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Merge pull request #1185 from c9s/c9s/fix-autoborrow
FIX: [autoborrow] add max borrowable check and add more notifications
This commit is contained in:
Yo-An Lin
GitHub
commit
c0bb953019
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@ -7,6 +7,7 @@ import (
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"time"
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"github.com/adshao/go-binance/v2/futures"
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"github.com/slack-go/slack"
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"github.com/adshao/go-binance/v2"
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"github.com/valyala/fastjson"
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@ -21,43 +22,42 @@ type EventBase struct {
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}
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/*
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executionReport
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{
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"e": "executionReport", // Event type
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"E": 1499405658658, // Event time
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"s": "ETHBTC", // Symbol
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"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
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"S": "BUY", // Side
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"o": "LIMIT", // Order type
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"f": "GTC", // Time in force
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"q": "1.00000000", // Order quantity
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"p": "0.10264410", // Order price
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"P": "0.00000000", // Stop price
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"F": "0.00000000", // Iceberg quantity
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"g": -1, // OrderListId
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"C": null, // Original client order ID; This is the ID of the order being canceled
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"x": "NEW", // Current execution type
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"X": "NEW", // Current order status
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"r": "NONE", // Order reject reason; will be an error code.
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"i": 4293153, // Order ID
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"l": "0.00000000", // Last executed quantity
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"z": "0.00000000", // Cumulative filled quantity
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"L": "0.00000000", // Last executed price
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"n": "0", // Commission amount
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"N": null, // Commission asset
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"T": 1499405658657, // Transaction time
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"t": -1, // Trade ID
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"I": 8641984, // Ignore
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"w": true, // Is the order on the book?
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"m": false, // Is this trade the maker side?
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"M": false, // Ignore
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"O": 1499405658657, // Order creation time
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"Z": "0.00000000", // Cumulative quote asset transacted quantity
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"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
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"Q": "0.00000000" // Quote Order Quantity
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}
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{
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"e": "executionReport", // Event type
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"E": 1499405658658, // Event time
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"s": "ETHBTC", // Symbol
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"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
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"S": "BUY", // Side
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"o": "LIMIT", // Order type
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"f": "GTC", // Time in force
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"q": "1.00000000", // Order quantity
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"p": "0.10264410", // Order price
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"P": "0.00000000", // Stop price
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"F": "0.00000000", // Iceberg quantity
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"g": -1, // OrderListId
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"C": null, // Original client order ID; This is the ID of the order being canceled
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"x": "NEW", // Current execution type
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"X": "NEW", // Current order status
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"r": "NONE", // Order reject reason; will be an error code.
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"i": 4293153, // Order ID
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"l": "0.00000000", // Last executed quantity
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"z": "0.00000000", // Cumulative filled quantity
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"L": "0.00000000", // Last executed price
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"n": "0", // Commission amount
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"N": null, // Commission asset
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"T": 1499405658657, // Transaction time
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"t": -1, // Trade ID
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"I": 8641984, // Ignore
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"w": true, // Is the order on the book?
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"m": false, // Is this trade the maker side?
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"M": false, // Ignore
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"O": 1499405658657, // Order creation time
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"Z": "0.00000000", // Cumulative quote asset transacted quantity
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"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
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"Q": "0.00000000" // Quote Order Quantity
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}
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*/
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type ExecutionReportEvent struct {
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EventBase
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@ -165,71 +165,100 @@ func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
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}
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/*
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balanceUpdate
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event: balanceUpdate
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{
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"e": "balanceUpdate", //KLineEvent Type
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"E": 1573200697110, //KLineEvent Time
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"a": "BTC", //Asset
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"d": "100.00000000", //Balance Delta
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"T": 1573200697068 //Clear Time
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}
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Balance Update occurs during the following:
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Deposits or withdrawals from the account
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Transfer of funds between accounts (e.g. Spot to Margin)
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{
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"e": "balanceUpdate", //KLineEvent Type
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"E": 1573200697110, //KLineEvent Time
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"a": "BTC", //Asset
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"d": "100.00000000", //Balance Delta
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"T": 1573200697068 //Clear Time
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}
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This event is only for Spot
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*/
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type BalanceUpdateEvent struct {
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EventBase
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Asset string `json:"a"`
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Delta string `json:"d"`
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ClearTime int64 `json:"T"`
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Asset string `json:"a"`
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Delta fixedpoint.Value `json:"d"`
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ClearTime types.MillisecondTimestamp `json:"T"`
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}
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func (e *BalanceUpdateEvent) SlackAttachment() slack.Attachment {
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return slack.Attachment{
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Title: "Binance Balance Update Event",
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Color: "warning",
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Fields: []slack.AttachmentField{
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{
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Title: "Asset",
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Value: e.Asset,
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Short: true,
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},
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{
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Title: "Delta",
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Value: e.Delta.String(),
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Short: true,
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},
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{
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Title: "Time",
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Value: e.ClearTime.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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/*
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outboundAccountInfo
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{
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"e": "outboundAccountInfo", // KLineEvent type
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"E": 1499405658849, // KLineEvent time
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"m": 0, // Maker commission rate (bips)
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"t": 0, // Taker commission rate (bips)
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"b": 0, // Buyer commission rate (bips)
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"s": 0, // Seller commission rate (bips)
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"T": true, // Can trade?
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"W": true, // Can withdraw?
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"D": true, // Can deposit?
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"u": 1499405658848, // Time of last account update
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"B": [ // AccountBalances array
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{
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"a": "LTC", // Asset
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"f": "17366.18538083", // Free amount
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"l": "0.00000000" // Locked amount
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},
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{
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"a": "BTC",
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"f": "10537.85314051",
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"l": "2.19464093"
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},
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{
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"a": "ETH",
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"f": "17902.35190619",
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"l": "0.00000000"
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},
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{
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"a": "BNC",
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"f": "1114503.29769312",
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"l": "0.00000000"
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},
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{
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"a": "NEO",
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"f": "0.00000000",
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"l": "0.00000000"
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}
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],
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"P": [ // Account Permissions
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"SPOT"
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]
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}
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{
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"e": "outboundAccountInfo", // KLineEvent type
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"E": 1499405658849, // KLineEvent time
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"m": 0, // Maker commission rate (bips)
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"t": 0, // Taker commission rate (bips)
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"b": 0, // Buyer commission rate (bips)
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"s": 0, // Seller commission rate (bips)
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"T": true, // Can trade?
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"W": true, // Can withdraw?
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"D": true, // Can deposit?
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"u": 1499405658848, // Time of last account update
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"B": [ // AccountBalances array
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{
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"a": "LTC", // Asset
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"f": "17366.18538083", // Free amount
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"l": "0.00000000" // Locked amount
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},
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{
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"a": "BTC",
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"f": "10537.85314051",
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"l": "2.19464093"
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},
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{
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"a": "ETH",
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"f": "17902.35190619",
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"l": "0.00000000"
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},
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{
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"a": "BNC",
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"f": "1114503.29769312",
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"l": "0.00000000"
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},
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{
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"a": "NEO",
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"f": "0.00000000",
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"l": "0.00000000"
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}
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],
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"P": [ // Account Permissions
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"SPOT"
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]
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}
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*/
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type Balance struct {
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Asset string `json:"a"`
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@ -247,9 +247,9 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
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if !marginAsset.MaxTotalBorrow.IsZero() {
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// check if we over borrow
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newBorrow := toBorrow.Add(b.Borrowed)
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if newBorrow.Compare(marginAsset.MaxTotalBorrow) > 0 {
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toBorrow = toBorrow.Sub(newBorrow.Sub(marginAsset.MaxTotalBorrow))
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newTotalBorrow := toBorrow.Add(b.Borrowed)
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if newTotalBorrow.Compare(marginAsset.MaxTotalBorrow) > 0 {
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toBorrow = toBorrow.Sub(newTotalBorrow.Sub(marginAsset.MaxTotalBorrow))
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if toBorrow.Sign() < 0 {
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log.Warnf("margin asset %s is over borrowed, skip", marginAsset.Asset)
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continue
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@ -257,6 +257,22 @@ func (s *Strategy) checkAndBorrow(ctx context.Context) {
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}
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}
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maxBorrowable, err2 := s.marginBorrowRepay.QueryMarginAssetMaxBorrowable(ctx, marginAsset.Asset)
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if err2 != nil {
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log.WithError(err).Errorf("max borrowable query error")
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continue
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}
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if toBorrow.Compare(maxBorrowable) > 0 {
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bbgo.Notify("Trying to borrow %f %s, which is greater than the max borrowable amount %f, will adjust borrow amount to %f",
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toBorrow.Float64(),
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marginAsset.Asset,
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maxBorrowable.Float64(),
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maxBorrowable.Float64())
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toBorrow = fixedpoint.Min(maxBorrowable, toBorrow)
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}
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if toBorrow.IsZero() {
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continue
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}
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@ -350,16 +366,19 @@ func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
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}
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func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) {
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bbgo.Notify(event)
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if s.MinMarginLevel.IsZero() {
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return
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}
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account := s.ExchangeSession.GetAccount()
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if account.MarginLevel.Compare(s.MinMarginLevel) > 0 {
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bbgo.Notify("account margin level %f is greater than minimal margin level %f, skip", account.MarginLevel.Float64(), s.MinMarginLevel.Float64())
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return
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}
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delta := fixedpoint.MustNewFromString(event.Delta)
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delta := event.Delta
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// ignore outflow
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if delta.Sign() < 0 {
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