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https://github.com/c9s/bbgo.git
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xdepthmaker: support countery party 5 hedge and force full replenish
This commit is contained in:
c9s
parent
5dcd375279
commit
e8c063c09b
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@ -16,6 +16,8 @@ import (
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/exchange/retry"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/pricesolver"
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"github.com/c9s/bbgo/pkg/sigchan"
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"github.com/c9s/bbgo/pkg/strategy/common"
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"github.com/c9s/bbgo/pkg/strategy/xmaker"
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"github.com/c9s/bbgo/pkg/types"
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@ -185,6 +187,8 @@ type HedgeStrategy string
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const (
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HedgeStrategyMarket HedgeStrategy = "market"
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HedgeStrategyBboCounterParty1 HedgeStrategy = "bbo-counter-party-1"
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HedgeStrategyBboCounterParty3 HedgeStrategy = "bbo-counter-party-3"
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HedgeStrategyBboCounterParty5 HedgeStrategy = "bbo-counter-party-5"
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HedgeStrategyBboQueue1 HedgeStrategy = "bbo-queue-1"
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)
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@ -268,11 +272,15 @@ type Strategy struct {
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lastSourcePrice fixedpoint.MutexValue
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stopC chan struct{}
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stopC chan struct{}
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fullReplenishTriggerC sigchan.Chan
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logger logrus.FieldLogger
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connectivityGroup *types.ConnectivityGroup
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makerConnectivity, hedgerConnectivity *types.Connectivity
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connectivityGroup *types.ConnectivityGroup
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priceSolver *pricesolver.SimplePriceSolver
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}
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func (s *Strategy) ID() string {
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@ -318,8 +326,10 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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})
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hedgeSession.Subscribe(types.KLineChannel, s.HedgeSymbol, types.SubscribeOptions{Interval: "1m"})
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hedgeSession.Subscribe(types.KLineChannel, hedgeSession.Exchange.PlatformFeeCurrency()+"USDT", types.SubscribeOptions{Interval: "1m"})
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makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
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makerSession.Subscribe(types.KLineChannel, makerSession.Exchange.PlatformFeeCurrency()+"USDT", types.SubscribeOptions{Interval: "1m"})
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}
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func (s *Strategy) Validate() error {
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@ -396,6 +406,7 @@ func (s *Strategy) Defaults() error {
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}
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func (s *Strategy) quoteWorker(ctx context.Context) {
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updateTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
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defer updateTicker.Stop()
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@ -421,6 +432,10 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
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log.Warnf("%s maker goroutine stopped, due to the stop signal", s.Symbol)
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return
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case <-s.fullReplenishTriggerC:
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// force trigger full replenish
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s.updateQuote(ctx, 0)
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case <-fullReplenishTicker.C:
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s.updateQuote(ctx, 0)
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lastOrderReplenishTime = time.Now()
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@ -431,7 +446,7 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
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return
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}
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if time.Since(lastOrderReplenishTime) < 15*time.Second {
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if time.Since(lastOrderReplenishTime) < 10*time.Second {
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continue
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}
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@ -565,15 +580,37 @@ func (s *Strategy) CrossRun(
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s.sourceBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName)
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s.sourceBook.BindStream(s.hedgeSession.MarketDataStream)
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s.priceSolver = pricesolver.NewSimplePriceResolver(s.makerSession.Markets())
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s.priceSolver.BindStream(s.hedgeSession.MarketDataStream)
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s.priceSolver.BindStream(s.makerSession.MarketDataStream)
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if err := s.priceSolver.UpdateFromTickers(ctx, s.makerSession.Exchange,
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s.Symbol, s.makerSession.Exchange.PlatformFeeCurrency()+"USDT"); err != nil {
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return err
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}
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if err := s.priceSolver.UpdateFromTickers(ctx, s.hedgeSession.Exchange, s.HedgeSymbol); err != nil {
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return err
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}
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s.makerSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
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s.priceSolver.Update(k.Symbol, k.Close)
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feeToken := s.makerSession.Exchange.PlatformFeeCurrency()
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if feePrice, ok := s.priceSolver.ResolvePrice(feeToken, "USDT"); ok {
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s.Position.SetFeeAverageCost(feeToken, feePrice)
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}
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}))
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s.stopC = make(chan struct{})
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s.fullReplenishTriggerC = sigchan.New(1)
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makerConnectivity := types.NewConnectivity()
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makerConnectivity.Bind(s.makerSession.UserDataStream)
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s.makerConnectivity = types.NewConnectivity()
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s.makerConnectivity.Bind(s.makerSession.UserDataStream)
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hedgerConnectivity := types.NewConnectivity()
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hedgerConnectivity.Bind(s.hedgeSession.UserDataStream)
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s.hedgerConnectivity = types.NewConnectivity()
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s.hedgerConnectivity.Bind(s.hedgeSession.UserDataStream)
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connGroup := types.NewConnectivityGroup(makerConnectivity, hedgerConnectivity)
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connGroup := types.NewConnectivityGroup(s.makerConnectivity, s.hedgerConnectivity)
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s.connectivityGroup = connGroup
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if s.RecoverTrade {
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@ -598,6 +635,8 @@ func (s *Strategy) CrossRun(
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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bbgo.Notify("Shutting down %s: %s", ID, s.Symbol)
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close(s.stopC)
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// wait for the quoter to stop
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@ -615,8 +654,13 @@ func (s *Strategy) CrossRun(
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log.WithError(err).Errorf("unable to cancel all orders")
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}
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// process collected trades
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s.HedgeOrderExecutor.TradeCollector().Process()
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s.MakerOrderExecutor.TradeCollector().Process()
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bbgo.Sync(ctx, s)
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bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
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bbgo.Notify("Shutdown %s: %s position", ID, s.Symbol, s.Position)
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})
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return nil
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@ -640,11 +684,19 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) error {
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quantity = fixedpoint.Min(s.HedgeMaxOrderQuantity, quantity)
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}
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defer func() {
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s.fullReplenishTriggerC.Emit()
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}()
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switch s.HedgeStrategy {
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case HedgeStrategyMarket:
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return s.executeHedgeMarket(ctx, side, quantity)
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case HedgeStrategyBboCounterParty1:
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return s.executeHedgeBboCounterParty1(ctx, side, quantity)
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return s.executeHedgeBboCounterPartyWithIndex(ctx, side, 1, quantity)
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case HedgeStrategyBboCounterParty3:
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return s.executeHedgeBboCounterPartyWithIndex(ctx, side, 3, quantity)
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case HedgeStrategyBboCounterParty5:
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return s.executeHedgeBboCounterPartyWithIndex(ctx, side, 5, quantity)
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case HedgeStrategyBboQueue1:
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return s.executeHedgeBboQueue1(ctx, side, quantity)
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default:
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@ -652,14 +704,17 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) error {
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}
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}
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func (s *Strategy) executeHedgeBboCounterParty1(
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func (s *Strategy) executeHedgeBboCounterPartyWithIndex(
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ctx context.Context,
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side types.SideType,
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idx int,
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quantity fixedpoint.Value,
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) error {
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price := s.lastSourcePrice.Get()
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if sourcePrice := s.getSourceBboPrice(side.Reverse()); sourcePrice.Sign() > 0 {
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price = sourcePrice
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sideBook := s.sourceBook.SideBook(side.Reverse())
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if pv, ok := sideBook.ElemOrLast(idx); ok {
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price = pv.Price
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}
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if price.IsZero() {
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@ -1073,6 +1128,15 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
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return
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}
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// if it's disconnected or context is canceled, then return
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select {
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case <-ctx.Done():
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return
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case <-s.makerConnectivity.DisconnectedC():
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return
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default:
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}
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bestBid, bestAsk, hasPrice := s.sourceBook.BestBidAndAsk()
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if !hasPrice {
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return
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@ -1131,7 +1195,7 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
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_, err = s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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s.logger.WithError(err).Errorf("order error: %s", err.Error())
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s.logger.WithError(err).Errorf("submit order error: %s", err.Error())
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return
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}
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}
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@ -1146,10 +1210,7 @@ func (s *Strategy) cleanUpOpenOrders(ctx context.Context, session *bbgo.Exchange
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return nil
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}
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log.Infof("found existing open orders:")
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types.OrderSlice(openOrders).Print()
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return session.Exchange.CancelOrders(ctx, openOrders...)
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return tradingutil.UniversalCancelAllOrders(ctx, session.Exchange, s.Symbol, openOrders)
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}
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func selectSessions2(
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