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xdepthmaker: separate hedge symbol

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c9s 2024-08-07 16:01:56 +08:00
parent 9e28898df0
commit fad7ef219e
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1 changed files with 33 additions and 25 deletions
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58
pkg/strategy/xdepthmaker/strategy.go
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@ -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(