Merge pull request #1737 from c9s/c9s/xmaker/ioc-arb

FEATURE: [xmaker] implement tryArbitrage

go.mod

@@ -119,7 +119,7 @@ require (
 	github.com/mattn/go-colorable v0.1.13 // indirect
 	github.com/mattn/go-isatty v0.0.20 // indirect
 	github.com/mattn/go-runewidth v0.0.15 // indirect
-	github.com/mattn/go-sqlite3 v1.14.22 // indirect
+	github.com/mattn/go-sqlite3 v1.14.23 // indirect
 	github.com/matttproud/golang_protobuf_extensions v1.0.1 // indirect
 	github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d // indirect
 	github.com/mitchellh/mapstructure v1.5.0 // indirect

go.sum

@@ -474,6 +474,8 @@ github.com/mattn/go-sqlite3 v1.14.5/go.mod h1:WVKg1VTActs4Qso6iwGbiFih2UIHo0ENGw
 github.com/mattn/go-sqlite3 v1.14.6/go.mod h1:NyWgC/yNuGj7Q9rpYnZvas74GogHl5/Z4A/KQRfk6bU=
 github.com/mattn/go-sqlite3 v1.14.22 h1:2gZY6PC6kBnID23Tichd1K+Z0oS6nE/XwU+Vz/5o4kU=
 github.com/mattn/go-sqlite3 v1.14.22/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
+github.com/mattn/go-sqlite3 v1.14.23 h1:gbShiuAP1W5j9UOksQ06aiiqPMxYecovVGwmTxWtuw0=
+github.com/mattn/go-sqlite3 v1.14.23/go.mod h1:Uh1q+B4BYcTPb+yiD3kU8Ct7aC0hY9fxUwlHK0RXw+Y=
 github.com/matttproud/golang_protobuf_extensions v1.0.1 h1:4hp9jkHxhMHkqkrB3Ix0jegS5sx/RkqARlsWZ6pIwiU=
 github.com/matttproud/golang_protobuf_extensions v1.0.1/go.mod h1:D8He9yQNgCq6Z5Ld7szi9bcBfOoFv/3dc6xSMkL2PC0=
 github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d h1:5PJl274Y63IEHC+7izoQE9x6ikvDFZS2mDVS3drnohI=

pkg/strategy/xmaker/strategy.go

@@ -546,22 +546,6 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 		)
 	}
 
-	if s.EnableArbitrage {
-		if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok {
-			if makerAsk.Price.Compare(bestBid.Price) <= 0 {
-				askPvs := s.makerBook.SideBook(types.SideTypeSell)
-				for _, pv := range askPvs {
-					if pv.Price.Compare(bestBid.Price) <= 0 {
-
-					}
-				}
-				// send ioc order for arbitrage
-			} else if makerBid.Price.Compare(bestAsk.Price) >= 0 {
-				// send ioc order for arbitrage
-			}
-		}
-	}
-
 	// use mid-price for the last price
 	s.lastPrice = bestBid.Price.Add(bestAsk.Price).Div(two)
 
@@ -785,12 +769,19 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 
 	bidExposureInUsd := fixedpoint.Zero
 	askExposureInUsd := fixedpoint.Zero
-	bidPrice := quote.BestBidPrice
-	askPrice := quote.BestAskPrice
 
 	bidMarginMetrics.With(s.metricsLabels).Set(quote.BidMargin.Float64())
 	askMarginMetrics.With(s.metricsLabels).Set(quote.AskMargin.Float64())
 
+	if s.EnableArbitrage {
+		done, err := s.tryArbitrage(ctx, quote, makerBalances, hedgeBalances)
+		if err != nil {
+			s.logger.WithError(err).Errorf("unable to arbitrage")
+		} else if done {
+			return nil
+		}
+	}
+
 	if !disableMakerBid {
 		for i := 0; i < s.NumLayers; i++ {
 			bidQuantity, err := s.getInitialLayerQuantity(i)
@@ -810,7 +801,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 				}
 			}
 
-			bidPrice = s.getLayerPrice(i, types.SideTypeBuy, s.sourceBook, quote, requiredDepth)
+			bidPrice := s.getLayerPrice(i, types.SideTypeBuy, s.sourceBook, quote, requiredDepth)
 
 			if i == 0 {
 				s.logger.Infof("maker best bid price %f", bidPrice.Float64())
@@ -859,7 +850,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 				}
 			}
 
-			askPrice = s.getLayerPrice(i, types.SideTypeSell, s.sourceBook, quote, requiredDepth)
+			askPrice := s.getLayerPrice(i, types.SideTypeSell, s.sourceBook, quote, requiredDepth)
 
 			if i == 0 {
 				s.logger.Infof("maker best ask price %f", askPrice.Float64())
@@ -904,14 +895,9 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 		return err
 	}
 
-	orderCreateCallback := func(createdOrder types.Order) {
-		s.orderStore.Add(createdOrder)
-		s.activeMakerOrders.Add(createdOrder)
-	}
-
 	defer s.tradeCollector.Process()
 
-	createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, orderCreateCallback, formattedOrders...)
+	createdOrders, errIdx, err := bbgo.BatchPlaceOrder(ctx, s.makerSession.Exchange, s.makerOrderCreateCallback, formattedOrders...)
 	if err != nil {
 		log.WithError(err).Errorf("unable to place maker orders: %+v", formattedOrders)
 		return err
@@ -925,6 +911,120 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 	return nil
 }
 
+func (s *Strategy) makerOrderCreateCallback(createdOrder types.Order) {
+	s.orderStore.Add(createdOrder)
+	s.activeMakerOrders.Add(createdOrder)
+}
+
+func aggregatePriceVolumeSliceWithPriceFilter(pvs types.PriceVolumeSlice, filterPrice fixedpoint.Value) types.PriceVolume {
+	var totalVolume = fixedpoint.Zero
+	var lastPrice = fixedpoint.Zero
+	for _, pv := range pvs {
+		if pv.Price.Compare(filterPrice) > 0 {
+			break
+		}
+
+		lastPrice = pv.Price
+		totalVolume = totalVolume.Add(pv.Volume)
+	}
+
+	return types.PriceVolume{
+		Price:  lastPrice,
+		Volume: totalVolume,
+	}
+}
+
+// tryArbitrage tries to arbitrage between the source and maker exchange
+func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote, makerBalances, hedgeBalances types.BalanceMap) (bool, error) {
+	marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
+	marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
+
+	makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk()
+	if !ok {
+		return false, nil
+	}
+
+	var iocOrders []types.SubmitOrder
+	if makerAsk.Price.Compare(marginBidPrice) <= 0 {
+		quoteBalance, hasQuote := makerBalances[s.makerMarket.QuoteCurrency]
+		if !hasQuote {
+			return false, nil
+		}
+
+		askPvs := s.makerBook.SideBook(types.SideTypeSell)
+		sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice)
+		qty := fixedpoint.Min(quoteBalance.Available.Div(sumPv.Price), sumPv.Volume)
+
+		if sourceBase, ok := hedgeBalances[s.sourceMarket.BaseCurrency]; ok {
+			qty = fixedpoint.Min(qty, sourceBase.Available)
+		} else {
+			// insufficient hedge base balance for arbitrage
+			return false, nil
+		}
+
+		iocOrders = append(iocOrders, types.SubmitOrder{
+			Symbol:      s.Symbol,
+			Type:        types.OrderTypeLimit,
+			Side:        types.SideTypeBuy,
+			Price:       sumPv.Price,
+			Quantity:    qty,
+			TimeInForce: types.TimeInForceIOC,
+		})
+
+	} else if makerBid.Price.Compare(marginAskPrice) >= 0 {
+		baseBalance, hasBase := makerBalances[s.makerMarket.BaseCurrency]
+		if !hasBase {
+			return false, nil
+		}
+
+		bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
+		sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginAskPrice)
+		qty := fixedpoint.Min(baseBalance.Available, sumPv.Volume)
+
+		if sourceQuote, ok := hedgeBalances[s.sourceMarket.QuoteCurrency]; ok {
+			qty = fixedpoint.Min(qty, quote.BestAskPrice.Div(sourceQuote.Available))
+		} else {
+			// insufficient hedge quote balance for arbitrage
+			return false, nil
+		}
+
+		// send ioc order for arbitrage
+		iocOrders = append(iocOrders, types.SubmitOrder{
+			Symbol:      s.Symbol,
+			Type:        types.OrderTypeLimit,
+			Side:        types.SideTypeSell,
+			Price:       sumPv.Price,
+			Quantity:    qty,
+			TimeInForce: types.TimeInForceIOC,
+		})
+	}
+
+	if len(iocOrders) == 0 {
+		return false, nil
+	}
+
+	// send ioc order for arbitrage
+	formattedOrders, err := s.makerSession.FormatOrders(iocOrders)
+	if err != nil {
+		return false, err
+	}
+
+	defer s.tradeCollector.Process()
+
+	createdOrders, _, err := bbgo.BatchPlaceOrder(
+		ctx,
+		s.makerSession.Exchange,
+		s.makerOrderCreateCallback,
+		formattedOrders...)
+
+	if err != nil {
+		return len(createdOrders) > 0, err
+	}
+
+	s.logger.Infof("sent arbitrage IOC order: %+v", createdOrders)
+	return true, nil
+}
+
 func (s *Strategy) adjustHedgeQuantityWithAvailableBalance(
 	account *types.Account, side types.SideType, quantity, lastPrice fixedpoint.Value,
 ) fixedpoint.Value {