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118 lines
3.2 KiB
Go
118 lines
3.2 KiB
Go
package xfunding
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import (
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"context"
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"fmt"
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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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type FuturesTransfer interface {
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TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error
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QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)
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}
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func (s *Strategy) transferOut(ctx context.Context, ex FuturesTransfer, currency string, trade types.Trade) error {
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// base asset needs BUY trades
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if trade.Side == types.SideTypeBuy {
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return nil
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}
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balances, err := s.futuresSession.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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b, ok := balances[currency]
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if !ok {
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return fmt.Errorf("%s balance not found", currency)
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}
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quantity := trade.Quantity
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if s.Leverage.Compare(fixedpoint.One) > 0 {
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// de-leverage and get the collateral base quantity for transfer
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quantity = quantity.Div(s.Leverage)
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}
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// 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
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if b.Available.IsZero() || b.Available.Compare(quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
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return nil
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}
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amount := s.State.PendingBaseTransfer.Add(quantity)
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pos := s.FuturesPosition.GetBase().Abs().Div(s.Leverage)
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rest := pos.Sub(s.State.TotalBaseTransfer)
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if rest.Sign() < 0 {
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return nil
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}
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amount = fixedpoint.Min(rest, amount)
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log.Infof("transfering out futures account asset %s %s", amount, currency)
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if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferOut); err != nil {
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return err
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}
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// reset pending transfer
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s.State.PendingBaseTransfer = fixedpoint.Zero
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// record the transfer in the total base transfer
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s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(amount)
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return nil
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}
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func (s *Strategy) transferIn(ctx context.Context, ex FuturesTransfer, currency string, trade types.Trade) error {
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// base asset needs BUY trades
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if trade.Side == types.SideTypeSell {
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return nil
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}
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balances, err := s.spotSession.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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b, ok := balances[currency]
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if !ok {
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return fmt.Errorf("%s balance not found", currency)
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}
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// 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
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quantity := trade.Quantity
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if b.Available.Compare(quantity) < 0 {
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log.Infof("adding to pending base transfer: %s %s", quantity, currency)
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s.State.PendingBaseTransfer = s.State.PendingBaseTransfer.Add(quantity)
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return nil
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}
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amount := s.State.PendingBaseTransfer.Add(quantity)
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pos := s.SpotPosition.GetBase().Abs()
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rest := pos.Sub(s.State.TotalBaseTransfer)
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if rest.Sign() < 0 {
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return nil
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}
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amount = fixedpoint.Min(rest, amount)
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log.Infof("transfering in futures account asset %s %s", amount, currency)
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if err := ex.TransferFuturesAccountAsset(ctx, currency, amount, types.TransferIn); err != nil {
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return err
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}
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// reset pending transfer
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s.State.PendingBaseTransfer = fixedpoint.Zero
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// record the transfer in the total base transfer
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s.State.TotalBaseTransfer = s.State.TotalBaseTransfer.Add(amount)
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return nil
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}
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