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strategy/supertrend: different qty calculation for spot and leveraged

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This commit is contained in:
Andy Cheng 2022-08-05 15:11:15 +08:00
parent 550f2f3fd7
commit eb57e80119
2 changed files with 52 additions and 5 deletions
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29
pkg/risk/account_value.go
View File

@ -140,6 +140,34 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
return accountValue, nil
}
func (c *AccountValueCalculator) AvailableValue(ctx context.Context) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return accountValue, err
}
}
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
accountValue = accountValue.Add(b.Available)
continue
}
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
accountValue = accountValue.Add(b.Available.Mul(price))
}
return accountValue, nil
}
// MarginLevel calculates the margin level from the asset market value and the debt value
// See https://www.binance.com/en/support/faq/360030493931
func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error) {
@ -164,7 +192,6 @@ func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, p
leverage = fixedpoint.NewFromInt(3)
}
baseBalance, _ := session.Account.Balance(market.BaseCurrency)
quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)

28
pkg/strategy/supertrend/strategy.go
View File

@ -270,7 +270,7 @@ func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Va
}
// calculateQuantity returns leveraged quantity
func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoint.Value) fixedpoint.Value {
func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoint.Value, side types.SideType) fixedpoint.Value {
// Quantity takes precedence
if !s.Quantity.IsZero() {
return s.Quantity
@ -278,14 +278,32 @@ func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoin
usingLeverage := s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures
if bbgo.IsBackTesting || !usingLeverage { // Backtesting or Spot
if bbgo.IsBackTesting { // Backtesting
balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("can not update %s quote balance from exchange", s.Symbol)
return fixedpoint.Zero
}
return balance.Available.Mul(s.Leverage).Div(currentPrice)
return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One)).Div(currentPrice)
} else if !usingLeverage { // Spot
if side == types.SideTypeBuy {
balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("can not update %s quote balance from exchange", s.Symbol)
return fixedpoint.Zero
}
return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One)).Div(currentPrice)
} else if side == types.SideTypeSell {
balance, ok := s.session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
log.Errorf("can not update %s base balance from exchange", s.Symbol)
return fixedpoint.Zero
}
return balance.Available
}
} else { // Using leverage
netValue, err := s.AccountValueCalculator.NetValue(ctx)
if err != nil {
@ -295,6 +313,8 @@ func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoin
return netValue.Mul(s.Leverage).Div(currentPrice)
}
return fixedpoint.Zero
}
// PrintResult prints accumulated profit status
@ -470,7 +490,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
orderForm := s.generateOrderForm(side, s.calculateQuantity(ctx, closePrice), types.SideEffectTypeMarginBuy)
orderForm := s.generateOrderForm(side, s.calculateQuantity(ctx, closePrice, side), types.SideEffectTypeMarginBuy)
log.Infof("submit open position order %v", orderForm)
_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
if err != nil {