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Merge pull request #1791 from c9s/kbearXD/xalign/notify-if-large-amount
FEATURE: [xalign] add notification when order quote is over alert amount
This commit is contained in:
commit
b57c54de2b
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@ -47,3 +47,9 @@ crossExchangeStrategies:
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USDT: 100
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USDC: 100
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TWD: 3000
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largeAmountAlert:
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quote: USDT
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amount: 200
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slackMentions:
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- '<@USER_ID>'
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- '<!subteam^TEAM_ID>'
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@ -9,6 +9,7 @@ import (
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"time"
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"github.com/sirupsen/logrus"
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"github.com/slack-go/slack"
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"golang.org/x/time/rate"
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"github.com/c9s/bbgo/pkg/bbgo"
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@ -37,6 +38,55 @@ type QuoteCurrencyPreference struct {
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Sell []string `json:"sell"`
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}
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type AmountAlertConfig struct {
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QuoteCurrency string `json:"quoteCurrency"`
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Amount fixedpoint.Value `json:"amount"`
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SlackMentions []string `json:"slackMentions"`
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}
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type LargeAmountAlert struct {
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QuoteCurrency string
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AlertAmount fixedpoint.Value
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SlackMentions []string
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BaseCurrency string
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Side types.SideType
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Price fixedpoint.Value
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Quantity fixedpoint.Value
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Amount fixedpoint.Value
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}
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func (m *LargeAmountAlert) SlackAttachment() slack.Attachment {
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return slack.Attachment{
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Color: "red",
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Title: fmt.Sprintf("xalign amount alert - try to align %s with quote %s amount %f > %f",
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m.BaseCurrency, m.QuoteCurrency, m.Amount.Float64(), m.AlertAmount.Float64()),
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Text: strings.Join(m.SlackMentions, " "),
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Fields: []slack.AttachmentField{
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{
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Title: "Base Currency",
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Value: m.BaseCurrency,
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Short: true,
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},
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{
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Title: "Side",
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Value: m.Side.String(),
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Short: true,
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},
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{
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Title: "Price",
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Value: m.Price.String(),
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Short: true,
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},
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{
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Title: "Quantity",
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Value: m.Quantity.String(),
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Short: true,
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},
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},
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}
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}
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type Strategy struct {
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*bbgo.Environment
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Interval types.Interval `json:"interval"`
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@ -48,6 +98,7 @@ type Strategy struct {
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BalanceToleranceRange fixedpoint.Value `json:"balanceToleranceRange"`
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Duration types.Duration `json:"for"`
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MaxAmounts map[string]fixedpoint.Value `json:"maxAmounts"`
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LargeAmountAlert *AmountAlertConfig `json:"largeAmountAlert"`
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SlackNotify bool `json:"slackNotify"`
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SlackNotifyMentions []string `json:"slackNotifyMentions"`
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@ -84,7 +135,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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}
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func (s *Strategy) Defaults() error {
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@ -196,20 +246,20 @@ func (s *Strategy) detectActiveDeposit(
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func (s *Strategy) selectSessionForCurrency(
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ctx context.Context, sessions map[string]*bbgo.ExchangeSession, currency string, changeQuantity fixedpoint.Value,
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) (*bbgo.ExchangeSession, *types.SubmitOrder) {
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var taker = s.UseTakerOrder
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var side types.SideType
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var quoteCurrencies []string
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if changeQuantity.Sign() > 0 {
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quoteCurrencies = s.PreferredQuoteCurrencies.Buy
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side = types.SideTypeBuy
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} else {
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quoteCurrencies = s.PreferredQuoteCurrencies.Sell
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side = types.SideTypeSell
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}
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for _, sessionName := range s.PreferredSessions {
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session := sessions[sessionName]
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var taker = s.UseTakerOrder
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var side types.SideType
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var quoteCurrencies []string
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if changeQuantity.Sign() > 0 {
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quoteCurrencies = s.PreferredQuoteCurrencies.Buy
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side = types.SideTypeBuy
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} else {
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quoteCurrencies = s.PreferredQuoteCurrencies.Sell
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side = types.SideTypeSell
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}
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for _, fromQuoteCurrency := range quoteCurrencies {
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// skip the same currency, because there is no such USDT/USDT market
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if currency == fromQuoteCurrency {
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@ -410,6 +460,16 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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}
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s.priceResolver = pricesolver.NewSimplePriceResolver(markets)
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for _, session := range s.sessions {
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// init the price
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marketPrices := session.LastPrices()
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for market, price := range marketPrices {
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s.priceResolver.Update(market, price)
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}
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// bind on trade to update price
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session.UserDataStream.OnTradeUpdate(s.priceResolver.UpdateFromTrade)
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}
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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@ -533,6 +593,30 @@ func (s *Strategy) align(ctx context.Context, sessions map[string]*bbgo.Exchange
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}
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}
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if price, ok := s.priceResolver.ResolvePrice(currency, s.LargeAmountAlert.QuoteCurrency); ok {
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quantity := q.Abs()
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amount := price.Mul(quantity)
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if amount.Compare(s.LargeAmountAlert.Amount) > 0 {
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alert := &LargeAmountAlert{
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QuoteCurrency: s.LargeAmountAlert.QuoteCurrency,
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AlertAmount: s.LargeAmountAlert.Amount,
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SlackMentions: s.LargeAmountAlert.SlackMentions,
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BaseCurrency: currency,
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Price: price,
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Quantity: quantity,
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Amount: amount,
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}
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if q.Sign() > 0 {
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alert.Side = types.SideTypeBuy
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} else {
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alert.Side = types.SideTypeSell
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}
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bbgo.Notify(alert)
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}
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}
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selectedSession, submitOrder := s.selectSessionForCurrency(ctx, sessions, currency, q)
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if selectedSession != nil && submitOrder != nil {
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log.Infof("placing %s order on %s: %+v", submitOrder.Symbol, selectedSession.Name, submitOrder)
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