoteWithoutFee, s.QuoteInvestment)
if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
log.Infof("adjusted quoteInvestment from %f to %f according to the balance",
originalQuoteInvestment.Float64(),
s.QuoteInvestment.Float64(),
)
}
}
if err := s.syncPositionRisks(ctx); err != nil {
return err
}
@ -737,12 +739,14 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
if futuresBase.Sign() > 0 {
// unexpected error
log.Errorf("unexpected futures position (got positive, expecting negative)")
log.Errorf("unexpected futures position, got positive number (long), expecting negative number (short)")
return
}
// cancel the previous futures order
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
// get the latest ticker price
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
log.WithError(err).Errorf("can not query ticker")
@ -755,6 +759,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
log.WithError(err).Errorf("can not calculate futures account quote value")
return
}
log.Infof("calculated futures account quote value = %s", quoteValue.String())
if quoteValue.IsZero() {
return
@ -798,12 +803,10 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
orderQuantity = fixedpoint.Max(diffQuantity, s.minQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
/*
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Warnf("unexpected dust quantity, skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return
}
*/
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
log.Warnf("unexpected dust quantity, skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
return
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
@ -816,7 +819,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not submit spot order: %+v", submitOrder)
log.WithError(err).Errorf("can not submit futures order: %+v", submitOrder)
return
}
@ -1145,7 +1148,7 @@ func (s *Strategy) checkAndFixMarginMode(ctx context.Context) error {
return nil
}
func (s *Strategy) checkAndRestorePositionRisks(ctx context.Context) error {
func (s *Strategy) syncPositionRisks(ctx context.Context) error {
futuresClient := s.binanceFutures.GetFuturesClient()
req := futuresClient.NewFuturesGetPositionRisksRequest()
req.Symbol(s.Symbol)

2
pkg/strategy/xfunding/transfer.go
View File

@ -53,7 +53,7 @@ func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, asset st
quantity = quantity.Add(s.State.PendingBaseTransfer)
// a simple protection here -- we can only transfer the rest quota (total base transfer) back to spot
// A simple protection here -- we can only transfer the rest quota (total base transfer) back to spot
quantity = fixedpoint.Min(s.State.TotalBaseTransfer, quantity)
available, pending, err := s.queryAvailableTransfer(ctx, s.futuresSession.Exchange, asset, quantity)