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liqmaker: add stop functions

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c9s 2024-10-25 12:03:13 +08:00
parent 441476c678
commit c3127f45ce
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 51 additions and 17 deletions
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44
pkg/strategy/liquiditymaker/strategy.go
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@ -52,6 +52,9 @@ type Strategy struct {
AskLiquidityAmount fixedpoint.Value `json:"askLiquidityAmount"`
BidLiquidityAmount fixedpoint.Value `json:"bidLiquidityAmount"`
StopBidPrice fixedpoint.Value `json:"stopBidPrice"`
StopAskPrice fixedpoint.Value `json:"stopAskPrice"`
UseProtectedPriceRange bool `json:"useProtectedPriceRange"`
UseLastTradePrice bool `json:"useLastTradePrice"`
@ -59,7 +62,7 @@ type Strategy struct {
MaxPrice fixedpoint.Value `json:"maxPrice"`
MinPrice fixedpoint.Value `json:"minPrice"`
MaxExposure fixedpoint.Value `json:"maxExposure"`
MaxPositionExposure fixedpoint.Value `json:"maxPositionExposure"`
MinProfit fixedpoint.Value `json:"minProfit"`
@ -300,6 +303,19 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
ask1Price.Float64(), askLastPrice.Float64(),
bid1Price.Float64(), bidLastPrice.Float64())
placeBid := true
placeAsk := true
if s.StopBidPrice.Sign() > 0 && midPrice.Compare(s.StopBidPrice) > 0 {
log.Infof("mid price %f > stop bid price %f, turning off bid orders", midPrice.Float64(), s.StopBidPrice.Float64())
placeBid = false
}
if s.StopAskPrice.Sign() > 0 && midPrice.Compare(s.StopAskPrice) < 0 {
log.Infof("mid price %f < stop ask price %f, turning off ask orders", midPrice.Float64(), s.StopAskPrice.Float64())
placeAsk = false
}
availableBase := baseBal.Available
availableQuote := quoteBal.Available
@ -308,23 +324,37 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
quoteBal.String())
if !s.Position.IsDust() {
positionBase := s.Position.GetBase()
if s.Position.IsLong() {
availableBase = availableBase.Sub(s.Position.Base)
availableBase = availableBase.Sub(positionBase)
availableBase = s.Market.RoundDownQuantityByPrecision(availableBase)
if s.UseProtectedPriceRange {
ask1Price = profitProtectedPrice(types.SideTypeSell, s.Position.AverageCost, ask1Price, s.Session.MakerFeeRate, s.MinProfit)
}
} else if s.Position.IsShort() {
posSizeInQuote := s.Position.Base.Mul(ticker.Sell)
posSizeInQuote := positionBase.Mul(ticker.Sell)
availableQuote = availableQuote.Sub(posSizeInQuote)
if s.UseProtectedPriceRange {
bid1Price = profitProtectedPrice(types.SideTypeBuy, s.Position.AverageCost, bid1Price, s.Session.MakerFeeRate, s.MinProfit)
}
}
if s.MaxPositionExposure.Sign() > 0 {
if positionBase.Abs().Compare(s.MaxPositionExposure) > 0 {
if s.Position.IsLong() {
placeBid = false
}
if s.Position.IsShort() {
placeAsk = false
}
}
}
}
var orderForms []types.SubmitOrder
if placeBid {
bidOrders := s.orderGenerator.Generate(types.SideTypeBuy,
fixedpoint.Min(s.BidLiquidityAmount, quoteBal.Available),
bid1Price,
@ -332,6 +362,10 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
s.NumOfLiquidityLayers,
s.liquidityScale)
orderForms = append(orderForms, bidOrders...)
}
if placeAsk {
askOrders := s.orderGenerator.Generate(types.SideTypeSell,
s.AskLiquidityAmount,
ask1Price,
@ -340,8 +374,8 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
s.liquidityScale)
askOrders = filterAskOrders(askOrders, baseBal.Available)
orderForms := append(bidOrders, askOrders...)
orderForms = append(orderForms, askOrders...)
}
createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
if util.LogErr(err, "unable to place liquidity orders") {