bbgo_origin/pkg/risk/account_value.go
2022-07-26 11:47:07 +08:00

243 lines
6.6 KiB
Go

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