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Merge pull request #1737 from c9s/c9s/xmaker/ioc-arb
FEATURE: [xmaker] implement tryArbitrage
This commit is contained in:
commit
d7ddc9c462
2
go.mod
2
go.mod
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@ -119,7 +119,7 @@ require (
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github.com/mattn/go-colorable v0.1.13 // indirect
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github.com/mattn/go-colorable v0.1.13 // indirect
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github.com/mattn/go-isatty v0.0.20 // indirect
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github.com/mattn/go-isatty v0.0.20 // indirect
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github.com/mattn/go-runewidth v0.0.15 // indirect
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github.com/mattn/go-runewidth v0.0.15 // indirect
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github.com/mattn/go-sqlite3 v1.14.22 // indirect
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github.com/mattn/go-sqlite3 v1.14.23 // indirect
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github.com/matttproud/golang_protobuf_extensions v1.0.1 // indirect
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github.com/matttproud/golang_protobuf_extensions v1.0.1 // indirect
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github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d // indirect
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github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d // indirect
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github.com/mitchellh/mapstructure v1.5.0 // indirect
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github.com/mitchellh/mapstructure v1.5.0 // indirect
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2
go.sum
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go.sum
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@ -474,6 +474,8 @@ github.com/mattn/go-sqlite3 v1.14.5/go.mod h1:WVKg1VTActs4Qso6iwGbiFih2UIHo0ENGw
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github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
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github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
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github.com/mattn/go-sqlite3 v1.14.22 h1:2gZY6PC6kBnID23Tichd1K+Z0oS6nE/XwU+Vz/5o4kU=
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github.com/mattn/go-sqlite3 v1.14.22 h1:2gZY6PC6kBnID23Tichd1K+Z0oS6nE/XwU+Vz/5o4kU=
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github.com/mattn/go-sqlite3 v1.14.22/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
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github.com/mattn/go-sqlite3 v1.14.22/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
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github.com/mattn/go-sqlite3 v1.14.23 h1:gbShiuAP1W5j9UOksQ06aiiqPMxYecovVGwmTxWtuw0=
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github.com/mattn/go-sqlite3 v1.14.23/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
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github.com/matttproud/golang_protobuf_extensions v1.0.1 h1:4hp9jkHxhMHkqkrB3Ix0jegS5sx/RkqARlsWZ6pIwiU=
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github.com/matttproud/golang_protobuf_extensions v1.0.1 h1:4hp9jkHxhMHkqkrB3Ix0jegS5sx/RkqARlsWZ6pIwiU=
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github.com/matttproud/golang_protobuf_extensions v1.0.1/go.mod h1:D8He9yQNgCq6Z5Ld7szi9bcBfOoFv/3dc6xSMkL2PC0=
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github.com/matttproud/golang_protobuf_extensions v1.0.1/go.mod h1:D8He9yQNgCq6Z5Ld7szi9bcBfOoFv/3dc6xSMkL2PC0=
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github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d h1:5PJl274Y63IEHC+7izoQE9x6ikvDFZS2mDVS3drnohI=
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github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d h1:5PJl274Y63IEHC+7izoQE9x6ikvDFZS2mDVS3drnohI=
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@ -546,22 +546,6 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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)
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)
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}
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}
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if s.EnableArbitrage {
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if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok {
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if makerAsk.Price.Compare(bestBid.Price) <= 0 {
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askPvs := s.makerBook.SideBook(types.SideTypeSell)
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for _, pv := range askPvs {
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if pv.Price.Compare(bestBid.Price) <= 0 {
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}
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}
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// send ioc order for arbitrage
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} else if makerBid.Price.Compare(bestAsk.Price) >= 0 {
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// send ioc order for arbitrage
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}
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}
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}
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// use mid-price for the last price
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// use mid-price for the last price
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
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s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
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@ -785,12 +769,19 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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bidExposureInUsd := fixedpoint.Zero
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bidExposureInUsd := fixedpoint.Zero
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askExposureInUsd := fixedpoint.Zero
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askExposureInUsd := fixedpoint.Zero
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bidPrice := quote.BestBidPrice
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askPrice := quote.BestAskPrice
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bidMarginMetrics.With(s.metricsLabels).Set(quote.BidMargin.Float64())
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bidMarginMetrics.With(s.metricsLabels).Set(quote.BidMargin.Float64())
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askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64())
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askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64())
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if s.EnableArbitrage {
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done, err := s.tryArbitrage(ctx, quote, makerBalances, hedgeBalances)
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if err != nil {
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s.logger.WithError(err).Errorf("unable to arbitrage")
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} else if done {
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return nil
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}
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}
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if !disableMakerBid {
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if !disableMakerBid {
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for i := 0; i < s.NumLayers; i++ {
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for i := 0; i < s.NumLayers; i++ {
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bidQuantity, err := s.getInitialLayerQuantity(i)
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bidQuantity, err := s.getInitialLayerQuantity(i)
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@ -810,7 +801,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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}
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}
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}
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}
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bidPrice = s.getLayerPrice(i, types.SideTypeBuy, s.sourceBook, quote, requiredDepth)
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bidPrice := s.getLayerPrice(i, types.SideTypeBuy, s.sourceBook, quote, requiredDepth)
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if i == 0 {
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if i == 0 {
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s.logger.Infof("maker best bid price %f", bidPrice.Float64())
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s.logger.Infof("maker best bid price %f", bidPrice.Float64())
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@ -859,7 +850,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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}
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}
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}
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}
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askPrice = s.getLayerPrice(i, types.SideTypeSell, s.sourceBook, quote, requiredDepth)
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askPrice := s.getLayerPrice(i, types.SideTypeSell, s.sourceBook, quote, requiredDepth)
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if i == 0 {
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if i == 0 {
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s.logger.Infof("maker best ask price %f", askPrice.Float64())
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s.logger.Infof("maker best ask price %f", askPrice.Float64())
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@ -904,14 +895,9 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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return err
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return err
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}
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}
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orderCreateCallback := func(createdOrder types.Order) {
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s.orderStore.Add(createdOrder)
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s.activeMakerOrders.Add(createdOrder)
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}
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defer s.tradeCollector.Process()
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defer s.tradeCollector.Process()
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createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, orderCreateCallback, formattedOrders...)
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createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, s.makerOrderCreateCallback, formattedOrders...)
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if err != nil {
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if err != nil {
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log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
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log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
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return err
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return err
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@ -925,6 +911,120 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
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return nil
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return nil
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}
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}
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func (s *Strategy) makerOrderCreateCallback(createdOrder types.Order) {
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s.orderStore.Add(createdOrder)
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s.activeMakerOrders.Add(createdOrder)
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}
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func aggregatePriceVolumeSliceWithPriceFilter(pvs types.PriceVolumeSlice, filterPrice fixedpoint.Value) types.PriceVolume {
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var totalVolume = fixedpoint.Zero
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var lastPrice = fixedpoint.Zero
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for _, pv := range pvs {
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if pv.Price.Compare(filterPrice) > 0 {
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break
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}
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lastPrice = pv.Price
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totalVolume = totalVolume.Add(pv.Volume)
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}
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return types.PriceVolume{
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Price: lastPrice,
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Volume: totalVolume,
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}
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}
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// tryArbitrage tries to arbitrage between the source and maker exchange
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func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances, hedgeBalances types.BalanceMap) (bool, error) {
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marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk()
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if !ok {
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return false, nil
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}
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var iocOrders []types.SubmitOrder
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if makerAsk.Price.Compare(marginBidPrice) <= 0 {
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quoteBalance, hasQuote := makerBalances[s.makerMarket.QuoteCurrency]
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if !hasQuote {
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return false, nil
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}
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askPvs := s.makerBook.SideBook(types.SideTypeSell)
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sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice)
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qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume)
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if sourceBase, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
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qty = fixedpoint.Min(qty, sourceBase.Available)
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} else {
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// insufficient hedge base balance for arbitrage
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return false, nil
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}
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iocOrders = append(iocOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeBuy,
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Price: sumPv.Price,
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Quantity: qty,
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TimeInForce: types.TimeInForceIOC,
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})
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} else if makerBid.Price.Compare(marginAskPrice) >= 0 {
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baseBalance, hasBase := makerBalances[s.makerMarket.BaseCurrency]
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if !hasBase {
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return false, nil
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}
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bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
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sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginAskPrice)
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qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume)
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if sourceQuote, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
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qty = fixedpoint.Min(qty, quote.BestAskPrice.Div(sourceQuote.Available))
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} else {
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// insufficient hedge quote balance for arbitrage
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return false, nil
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}
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// send ioc order for arbitrage
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iocOrders = append(iocOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: sumPv.Price,
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Quantity: qty,
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TimeInForce: types.TimeInForceIOC,
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})
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}
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if len(iocOrders) == 0 {
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return false, nil
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}
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// send ioc order for arbitrage
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formattedOrders, err := s.makerSession.FormatOrders(iocOrders)
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if err != nil {
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return false, err
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}
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defer s.tradeCollector.Process()
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createdOrders, _, err := bbgo.BatchPlaceOrder(
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ctx,
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s.makerSession.Exchange,
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s.makerOrderCreateCallback,
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formattedOrders...)
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if err != nil {
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return len(createdOrders) > 0, err
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}
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s.logger.Infof("sent arbitrage IOC order: %+v", createdOrders)
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return true, nil
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}
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func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
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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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account *types.Account, side types.SideType, quantity, lastPrice fixedpoint.Value,
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) fixedpoint.Value {
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) fixedpoint.Value {
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