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xfunding: move position state to state struct
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c9s
parent
108bb5deeb
commit
c1fbbbe400
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@ -1,25 +0,0 @@
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// Code generated by "stringer -type=PositionAction"; DO NOT EDIT.
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package xfunding
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import "strconv"
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func _() {
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// An "invalid array index" compiler error signifies that the constant values have changed.
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// Re-run the stringer command to generate them again.
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var x [1]struct{}
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_ = x[PositionNoOp-0]
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_ = x[PositionOpening-1]
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_ = x[PositionClosing-2]
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}
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const _PositionAction_name = "PositionNoOpPositionOpeningPositionClosing"
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var _PositionAction_index = [...]uint8{0, 12, 27, 42}
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func (i PositionAction) String() string {
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if i < 0 || i >= PositionAction(len(_PositionAction_index)-1) {
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return "PositionAction(" + strconv.FormatInt(int64(i), 10) + ")"
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}
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return _PositionAction_name[_PositionAction_index[i]:_PositionAction_index[i+1]]
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}
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25
pkg/strategy/xfunding/positionstate_string.go
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25
pkg/strategy/xfunding/positionstate_string.go
Normal file
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@ -0,0 +1,25 @@
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// Code generated by "stringer -type=PositionState"; DO NOT EDIT.
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package xfunding
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import "strconv"
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func _() {
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// An "invalid array index" compiler error signifies that the constant values have changed.
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// Re-run the stringer command to generate them again.
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var x [1]struct{}
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_ = x[PositionNoOp-0]
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_ = x[PositionOpening-1]
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_ = x[PositionClosing-2]
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}
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const _PositionState_name = "PositionNoOpPositionOpeningPositionClosing"
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var _PositionState_index = [...]uint8{0, 12, 27, 42}
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func (i PositionState) String() string {
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if i < 0 || i >= PositionState(len(_PositionState_index)-1) {
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return "PositionState(" + strconv.FormatInt(int64(i), 10) + ")"
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}
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return _PositionState_name[_PositionState_index[i]:_PositionState_index[i+1]]
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}
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@ -20,11 +20,15 @@ import (
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const ID = "xfunding"
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//go:generate stringer -type=PositionAction
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type PositionAction int
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// Position State Transitions:
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// NoOp -> Opening | Closing
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// Opening -> NoOp -> Closing
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// Closing -> NoOp -> Opening
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//go:generate stringer -type=PositionState
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type PositionState int
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const (
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PositionNoOp PositionAction = iota
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PositionNoOp PositionState = iota
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PositionOpening
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PositionClosing
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)
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@ -104,16 +108,17 @@ type Strategy struct {
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spotOrderExecutor, futuresOrderExecutor *bbgo.GeneralOrderExecutor
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spotMarket, futuresMarket types.Market
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// positionAction is default to NoOp
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positionAction PositionAction
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// positionType is the futures position type
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// currently we only support short position for the positive funding rate
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positionType types.PositionType
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}
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type State struct {
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PositionStartTime time.Time `json:"positionStartTime"`
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PositionStartTime time.Time `json:"positionStartTime"`
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// PositionState is default to NoOp
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PositionState PositionState
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PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
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TotalBaseTransfer fixedpoint.Value `json:"totalBaseTransfer"`
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UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
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@ -252,6 +257,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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if s.State == nil {
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s.State = &State{
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PositionState: PositionNoOp,
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PendingBaseTransfer: fixedpoint.Zero,
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TotalBaseTransfer: fixedpoint.Zero,
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UsedQuoteInvestment: fixedpoint.Zero,
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@ -277,7 +283,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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return
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}
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switch s.positionAction {
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switch s.State.PositionState {
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case PositionOpening:
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if trade.Side != types.SideTypeBuy {
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log.Errorf("unexpected trade side: %+v, expecting BUY trade", trade)
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@ -289,7 +295,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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s.State.UsedQuoteInvestment = s.State.UsedQuoteInvestment.Add(trade.QuoteQuantity)
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if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
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s.positionAction = PositionNoOp
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s.State.PositionState = PositionNoOp
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}
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// if we have trade, try to query the balance and transfer the balance to the futures wallet account
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@ -316,7 +322,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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return
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}
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switch s.positionAction {
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switch s.State.PositionState {
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case PositionClosing:
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if err := backoff.RetryGeneral(ctx, func() error {
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return s.transferOut(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
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@ -367,13 +373,13 @@ func (s *Strategy) queryAndDetectPremiumIndex(ctx context.Context, binanceFuture
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log.Infof("premiumIndex: %+v", premiumIndex)
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if changed := s.detectPremiumIndex(premiumIndex); changed {
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log.Infof("position action: %s %s", s.positionType, s.positionAction.String())
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log.Infof("position action: %s %s", s.positionType, s.State.PositionState.String())
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s.triggerPositionAction(ctx)
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}
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}
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func (s *Strategy) triggerPositionAction(ctx context.Context) {
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switch s.positionAction {
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switch s.State.PositionState {
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case PositionOpening:
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s.increaseSpotPosition(ctx)
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s.syncFuturesPosition(ctx)
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@ -384,7 +390,7 @@ func (s *Strategy) triggerPositionAction(ctx context.Context) {
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}
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func (s *Strategy) reduceFuturesPosition(ctx context.Context) {
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switch s.positionAction {
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switch s.State.PositionState {
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case PositionOpening, PositionNoOp:
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return
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}
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@ -443,7 +449,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
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return
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}
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switch s.positionAction {
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switch s.State.PositionState {
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case PositionClosing:
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return
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case PositionOpening, PositionNoOp:
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@ -532,7 +538,8 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
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log.Errorf("funding long position type is not supported")
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return
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}
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if s.positionAction != PositionOpening {
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if s.State.PositionState != PositionOpening {
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return
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}
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@ -540,6 +547,8 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
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defer s.mu.Unlock()
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if s.State.UsedQuoteInvestment.Compare(s.QuoteInvestment) >= 0 {
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// stop increase the position
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s.State.PositionState = PositionNoOp
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return
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}
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@ -586,6 +595,10 @@ func (s *Strategy) increaseSpotPosition(ctx context.Context) {
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}
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func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed bool) {
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if s.State.PositionState != PositionNoOp {
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return changed
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}
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fundingRate := premiumIndex.LastFundingRate
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log.Infof("last %s funding rate: %s", s.Symbol, fundingRate.Percentage())
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@ -620,11 +633,12 @@ func (s *Strategy) detectPremiumIndex(premiumIndex *types.PremiumIndex) (changed
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}
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func (s *Strategy) startOpeningPosition(pt types.PositionType, t time.Time) {
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if s.positionAction == PositionOpening {
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// we should only open a new position when there is no op on the position
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if s.State.PositionState != PositionNoOp {
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return
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}
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s.positionAction = PositionOpening
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s.State.PositionState = PositionOpening
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s.positionType = pt
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// reset the transfer stats
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@ -634,11 +648,11 @@ func (s *Strategy) startOpeningPosition(pt types.PositionType, t time.Time) {
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}
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func (s *Strategy) startClosingPosition() {
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if s.positionAction == PositionClosing {
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if s.State.PositionState != PositionNoOp {
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return
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}
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s.positionAction = PositionClosing
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s.State.PositionState = PositionClosing
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// reset the transfer stats
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s.State.PendingBaseTransfer = fixedpoint.Zero
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