mirror of
https://github.com/c9s/bbgo.git
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301 lines
8.3 KiB
Go
301 lines
8.3 KiB
Go
package risk
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import (
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"context"
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"fmt"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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var log = logrus.WithField("risk", "AccountValueCalculator")
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var one = fixedpoint.One
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var defaultLeverage = fixedpoint.NewFromInt(3)
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var maxLeverage = fixedpoint.NewFromInt(10)
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type AccountValueCalculator struct {
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session *bbgo.ExchangeSession
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quoteCurrency string
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prices map[string]fixedpoint.Value
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tickers map[string]types.Ticker
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updateTime time.Time
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}
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func NewAccountValueCalculator(session *bbgo.ExchangeSession, quoteCurrency string) *AccountValueCalculator {
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return &AccountValueCalculator{
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session: session,
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quoteCurrency: quoteCurrency,
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prices: make(map[string]fixedpoint.Value),
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tickers: make(map[string]types.Ticker),
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}
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}
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func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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balances := c.session.Account.Balances()
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currencies := balances.Currencies()
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var symbols []string
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for _, currency := range currencies {
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if currency == c.quoteCurrency {
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continue
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}
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symbol := currency + c.quoteCurrency
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symbols = append(symbols, symbol)
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}
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tickers, err := c.session.Exchange.QueryTickers(ctx, symbols...)
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if err != nil {
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return err
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}
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c.tickers = tickers
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for symbol, ticker := range tickers {
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c.prices[symbol] = ticker.Last
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if ticker.Time.After(c.updateTime) {
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c.updateTime = ticker.Time
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}
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}
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return nil
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}
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func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error) {
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debtValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return debtValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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debtValue = debtValue.Add(b.Debt().Mul(price))
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}
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return debtValue, nil
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}
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func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Value, error) {
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marketValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return marketValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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marketValue = marketValue.Add(b.Total())
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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marketValue = marketValue.Add(b.Total().Mul(price))
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}
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return marketValue, nil
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}
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func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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accountValue = accountValue.Add(b.Net())
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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accountValue = accountValue.Add(b.Net().Mul(price))
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}
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return accountValue, nil
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}
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func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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}
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}
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balances := c.session.Account.Balances()
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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accountValue = accountValue.Add(b.Net())
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continue
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}
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symbol := b.Currency + c.quoteCurrency
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price, ok := c.prices[symbol]
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if !ok {
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continue
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}
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accountValue = accountValue.Add(b.Net().Mul(price))
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}
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return accountValue, nil
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}
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// MarginLevel calculates the margin level from the asset market value and the debt value
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// See https://www.binance.com/en/support/faq/360030493931
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func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error) {
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marginLevel := fixedpoint.Zero
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marketValue, err := c.MarketValue(ctx)
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if err != nil {
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return marginLevel, err
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}
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debtValue, err := c.DebtValue(ctx)
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if err != nil {
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return marginLevel, err
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}
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marginLevel = marketValue.Div(debtValue)
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return marginLevel, nil
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}
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func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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}
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if !usingLeverage {
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// For spot, we simply sell the base quoteCurrency
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if quantity.IsZero() {
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logrus.Warnf("sell quantity is not set, using all available base balance: %v", balance)
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if !balance.Available.IsZero() {
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return balance.Available, nil
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}
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} else {
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return fixedpoint.Min(quantity, balance.Available), nil
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}
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}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings")
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}
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if !quantity.IsZero() {
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return quantity, nil
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}
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// using leverage -- starts from here
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logrus.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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baseBalanceValue := baseBalance.Net().Mul(price)
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accountValue := baseBalanceValue.Add(quoteBalance.Net())
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// avoid using all account value since there will be some trade loss for interests and the fee
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accountValue = accountValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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logrus.Infof("calculated account value %f %s", accountValue.Float64(), market.QuoteCurrency)
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if session.IsolatedMargin {
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originLeverage := leverage
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leverage = fixedpoint.Min(leverage, maxLeverage)
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logrus.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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originLeverage.Float64(),
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leverage.Float64())
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}
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// spot margin use the equity value, so we use the total quote balance here
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maxPosition := CalculateMaxPosition(price, accountValue, leverage)
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debt := baseBalance.Debt()
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maxQuantity := maxPosition.Sub(debt)
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logrus.Infof("margin leverage: calculated maxQuantity=%f maxPosition=%f debt=%f price=%f accountValue=%f %s leverage=%f",
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maxQuantity.Float64(),
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maxPosition.Float64(),
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debt.Float64(),
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price.Float64(),
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accountValue.Float64(),
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market.QuoteCurrency,
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leverage.Float64())
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return maxQuantity, nil
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}
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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}
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return maxPositionQuantity, nil
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}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
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}
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func CalculateQuoteQuantity(ctx context.Context, session *bbgo.ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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// default leverage guard
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if leverage.IsZero() {
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leverage = defaultLeverage
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}
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quoteBalance, _ := session.Account.Balance(quoteCurrency)
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accountValue := NewAccountValueCalculator(session, quoteCurrency)
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if !usingLeverage {
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// For spot, we simply return the quote balance
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return quoteBalance.Available.Mul(fixedpoint.Min(leverage, fixedpoint.One)), nil
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}
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// using leverage -- starts from here
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availableQuote, err := accountValue.AvailableQuote(ctx)
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if err != nil {
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log.WithError(err).Errorf("can not update available quote")
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return fixedpoint.Zero, err
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}
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logrus.Infof("calculating available leveraged quote quantity: account available quote = %+v", availableQuote)
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return availableQuote.Mul(leverage), nil
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}
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