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strategy/supertrend: different qty calculation for spot and leveraged
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550f2f3fd7
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@ -140,6 +140,34 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
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return accountValue, nil
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}
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func (c *AccountValueCalculator) AvailableValue(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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accountValue = accountValue.Add(b.Available)
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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accountValue = accountValue.Add(b.Available.Mul(price))
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}
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return accountValue, nil
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}
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// MarginLevel calculates the margin level from the asset market value and the debt value
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// See https://www.binance.com/en/support/faq/360030493931
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func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error) {
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@ -164,7 +192,6 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
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leverage = fixedpoint.NewFromInt(3)
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}
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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@ -270,7 +270,7 @@ func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Va
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}
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// calculateQuantity returns leveraged quantity
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func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoint.Value) fixedpoint.Value {
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func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoint.Value, side types.SideType) fixedpoint.Value {
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// Quantity takes precedence
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if !s.Quantity.IsZero() {
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return s.Quantity
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@ -278,14 +278,32 @@ func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoin
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usingLeverage := s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures
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if bbgo.IsBackTesting || !usingLeverage { // Backtesting or Spot
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if bbgo.IsBackTesting { // Backtesting
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balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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log.Errorf("can not update %s quote balance from exchange", s.Symbol)
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return fixedpoint.Zero
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}
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return balance.Available.Mul(s.Leverage).Div(currentPrice)
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return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One)).Div(currentPrice)
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} else if !usingLeverage { // Spot
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if side == types.SideTypeBuy {
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balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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log.Errorf("can not update %s quote balance from exchange", s.Symbol)
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return fixedpoint.Zero
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}
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return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One)).Div(currentPrice)
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} else if side == types.SideTypeSell {
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balance, ok := s.session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
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log.Errorf("can not update %s base balance from exchange", s.Symbol)
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return fixedpoint.Zero
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}
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return balance.Available
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}
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} else { // Using leverage
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netValue, err := s.AccountValueCalculator.NetValue(ctx)
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if err != nil {
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@ -295,6 +313,8 @@ func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoin
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return netValue.Mul(s.Leverage).Div(currentPrice)
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}
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return fixedpoint.Zero
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}
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// PrintResult prints accumulated profit status
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@ -470,7 +490,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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}
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orderForm := s.generateOrderForm(side, s.calculateQuantity(ctx, closePrice), types.SideEffectTypeMarginBuy)
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orderForm := s.generateOrderForm(side, s.calculateQuantity(ctx, closePrice, side), types.SideEffectTypeMarginBuy)
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log.Infof("submit open position order %v", orderForm)
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_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
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if err != nil {
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