bbgo_origin/pkg/strategy/xfunding/transfer.go

147 lines
4.5 KiB
Go

package xfunding
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type FuturesTransfer interface {
TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error
QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)
}
func (s *Strategy) resetTransfer(ctx context.Context, ex FuturesTransfer, asset string) error {
balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
if err != nil {
return err
}
b, ok := balances[asset]
if !ok {
return nil
}
amount := b.MaxWithdrawAmount
if amount.IsZero() {
return nil
}
log.Infof("transfering out futures account asset %s %s", amount, asset)
err = ex.TransferFuturesAccountAsset(ctx, asset, amount, types.TransferOut)
if err != nil {
return err
}
s.State.PendingBaseTransfer = fixedpoint.Zero
s.State.TotalBaseTransfer = fixedpoint.Zero
return nil
}
func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error {
// if transfer done
if s.State.TotalBaseTransfer.IsZero() {
return nil
}
balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
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)
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)
}
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 {
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)
return nil
}
func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, asset string, quantity fixedpoint.Value) error {
balances, err := s.spotSession.Exchange.QueryAccountBalances(ctx)
if err != nil {
return err
}
b, ok := balances[asset]
if !ok {
return 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
}
amount := b.Available
if !quantity.IsZero() {
amount = s.State.PendingBaseTransfer.Add(quantity)
}
pos := s.SpotPosition.GetBase().Abs()
rest := pos.Sub(s.State.TotalBaseTransfer)
if rest.Sign() < 0 {
return 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
}