mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 00:01:09 +00:00
Merge pull request #1568 from c9s/c9s/xfunding-fix
FIX: [xfunding] add many fixes and improvements
This commit is contained in:
c9s
GitHub
commit
f7cce9fc9f
12
go.mod
12
go.mod
|
|
@ -7,7 +7,7 @@ go 1.20
|
|||
require (
|
||||
github.com/DATA-DOG/go-sqlmock v1.5.0
|
||||
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/c9s/requestgen v1.3.6
|
||||
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/golang/mock v1.6.0
|
||||
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/jedib0t/go-pretty/v6 v6.5.3
|
||||
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/trace v0.19.0 // 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/image v0.5.0 // indirect
|
||||
golang.org/x/mod v0.14.0 // indirect
|
||||
golang.org/x/net v0.20.0 // indirect
|
||||
golang.org/x/sys v0.16.0 // indirect
|
||||
golang.org/x/term v0.16.0 // indirect
|
||||
golang.org/x/net v0.22.0 // indirect
|
||||
golang.org/x/sys v0.18.0 // indirect
|
||||
golang.org/x/term v0.18.0 // indirect
|
||||
golang.org/x/text v0.14.0 // indirect
|
||||
golang.org/x/tools v0.17.0 // indirect
|
||||
google.golang.org/appengine v1.6.7 // indirect
|
||||
|
|
|
|||
12
go.sum
12
go.sum
|
|
@ -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/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 v2.4.5 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/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=
|
||||
|
|
@ -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 v1.5.0 h1:PPwGk2jz7EePpoHN/+ClbZu8SPxiqlu12wZP/3sWmnc=
|
||||
github.com/gorilla/websocket v1.5.0/go.mod h1:YR8l580nyteQvAITg2hZ9XVh4b55+EU/adAjf1fMHhE=
|
||||
github.com/gorilla/websocket v1.5.1 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-prometheus v1.2.0/go.mod h1:8NvIoxWQoOIhqOTXgfV/d3M/q6VIi02HzZEHgUlZvzk=
|
||||
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 v0.18.0 h1:PGVlW0xEltQnzFZ55hkuX5+KLyrMYhHld1YHO4AKcdc=
|
||||
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 v0.0.0-20180807140117-3d87b88a115f/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 v0.20.0 h1:aCL9BSgETF1k+blQaYUBx9hJ9LOGP3gAVemcZlf1Kpo=
|
||||
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 v0.0.0-20190226205417-e64efc72b421/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 v0.16.0 h1:xWw16ngr6ZMtmxDyKyIgsE93KNKz5HKmMa3b8ALHidU=
|
||||
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 v0.0.0-20210927222741-03fcf44c2211/go.mod h1:jbD1KX2456YbFQfuXm/mYQcufACuNUgVhRMnK/tPxf8=
|
||||
golang.org/x/term v0.16.0 h1:m+B6fahuftsE9qjo0VWp2FW0mB3MTJvR0BaMQrq0pmE=
|
||||
golang.org/x/term v0.16.0/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 v0.3.0/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ=
|
||||
golang.org/x/text v0.3.1-0.20180807135948-17ff2d5776d2/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ=
|
||||
|
|
|
|||
|
|
@ -19,14 +19,11 @@ type ProfitFixerConfig struct {
|
|||
|
||||
// ProfitFixer implements a trade-history-based profit fixer
|
||||
type ProfitFixer struct {
|
||||
market types.Market
|
||||
|
||||
sessions map[string]types.ExchangeTradeHistoryService
|
||||
}
|
||||
|
||||
func NewProfitFixer(market types.Market) *ProfitFixer {
|
||||
func NewProfitFixer() *ProfitFixer {
|
||||
return &ProfitFixer{
|
||||
market: market,
|
||||
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 allTrades = make([]types.Trade, 0, 1000)
|
||||
|
||||
|
|
@ -58,8 +55,8 @@ func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Marke
|
|||
sessionName := n
|
||||
service := s
|
||||
g.Go(func() error {
|
||||
log.Infof("batch querying %s trade history from %s since %s until %s", market.Symbol, sessionName, since.String(), until.String())
|
||||
trades, err := f.batchQueryTrades(subCtx, service, f.market.Symbol, since, until)
|
||||
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, symbol, since, until)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("unable to batch query trades for fixer")
|
||||
return err
|
||||
|
|
@ -80,9 +77,11 @@ func (f *ProfitFixer) aggregateAllTrades(ctx context.Context, market types.Marke
|
|||
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)
|
||||
allTrades, err := f.aggregateAllTrades(ctx, f.market, since, until)
|
||||
allTrades, err := f.aggregateAllTrades(ctx, symbol, since, until)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
|
|
|||
|
|
@ -333,7 +333,7 @@ func (s *Strategy) CrossRun(
|
|||
s.CrossExchangeMarketMakingStrategy.Position = types.NewPositionFromMarket(makerMarket)
|
||||
s.CrossExchangeMarketMakingStrategy.ProfitStats = types.NewProfitStats(makerMarket)
|
||||
|
||||
fixer := common.NewProfitFixer(makerMarket)
|
||||
fixer := common.NewProfitFixer()
|
||||
if ss, ok := makerSession.Exchange.(types.ExchangeTradeHistoryService); ok {
|
||||
log.Infof("adding makerSession %s to profitFixer", makerSession.Name)
|
||||
fixer.AddExchange(makerSession.Name, ss)
|
||||
|
|
@ -344,7 +344,11 @@ func (s *Strategy) CrossRun(
|
|||
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
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -13,6 +13,7 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/exchange/binance"
|
||||
"github.com/c9s/bbgo/pkg/exchange/binance/binanceapi"
|
||||
"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/bbgo"
|
||||
|
|
@ -137,6 +138,8 @@ type Strategy struct {
|
|||
// Reset your position info
|
||||
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 bool `json:"closeFuturesPosition"`
|
||||
|
||||
|
|
@ -258,7 +261,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
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()
|
||||
|
||||
s.spotSession = sessions[s.SpotSession]
|
||||
|
|
@ -286,22 +291,6 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
|
|||
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 {
|
||||
s.ProfitStats = &ProfitStats{
|
||||
ProfitStats: types.NewProfitStats(s.Market),
|
||||
|
|
@ -332,7 +321,46 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
|
|||
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
|
||||
}
|
||||
|
||||
|
|
@ -348,7 +376,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
|
|||
bbgo.Notify("Spot Position", s.SpotPosition)
|
||||
bbgo.Notify("Futures Position", s.FuturesPosition)
|
||||
bbgo.Notify("Neutral Position", s.NeutralPosition)
|
||||
bbgo.Notify("State", s.State.PositionState)
|
||||
bbgo.Notify("State: %s", s.State.PositionState.String())
|
||||
|
||||
// sync funding fee txns
|
||||
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))
|
||||
|
||||
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:
|
||||
// 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 {
|
||||
|
|
@ -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 {
|
||||
log.WithError(err).Errorf("futures asset transfer out error")
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
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 {
|
||||
// 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
|
||||
}
|
||||
|
||||
// cancel the previous futures order
|
||||
_ = s.futuresOrderExecutor.GracefulCancel(ctx)
|
||||
|
||||
// get the latest ticker price
|
||||
ticker, err := s.futuresSession.Exchange.QueryTicker(ctx, s.Symbol)
|
||||
if err != nil {
|
||||
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")
|
||||
return
|
||||
}
|
||||
|
||||
log.Infof("calculated futures account quote value = %s", quoteValue.String())
|
||||
if quoteValue.IsZero() {
|
||||
return
|
||||
|
|
@ -796,12 +853,10 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
|
|||
orderQuantity = fixedpoint.Max(diffQuantity, s.minQuantity)
|
||||
orderQuantity = s.futuresMarket.AdjustQuantityByMinNotional(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)
|
||||
return
|
||||
}
|
||||
*/
|
||||
|
||||
submitOrder := types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
|
|
@ -814,7 +869,7 @@ func (s *Strategy) syncFuturesPosition(ctx context.Context) {
|
|||
createdOrders, err := s.futuresOrderExecutor.SubmitOrders(ctx, submitOrder)
|
||||
|
||||
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
|
||||
}
|
||||
|
||||
|
|
@ -1083,7 +1138,9 @@ func (s *Strategy) notPositionState(state PositionState) bool {
|
|||
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.SetMaxRetries(0)
|
||||
orderExecutor.BindEnvironment(s.Environment)
|
||||
|
|
@ -1141,7 +1198,7 @@ func (s *Strategy) checkAndFixMarginMode(ctx context.Context) error {
|
|||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) checkAndRestorePositionRisks(ctx context.Context) error {
|
||||
func (s *Strategy) syncPositionRisks(ctx context.Context) error {
|
||||
futuresClient := s.binanceFutures.GetFuturesClient()
|
||||
req := futuresClient.NewFuturesGetPositionRisksRequest()
|
||||
req.Symbol(s.Symbol)
|
||||
|
|
|
|||
|
|
@ -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 {
|
||||
// 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() {
|
||||
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 {
|
||||
log.Infof("balance query error, adding to pending base transfer: %s %s + %s", quantity.String(), asset, s.State.PendingBaseTransfer.String())
|
||||
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
|
||||
s.State.PendingBaseTransfer = quantity
|
||||
return err
|
||||
}
|
||||
|
||||
b, ok := balances[asset]
|
||||
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)
|
||||
}
|
||||
s.State.PendingBaseTransfer = pending
|
||||
|
||||
log.Infof("found futures balance: %+v", b)
|
||||
|
||||
// add the previous pending base transfer and the current trade quantity
|
||||
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 {
|
||||
log.Infof("transfering out futures account asset %f %s", available.Float64(), asset)
|
||||
if err := ex.TransferFuturesAccountAsset(ctx, asset, available, types.TransferOut); err != nil {
|
||||
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(available)
|
||||
return err
|
||||
}
|
||||
|
||||
// reset pending transfer
|
||||
s.State.PendingBaseTransfer = fixedpoint.Zero
|
||||
|
||||
// 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
|
||||
}
|
||||
|
||||
// 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 {
|
||||
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 {
|
||||
s.State.PendingBaseTransfer = quantity
|
||||
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]
|
||||
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
|
||||
if !quantity.IsZero() && b.Available.Compare(quantity) < 0 {
|
||||
log.Infof("adding to pending base transfer: %s %s", quantity, asset)
|
||||
s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
|
||||
return nil
|
||||
log.Infof("loaded %s balance: %+v", asset, b)
|
||||
|
||||
// if quantity = 0, we will transfer all available balance into the futures wallet
|
||||
if quantity.IsZero() {
|
||||
quantity = b.Available
|
||||
}
|
||||
|
||||
amount := b.Available
|
||||
if !quantity.IsZero() {
|
||||
amount = s.State.PendingBaseTransfer.Add(quantity)
|
||||
limit := b.Available
|
||||
if b.MaxWithdrawAmount.Sign() > 0 {
|
||||
limit = fixedpoint.Min(b.MaxWithdrawAmount, limit)
|
||||
}
|
||||
|
||||
pos := s.SpotPosition.GetBase().Abs()
|
||||
rest := pos.Sub(s.State.TotalBaseTransfer)
|
||||
if rest.Sign() < 0 {
|
||||
return nil
|
||||
if limit.Compare(quantity) < 0 {
|
||||
log.Infof("%s available balance is not enough for transfer (%f < %f)",
|
||||
asset,
|
||||
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)
|
||||
|
||||
log.Infof("transfering in futures account asset %s %s", amount, asset)
|
||||
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
|
||||
available = quantity
|
||||
pending = fixedpoint.Zero
|
||||
return available, pending, nil
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user