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Merge pull request #1132 from c9s/c9s/strategy/funding

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strategy: xfunding: add profit stats and collect funding fee info
This commit is contained in:
Yo-An Lin 2023-03-26 15:11:10 +08:00 committed by GitHub
commit dc87c79edd
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16 changed files with 387 additions and 125 deletions
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17
config/xfunding.yaml
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@ -30,11 +30,28 @@ crossExchangeStrategies:
- xfunding:
spotSession: binance
futuresSession: binance_futures
## symbol is the symbol name of the spot market and the futures market
## todo: provide option to separate the futures market symbol
symbol: ETHUSDT
## interval is the interval for checking futures premium and the funding rate
interval: 1m
## leverage is the leverage of the reverse futures position size.
## for example, you can buy 1 BTC and short 3 BTC in the futures account with 3x leverage.
leverage: 1.0
## incrementalQuoteQuantity is the quote quantity per maker order when creating the positions
## when in BTC-USDT 20 means 20 USDT, each buy order will hold 20 USDT quote amount.
incrementalQuoteQuantity: 20
## quoteInvestment is how much you want to invest to create your position.
## for example, when 10k USDT is given as the quote investment, and the average executed price of your position is around BTC 18k
## you will be holding around 0.555555 BTC
quoteInvestment: 50
## shortFundingRate is the funding rate range you want to create your position
shortFundingRate:
## when funding rate is higher than this high value, the strategy will start buying spot and opening a short position
high: 0.001%

6
pkg/bbgo/order_executor_general.go
View File

@ -155,8 +155,10 @@ func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
profitStats.AddProfit(*profit)
Notify(profit)
Notify(profitStats)
if !e.disableNotify {
Notify(profit)
Notify(profitStats)
}
})
}

12
pkg/cmd/margin.go
View File

@ -88,9 +88,9 @@ var marginLoansCmd = &cobra.Command{
return errors.New("session is not set")
}
marginHistoryService, ok := selectedSession.Exchange.(types.MarginHistory)
marginHistoryService, ok := selectedSession.Exchange.(types.MarginHistoryService)
if !ok {
return fmt.Errorf("exchange %s does not support MarginHistory service", selectedSession.ExchangeName)
return fmt.Errorf("exchange %s does not support MarginHistoryService service", selectedSession.ExchangeName)
}
now := time.Now()
@ -127,9 +127,9 @@ var marginRepaysCmd = &cobra.Command{
return errors.New("session is not set")
}
marginHistoryService, ok := selectedSession.Exchange.(types.MarginHistory)
marginHistoryService, ok := selectedSession.Exchange.(types.MarginHistoryService)
if !ok {
return fmt.Errorf("exchange %s does not support MarginHistory service", selectedSession.ExchangeName)
return fmt.Errorf("exchange %s does not support MarginHistoryService service", selectedSession.ExchangeName)
}
now := time.Now()
@ -166,9 +166,9 @@ var marginInterestsCmd = &cobra.Command{
return errors.New("session is not set")
}
marginHistoryService, ok := selectedSession.Exchange.(types.MarginHistory)
marginHistoryService, ok := selectedSession.Exchange.(types.MarginHistoryService)
if !ok {
return fmt.Errorf("exchange %s does not support MarginHistory service", selectedSession.ExchangeName)
return fmt.Errorf("exchange %s does not support MarginHistoryService service", selectedSession.ExchangeName)
}
now := time.Now()

41
pkg/exchange/batch/funding_fee.go Normal file
View File

@ -0,0 +1,41 @@
package batch
import (
"context"
"time"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
"github.com/c9s/bbgo/pkg/types"
)
type BinanceFuturesIncomeHistoryService interface {
QueryFuturesIncomeHistory(ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time) ([]binanceapi.FuturesIncome, error)
}
type BinanceFuturesIncomeBatchQuery struct {
BinanceFuturesIncomeHistoryService
}
func (e *BinanceFuturesIncomeBatchQuery) Query(ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime time.Time) (c chan binanceapi.FuturesIncome, errC chan error) {
query := &AsyncTimeRangedBatchQuery{
Type: types.MarginInterest{},
Limiter: rate.NewLimiter(rate.Every(3*time.Second), 1),
JumpIfEmpty: time.Hour * 24 * 30,
Q: func(startTime, endTime time.Time) (interface{}, error) {
return e.QueryFuturesIncomeHistory(ctx, symbol, incomeType, &startTime, &endTime)
},
T: func(obj interface{}) time.Time {
return time.Time(obj.(binanceapi.FuturesIncome).Time)
},
ID: func(obj interface{}) string {
interest := obj.(binanceapi.FuturesIncome)
return interest.Time.String()
},
}
c = make(chan binanceapi.FuturesIncome, 100)
errC = query.Query(ctx, c, startTime, endTime)
return c, errC
}

2
pkg/exchange/batch/margin_interest.go
View File

@ -10,7 +10,7 @@ import (
)
type MarginInterestBatchQuery struct {
types.MarginHistory
types.MarginHistoryService
}
func (e *MarginInterestBatchQuery) Query(ctx context.Context, asset string, startTime, endTime time.Time) (c chan types.MarginInterest, errC chan error) {

2
pkg/exchange/batch/margin_liquidation.go
View File

@ -11,7 +11,7 @@ import (
)
type MarginLiquidationBatchQuery struct {
types.MarginHistory
types.MarginHistoryService
}
func (e *MarginLiquidationBatchQuery) Query(ctx context.Context, startTime, endTime time.Time) (c chan types.MarginLiquidation, errC chan error) {

2
pkg/exchange/batch/margin_loan.go
View File

@ -11,7 +11,7 @@ import (
)
type MarginLoanBatchQuery struct {
types.MarginHistory
types.MarginHistoryService
}
func (e *MarginLoanBatchQuery) Query(ctx context.Context, asset string, startTime, endTime time.Time) (c chan types.MarginLoan, errC chan error) {

2
pkg/exchange/batch/margin_repay.go
View File

@ -11,7 +11,7 @@ import (
)
type MarginRepayBatchQuery struct {
types.MarginHistory
types.MarginHistoryService
}
func (e *MarginRepayBatchQuery) Query(ctx context.Context, asset string, startTime, endTime time.Time) (c chan types.MarginRepay, errC chan error) {

2
pkg/exchange/binance/binanceapi/futures_get_income_history_request.go
View File

@ -35,7 +35,7 @@ type FuturesIncome struct {
Asset string `json:"asset"`
Info string `json:"info"`
Time types.MillisecondTimestamp `json:"time"`
TranId string `json:"tranId"`
TranId int64 `json:"tranId"`
TradeId string `json:"tradeId"`
}

30
pkg/exchange/binance/exchange.go
View File

@ -88,6 +88,8 @@ type Exchange struct {
// client2 is a newer version of the binance api client implemented by ourselves.
client2 *binanceapi.RestClient
futuresClient2 *binanceapi.FuturesRestClient
}
var timeSetterOnce sync.Once
@ -111,17 +113,20 @@ func New(key, secret string) *Exchange {
}
client2 := binanceapi.NewClient(client.BaseURL)
futuresClient2 := binanceapi.NewFuturesRestClient(futuresClient.BaseURL)
ex := &Exchange{
key: key,
secret: secret,
client: client,
futuresClient: futuresClient,
client2: client2,
key: key,
secret: secret,
client: client,
futuresClient: futuresClient,
client2: client2,
futuresClient2: futuresClient2,
}
if len(key) > 0 && len(secret) > 0 {
client2.Auth(key, secret)
futuresClient2.Auth(key, secret)
ctx := context.Background()
go timeSetterOnce.Do(func() {
@ -1289,21 +1294,6 @@ func (e *Exchange) DefaultFeeRates() types.ExchangeFee {
}
}
func (e *Exchange) queryFuturesDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
res, err := e.futuresClient.NewDepthService().Symbol(symbol).Do(ctx)
if err != nil {
return snapshot, finalUpdateID, err
}
response := &binance.DepthResponse{
LastUpdateID: res.LastUpdateID,
Bids: res.Bids,
Asks: res.Asks,
}
return convertDepth(snapshot, symbol, finalUpdateID, response)
}
// QueryDepth query the order book depth of a symbol
func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
if e.IsFutures {

35
pkg/exchange/binance/futures.go
View File

@ -5,6 +5,7 @@ import (
"fmt"
"time"
"github.com/adshao/go-binance/v2"
"github.com/adshao/go-binance/v2/futures"
"github.com/google/uuid"
"go.uber.org/multierr"
@ -349,3 +350,37 @@ func newFuturesClientOrderID(originalID string) (clientOrderID string) {
return clientOrderID
}
func (e *Exchange) queryFuturesDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
res, err := e.futuresClient.NewDepthService().Symbol(symbol).Do(ctx)
if err != nil {
return snapshot, finalUpdateID, err
}
response := &binance.DepthResponse{
LastUpdateID: res.LastUpdateID,
Bids: res.Bids,
Asks: res.Asks,
}
return convertDepth(snapshot, symbol, finalUpdateID, response)
}
// QueryFuturesIncomeHistory queries the income history on the binance futures account
// This is more binance futures specific API, the convert function is not designed yet.
// TODO: consider other futures platforms and design the common data structure for this
func (e *Exchange) QueryFuturesIncomeHistory(ctx context.Context, symbol string, incomeType binanceapi.FuturesIncomeType, startTime, endTime *time.Time) ([]binanceapi.FuturesIncome, error) {
req := e.futuresClient2.NewFuturesGetIncomeHistoryRequest()
req.Symbol(symbol)
req.IncomeType(incomeType)
if startTime != nil {
req.StartTime(*startTime)
}
if endTime != nil {
req.EndTime(*endTime)
}
resp, err := req.Do(ctx)
return resp, err
}

10
pkg/service/margin.go
View File

@ -17,7 +17,7 @@ type MarginService struct {
}
func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset string, startTime time.Time) error {
api, ok := ex.(types.MarginHistory)
api, ok := ex.(types.MarginHistoryService)
if !ok {
return nil
}
@ -38,7 +38,7 @@ func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset strin
Type: types.MarginLoan{},
BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
query := &batch.MarginLoanBatchQuery{
MarginHistory: api,
MarginHistoryService: api,
}
return query.Query(ctx, asset, startTime, endTime)
},
@ -55,7 +55,7 @@ func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset strin
Type: types.MarginRepay{},
BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
query := &batch.MarginRepayBatchQuery{
MarginHistory: api,
MarginHistoryService: api,
}
return query.Query(ctx, asset, startTime, endTime)
},
@ -72,7 +72,7 @@ func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset strin
Type: types.MarginInterest{},
BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
query := &batch.MarginInterestBatchQuery{
MarginHistory: api,
MarginHistoryService: api,
}
return query.Query(ctx, asset, startTime, endTime)
},
@ -90,7 +90,7 @@ func (s *MarginService) Sync(ctx context.Context, ex types.Exchange, asset strin
Type: types.MarginLiquidation{},
BatchQuery: func(ctx context.Context, startTime, endTime time.Time) (interface{}, chan error) {
query := &batch.MarginLiquidationBatchQuery{
MarginHistory: api,
MarginHistoryService: api,
}
return query.Query(ctx, startTime, endTime)
},

4
pkg/service/sync.go
View File

@ -49,8 +49,8 @@ func (s *SyncService) SyncSessionSymbols(ctx context.Context, exchange types.Exc
}
func (s *SyncService) SyncMarginHistory(ctx context.Context, exchange types.Exchange, startTime time.Time, assets ...string) error {
if _, implemented := exchange.(types.MarginHistory); !implemented {
log.Debugf("exchange %T does not support types.MarginHistory", exchange)
if _, implemented := exchange.(types.MarginHistoryService); !implemented {
log.Debugf("exchange %T does not support types.MarginHistoryService", exchange)
return nil
}

44
pkg/strategy/xfunding/profitstats.go Normal file
View File

@ -0,0 +1,44 @@
package xfunding
import (
"fmt"
"time"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type FundingFee struct {
Asset string `json:"asset"`
Amount fixedpoint.Value `json:"amount"`
Txn int64 `json:"txn"`
Time time.Time `json:"time"`
}
type ProfitStats struct {
*types.ProfitStats
FundingFeeCurrency string `json:"fundingFeeCurrency"`
TotalFundingFee fixedpoint.Value `json:"totalFundingFee"`
FundingFeeRecords []FundingFee `json:"fundingFeeRecords"`
LastFundingFeeTxn int64 `json:"lastFundingFeeTxn"`
LastFundingFeeTime time.Time `json:"lastFundingFeeTime"`
}
func (s *ProfitStats) AddFundingFee(fee FundingFee) error {
if s.FundingFeeCurrency == "" {
s.FundingFeeCurrency = fee.Asset
} else if s.FundingFeeCurrency != fee.Asset {
return fmt.Errorf("unexpected error, funding fee currency is not matched, given: %s, wanted: %s", fee.Asset, s.FundingFeeCurrency)
}
if s.LastFundingFeeTxn == fee.Txn {
return errDuplicatedFundingFeeTxnId
}
s.FundingFeeRecords = append(s.FundingFeeRecords, fee)
s.TotalFundingFee = s.TotalFundingFee.Add(fee.Amount)
s.LastFundingFeeTxn = fee.Txn
s.LastFundingFeeTime = fee.Time
return nil
}

299
pkg/strategy/xfunding/strategy.go
View File

@ -4,13 +4,14 @@ import (
"context"
"errors"
"fmt"
"strings"
"sync"
"time"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/exchange/batch"
"github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/util/backoff"
@ -18,6 +19,14 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// WIP:
// - track fee token price for cost
// - buy enough BNB before creating positions
// - transfer the rest BNB into the futures account
// - add slack notification support
// - use neutral position to calculate the position cost
// - customize profit stats for this funding fee strategy
const ID = "xfunding"
// Position State Transitions:
@ -34,8 +43,29 @@ const (
PositionClosing
)
type MovingAverageConfig struct {
Interval types.Interval `json:"interval"`
// MovingAverageType is the moving average indicator type that we want to use,
// it could be SMA or EWMA
MovingAverageType string `json:"movingAverageType"`
// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
// the k-line data we subscribed
// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
//
// // MovingAverageWindow is the number of the window size of the moving average indicator.
// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
// MovingAverageWindow int `json:"movingAverageWindow"`
MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
}
var log = logrus.WithField("strategy", ID)
var errNotBinanceExchange = errors.New("not binance exchange, currently only support binance exchange")
var errDuplicatedFundingFeeTxnId = errors.New("duplicated funding fee txn id")
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
@ -54,6 +84,15 @@ type State struct {
UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
}
func newState() *State {
return &State{
PositionState: PositionClosed,
PendingBaseTransfer: fixedpoint.Zero,
TotalBaseTransfer: fixedpoint.Zero,
UsedQuoteInvestment: fixedpoint.Zero,
}
}
func (s *State) Reset() {
s.PositionState = PositionClosed
s.PendingBaseTransfer = fixedpoint.Zero
@ -68,7 +107,9 @@ type Strategy struct {
Environment *bbgo.Environment
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
Market types.Market `json:"-"`
// Leverage is the leverage of the futures position
@ -89,35 +130,25 @@ type Strategy struct {
Low fixedpoint.Value `json:"low"`
} `json:"shortFundingRate"`
SupportDetection []struct {
Interval types.Interval `json:"interval"`
// MovingAverageType is the moving average indicator type that we want to use,
// it could be SMA or EWMA
MovingAverageType string `json:"movingAverageType"`
// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
// the k-line data we subscribed
// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
//
// // MovingAverageWindow is the number of the window size of the moving average indicator.
// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
// MovingAverageWindow int `json:"movingAverageWindow"`
MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
MinVolume fixedpoint.Value `json:"minVolume"`
MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
} `json:"supportDetection"`
SpotSession string `json:"spotSession"`
FuturesSession string `json:"futuresSession"`
Reset bool `json:"reset"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
SpotPosition *types.Position `persistence:"spot_position"`
FuturesPosition *types.Position `persistence:"futures_position"`
ProfitStats *ProfitStats `persistence:"profit_stats"`
// SpotPosition is used for the spot position (usually long position)
// so that we know how much spot we have bought and the average cost of the spot.
SpotPosition *types.Position `persistence:"spot_position"`
// FuturesPosition is used for the futures position
// this position is the reverse side of the spot position, when spot position is long, then the futures position will be short.
// but the base quantity should be the same as the spot position
FuturesPosition *types.Position `persistence:"futures_position"`
// NeutralPosition is used for sharing spot/futures position
// when creating the spot position and futures position, there will be a spread between the spot position and the futures position.
// this neutral position can calculate the spread cost between these two positions
NeutralPosition *types.Position `persistence:"neutral_position"`
State *State `persistence:"state"`
@ -128,6 +159,8 @@ type Strategy struct {
spotOrderExecutor, futuresOrderExecutor *bbgo.GeneralOrderExecutor
spotMarket, futuresMarket types.Market
binanceFutures, binanceSpot *binance.Exchange
// positionType is the futures position type
// currently we only support short position for the positive funding rate
positionType types.PositionType
@ -142,13 +175,8 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
spotSession := sessions[s.SpotSession]
futuresSession := sessions[s.FuturesSession]
spotSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: types.Interval1m,
})
futuresSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
Interval: types.Interval1m,
})
spotSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
futuresSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {}
@ -162,6 +190,10 @@ func (s *Strategy) Defaults() error {
s.MinHoldingPeriod = types.Duration(3 * 24 * time.Hour)
}
if s.Interval == "" {
s.Interval = types.Interval1m
}
s.positionType = types.PositionShort
return nil
@ -192,31 +224,29 @@ func (s *Strategy) InstanceID() string {
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
var ma types.Float64Indicator
for _, detection := range s.SupportDetection {
switch strings.ToLower(detection.MovingAverageType) {
case "sma":
ma = standardIndicatorSet.SMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
case "ema", "ewma":
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
default:
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
// standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
/*
var ma types.Float64Indicator
for _, detection := range s.SupportDetection {
switch strings.ToLower(detection.MovingAverageType) {
case "sma":
ma = standardIndicatorSet.SMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
case "ema", "ewma":
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
default:
ma = standardIndicatorSet.EWMA(types.IntervalWindow{
Interval: detection.MovingAverageIntervalWindow.Interval,
Window: detection.MovingAverageIntervalWindow.Window,
})
}
}
}
_ = ma
*/
return nil
}
@ -229,6 +259,17 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.spotMarket, _ = s.spotSession.Market(s.Symbol)
s.futuresMarket, _ = s.futuresSession.Market(s.Symbol)
var ok bool
s.binanceFutures, ok = s.futuresSession.Exchange.(*binance.Exchange)
if !ok {
return errNotBinanceExchange
}
s.binanceSpot, ok = s.spotSession.Exchange.(*binance.Exchange)
if !ok {
return errNotBinanceExchange
}
// adjust QuoteInvestment
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
@ -246,32 +287,42 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
}
if s.ProfitStats == nil || s.Reset {
s.ProfitStats = types.NewProfitStats(s.Market)
}
if s.FuturesPosition == nil || s.Reset {
s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
s.ProfitStats = &ProfitStats{
ProfitStats: types.NewProfitStats(s.Market),
// when receiving funding fee, the funding fee asset is the quote currency of that market.
FundingFeeCurrency: s.futuresMarket.QuoteCurrency,
TotalFundingFee: fixedpoint.Zero,
FundingFeeRecords: nil,
}
}
if s.SpotPosition == nil || s.Reset {
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
}
if s.FuturesPosition == nil || s.Reset {
s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
}
if s.NeutralPosition == nil || s.Reset {
s.NeutralPosition = types.NewPositionFromMarket(s.futuresMarket)
}
if s.State == nil || s.Reset {
s.State = &State{
PositionState: PositionClosed,
PendingBaseTransfer: fixedpoint.Zero,
TotalBaseTransfer: fixedpoint.Zero,
UsedQuoteInvestment: fixedpoint.Zero,
}
s.State = newState()
}
log.Infof("loaded spot position: %s", s.SpotPosition.String())
log.Infof("loaded futures position: %s", s.FuturesPosition.String())
log.Infof("loaded neutral position: %s", s.NeutralPosition.String())
binanceFutures := s.futuresSession.Exchange.(*binance.Exchange)
binanceSpot := s.spotSession.Exchange.(*binance.Exchange)
_ = binanceSpot
// sync funding fee txns
if !s.ProfitStats.LastFundingFeeTime.IsZero() {
s.syncFundingFeeRecords(ctx, s.ProfitStats.LastFundingFeeTime)
}
// TEST CODE:
// s.syncFundingFeeRecords(ctx, time.Now().Add(-3*24*time.Hour))
s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
s.spotOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
@ -299,7 +350,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
// if we have trade, try to query the balance and transfer the balance to the futures wallet account
// TODO: handle missing trades here. If the process crashed during the transfer, how to recover?
if err := backoff.RetryGeneral(ctx, func() error {
return s.transferIn(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
return s.transferIn(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, trade)
}); err != nil {
log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
return
@ -323,7 +374,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
switch s.getPositionState() {
case PositionClosing:
if err := backoff.RetryGeneral(ctx, func() error {
return s.transferOut(ctx, binanceSpot, s.spotMarket.BaseCurrency, trade)
return s.transferOut(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, trade)
}); err != nil {
log.WithError(err).Errorf("spot-to-futures transfer in retry failed")
return
@ -332,21 +383,50 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
}
})
s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
s.queryAndDetectPremiumIndex(ctx, binanceFutures)
s.futuresSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
s.queryAndDetectPremiumIndex(ctx, s.binanceFutures)
}))
if binanceStream, ok := s.futuresSession.UserDataStream.(*binance.Stream); ok {
binanceStream.OnAccountUpdateEvent(func(e *binance.AccountUpdateEvent) {
log.Infof("onAccountUpdateEvent: %+v", e)
switch e.AccountUpdate.EventReasonType {
case binance.AccountUpdateEventReasonDeposit:
case binance.AccountUpdateEventReasonWithdraw:
case binance.AccountUpdateEventReasonFundingFee:
// EventBase:{
// Event:ACCOUNT_UPDATE
// Time:1679760000932
// }
// Transaction:1679760000927
// AccountUpdate:{
// EventReasonType:FUNDING_FEE
// Balances:[{
// Asset:USDT
// WalletBalance:56.64251742
// CrossWalletBalance:56.64251742
// BalanceChange:-0.00037648
// }]
// }
// }
for _, b := range e.AccountUpdate.Balances {
if b.Asset != s.ProfitStats.FundingFeeCurrency {
continue
}
txnTime := time.UnixMilli(e.Time)
err := s.ProfitStats.AddFundingFee(FundingFee{
Asset: b.Asset,
Amount: b.BalanceChange,
Txn: e.Transaction,
Time: txnTime,
})
if err != nil {
log.WithError(err).Error("unable to add funding fee to profitStats")
}
}
log.Infof("total collected funding fee: %f %s", s.ProfitStats.TotalFundingFee.Float64(), s.ProfitStats.FundingFeeCurrency)
bbgo.Sync(ctx, s)
}
})
}
@ -384,6 +464,54 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
return nil
}
func (s *Strategy) syncFundingFeeRecords(ctx context.Context, since time.Time) {
now := time.Now()
log.Infof("syncing funding fee records from the income history query: %s <=> %s", since, now)
defer log.Infof("sync funding fee records done")
q := batch.BinanceFuturesIncomeBatchQuery{
BinanceFuturesIncomeHistoryService: s.binanceFutures,
}
dataC, errC := q.Query(ctx, s.Symbol, binanceapi.FuturesIncomeFundingFee, since, now)
for {
select {
case <-ctx.Done():
return
case income, ok := <-dataC:
if !ok {
return
}
log.Infof("income: %+v", income)
switch income.IncomeType {
case binanceapi.FuturesIncomeFundingFee:
err := s.ProfitStats.AddFundingFee(FundingFee{
Asset: income.Asset,
Amount: income.Income,
Txn: income.TranId,
Time: income.Time.Time(),
})
if err != nil {
log.WithError(err).Errorf("can not add funding fee record to ProfitStats")
}
}
case err, ok := <-errC:
if !ok {
return
}
log.WithError(err).Errorf("unable to query futures income history")
return
}
}
}
func (s *Strategy) queryAndDetectPremiumIndex(ctx context.Context, binanceFutures *binance.Exchange) {
premiumIndex, err := binanceFutures.QueryPremiumIndex(ctx, s.Symbol)
if err != nil {
@ -810,11 +938,16 @@ func (s *Strategy) allocateOrderExecutor(ctx context.Context, session *bbgo.Exch
orderExecutor.SetMaxRetries(0)
orderExecutor.BindEnvironment(s.Environment)
orderExecutor.Bind()
orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _, _ fixedpoint.Value) {
s.ProfitStats.AddTrade(trade)
})
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(ctx, s)
})
orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _ fixedpoint.Value, _ fixedpoint.Value) {
s.ProfitStats.AddTrade(trade)
if profit, netProfit, madeProfit := s.NeutralPosition.AddTrade(trade); madeProfit {
p := s.NeutralPosition.NewProfit(trade, profit, netProfit)
s.ProfitStats.AddProfit(p)
}
})
return orderExecutor
}

4
pkg/types/margin.go
View File

@ -105,8 +105,8 @@ type MarginLiquidation struct {
UpdatedTime Time `json:"updatedTime" db:"time"`
}
// MarginHistory provides the service of querying loan history and repay history
type MarginHistory interface {
// MarginHistoryService provides the service of querying loan history and repay history
type MarginHistoryService interface {
QueryLoanHistory(ctx context.Context, asset string, startTime, endTime *time.Time) ([]MarginLoan, error)
QueryRepayHistory(ctx context.Context, asset string, startTime, endTime *time.Time) ([]MarginRepay, error)
QueryLiquidationHistory(ctx context.Context, startTime, endTime *time.Time) ([]MarginLiquidation, error)