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xfunding: improve funding fee guard
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parent
d58461d1cf
commit
dbd54575e6
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@ -17,8 +17,13 @@ type ProfitStats struct {
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FundingFeeCurrency string `json:"fundingFeeCurrency"`
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FundingFeeCurrency string `json:"fundingFeeCurrency"`
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TotalFundingFee fixedpoint.Value `json:"totalFundingFee"`
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TotalFundingFee fixedpoint.Value `json:"totalFundingFee"`
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FundingFeeRecords []FundingFee `json:"fundingFeeRecords"`
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FundingFeeRecords []FundingFee `json:"fundingFeeRecords"`
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LastFundingFeeTxn int64 `json:"lastFundingFeeTxn"`
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LastFundingFeeTime time.Time `json:"lastFundingFeeTime"`
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// Fees map[string]
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Last *FundingFee `json:"last"`
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LastFundingFeeTime time.Time `json:"lastFundingFeeTime"`
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txns map[int64]struct{}
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}
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}
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func (s *ProfitStats) SlackAttachment() slack.Attachment {
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func (s *ProfitStats) SlackAttachment() slack.Attachment {
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@ -31,24 +36,29 @@ func (s *ProfitStats) SlackAttachment() slack.Attachment {
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// Pretext: "",
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// Pretext: "",
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// Text: text,
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// Text: text,
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Fields: fields,
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Fields: fields,
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Footer: fmt.Sprintf("Last Funding Fee Transation ID: %d Last Funding Fee Time %s", s.LastFundingFeeTxn, s.LastFundingFeeTime.Format(time.RFC822)),
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Footer: fmt.Sprintf("Last Funding Fee Transation ID: %d Last Funding Fee Time %s", s.Last.Txn, s.Last.Time.Format(time.RFC822)),
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}
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}
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}
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}
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func (s *ProfitStats) AddFundingFee(fee FundingFee) error {
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func (s *ProfitStats) AddFundingFee(fee FundingFee) error {
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if s.txns == nil {
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s.txns = make(map[int64]struct{})
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}
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if s.FundingFeeCurrency == "" {
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if s.FundingFeeCurrency == "" {
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s.FundingFeeCurrency = fee.Asset
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s.FundingFeeCurrency = fee.Asset
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} else if s.FundingFeeCurrency != fee.Asset {
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} else if s.FundingFeeCurrency != fee.Asset {
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return fmt.Errorf("unexpected error, funding fee currency is not matched, given: %s, wanted: %s", fee.Asset, s.FundingFeeCurrency)
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return fmt.Errorf("unexpected error, funding fee currency is not matched, given: %s, wanted: %s", fee.Asset, s.FundingFeeCurrency)
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}
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}
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if s.LastFundingFeeTxn == fee.Txn {
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if _, ok := s.txns[fee.Txn]; ok {
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return errDuplicatedFundingFeeTxnId
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return errDuplicatedFundingFeeTxnId
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}
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}
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s.FundingFeeRecords = append(s.FundingFeeRecords, fee)
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s.FundingFeeRecords = append(s.FundingFeeRecords, fee)
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s.TotalFundingFee = s.TotalFundingFee.Add(fee.Amount)
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s.TotalFundingFee = s.TotalFundingFee.Add(fee.Amount)
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s.LastFundingFeeTxn = fee.Txn
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s.Last = &fee
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s.LastFundingFeeTime = fee.Time
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s.txns[fee.Txn] = struct{}{}
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return nil
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return nil
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}
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}
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@ -298,7 +298,6 @@ func (s *Strategy) CrossRun(
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FundingFeeCurrency: s.futuresMarket.QuoteCurrency,
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FundingFeeCurrency: s.futuresMarket.QuoteCurrency,
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TotalFundingFee: fixedpoint.Zero,
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TotalFundingFee: fixedpoint.Zero,
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FundingFeeRecords: nil,
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FundingFeeRecords: nil,
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LastFundingFeeTime: time.Time{},
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}
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}
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}
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}
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@ -379,10 +378,7 @@ func (s *Strategy) CrossRun(
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bbgo.Notify("State: %s", s.State.PositionState.String())
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bbgo.Notify("State: %s", s.State.PositionState.String())
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// sync funding fee txns
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// sync funding fee txns
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s.syncFundingFeeRecords(ctx, s.ProfitStats.LastFundingFeeTime)
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s.syncFundingFeeRecords(ctx, time.Now().Add(-5*24*time.Hour))
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// TEST CODE:
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// s.syncFundingFeeRecords(ctx, time.Now().Add(-3*24*time.Hour))
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switch s.State.PositionState {
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switch s.State.PositionState {
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case PositionClosed:
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case PositionClosed:
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