Merge pull request #1708 from c9s/c9s/xmaker/integrate-circuitbreaker

FEATURE: [xmaker] integrate circuit breaker

config/xmaker.yaml

@@ -59,6 +59,13 @@ crossExchangeStrategies:
     # 0.1 pip is 0.01, here we use 10, so we will get 18000.00, 18001.00 and
     # 18002.00
     pips: 10
-    persistence:
-      type: redis
-
+    circuitBreaker:
+      maximumConsecutiveTotalLoss: 36.0
+      maximumConsecutiveLossTimes: 10
+      maximumLossPerRound: 15.0
+      maximumTotalLoss: 80.0
+      ignoreConsecutiveDustLoss: true
+      consecutiveDustLossThreshold: 0.003
+      haltDuration: "30m"
+      maximumHaltTimes: 2
+      maximumHaltTimesExceededPanic: true

pkg/risk/circuitbreaker/basic.go

@@ -116,15 +116,17 @@ type BasicCircuitBreaker struct {
 }
 
 func NewBasicCircuitBreaker(strategyID, strategyInstance string) *BasicCircuitBreaker {
-	return &BasicCircuitBreaker{
+	b := &BasicCircuitBreaker{
 		MaximumConsecutiveLossTimes:   8,
 		MaximumHaltTimes:              3,
 		MaximumHaltTimesExceededPanic: false,
-		HaltDuration:                  types.Duration(30 * time.Minute),
+		HaltDuration:                  types.Duration(1 * time.Hour),
 		strategyID:                    strategyID,
 		strategyInstance:              strategyInstance,
 		metricsLabels:                 prometheus.Labels{"strategy": strategyID, "strategyInstance": strategyInstance},
 	}
+	b.updateMetrics()
+	return b
 }
 
 func (b *BasicCircuitBreaker) getMetricsLabels() prometheus.Labels {
@@ -221,21 +223,21 @@ func (b *BasicCircuitBreaker) reset() {
 	b.updateMetrics()
 }
 
-func (b *BasicCircuitBreaker) IsHalted(now time.Time) bool {
+func (b *BasicCircuitBreaker) IsHalted(now time.Time) (string, bool) {
 	b.mu.Lock()
 	defer b.mu.Unlock()
 
 	if !b.halted {
-		return false
+		return "", false
 	}
 
 	// check if it's an expired halt
 	if now.After(b.haltTo) {
 		b.reset()
-		return false
+		return "", false
 	}
 
-	return true
+	return b.haltReason, true
 }
 
 func (b *BasicCircuitBreaker) halt(now time.Time, reason string) {

pkg/strategy/xmaker/strategy.go

@@ -14,6 +14,7 @@ import (
 	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/risk/circuitbreaker"
 	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
 )
@@ -21,6 +22,9 @@ import (
 var defaultMargin = fixedpoint.NewFromFloat(0.003)
 var Two = fixedpoint.NewFromInt(2)
 
+// circuitBreakerAlertLimiter is for CircuitBreaker alerts
+var circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
+
 const priceUpdateTimeout = 30 * time.Second
 
 const ID = "xmaker"
@@ -98,6 +102,8 @@ type Strategy struct {
 
 	state *State
 
+	CircuitBreaker *circuitbreaker.BasicCircuitBreaker `json:"circuitBreaker"`
+
 	// persistence fields
 	Position        *types.Position  `json:"position,omitempty" persistence:"position"`
 	ProfitStats     *ProfitStats     `json:"profitStats,omitempty" persistence:"profit_stats"`
@@ -187,6 +193,19 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
 		return
 	}
 
+	if s.CircuitBreaker != nil {
+		now := time.Now()
+		if reason, halted := s.CircuitBreaker.IsHalted(now); halted {
+			log.Warnf("[arbWorker] strategy is halted, reason: %s", reason)
+
+			if circuitBreakerAlertLimiter.AllowN(now, 1) {
+				bbgo.Notify("Strategy is halted, reason: %s", reason)
+			}
+
+			return
+		}
+	}
+
 	bestBid, bestAsk, hasPrice := s.book.BestBidAndAsk()
 	if !hasPrice {
 		return
@@ -570,6 +589,8 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
 
 	log.Infof("submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
 	bbgo.Notify("Submitting %s hedge order %s %v", s.Symbol, side.String(), quantity)
+
+	// TODO: improve order executor
 	orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
 	returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 		Market:           s.sourceMarket,
@@ -630,6 +651,14 @@ func (s *Strategy) tradeRecover(ctx context.Context) {
 	}
 }
 
+func (s *Strategy) Defaults() error {
+	if s.CircuitBreaker == nil {
+		s.CircuitBreaker = circuitbreaker.NewBasicCircuitBreaker(ID, s.InstanceID())
+	}
+
+	return nil
+}
+
 func (s *Strategy) Validate() error {
 	if s.Quantity.IsZero() || s.QuantityScale == nil {
 		return errors.New("quantity or quantityScale can not be empty")
@@ -813,6 +842,10 @@ func (s *Strategy) CrossRun(
 			s.ProfitStats.AddProfit(p)
 
 			s.Environment.RecordPosition(s.Position, trade, &p)
+
+			if s.CircuitBreaker != nil {
+				s.CircuitBreaker.RecordProfit(profit, trade.Time.Time())
+			}
 		}
 	})