Merge pull request #1568 from c9s/c9s/xfunding-fix

FIX: [xfunding] add many fixes and improvements
This commit is contained in:
c9s 2024-03-06 22:48:13 +08:00 committed by GitHub
commit f7cce9fc9f
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GPG Key ID: B5690EEEBB952194
6 changed files with 194 additions and 115 deletions

12
go.mod
View File

@ -7,7 +7,7 @@ go 1.20
require ( require (
github.com/DATA-DOG/go-sqlmock v1.5.0 github.com/DATA-DOG/go-sqlmock v1.5.0
github.com/Masterminds/squirrel v1.5.3 github.com/Masterminds/squirrel v1.5.3
github.com/adshao/go-binance/v2 v2.4.2 github.com/adshao/go-binance/v2 v2.4.5
github.com/c-bata/goptuna v0.8.1 github.com/c-bata/goptuna v0.8.1
github.com/c9s/requestgen v1.3.6 github.com/c9s/requestgen v1.3.6
github.com/c9s/rockhopper/v2 v2.0.3-0.20240124055428-2473c6221858 github.com/c9s/rockhopper/v2 v2.0.3-0.20240124055428-2473c6221858
@ -25,7 +25,7 @@ require (
github.com/gofrs/flock v0.8.1 github.com/gofrs/flock v0.8.1
github.com/golang/mock v1.6.0 github.com/golang/mock v1.6.0
github.com/google/uuid v1.4.0 github.com/google/uuid v1.4.0
github.com/gorilla/websocket v1.5.0 github.com/gorilla/websocket v1.5.1
github.com/heroku/rollrus v0.2.0 github.com/heroku/rollrus v0.2.0
github.com/jedib0t/go-pretty/v6 v6.5.3 github.com/jedib0t/go-pretty/v6 v6.5.3
github.com/jmoiron/sqlx v1.3.4 github.com/jmoiron/sqlx v1.3.4
@ -142,13 +142,13 @@ require (
go.opentelemetry.io/otel/metric v0.19.0 // indirect go.opentelemetry.io/otel/metric v0.19.0 // indirect
go.opentelemetry.io/otel/trace v0.19.0 // indirect go.opentelemetry.io/otel/trace v0.19.0 // indirect
golang.org/x/arch v0.3.0 // indirect golang.org/x/arch v0.3.0 // indirect
golang.org/x/crypto v0.18.0 // indirect golang.org/x/crypto v0.21.0 // indirect
golang.org/x/exp v0.0.0-20240112132812-db7319d0e0e3 // indirect golang.org/x/exp v0.0.0-20240112132812-db7319d0e0e3 // indirect
golang.org/x/image v0.5.0 // indirect golang.org/x/image v0.5.0 // indirect
golang.org/x/mod v0.14.0 // indirect golang.org/x/mod v0.14.0 // indirect
golang.org/x/net v0.20.0 // indirect golang.org/x/net v0.22.0 // indirect
golang.org/x/sys v0.16.0 // indirect golang.org/x/sys v0.18.0 // indirect
golang.org/x/term v0.16.0 // indirect golang.org/x/term v0.18.0 // indirect
golang.org/x/text v0.14.0 // indirect golang.org/x/text v0.14.0 // indirect
golang.org/x/tools v0.17.0 // indirect golang.org/x/tools v0.17.0 // indirect
google.golang.org/appengine v1.6.7 // indirect google.golang.org/appengine v1.6.7 // indirect

12
go.sum
View File

@ -52,6 +52,8 @@ github.com/VividCortex/ewma v1.1.1 h1:MnEK4VOv6n0RSY4vtRe3h11qjxL3+t0B8yOL8iMXdc
github.com/VividCortex/ewma v1.1.1/go.mod h1:2Tkkvm3sRDVXaiyucHiACn4cqf7DpdyLvmxzcbUokwA= github.com/VividCortex/ewma v1.1.1/go.mod h1:2Tkkvm3sRDVXaiyucHiACn4cqf7DpdyLvmxzcbUokwA=
github.com/adshao/go-binance/v2 v2.4.2 h1:NBNMUyXrci45v3sr0RkZosiBYSw1/yuqCrJNkyEM8U0= github.com/adshao/go-binance/v2 v2.4.2 h1:NBNMUyXrci45v3sr0RkZosiBYSw1/yuqCrJNkyEM8U0=
github.com/adshao/go-binance/v2 v2.4.2/go.mod h1:41Up2dG4NfMXpCldrDPETEtiOq+pHoGsFZ73xGgaumo= github.com/adshao/go-binance/v2 v2.4.2/go.mod h1:41Up2dG4NfMXpCldrDPETEtiOq+pHoGsFZ73xGgaumo=
github.com/adshao/go-binance/v2 v2.4.5 h1:V3KpolmS9a7TLVECSrl2gYm+GGBSxhVk9ILaxvOTOVw=
github.com/adshao/go-binance/v2 v2.4.5/go.mod h1:41Up2dG4NfMXpCldrDPETEtiOq+pHoGsFZ73xGgaumo=
github.com/ajstarks/svgo v0.0.0-20180226025133-644b8db467af/go.mod h1:K08gAheRH3/J6wwsYMMT4xOr94bZjxIelGM0+d/wbFw= github.com/ajstarks/svgo v0.0.0-20180226025133-644b8db467af/go.mod h1:K08gAheRH3/J6wwsYMMT4xOr94bZjxIelGM0+d/wbFw=
github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc= github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc= github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
@ -292,6 +294,8 @@ github.com/gorilla/mux v1.8.0/go.mod h1:DVbg23sWSpFRCP0SfiEN6jmj59UnW/n46BH5rLB7
github.com/gorilla/websocket v1.4.2/go.mod h1:YR8l580nyteQvAITg2hZ9XVh4b55+EU/adAjf1fMHhE= github.com/gorilla/websocket v1.4.2/go.mod h1:YR8l580nyteQvAITg2hZ9XVh4b55+EU/adAjf1fMHhE=
github.com/gorilla/websocket v1.5.0 h1:PPwGk2jz7EePpoHN/+ClbZu8SPxiqlu12wZP/3sWmnc= github.com/gorilla/websocket v1.5.0 h1:PPwGk2jz7EePpoHN/+ClbZu8SPxiqlu12wZP/3sWmnc=
github.com/gorilla/websocket v1.5.0/go.mod h1:YR8l580nyteQvAITg2hZ9XVh4b55+EU/adAjf1fMHhE= github.com/gorilla/websocket v1.5.0/go.mod h1:YR8l580nyteQvAITg2hZ9XVh4b55+EU/adAjf1fMHhE=
github.com/gorilla/websocket v1.5.1 h1:gmztn0JnHVt9JZquRuzLw3g4wouNVzKL15iLr/zn/QY=
github.com/gorilla/websocket v1.5.1/go.mod h1:x3kM2JMyaluk02fnUJpQuwD2dCS5NDG2ZHL0uE0tcaY=
github.com/grpc-ecosystem/go-grpc-middleware v1.0.0/go.mod h1:FiyG127CGDf3tlThmgyCl78X/SZQqEOJBCDaAfeWzPs= github.com/grpc-ecosystem/go-grpc-middleware v1.0.0/go.mod h1:FiyG127CGDf3tlThmgyCl78X/SZQqEOJBCDaAfeWzPs=
github.com/grpc-ecosystem/go-grpc-prometheus v1.2.0/go.mod h1:8NvIoxWQoOIhqOTXgfV/d3M/q6VIi02HzZEHgUlZvzk= github.com/grpc-ecosystem/go-grpc-prometheus v1.2.0/go.mod h1:8NvIoxWQoOIhqOTXgfV/d3M/q6VIi02HzZEHgUlZvzk=
github.com/grpc-ecosystem/grpc-gateway v1.9.0/go.mod h1:vNeuVxBJEsws4ogUvrchl83t/GYV9WGTSLVdBhOQFDY= github.com/grpc-ecosystem/grpc-gateway v1.9.0/go.mod h1:vNeuVxBJEsws4ogUvrchl83t/GYV9WGTSLVdBhOQFDY=
@ -715,6 +719,8 @@ golang.org/x/crypto v0.0.0-20210921155107-089bfa567519/go.mod h1:GvvjBRRGRdwPK5y
golang.org/x/crypto v0.0.0-20220622213112-05595931fe9d/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4= golang.org/x/crypto v0.0.0-20220622213112-05595931fe9d/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4=
golang.org/x/crypto v0.18.0 h1:PGVlW0xEltQnzFZ55hkuX5+KLyrMYhHld1YHO4AKcdc= golang.org/x/crypto v0.18.0 h1:PGVlW0xEltQnzFZ55hkuX5+KLyrMYhHld1YHO4AKcdc=
golang.org/x/crypto v0.18.0/go.mod h1:R0j02AL6hcrfOiy9T4ZYp/rcWeMxM3L6QYxlOuEG1mg= golang.org/x/crypto v0.18.0/go.mod h1:R0j02AL6hcrfOiy9T4ZYp/rcWeMxM3L6QYxlOuEG1mg=
golang.org/x/crypto v0.21.0 h1:X31++rzVUdKhX5sWmSOFZxx8UW/ldWx55cbf08iNAMA=
golang.org/x/crypto v0.21.0/go.mod h1:0BP7YvVV9gBbVKyeTG0Gyn+gZm94bibOW5BjDEYAOMs=
golang.org/x/exp v0.0.0-20180321215751-8460e604b9de/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA= golang.org/x/exp v0.0.0-20180321215751-8460e604b9de/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA=
golang.org/x/exp v0.0.0-20180807140117-3d87b88a115f/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA= golang.org/x/exp v0.0.0-20180807140117-3d87b88a115f/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA=
golang.org/x/exp v0.0.0-20190121172915-509febef88a4/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA= golang.org/x/exp v0.0.0-20190121172915-509febef88a4/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA=
@ -806,6 +812,8 @@ golang.org/x/net v0.0.0-20211112202133-69e39bad7dc2/go.mod h1:9nx3DQGgdP8bBQD5qx
golang.org/x/net v0.0.0-20220722155237-a158d28d115b/go.mod h1:XRhObCWvk6IyKnWLug+ECip1KBveYUHfp+8e9klMJ9c= golang.org/x/net v0.0.0-20220722155237-a158d28d115b/go.mod h1:XRhObCWvk6IyKnWLug+ECip1KBveYUHfp+8e9klMJ9c=
golang.org/x/net v0.20.0 h1:aCL9BSgETF1k+blQaYUBx9hJ9LOGP3gAVemcZlf1Kpo= golang.org/x/net v0.20.0 h1:aCL9BSgETF1k+blQaYUBx9hJ9LOGP3gAVemcZlf1Kpo=
golang.org/x/net v0.20.0/go.mod h1:z8BVo6PvndSri0LbOE3hAn0apkU+1YvI6E70E9jsnvY= golang.org/x/net v0.20.0/go.mod h1:z8BVo6PvndSri0LbOE3hAn0apkU+1YvI6E70E9jsnvY=
golang.org/x/net v0.22.0 h1:9sGLhx7iRIHEiX0oAJ3MRZMUCElJgy7Br1nO+AMN3Tc=
golang.org/x/net v0.22.0/go.mod h1:JKghWKKOSdJwpW2GEx0Ja7fmaKnMsbu+MWVZTokSYmg=
golang.org/x/oauth2 v0.0.0-20180821212333-d2e6202438be/go.mod h1:N/0e6XlmueqKjAGxoOufVs8QHGRruUQn6yWY3a++T0U= golang.org/x/oauth2 v0.0.0-20180821212333-d2e6202438be/go.mod h1:N/0e6XlmueqKjAGxoOufVs8QHGRruUQn6yWY3a++T0U=
golang.org/x/oauth2 v0.0.0-20190226205417-e64efc72b421/go.mod h1:gOpvHmFTYa4IltrdGE7lF6nIHvwfUNPOp7c8zoXwtLw= golang.org/x/oauth2 v0.0.0-20190226205417-e64efc72b421/go.mod h1:gOpvHmFTYa4IltrdGE7lF6nIHvwfUNPOp7c8zoXwtLw=
golang.org/x/oauth2 v0.0.0-20190604053449-0f29369cfe45/go.mod h1:gOpvHmFTYa4IltrdGE7lF6nIHvwfUNPOp7c8zoXwtLw= golang.org/x/oauth2 v0.0.0-20190604053449-0f29369cfe45/go.mod h1:gOpvHmFTYa4IltrdGE7lF6nIHvwfUNPOp7c8zoXwtLw=
@ -892,10 +900,14 @@ golang.org/x/sys v0.0.0-20220811171246-fbc7d0a398ab/go.mod h1:oPkhp1MJrh7nUepCBc
golang.org/x/sys v0.6.0/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg= golang.org/x/sys v0.6.0/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.16.0 h1:xWw16ngr6ZMtmxDyKyIgsE93KNKz5HKmMa3b8ALHidU= golang.org/x/sys v0.16.0 h1:xWw16ngr6ZMtmxDyKyIgsE93KNKz5HKmMa3b8ALHidU=
golang.org/x/sys v0.16.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA= golang.org/x/sys v0.16.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA=
golang.org/x/sys v0.18.0 h1:DBdB3niSjOA/O0blCZBqDefyWNYveAYMNF1Wum0DYQ4=
golang.org/x/sys v0.18.0/go.mod h1:/VUhepiaJMQUp4+oa/7Zr1D23ma6VTLIYjOOTFZPUcA=
golang.org/x/term v0.0.0-20201126162022-7de9c90e9dd1/go.mod h1:bj7SfCRtBDWHUb9snDiAeCFNEtKQo2Wmx5Cou7ajbmo= golang.org/x/term v0.0.0-20201126162022-7de9c90e9dd1/go.mod h1:bj7SfCRtBDWHUb9snDiAeCFNEtKQo2Wmx5Cou7ajbmo=
golang.org/x/term v0.0.0-20210927222741-03fcf44c2211/go.mod h1:jbD1KX2456YbFQfuXm/mYQcufACuNUgVhRMnK/tPxf8= golang.org/x/term v0.0.0-20210927222741-03fcf44c2211/go.mod h1:jbD1KX2456YbFQfuXm/mYQcufACuNUgVhRMnK/tPxf8=
golang.org/x/term v0.16.0 h1:m+B6fahuftsE9qjo0VWp2FW0mB3MTJvR0BaMQrq0pmE= golang.org/x/term v0.16.0 h1:m+B6fahuftsE9qjo0VWp2FW0mB3MTJvR0BaMQrq0pmE=
golang.org/x/term v0.16.0/go.mod h1:yn7UURbUtPyrVJPGPq404EukNFxcm/foM+bV/bfcDsY= golang.org/x/term v0.16.0/go.mod h1:yn7UURbUtPyrVJPGPq404EukNFxcm/foM+bV/bfcDsY=
golang.org/x/term v0.18.0 h1:FcHjZXDMxI8mM3nwhX9HlKop4C0YQvCVCdwYl2wOtE8=
golang.org/x/term v0.18.0/go.mod h1:ILwASektA3OnRv7amZ1xhE/KTR+u50pbXfZ03+6Nx58=
golang.org/x/text v0.0.0-20170915032832-14c0d48ead0c/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ= golang.org/x/text v0.0.0-20170915032832-14c0d48ead0c/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ=
golang.org/x/text v0.3.0/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ= golang.org/x/text v0.3.0/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ=
golang.org/x/text v0.3.1-0.20180807135948-17ff2d5776d2/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ= golang.org/x/text v0.3.1-0.20180807135948-17ff2d5776d2/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ=

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@ -19,14 +19,11 @@ type ProfitFixerConfig struct {
// ProfitFixer implements a trade-history-based profit fixer // ProfitFixer implements a trade-history-based profit fixer
type ProfitFixer struct { type ProfitFixer struct {
market types.Market
sessions map[string]types.ExchangeTradeHistoryService sessions map[string]types.ExchangeTradeHistoryService
} }
func NewProfitFixer(market types.Market) *ProfitFixer { func NewProfitFixer() *ProfitFixer {
return &ProfitFixer{ return &ProfitFixer{
market: market,
sessions: make(map[string]types.ExchangeTradeHistoryService), sessions: make(map[string]types.ExchangeTradeHistoryService),
} }
} }
@ -48,7 +45,7 @@ func (f *ProfitFixer) batchQueryTrades(
}) })
} }
func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Market, since, until time.Time) ([]types.Trade, error) { func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, symbol string, since, until time.Time) ([]types.Trade, error) {
var mu sync.Mutex var mu sync.Mutex
var allTrades = make([]types.Trade, 0, 1000) var allTrades = make([]types.Trade, 0, 1000)
@ -58,8 +55,8 @@ func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Marke
sessionName := n sessionName := n
service := s service := s
g.Go(func() error { g.Go(func() error {
log.Infof("batch querying %s trade history from %s since %s until %s", market.Symbol, sessionName, since.String(), until.String()) log.Infof("batch querying %s trade history from %s since %s until %s", symbol, sessionName, since.String(), until.String())
trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until) trades, err := f.batchQueryTrades(subCtx, service, symbol, since, until)
if err != nil { if err != nil {
log.WithError(err).Errorf("unable to batch query trades for fixer") log.WithError(err).Errorf("unable to batch query trades for fixer")
return err return err
@ -80,9 +77,11 @@ func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Marke
return allTrades, nil return allTrades, nil
} }
func (f *ProfitFixer) Fix(ctx context.Context, since, until time.Time, stats *types.ProfitStats, position *types.Position) error { func (f *ProfitFixer) Fix(
ctx context.Context, symbol string, since, until time.Time, stats *types.ProfitStats, position *types.Position,
) error {
log.Infof("starting profitFixer with time range %s <=> %s", since, until) log.Infof("starting profitFixer with time range %s <=> %s", since, until)
allTrades, err := f.aggregateAllTrades(ctx, f.market, since, until) allTrades, err := f.aggregateAllTrades(ctx, symbol, since, until)
if err != nil { if err != nil {
return err return err
} }

View File

@ -333,7 +333,7 @@ func (s *Strategy) CrossRun(
s.CrossExchangeMarketMakingStrategy.Position = types.NewPositionFromMarket(makerMarket) s.CrossExchangeMarketMakingStrategy.Position = types.NewPositionFromMarket(makerMarket)
s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket) s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket)
fixer := common.NewProfitFixer(makerMarket) fixer := common.NewProfitFixer()
if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok { if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
log.Infof("adding makerSession %s to profitFixer", makerSession.Name) log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
fixer.AddExchange(makerSession.Name, ss) fixer.AddExchange(makerSession.Name, ss)
@ -344,7 +344,11 @@ func (s *Strategy) CrossRun(
fixer.AddExchange(hedgeSession.Name, ss) fixer.AddExchange(hedgeSession.Name, ss)
} }
if err2 := fixer.Fix(ctx, s.ProfitFixerConfig.TradesSince.Time(), time.Now(), s.CrossExchangeMarketMakingStrategy.ProfitStats, s.CrossExchangeMarketMakingStrategy.Position); err2 != nil { if err2 := fixer.Fix(ctx, makerMarket.Symbol,
s.ProfitFixerConfig.TradesSince.Time(),
time.Now(),
s.CrossExchangeMarketMakingStrategy.ProfitStats,
s.CrossExchangeMarketMakingStrategy.Position); err2 != nil {
return err2 return err2
} }

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@ -13,6 +13,7 @@ import (
"github.com/c9s/bbgo/pkg/exchange/binance" "github.com/c9s/bbgo/pkg/exchange/binance"
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi" "github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
"github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/util/backoff" "github.com/c9s/bbgo/pkg/util/backoff"
"github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/bbgo"
@ -137,6 +138,8 @@ type Strategy struct {
// Reset your position info // Reset your position info
Reset bool `json:"reset"` Reset bool `json:"reset"`
ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`
// CloseFuturesPosition can be enabled to close the futures position and then transfer the collateral asset back to the spot account. // CloseFuturesPosition can be enabled to close the futures position and then transfer the collateral asset back to the spot account.
CloseFuturesPosition bool `json:"closeFuturesPosition"` CloseFuturesPosition bool `json:"closeFuturesPosition"`
@ -258,7 +261,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return nil return nil
} }
func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error { func (s *Strategy) CrossRun(
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
) error {
instanceID := s.InstanceID() instanceID := s.InstanceID()
s.spotSession = sessions[s.SpotSession] s.spotSession = sessions[s.SpotSession]
@ -286,22 +291,6 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
return err return err
} }
// adjust QuoteInvestment
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
// adjust available quote with the fee rate
available := b.Available.Mul(fixedpoint.NewFromFloat(1.0 - (0.01 * 0.075)))
s.QuoteInvestment = fixedpoint.Min(available, s.QuoteInvestment)
if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
log.Infof("adjusted quoteInvestment from %s to %s according to the balance",
originalQuoteInvestment.String(),
s.QuoteInvestment.String(),
)
}
}
if s.ProfitStats == nil || s.Reset { if s.ProfitStats == nil || s.Reset {
s.ProfitStats = &ProfitStats{ s.ProfitStats = &ProfitStats{
ProfitStats: types.NewProfitStats(s.Market), ProfitStats: types.NewProfitStats(s.Market),
@ -332,7 +321,46 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
s.State = newState() s.State = newState()
} }
if err := s.checkAndRestorePositionRisks(ctx); err != nil { if s.ProfitFixerConfig != nil {
log.Infof("profitFixer is enabled, start fixing with config: %+v", s.ProfitFixerConfig)
s.SpotPosition = types.NewPositionFromMarket(s.spotMarket)
s.FuturesPosition = types.NewPositionFromMarket(s.futuresMarket)
s.ProfitStats.ProfitStats = types.NewProfitStats(s.Market)
since := s.ProfitFixerConfig.TradesSince.Time()
now := time.Now()
spotFixer := common.NewProfitFixer()
if ss, ok := s.spotSession.Exchange.(types.ExchangeTradeHistoryService); ok {
spotFixer.AddExchange(s.spotSession.Name, ss)
}
if err2 := spotFixer.Fix(ctx, s.Symbol,
since, now,
s.ProfitStats.ProfitStats,
s.SpotPosition); err2 != nil {
return err2
}
futuresFixer := common.NewProfitFixer()
if ss, ok := s.futuresSession.Exchange.(types.ExchangeTradeHistoryService); ok {
futuresFixer.AddExchange(s.futuresSession.Name, ss)
}
if err2 := futuresFixer.Fix(ctx, s.Symbol,
since, now,
s.ProfitStats.ProfitStats,
s.FuturesPosition); err2 != nil {
return err2
}
bbgo.Notify("Fixed spot position", s.SpotPosition)
bbgo.Notify("Fixed futures position", s.FuturesPosition)
bbgo.Notify("Fixed profit stats", s.ProfitStats.ProfitStats)
}
if err := s.syncPositionRisks(ctx); err != nil {
return err return err
} }
@ -348,7 +376,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
bbgo.Notify("Spot Position", s.SpotPosition) bbgo.Notify("Spot Position", s.SpotPosition)
bbgo.Notify("Futures Position", s.FuturesPosition) bbgo.Notify("Futures Position", s.FuturesPosition)
bbgo.Notify("Neutral Position", s.NeutralPosition) bbgo.Notify("Neutral Position", s.NeutralPosition)
bbgo.Notify("State", s.State.PositionState) bbgo.Notify("State: %s", s.State.PositionState.String())
// sync funding fee txns // sync funding fee txns
s.syncFundingFeeRecords(ctx, s.ProfitStats.LastFundingFeeTime) s.syncFundingFeeRecords(ctx, s.ProfitStats.LastFundingFeeTime)
@ -357,6 +385,31 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
// s.syncFundingFeeRecords(ctx, time.Now().Add(-3*24*time.Hour)) // s.syncFundingFeeRecords(ctx, time.Now().Add(-3*24*time.Hour))
switch s.State.PositionState { switch s.State.PositionState {
case PositionClosed:
// adjust QuoteInvestment according to the available quote balance
// ONLY when the position is not opening
if b, ok := s.spotSession.Account.Balance(s.spotMarket.QuoteCurrency); ok {
originalQuoteInvestment := s.QuoteInvestment
// adjust available quote with the fee rate
spotFeeRate := 0.075
availableQuoteWithoutFee := b.Available.Mul(fixedpoint.NewFromFloat(1.0 - (spotFeeRate * 0.01)))
s.QuoteInvestment = fixedpoint.Min(availableQuoteWithoutFee, s.QuoteInvestment)
if originalQuoteInvestment.Compare(s.QuoteInvestment) != 0 {
log.Infof("adjusted quoteInvestment from %f to %f according to the balance",
originalQuoteInvestment.Float64(),
s.QuoteInvestment.Float64(),
)
}
}
default:
}
switch s.State.PositionState {
case PositionReady:
case PositionOpening: case PositionOpening:
// transfer all base assets from the spot account into the spot account // transfer all base assets from the spot account into the spot account
if err := s.transferIn(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, fixedpoint.Zero); err != nil { if err := s.transferIn(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, fixedpoint.Zero); err != nil {
@ -368,6 +421,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
if err := s.transferOut(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, fixedpoint.Zero); err != nil { if err := s.transferOut(ctx, s.binanceSpot, s.spotMarket.BaseCurrency, fixedpoint.Zero); err != nil {
log.WithError(err).Errorf("futures asset transfer out error") log.WithError(err).Errorf("futures asset transfer out error")
} }
} }
s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition) s.spotOrderExecutor = s.allocateOrderExecutor(ctx, s.spotSession, instanceID, s.SpotPosition)
@ -735,12 +789,14 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
if futuresBase.Sign() > 0 { if futuresBase.Sign() > 0 {
// unexpected error // unexpected error
log.Errorf("unexpected futures position (got positive, expecting negative)") log.Errorf("unexpected futures position, got positive number (long), expecting negative number (short)")
return return
} }
// cancel the previous futures order
_ = s.futuresOrderExecutor.GracefulCancel(ctx) _ = s.futuresOrderExecutor.GracefulCancel(ctx)
// get the latest ticker price
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol) ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil { if err != nil {
log.WithError(err).Errorf("can not query ticker") log.WithError(err).Errorf("can not query ticker")
@ -753,6 +809,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
log.WithError(err).Errorf("can not calculate futures account quote value") log.WithError(err).Errorf("can not calculate futures account quote value")
return return
} }
log.Infof("calculated futures account quote value = %s", quoteValue.String()) log.Infof("calculated futures account quote value = %s", quoteValue.String())
if quoteValue.IsZero() { if quoteValue.IsZero() {
return return
@ -796,12 +853,10 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
orderQuantity = fixedpoint.Max(diffQuantity, s.minQuantity) orderQuantity = fixedpoint.Max(diffQuantity, s.minQuantity)
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice) orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(orderQuantity, orderPrice)
/* if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) {
if s.futuresMarket.IsDustQuantity(orderQuantity, orderPrice) { log.Warnf("unexpected dust quantity, skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket)
log.Warnf("unexpected dust quantity, skip futures order with dust quantity %s, market = %+v", orderQuantity.String(), s.futuresMarket) return
return }
}
*/
submitOrder := types.SubmitOrder{ submitOrder := types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
@ -814,7 +869,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, submitOrder) createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil { if err != nil {
log.WithError(err).Errorf("can not submit spot order: %+v", submitOrder) log.WithError(err).Errorf("can not submit futures order: %+v", submitOrder)
return return
} }
@ -1083,7 +1138,9 @@ func (s *Strategy) notPositionState(state PositionState) bool {
return ret return ret
} }
func (s *Strategy) allocateOrderExecutor(ctx context.Context, session *bbgo.ExchangeSession, instanceID string, position *types.Position) *bbgo.GeneralOrderExecutor { func (s *Strategy) allocateOrderExecutor(
ctx context.Context, session *bbgo.ExchangeSession, instanceID string, position *types.Position,
) *bbgo.GeneralOrderExecutor {
orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, position) orderExecutor := bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, position)
orderExecutor.SetMaxRetries(0) orderExecutor.SetMaxRetries(0)
orderExecutor.BindEnvironment(s.Environment) orderExecutor.BindEnvironment(s.Environment)
@ -1141,7 +1198,7 @@ func (s *Strategy) checkAndFixMarginMode(ctx context.Context) error {
return nil return nil
} }
func (s *Strategy) checkAndRestorePositionRisks(ctx context.Context) error { func (s *Strategy) syncPositionRisks(ctx context.Context) error {
futuresClient := s.binanceFutures.GetFuturesClient() futuresClient := s.binanceFutures.GetFuturesClient()
req := futuresClient.NewFuturesGetPositionRisksRequest() req := futuresClient.NewFuturesGetPositionRisksRequest()
req.Symbol(s.Symbol) req.Symbol(s.Symbol)

View File

@ -43,104 +43,111 @@ func (s *Strategy) resetTransfer(ctx context.Context, ex FuturesTransfer, asset
func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error { func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error {
// if transfer done // if transfer done
// TotalBaseTransfer here is the rest quantity we need to transfer
// (total spot -> futures transfer amount) is recorded in this variable.
//
// TotalBaseTransfer == 0 means we have nothing to transfer.
if s.State.TotalBaseTransfer.IsZero() { if s.State.TotalBaseTransfer.IsZero() {
return nil return nil
} }
balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx) quantity = quantity.Add(s.State.PendingBaseTransfer)
// A simple protection here -- we can only transfer the rest quota (total base transfer) back to spot
quantity = fixedpoint.Min(s.State.TotalBaseTransfer, quantity)
available, pending, err := s.queryAvailableTransfer(ctx, s.futuresSession.Exchange, asset, quantity)
if err != nil { if err != nil {
log.Infof("balance query error, adding to pending base transfer: %s %s + %s", quantity.String(), asset, s.State.PendingBaseTransfer.String()) s.State.PendingBaseTransfer = quantity
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return err return err
} }
b, ok := balances[asset] s.State.PendingBaseTransfer = pending
if !ok {
log.Infof("balance not found, adding to pending base transfer: %s %s + %s", quantity.String(), asset, s.State.PendingBaseTransfer.String())
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return fmt.Errorf("%s balance not found", asset)
}
log.Infof("found futures balance: %+v", b) log.Infof("transfering out futures account asset %f %s", available.Float64(), asset)
if err := ex.TransferFuturesAccountAsset(ctx, asset, available, types.TransferOut); err != nil {
// add the previous pending base transfer and the current trade quantity s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(available)
amount := b.MaxWithdrawAmount
if !quantity.IsZero() {
amount = s.State.PendingBaseTransfer.Add(quantity)
}
// try to transfer more if we enough balance
amount = fixedpoint.Min(amount, b.MaxWithdrawAmount)
// we can only transfer the rest quota (total base transfer)
amount = fixedpoint.Min(s.State.TotalBaseTransfer, amount)
// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here
if amount.IsZero() {
log.Infof("zero amount, adding to pending base transfer: %s %s + %s ", quantity.String(), asset, s.State.PendingBaseTransfer.String())
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
return nil
}
// de-leverage and get the collateral base quantity
collateralBase := s.FuturesPosition.GetBase().Abs().Div(s.Leverage)
_ = collateralBase
// if s.State.TotalBaseTransfer.Compare(collateralBase)
log.Infof("transfering out futures account asset %s %s", amount, asset)
if err := ex.TransferFuturesAccountAsset(ctx, asset, amount, types.TransferOut); err != nil {
return err return err
} }
// reset pending transfer
s.State.PendingBaseTransfer = fixedpoint.Zero
// reduce the transfer in the total base transfer // reduce the transfer in the total base transfer
s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Sub(amount) s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Sub(available)
return nil return nil
} }
// transferIn transfers the asset from the spot account to the futures account
func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error { func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error {
balances, err := s.spotSession.Exchange.QueryAccountBalances(ctx) s.mu.Lock()
defer s.mu.Unlock()
// add the pending transfer and reset the pending transfer
quantity = s.State.PendingBaseTransfer.Add(quantity)
available, pending, err := s.queryAvailableTransfer(ctx, s.spotSession.Exchange, asset, quantity)
if err != nil { if err != nil {
s.State.PendingBaseTransfer = quantity
return err return err
} }
s.State.PendingBaseTransfer = pending
if available.IsZero() {
return fmt.Errorf("unable to transfer zero %s from spot wallet to futures wallet", asset)
}
log.Infof("transfering %f %s from the spot wallet into futures wallet...", available.Float64(), asset)
if err := ex.TransferFuturesAccountAsset(ctx, asset, available, types.TransferIn); err != nil {
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(available)
return err
}
// record the transfer in the total base transfer
s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(available)
return nil
}
func (s *Strategy) queryAvailableTransfer(
ctx context.Context, ex types.Exchange, asset string, quantity fixedpoint.Value,
) (available, pending fixedpoint.Value, err error) {
available = fixedpoint.Zero
pending = fixedpoint.Zero
// query spot balances to validate the quantity
balances, err := ex.QueryAccountBalances(ctx)
if err != nil {
return available, pending, err
}
b, ok := balances[asset] b, ok := balances[asset]
if !ok { if !ok {
return fmt.Errorf("%s balance not found", asset) return available, pending, fmt.Errorf("%s balance not found", asset)
} }
// TODO: according to the fee, we might not be able to get enough balance greater than the trade quantity, we can adjust the quantity here log.Infof("loaded %s balance: %+v", asset, b)
if !quantity.IsZero() && b.Available.Compare(quantity) < 0 {
log.Infof("adding to pending base transfer: %s %s", quantity, asset) // if quantity = 0, we will transfer all available balance into the futures wallet
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity) if quantity.IsZero() {
return nil quantity = b.Available
} }
amount := b.Available limit := b.Available
if !quantity.IsZero() { if b.MaxWithdrawAmount.Sign() > 0 {
amount = s.State.PendingBaseTransfer.Add(quantity) limit = fixedpoint.Min(b.MaxWithdrawAmount, limit)
} }
pos := s.SpotPosition.GetBase().Abs() if limit.Compare(quantity) < 0 {
rest := pos.Sub(s.State.TotalBaseTransfer) log.Infof("%s available balance is not enough for transfer (%f < %f)",
if rest.Sign() < 0 { asset,
return nil b.Available.Float64(),
quantity.Float64())
available = fixedpoint.Min(limit, quantity)
pending = quantity.Sub(available)
log.Infof("adjusted transfer quantity from %f to %f", quantity.Float64(), available.Float64())
return available, pending, nil
} }
amount = fixedpoint.Min(rest, amount) available = quantity
pending = fixedpoint.Zero
log.Infof("transfering in futures account asset %s %s", amount, asset) return available, pending, nil
if err := ex.TransferFuturesAccountAsset(ctx, asset, amount, types.TransferIn); err != nil {
return err
}
// reset pending transfer
s.State.PendingBaseTransfer = fixedpoint.Zero
// record the transfer in the total base transfer
s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(amount)
return nil
} }