mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-24 15:55:14 +00:00
595 lines
15 KiB
Go
595 lines
15 KiB
Go
package autoborrow
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"strings"
|
|
"time"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
"github.com/slack-go/slack"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/exchange/binance"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const ID = "autoborrow"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
/*
|
|
- on: binance
|
|
autoborrow:
|
|
interval: 30m
|
|
repayWhenDeposit: true
|
|
|
|
# minMarginLevel for triggering auto borrow
|
|
minMarginLevel: 1.5
|
|
assets:
|
|
|
|
- asset: ETH
|
|
low: 3.0
|
|
maxQuantityPerBorrow: 1.0
|
|
maxTotalBorrow: 10.0
|
|
|
|
- asset: USDT
|
|
low: 1000.0
|
|
maxQuantityPerBorrow: 100.0
|
|
maxTotalBorrow: 10.0
|
|
*/
|
|
type MarginAlert struct {
|
|
CurrentMarginLevel fixedpoint.Value
|
|
MinimalMarginLevel fixedpoint.Value
|
|
SlackMentions []string
|
|
SessionName string
|
|
}
|
|
|
|
func (m *MarginAlert) SlackAttachment() slack.Attachment {
|
|
return slack.Attachment{
|
|
Color: "red",
|
|
Title: fmt.Sprintf("Margin Level Alert: %s session - current margin level %f < required margin level %f",
|
|
m.SessionName, m.CurrentMarginLevel.Float64(), m.MinimalMarginLevel.Float64()),
|
|
Text: strings.Join(m.SlackMentions, " "),
|
|
Fields: []slack.AttachmentField{
|
|
{
|
|
Title: "Session",
|
|
Value: m.SessionName,
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Current Margin Level",
|
|
Value: m.CurrentMarginLevel.String(),
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Minimal Margin Level",
|
|
Value: m.MinimalMarginLevel.String(),
|
|
Short: true,
|
|
},
|
|
},
|
|
// Footer: "",
|
|
// FooterIcon: "",
|
|
}
|
|
}
|
|
|
|
type MarginAsset struct {
|
|
Asset string `json:"asset"`
|
|
Low fixedpoint.Value `json:"low"`
|
|
MaxTotalBorrow fixedpoint.Value `json:"maxTotalBorrow"`
|
|
MaxQuantityPerBorrow fixedpoint.Value `json:"maxQuantityPerBorrow"`
|
|
MinQuantityPerBorrow fixedpoint.Value `json:"minQuantityPerBorrow"`
|
|
MinDebtRatio fixedpoint.Value `json:"debtRatio"`
|
|
}
|
|
|
|
type Strategy struct {
|
|
Interval types.Interval `json:"interval"`
|
|
MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`
|
|
MaxMarginLevel fixedpoint.Value `json:"maxMarginLevel"`
|
|
AutoRepayWhenDeposit bool `json:"autoRepayWhenDeposit"`
|
|
|
|
MarginLevelAlertInterval types.Duration `json:"marginLevelAlertInterval"`
|
|
MarginLevelAlertMinMargin fixedpoint.Value `json:"marginLevelAlertMinMargin"`
|
|
MarginLevelAlertSlackMentions []string `json:"marginLevelAlertSlackMentions"`
|
|
|
|
Assets []MarginAsset `json:"assets"`
|
|
|
|
ExchangeSession *bbgo.ExchangeSession
|
|
|
|
marginBorrowRepay types.MarginBorrowRepayService
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
|
}
|
|
|
|
func (s *Strategy) tryToRepayAnyDebt(ctx context.Context) {
|
|
log.Infof("trying to repay any debt...")
|
|
|
|
account, err := s.ExchangeSession.UpdateAccount(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not update account")
|
|
return
|
|
}
|
|
|
|
minMarginLevel := s.MinMarginLevel
|
|
curMarginLevel := account.MarginLevel
|
|
|
|
balances := account.Balances()
|
|
for _, b := range balances {
|
|
if b.Borrowed.Sign() <= 0 {
|
|
continue
|
|
}
|
|
|
|
if b.Available.IsZero() {
|
|
continue
|
|
}
|
|
|
|
toRepay := fixedpoint.Min(b.Available, b.Debt())
|
|
if toRepay.IsZero() {
|
|
continue
|
|
}
|
|
|
|
bbgo.Notify(&MarginAction{
|
|
Exchange: s.ExchangeSession.ExchangeName,
|
|
Action: "Repay",
|
|
Asset: b.Currency,
|
|
Amount: toRepay,
|
|
MarginLevel: curMarginLevel,
|
|
MinMarginLevel: minMarginLevel,
|
|
})
|
|
|
|
log.Infof("repaying %f %s", toRepay.Float64(), b.Currency)
|
|
if err := s.marginBorrowRepay.RepayMarginAsset(context.Background(), b.Currency, toRepay); err != nil {
|
|
log.WithError(err).Errorf("margin repay error")
|
|
}
|
|
|
|
return
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) reBalanceDebt(ctx context.Context) {
|
|
account, err := s.ExchangeSession.UpdateAccount(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not update account")
|
|
return
|
|
}
|
|
|
|
minMarginLevel := s.MinMarginLevel
|
|
|
|
balances := account.Balances()
|
|
if len(balances) == 0 {
|
|
log.Warn("balance is empty, skip autoborrow")
|
|
return
|
|
}
|
|
|
|
for _, marginAsset := range s.Assets {
|
|
b, ok := balances[marginAsset.Asset]
|
|
if !ok {
|
|
continue
|
|
}
|
|
|
|
// debt / total
|
|
debt := b.Debt()
|
|
total := b.Total()
|
|
debtRatio := debt.Div(total)
|
|
if marginAsset.MinDebtRatio.IsZero() {
|
|
marginAsset.MinDebtRatio = fixedpoint.One
|
|
}
|
|
|
|
if total.Compare(marginAsset.Low) <= 0 {
|
|
log.Infof("%s total %f is less than margin asset low %f, skip early repay", marginAsset.Asset, total.Float64(), marginAsset.Low.Float64())
|
|
continue
|
|
}
|
|
|
|
log.Infof("checking debtRatio: session = %s asset = %s, debt = %f, total = %f, debtRatio = %f", s.ExchangeSession.Name, marginAsset.Asset, debt.Float64(), total.Float64(), debtRatio.Float64())
|
|
|
|
// if debt is greater than total, skip repay
|
|
if debt.Compare(total) > 0 {
|
|
log.Infof("%s debt %f is greater than total %f, skip early repay", marginAsset.Asset, debt.Float64(), total.Float64())
|
|
continue
|
|
}
|
|
|
|
// the current debt ratio is less than the minimal ratio,
|
|
// we need to repay and reduce the debt
|
|
if debtRatio.Compare(marginAsset.MinDebtRatio) > 0 {
|
|
log.Infof("%s debt ratio %f is greater than min debt ratio %f, skip", marginAsset.Asset, debtRatio.Float64(), marginAsset.MinDebtRatio.Float64())
|
|
continue
|
|
}
|
|
|
|
toRepay := fixedpoint.Min(b.Borrowed, b.Available)
|
|
toRepay = toRepay.Sub(marginAsset.Low)
|
|
|
|
if toRepay.Sign() <= 0 {
|
|
log.Warnf("%s repay amount = 0, can not repay", marginAsset.Asset)
|
|
continue
|
|
}
|
|
|
|
bbgo.Notify(&MarginAction{
|
|
Exchange: s.ExchangeSession.ExchangeName,
|
|
Action: fmt.Sprintf("Repay for Debt Ratio %f < Min Debt Ratio %f", debtRatio.Float64(), marginAsset.MinDebtRatio.Float64()),
|
|
Asset: b.Currency,
|
|
Amount: toRepay,
|
|
MarginLevel: account.MarginLevel,
|
|
MinMarginLevel: minMarginLevel,
|
|
})
|
|
|
|
if err := s.marginBorrowRepay.RepayMarginAsset(context.Background(), b.Currency, toRepay); err != nil {
|
|
log.WithError(err).Errorf("margin repay error")
|
|
}
|
|
|
|
if accountUpdate, err2 := s.ExchangeSession.UpdateAccount(ctx); err2 != nil {
|
|
log.WithError(err).Errorf("unable to update account")
|
|
} else {
|
|
account = accountUpdate
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) checkAndBorrow(ctx context.Context) {
|
|
s.reBalanceDebt(ctx)
|
|
|
|
if s.MinMarginLevel.IsZero() {
|
|
return
|
|
}
|
|
|
|
account, err := s.ExchangeSession.UpdateAccount(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not update account")
|
|
return
|
|
}
|
|
|
|
minMarginLevel := s.MinMarginLevel
|
|
curMarginLevel := account.MarginLevel
|
|
|
|
log.Infof("%s: current margin level: %s, margin ratio: %s, margin tolerance: %s",
|
|
s.ExchangeSession.Name,
|
|
account.MarginLevel.String(),
|
|
account.MarginRatio.String(),
|
|
account.MarginTolerance.String(),
|
|
)
|
|
|
|
// if margin ratio is too low, do not borrow
|
|
for maxTries := 5; account.MarginLevel.Compare(minMarginLevel) < 0 && maxTries > 0; maxTries-- {
|
|
log.Infof("current margin level %f < min margin level %f, skip autoborrow", account.MarginLevel.Float64(), minMarginLevel.Float64())
|
|
|
|
bbgo.Notify("Warning!!! %s Current Margin Level %f < Minimal Margin Level %f",
|
|
s.ExchangeSession.Name,
|
|
account.MarginLevel.Float64(),
|
|
minMarginLevel.Float64(),
|
|
account.Balances().Debts(),
|
|
)
|
|
|
|
s.tryToRepayAnyDebt(ctx)
|
|
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
case <-time.After(time.Second * 5):
|
|
}
|
|
|
|
// update account info after the repay
|
|
account, err = s.ExchangeSession.UpdateAccount(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not update account")
|
|
return
|
|
}
|
|
}
|
|
|
|
balances := account.Balances()
|
|
if len(balances) == 0 {
|
|
log.Warn("balance is empty, skip autoborrow")
|
|
return
|
|
}
|
|
|
|
for _, marginAsset := range s.Assets {
|
|
changed := false
|
|
|
|
if marginAsset.Low.IsZero() {
|
|
log.Warnf("margin asset low balance is not set: %+v", marginAsset)
|
|
continue
|
|
}
|
|
|
|
b, ok := balances[marginAsset.Asset]
|
|
if ok {
|
|
toBorrow := marginAsset.Low.Sub(b.Total())
|
|
if toBorrow.Sign() < 0 {
|
|
log.Infof("balance %f > low %f. no need to borrow asset %+v",
|
|
b.Total().Float64(),
|
|
marginAsset.Low.Float64(),
|
|
marginAsset)
|
|
continue
|
|
}
|
|
|
|
if !marginAsset.MaxQuantityPerBorrow.IsZero() {
|
|
toBorrow = fixedpoint.Min(toBorrow, marginAsset.MaxQuantityPerBorrow)
|
|
}
|
|
|
|
if !marginAsset.MaxTotalBorrow.IsZero() {
|
|
// check if we over borrow
|
|
newTotalBorrow := toBorrow.Add(b.Borrowed)
|
|
if newTotalBorrow.Compare(marginAsset.MaxTotalBorrow) > 0 {
|
|
toBorrow = toBorrow.Sub(newTotalBorrow.Sub(marginAsset.MaxTotalBorrow))
|
|
if toBorrow.Sign() < 0 {
|
|
log.Warnf("margin asset %s is over borrowed, skip", marginAsset.Asset)
|
|
continue
|
|
}
|
|
}
|
|
}
|
|
|
|
maxBorrowable, err2 := s.marginBorrowRepay.QueryMarginAssetMaxBorrowable(ctx, marginAsset.Asset)
|
|
if err2 != nil {
|
|
log.WithError(err).Errorf("max borrowable query error")
|
|
continue
|
|
}
|
|
|
|
if toBorrow.Compare(maxBorrowable) > 0 {
|
|
bbgo.Notify("Trying to borrow %f %s, which is greater than the max borrowable amount %f, will adjust borrow amount to %f",
|
|
toBorrow.Float64(),
|
|
marginAsset.Asset,
|
|
maxBorrowable.Float64(),
|
|
maxBorrowable.Float64())
|
|
|
|
toBorrow = fixedpoint.Min(maxBorrowable, toBorrow)
|
|
}
|
|
|
|
if toBorrow.IsZero() {
|
|
continue
|
|
}
|
|
|
|
bbgo.Notify(&MarginAction{
|
|
Exchange: s.ExchangeSession.ExchangeName,
|
|
Action: "Borrow",
|
|
Asset: marginAsset.Asset,
|
|
Amount: toBorrow,
|
|
MarginLevel: account.MarginLevel,
|
|
MinMarginLevel: minMarginLevel,
|
|
})
|
|
log.Infof("sending borrow request %f %s", toBorrow.Float64(), marginAsset.Asset)
|
|
if err := s.marginBorrowRepay.BorrowMarginAsset(ctx, marginAsset.Asset, toBorrow); err != nil {
|
|
log.WithError(err).Errorf("borrow error")
|
|
continue
|
|
}
|
|
changed = true
|
|
} else {
|
|
// available balance is less than marginAsset.Low, we should trigger borrow
|
|
toBorrow := marginAsset.Low
|
|
|
|
if !marginAsset.MaxQuantityPerBorrow.IsZero() {
|
|
toBorrow = fixedpoint.Min(toBorrow, marginAsset.MaxQuantityPerBorrow)
|
|
}
|
|
|
|
if toBorrow.IsZero() {
|
|
continue
|
|
}
|
|
|
|
bbgo.Notify(&MarginAction{
|
|
Exchange: s.ExchangeSession.ExchangeName,
|
|
Action: "Borrow",
|
|
Asset: marginAsset.Asset,
|
|
Amount: toBorrow,
|
|
MarginLevel: curMarginLevel,
|
|
MinMarginLevel: minMarginLevel,
|
|
})
|
|
|
|
log.Infof("sending borrow request %f %s", toBorrow.Float64(), marginAsset.Asset)
|
|
if err := s.marginBorrowRepay.BorrowMarginAsset(ctx, marginAsset.Asset, toBorrow); err != nil {
|
|
log.WithError(err).Errorf("borrow error")
|
|
continue
|
|
}
|
|
|
|
changed = true
|
|
}
|
|
|
|
// if debt is changed, we need to update account
|
|
if changed {
|
|
account, err = s.ExchangeSession.UpdateAccount(ctx)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not update account")
|
|
return
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) run(ctx context.Context, interval time.Duration) {
|
|
ticker := time.NewTicker(interval)
|
|
defer ticker.Stop()
|
|
|
|
s.checkAndBorrow(ctx)
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
|
|
case <-ticker.C:
|
|
s.checkAndBorrow(ctx)
|
|
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
|
|
if s.MinMarginLevel.IsZero() {
|
|
return
|
|
}
|
|
|
|
if s.ExchangeSession.GetAccount().MarginLevel.Compare(s.MinMarginLevel) > 0 {
|
|
return
|
|
}
|
|
|
|
for _, b := range balances {
|
|
if b.Available.IsZero() && b.Borrowed.IsZero() {
|
|
continue
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) {
|
|
bbgo.Notify(event)
|
|
|
|
account := s.ExchangeSession.GetAccount()
|
|
|
|
delta := event.Delta
|
|
|
|
// ignore outflow
|
|
if delta.Sign() < 0 {
|
|
return
|
|
}
|
|
|
|
minMarginLevel := s.MinMarginLevel
|
|
curMarginLevel := account.MarginLevel
|
|
|
|
// margin repay/borrow also trigger this update event
|
|
if curMarginLevel.Compare(minMarginLevel) > 0 {
|
|
return
|
|
}
|
|
|
|
if b, ok := account.Balance(event.Asset); ok {
|
|
if b.Available.IsZero() {
|
|
return
|
|
}
|
|
|
|
debt := b.Debt()
|
|
if debt.IsZero() {
|
|
return
|
|
}
|
|
|
|
toRepay := fixedpoint.Min(debt, b.Available)
|
|
if toRepay.IsZero() {
|
|
return
|
|
}
|
|
|
|
bbgo.Notify(&MarginAction{
|
|
Exchange: s.ExchangeSession.ExchangeName,
|
|
Action: "Repay",
|
|
Asset: b.Currency,
|
|
Amount: toRepay,
|
|
MarginLevel: curMarginLevel,
|
|
MinMarginLevel: minMarginLevel,
|
|
})
|
|
|
|
if err := s.marginBorrowRepay.RepayMarginAsset(context.Background(), event.Asset, toRepay); err != nil {
|
|
log.WithError(err).Errorf("margin repay error")
|
|
}
|
|
}
|
|
}
|
|
|
|
type MarginAction struct {
|
|
Exchange types.ExchangeName `json:"exchange"`
|
|
Action string `json:"action"`
|
|
Asset string `json:"asset"`
|
|
Amount fixedpoint.Value `json:"amount"`
|
|
MarginLevel fixedpoint.Value `json:"marginLevel"`
|
|
MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`
|
|
}
|
|
|
|
func (a *MarginAction) SlackAttachment() slack.Attachment {
|
|
return slack.Attachment{
|
|
Title: fmt.Sprintf("%s %s %s", a.Action, a.Amount, a.Asset),
|
|
Color: "warning",
|
|
Fields: []slack.AttachmentField{
|
|
{
|
|
Title: "Exchange",
|
|
Value: a.Exchange.String(),
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Action",
|
|
Value: a.Action,
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Asset",
|
|
Value: a.Asset,
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Amount",
|
|
Value: a.Amount.String(),
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Current Margin Level",
|
|
Value: a.MarginLevel.String(),
|
|
Short: true,
|
|
},
|
|
{
|
|
Title: "Min Margin Level",
|
|
Value: a.MinMarginLevel.String(),
|
|
Short: true,
|
|
},
|
|
},
|
|
}
|
|
}
|
|
|
|
// This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
if s.MinMarginLevel.IsZero() {
|
|
log.Warnf("%s: minMarginLevel is 0, you should configure this minimal margin ratio for controlling the liquidation risk", session.Name)
|
|
}
|
|
|
|
s.ExchangeSession = session
|
|
|
|
marginBorrowRepay, ok := session.Exchange.(types.MarginBorrowRepayService)
|
|
if !ok {
|
|
return fmt.Errorf("exchange %s does not implement types.MarginBorrowRepayService", session.Name)
|
|
}
|
|
|
|
s.marginBorrowRepay = marginBorrowRepay
|
|
|
|
if s.AutoRepayWhenDeposit {
|
|
binanceStream, ok := session.UserDataStream.(*binance.Stream)
|
|
if ok {
|
|
binanceStream.OnBalanceUpdateEvent(s.handleBinanceBalanceUpdateEvent)
|
|
} else {
|
|
session.UserDataStream.OnBalanceUpdate(s.handleBalanceUpdate)
|
|
}
|
|
}
|
|
|
|
if !s.MarginLevelAlertMinMargin.IsZero() {
|
|
alertInterval := time.Minute * 5
|
|
if s.MarginLevelAlertInterval > 0 {
|
|
alertInterval = s.MarginLevelAlertInterval.Duration()
|
|
}
|
|
|
|
go s.marginAlertWorker(ctx, alertInterval)
|
|
}
|
|
|
|
go s.run(ctx, s.Interval.Duration())
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) marginAlertWorker(ctx context.Context, alertInterval time.Duration) {
|
|
go func() {
|
|
ticker := time.NewTicker(alertInterval)
|
|
defer ticker.Stop()
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
case <-ticker.C:
|
|
account := s.ExchangeSession.GetAccount()
|
|
if account.MarginLevel.Compare(s.MarginLevelAlertMinMargin) <= 0 {
|
|
bbgo.Notify(&MarginAlert{
|
|
CurrentMarginLevel: account.MarginLevel,
|
|
MinimalMarginLevel: s.MarginLevelAlertMinMargin,
|
|
SlackMentions: s.MarginLevelAlertSlackMentions,
|
|
SessionName: s.ExchangeSession.Name,
|
|
})
|
|
bbgo.Notify(account.Balances().Debts())
|
|
}
|
|
}
|
|
}
|
|
}()
|
|
}
|