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Merge pull request #1720 from c9s/c9s/xmaker/margin-credit-improvement
FEATURE: [xmaker] margin credit improvement
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bda66040e7
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@ -63,6 +63,9 @@ type Strategy struct {
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BollBandMargin fixedpoint.Value `json:"bollBandMargin"`
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BollBandMarginFactor fixedpoint.Value `json:"bollBandMarginFactor"`
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// MinMarginLevel is the minimum margin level to trigger the hedge
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MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`
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StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
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StopHedgeBaseBalance fixedpoint.Value `json:"stopHedgeBaseBalance"`
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@ -126,6 +129,8 @@ type Strategy struct {
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askPriceHeartBeat, bidPriceHeartBeat *types.PriceHeartBeat
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accountValueCalculator *bbgo.AccountValueCalculator
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lastPrice fixedpoint.Value
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groupID uint32
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@ -190,7 +195,6 @@ func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Valu
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func (s *Strategy) Initialize() error {
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s.bidPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.askPriceHeartBeat = types.NewPriceHeartBeat(priceUpdateTimeout)
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s.logger = logrus.WithFields(logrus.Fields{
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"symbol": s.Symbol,
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"strategy": ID,
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@ -269,7 +273,7 @@ func (s *Strategy) applyBollingerMargin(
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// so that the original bid margin can be multiplied by 1.x
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bollMargin := s.BollBandMargin.Mul(ratio).Mul(factor)
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s.logger.Infof("%s bollband uptrend adjusting bid margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
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s.logger.Infof("%s bollband uptrend adjusting ask margin %f (askMargin) + %f (bollMargin) = %f (finalAskMargin)",
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s.Symbol,
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quote.AskMargin.Float64(),
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bollMargin.Float64(),
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@ -366,44 +370,90 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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}
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hedgeBalances := s.sourceSession.GetAccount().Balances()
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// if
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// 1) the source session is a margin session
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// 2) the min margin level is configured
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// 3) the hedge account's margin level is lower than the min margin level
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hedgeAccount := s.sourceSession.GetAccount()
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hedgeBalances := hedgeAccount.Balances()
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hedgeQuota := &bbgo.QuotaTransaction{}
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if b, ok := hedgeBalances[s.sourceMarket.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.sourceMarket.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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if s.sourceSession.Margin &&
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!s.MinMarginLevel.IsZero() &&
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!hedgeAccount.MarginLevel.IsZero() {
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if hedgeAccount.MarginLevel.Compare(s.MinMarginLevel) < 0 {
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if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
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quoteDebt := quote.Debt()
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if quoteDebt.Sign() > 0 {
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hedgeQuota.BaseAsset.Add(quoteDebt.Div(bestBid.Price))
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}
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}
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if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
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baseDebt := base.Debt()
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if baseDebt.Sign() > 0 {
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hedgeQuota.QuoteAsset.Add(baseDebt.Mul(bestAsk.Price))
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}
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}
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} else {
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// credit buffer
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creditBufferRatio := fixedpoint.NewFromFloat(1.2)
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if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
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netQuote := quote.Net()
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if netQuote.Sign() > 0 {
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hedgeQuota.QuoteAsset.Add(netQuote.Mul(creditBufferRatio))
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}
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}
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if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
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netBase := base.Net()
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if netBase.Sign() > 0 {
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hedgeQuota.BaseAsset.Add(netBase.Mul(creditBufferRatio))
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}
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}
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// netValueInUsd, err := s.accountValueCalculator.NetValue(ctx)
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}
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} else {
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if b, ok := hedgeBalances[s.sourceMarket.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.sourceMarket.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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s.logger.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.sourceMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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s.logger.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.sourceMarket.MinQuantity) > 0 {
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hedgeQuota.BaseAsset.Add(b.Available)
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} else {
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s.logger.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.sourceMarket.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.sourceMarket.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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if b, ok := hedgeBalances[s.sourceMarket.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.sourceMarket.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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s.logger.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.sourceMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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s.logger.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.sourceMarket.MinNotional) > 0 {
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hedgeQuota.QuoteAsset.Add(b.Available)
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} else {
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s.logger.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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@ -650,6 +700,35 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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_ = createdOrders
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}
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func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
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account *types.Account, side types.SideType, quantity, lastPrice fixedpoint.Value,
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) fixedpoint.Value {
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switch side {
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case types.SideTypeBuy:
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// check quote quantity
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if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
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if quote.Available.Compare(s.sourceMarket.MinNotional) < 0 {
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// adjust price to higher 0.1%, so that we can ensure that the order can be executed
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availableQuote := s.sourceMarket.TruncateQuoteQuantity(quote.Available)
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice, availableQuote)
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}
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}
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case types.SideTypeSell:
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// check quote quantity
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if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
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if base.Available.Compare(quantity) < 0 {
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quantity = base.Available
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}
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}
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}
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// truncate the quantity to the supported precision
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return s.sourceMarket.TruncateQuantity(quantity)
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}
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func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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side := types.SideTypeBuy
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if pos.IsZero() {
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@ -677,36 +756,22 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
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}
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}
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notional := quantity.Mul(lastPrice)
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// adjust quantity according to the balances
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account := s.sourceSession.GetAccount()
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switch side {
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case types.SideTypeBuy:
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// check quote quantity
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if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency); ok {
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if quote.Available.Compare(notional) < 0 {
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// adjust price to higher 0.1%, so that we can ensure that the order can be executed
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, lastPrice.Mul(lastPriceModifier), quote.Available)
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quantity = s.sourceMarket.TruncateQuantity(quantity)
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}
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}
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case types.SideTypeSell:
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// check quote quantity
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if base, ok := account.Balance(s.sourceMarket.BaseCurrency); ok {
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if base.Available.Compare(quantity) < 0 {
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quantity = base.Available
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}
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if s.sourceSession.Margin {
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// check the margin level
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if !s.MinMarginLevel.IsZero() && !account.MarginLevel.IsZero() && account.MarginLevel.Compare(s.MinMarginLevel) < 0 {
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log.Errorf("margin level %f is too low (< %f), skip hedge", account.MarginLevel.Float64(), s.MinMarginLevel.Float64())
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return
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}
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} else {
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quantity = s.adjustHedgeQuantityWithAvailableBalance(account, side, quantity, lastPrice)
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}
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// truncate quantity for the supported precision
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quantity = s.sourceMarket.TruncateQuantity(quantity)
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if s.sourceMarket.IsDustQuantity(quantity, lastPrice) {
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log.Warnf("skip dust quantity: %s", quantity.String())
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log.Warnf("skip dust quantity: %s @ price %f", quantity.String(), lastPrice.Float64())
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return
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}
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@ -821,6 +886,10 @@ func (s *Strategy) Defaults() error {
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s.NumLayers = 1
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}
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if s.MinMarginLevel.IsZero() {
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s.MinMarginLevel = fixedpoint.NewFromFloat(3.0)
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}
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if s.BidMargin.IsZero() {
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if !s.Margin.IsZero() {
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s.BidMargin = s.Margin
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@ -892,6 +961,35 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
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}
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}
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func (s *Strategy) accountUpdater(ctx context.Context) {
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ticker := time.NewTicker(3 * time.Minute)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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return
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case <-ticker.C:
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if _, err := s.sourceSession.UpdateAccount(ctx); err != nil {
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log.WithError(err).Errorf("unable to update account")
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}
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if err := s.accountValueCalculator.UpdatePrices(ctx); err != nil {
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log.WithError(err).Errorf("unable to update account value with prices")
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return
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}
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netValue, err := s.accountValueCalculator.NetValue(ctx)
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if err != nil {
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log.WithError(err).Errorf("unable to update account")
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return
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}
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s.logger.Infof("hedge session net value ~= %f USD", netValue.Float64())
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}
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}
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}
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func (s *Strategy) hedgeWorker(ctx context.Context) {
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ticker := time.NewTicker(util.MillisecondsJitter(s.HedgeInterval.Duration(), 200))
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defer ticker.Stop()
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@ -980,6 +1078,8 @@ func (s *Strategy) CrossRun(
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return fmt.Errorf("maker session market %s is not defined", s.Symbol)
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}
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s.accountValueCalculator = bbgo.NewAccountValueCalculator(s.sourceSession, s.sourceMarket.QuoteCurrency)
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indicators := s.sourceSession.Indicators(s.Symbol)
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s.boll = indicators.BOLL(types.IntervalWindow{
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@ -1136,6 +1236,7 @@ func (s *Strategy) CrossRun(
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go s.tradeRecover(ctx)
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}
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go s.accountUpdater(ctx)
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go s.hedgeWorker(ctx)
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go s.quoteWorker(ctx)
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