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Merge pull request #1688 from c9s/c9s/xdepthmaker/separate-hedge-symbol

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FEATURE: [xdepthmaker] separate hedge symbol
This commit is contained in:
c9s 2024-08-07 17:41:01 +08:00 committed by GitHub
commit eb6e5cda39
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5 changed files with 69 additions and 31 deletions
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35
pkg/core/tradecollector.go
View File

@ -12,6 +12,10 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
type TradeConverter interface {
Convert(trade types.Trade) (types.Trade, error)
}
//go:generate callbackgen -type TradeCollector
type TradeCollector struct {
Symbol string
@ -25,6 +29,8 @@ type TradeCollector struct {
mu sync.Mutex
tradeConverters []TradeConverter
recoverCallbacks []func(trade types.Trade)
tradeCallbacks []func(trade types.Trade, profit, netProfit fixedpoint.Value)
@ -49,6 +55,28 @@ func NewTradeCollector(symbol string, position *types.Position, orderStore *Orde
}
}
func (c *TradeCollector) AddTradeConverter(converter TradeConverter) {
c.tradeConverters = append(c.tradeConverters, converter)
}
func (c *TradeCollector) convertTrade(trade types.Trade) types.Trade {
if len(c.tradeConverters) == 0 {
return trade
}
for _, converter := range c.tradeConverters {
convTrade, err := converter.Convert(trade)
if err != nil {
logrus.WithError(err).Errorf("trade %+v converter error, trade: %s", converter, trade.String())
continue
}
trade = convTrade
}
return trade
}
// OrderStore returns the order store used by the trade collector
func (c *TradeCollector) OrderStore() *OrderStore {
return c.orderStore
@ -116,6 +144,8 @@ func (c *TradeCollector) Recover(
}
func (c *TradeCollector) RecoverTrade(td types.Trade) bool {
td = c.convertTrade(td)
logrus.Debugf("checking trade: %s", td.String())
if c.processTrade(td) {
logrus.Infof("recovered trade: %s", td.String())
@ -230,7 +260,7 @@ func (c *TradeCollector) processTrade(trade types.Trade) bool {
// return true when the given trade is added
// return false when the given trade is not added
func (c *TradeCollector) ProcessTrade(trade types.Trade) bool {
return c.processTrade(trade)
return c.processTrade(c.convertTrade(trade))
}
// Run is a goroutine executed in the background
@ -249,7 +279,8 @@ func (c *TradeCollector) Run(ctx context.Context) {
c.Process()
case trade := <-c.tradeC:
c.processTrade(trade)
c.processTrade(c.convertTrade(trade))
}
}
}

2
pkg/exchange/max/convert.go
View File

@ -361,7 +361,7 @@ func convertWithdrawStatusV3(status max.WithdrawStatus) types.WithdrawStatus {
return types.WithdrawStatus(status)
}
func convertWithdrawStatus(state max.WithdrawState) types.WithdrawStatus {
func convertWithdrawStatusV2(state max.WithdrawState) types.WithdrawStatus {
switch state {
case max.WithdrawStateSent, max.WithdrawStateSubmitting, max.WithdrawStatePending, "accepted", "approved":

3
pkg/exchange/max/exchange.go
View File

@ -865,8 +865,7 @@ func (e *Exchange) QueryWithdrawHistory(
continue
}
// we can convert this later
status := convertWithdrawStatusV3(d.Status)
status := convertWithdrawStatusV2(d.State)
txIDs[d.TxID] = struct{}{}
withdraw := types.Withdraw{

2
pkg/exchange/max/maxapi/account.go
View File

@ -194,7 +194,7 @@ type Withdraw struct {
// "sygna_verifying"
State WithdrawState `json:"state"`
Status WithdrawStatus `json:"status,omitempty"`
// Status WithdrawStatus `json:"status,omitempty"`
CreatedAt types.MillisecondTimestamp `json:"created_at"`
UpdatedAt types.MillisecondTimestamp `json:"updated_at"`

58
pkg/strategy/xdepthmaker/strategy.go
View File

@ -56,7 +56,8 @@ type CrossExchangeMarketMakingStrategy struct {
func (s *CrossExchangeMarketMakingStrategy) Initialize(
ctx context.Context, environ *bbgo.Environment,
makerSession, hedgeSession *bbgo.ExchangeSession,
symbol, strategyID, instanceID string,
symbol, hedgeSymbol,
strategyID, instanceID string,
) error {
s.parent = ctx
s.ctx, s.cancel = context.WithCancel(ctx)
@ -67,9 +68,9 @@ func (s *CrossExchangeMarketMakingStrategy) Initialize(
s.hedgeSession = hedgeSession
var ok bool
s.hedgeMarket, ok = s.hedgeSession.Market(symbol)
s.hedgeMarket, ok = s.hedgeSession.Market(hedgeSymbol)
if !ok {
return fmt.Errorf("source session market %s is not defined", symbol)
return fmt.Errorf("hedge session market %s is not defined", hedgeSymbol)
}
s.makerMarket, ok = s.makerSession.Market(symbol)
@ -150,14 +151,19 @@ type Strategy struct {
Symbol string `json:"symbol"`
// HedgeExchange session name
HedgeExchange string `json:"hedgeExchange"`
// HedgeSymbol is the symbol for the hedge exchange
// symbol could be different from the maker exchange
HedgeSymbol string `json:"hedgeSymbol"`
// MakerExchange session name
MakerExchange string `json:"makerExchange"`
// HedgeExchange session name
HedgeExchange string `json:"hedgeExchange"`
UpdateInterval types.Duration `json:"updateInterval"`
HedgeInterval types.Duration `json:"hedgeInterval"`
HedgeInterval types.Duration `json:"hedgeInterval"`
FullReplenishInterval types.Duration `json:"fullReplenishInterval"`
@ -239,12 +245,12 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
panic(err)
}
hedgeSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
hedgeSession.Subscribe(types.BookChannel, s.HedgeSymbol, types.SubscribeOptions{
Depth: types.DepthLevelMedium,
Speed: types.SpeedLow,
})
hedgeSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
hedgeSession.Subscribe(types.KLineChannel, s.HedgeSymbol, types.SubscribeOptions{Interval: "1m"})
makerSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
}
@ -281,6 +287,10 @@ func (s *Strategy) Defaults() error {
s.HedgeInterval = types.Duration(3 * time.Second)
}
if s.HedgeSymbol == "" {
s.HedgeSymbol = s.Symbol
}
if s.NumLayers == 0 {
s.NumLayers = 1
}
@ -358,13 +368,13 @@ func (s *Strategy) CrossRun(
if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx,
s.Environment,
makerSession,
hedgeSession,
s.Symbol, ID, s.InstanceID()); err != nil {
makerSession, hedgeSession,
s.Symbol, s.HedgeSymbol,
ID, s.InstanceID()); err != nil {
return err
}
s.pricingBook = types.NewStreamBook(s.Symbol)
s.pricingBook = types.NewStreamBook(s.HedgeSymbol)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
s.stopC = make(chan struct{})
@ -488,7 +498,7 @@ func (s *Strategy) CrossRun(
}
if err := s.HedgeOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("graceful cancel %s order error", s.Symbol)
log.WithError(err).Errorf("graceful cancel %s order error", s.HedgeSymbol)
}
bbgo.Sync(ctx, s)
@ -576,12 +586,12 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
s.hedgeErrorRateReservation = nil
}
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)
log.Infof("submitting %s hedge order %s %v", s.HedgeSymbol, side.String(), quantity)
bbgo.Notify("Submitting %s hedge order %s %v", s.HedgeSymbol, side.String(), quantity)
_, err := s.HedgeOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Market: s.hedgeMarket,
Symbol: s.Symbol,
Symbol: s.hedgeMarket.Symbol,
Type: types.OrderTypeMarket,
Side: side,
Quantity: quantity,
@ -627,7 +637,7 @@ func (s *Strategy) runTradeRecover(ctx context.Context) {
startTime := time.Now().Add(-tradeScanInterval).Add(-tradeScanOverlapBufferPeriod)
if err := s.HedgeOrderExecutor.TradeCollector().Recover(ctx, s.hedgeSession.Exchange.(types.ExchangeTradeHistoryService), s.Symbol, startTime); err != nil {
if err := s.HedgeOrderExecutor.TradeCollector().Recover(ctx, s.hedgeSession.Exchange.(types.ExchangeTradeHistoryService), s.HedgeSymbol, startTime); err != nil {
log.WithError(err).Errorf("query trades error")
}
@ -639,7 +649,9 @@ func (s *Strategy) runTradeRecover(ctx context.Context) {
}
func (s *Strategy) generateMakerOrders(
pricingBook *types.StreamOrderBook, maxLayer int, availableBase fixedpoint.Value, availableQuote fixedpoint.Value,
pricingBook *types.StreamOrderBook,
maxLayer int,
availableBase, availableQuote fixedpoint.Value,
) ([]types.SubmitOrder, error) {
_, _, hasPrice := pricingBook.BestBidAndAsk()
if !hasPrice {
@ -776,7 +788,7 @@ func (s *Strategy) generateMakerOrders(
}
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Symbol: s.makerMarket.Symbol,
Type: types.OrderTypeLimitMaker,
Market: s.makerMarket,
Side: side,
@ -829,7 +841,7 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
bestBidPrice := bestBid.Price
bestAskPrice := bestAsk.Price
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.Symbol, bestAskPrice, bestBidPrice)
log.Infof("%s book ticker: best ask / best bid = %v / %v", s.HedgeSymbol, bestAskPrice, bestBidPrice)
s.lastPrice = bestBidPrice.Add(bestAskPrice).Div(Two)
@ -898,11 +910,7 @@ func (s *Strategy) cleanUpOpenOrders(ctx context.Context, session *bbgo.Exchange
log.Infof("found existing open orders:")
types.OrderSlice(openOrders).Print()
if err := session.Exchange.CancelOrders(ctx, openOrders...); err != nil {
return err
}
return nil
return session.Exchange.CancelOrders(ctx, openOrders...)
}
func selectSessions2(