lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

xdepthmaker: document covered position

Browse Source
This commit is contained in:
c9s 2023-11-29 16:19:22 +08:00
parent 1e27f53891
commit d123e89a1b
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
2 changed files with 17 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

19
pkg/strategy/xdepthmaker/strategy.go
View File

@ -138,6 +138,14 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
s.tradeCollector = core.NewTradeCollector(symbol, s.Position, s.orderStore)
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
c := trade.PositionChange()
// sync covered position
// sell trade -> negative delta ->
// 1) long position -> reduce long position
// 2) short position -> increase short position
// buy trade -> positive delta ->
// 1) short position -> reduce short position
// 2) short position -> increase short position
if trade.Exchange == s.hedgeSession.ExchangeName {
s.CoveredPosition.AtomicAdd(c)
}
@ -525,11 +533,12 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
s.orderStore.Add(createdOrders...)
// if it's selling, then we should add positive position
if side == types.SideTypeSell {
s.CoveredPosition = s.CoveredPosition.Add(quantity)
} else {
s.CoveredPosition = s.CoveredPosition.Add(quantity.Neg())
// if the hedge is on sell side, then we should add positive position
switch side {
case types.SideTypeSell:
s.CoveredPosition.AtomicAdd(quantity)
case types.SideTypeBuy:
s.CoveredPosition.AtomicAdd(quantity.Neg())
}
}

3
pkg/types/trade.go
View File

@ -120,6 +120,9 @@ func (trade Trade) CsvRecords() [][]string {
}
}
// PositionChange returns the position delta of this trade
// BUY trade -> positive quantity
// SELL trade -> negative quantity
func (trade Trade) PositionChange() fixedpoint.Value {
q := trade.Quantity
switch trade.Side {