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https://github.com/c9s/bbgo.git
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342 lines
10 KiB
Go
342 lines
10 KiB
Go
package bbgo
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import (
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"context"
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"fmt"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/pricesolver"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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var defaultLeverage = fixedpoint.NewFromInt(3)
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var maxIsolatedMarginLeverage = fixedpoint.NewFromInt(10)
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var maxCrossMarginLeverage = fixedpoint.NewFromInt(3)
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type AccountValueCalculator struct {
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priceSolver *pricesolver.SimplePriceSolver
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session *ExchangeSession
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quoteCurrency string
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}
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func NewAccountValueCalculator(
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session *ExchangeSession,
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priceSolver *pricesolver.SimplePriceSolver,
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quoteCurrency string,
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) *AccountValueCalculator {
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return &AccountValueCalculator{
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priceSolver: priceSolver,
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session: session,
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quoteCurrency: quoteCurrency,
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}
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}
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// UpdatePrices updates the price index from the existing balances
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func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
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balances := c.session.Account.Balances().NotZero()
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currencies := balances.Currencies()
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markets := c.session.Markets()
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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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reversedSymbol := c.quoteCurrency + currency
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if _, ok := markets[symbol]; ok {
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symbols = append(symbols, symbol)
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} else if _, ok2 := markets[reversedSymbol]; ok2 {
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symbols = append(symbols, reversedSymbol)
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}
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}
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return c.priceSolver.UpdateFromTickers(ctx, c.session.Exchange, symbols...)
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}
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func (c *AccountValueCalculator) DebtValue() fixedpoint.Value {
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balances := c.session.Account.Balances()
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return totalValueInQuote(balances, c.priceSolver, c.quoteCurrency, func(
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prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
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) fixedpoint.Value {
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return prev.Add(b.Debt().Mul(price))
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})
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}
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func (c *AccountValueCalculator) MarketValue() fixedpoint.Value {
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balances := c.session.Account.Balances()
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return totalValueInQuote(balances, c.priceSolver, c.quoteCurrency, func(
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prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
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) fixedpoint.Value {
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return prev.Add(b.Total().Mul(price))
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})
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}
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func (c *AccountValueCalculator) NetValue() fixedpoint.Value {
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balances := c.session.Account.Balances()
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return totalValueInQuote(balances, c.priceSolver, c.quoteCurrency, func(
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prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
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) fixedpoint.Value {
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return prev.Add(b.Net().Mul(price))
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})
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}
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func totalValueInQuote(
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balances types.BalanceMap,
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priceSolver *pricesolver.SimplePriceSolver,
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quoteCurrency string,
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algo func(prev fixedpoint.Value, b types.Balance, price fixedpoint.Value) fixedpoint.Value,
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) (totalValue fixedpoint.Value) {
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totalValue = fixedpoint.Zero
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for _, b := range balances {
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if b.Currency == quoteCurrency {
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totalValue = algo(totalValue, b, fixedpoint.One)
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continue
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} else if price, ok := priceSolver.ResolvePrice(b.Currency, quoteCurrency); ok {
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totalValue = algo(totalValue, b, price)
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}
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}
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return totalValue
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}
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func calculateNetValueInQuote(
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balances types.BalanceMap,
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priceSolver *pricesolver.SimplePriceSolver,
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quoteCurrency string,
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) fixedpoint.Value {
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return totalValueInQuote(balances, priceSolver, quoteCurrency, func(
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prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
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) fixedpoint.Value {
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return prev.Add(b.Net().Mul(price))
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})
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}
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func (c *AccountValueCalculator) AvailableQuote() (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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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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if price, ok := c.priceSolver.ResolvePrice(b.Currency, c.quoteCurrency); ok {
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accountValue = accountValue.Add(b.Net().Mul(price))
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}
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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() (fixedpoint.Value, error) {
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marketValue := c.MarketValue()
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debtValue := c.DebtValue()
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if marketValue.IsZero() || debtValue.IsZero() {
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return fixedpoint.NewFromFloat(999.0), nil
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}
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return marketValue.Div(debtValue), nil
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}
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func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
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totalUsdValue := fixedpoint.Zero
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// get all usd value if any
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for currency, balance := range balances {
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if types.IsUSDFiatCurrency(currency) {
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totalUsdValue = totalUsdValue.Add(balance.Net())
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}
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}
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return totalUsdValue
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}
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func usdFiatBalances(balances types.BalanceMap) (fiats types.BalanceMap, rest types.BalanceMap) {
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rest = make(types.BalanceMap)
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fiats = make(types.BalanceMap)
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for currency, balance := range balances {
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if types.IsUSDFiatCurrency(currency) {
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fiats[currency] = balance
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} else {
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rest[currency] = balance
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}
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}
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return fiats, rest
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}
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func CalculateBaseQuantity(
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session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value,
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) (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, hasBaseBalance := session.Account.Balance(market.BaseCurrency)
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balances := session.Account.Balances()
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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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if hasBaseBalance {
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if quantity.IsZero() {
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log.Warnf("sell quantity is not set, using all available base balance: %v", baseBalance)
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if !baseBalance.Available.IsZero() {
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return baseBalance.Available, nil
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}
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} else {
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return fixedpoint.Min(quantity, baseBalance.Available), nil
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}
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}
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return quantity, types.NewZeroAssetError(
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fmt.Errorf("quantity is zero, can not submit sell order, please check your quantity settings, your account balances: %+v", balances))
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}
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usdBalances, restBalances := usdFiatBalances(balances)
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// for isolated margin, we can calculate from these two pair
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totalUsdValue := fixedpoint.Zero
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if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
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totalUsdValue = aggregateUsdNetValue(balances)
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} else if len(restBalances) > 1 {
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priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
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accountValue := NewAccountValueCalculator(session, priceSolver, "USDT")
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if err := accountValue.UpdatePrices(context.Background()); err != nil {
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return fixedpoint.Zero, err
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}
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netValue := accountValue.NetValue()
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totalUsdValue = netValue
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} else {
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// TODO: translate quote currency like BTC of ETH/BTC to usd value
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totalUsdValue = aggregateUsdNetValue(usdBalances)
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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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if price.IsZero() {
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return quantity, fmt.Errorf("%s price can not be zero", market.Symbol)
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}
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// using leverage -- starts from here
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log.Infof("calculating available leveraged base quantity: base balance = %+v, total usd value %f", baseBalance, totalUsdValue.Float64())
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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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accountUsdValue := baseBalanceValue.Add(totalUsdValue)
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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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accountUsdValue = accountUsdValue.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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log.Infof("calculated account usd value %f %s", accountUsdValue.Float64(), market.QuoteCurrency)
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originLeverage := leverage
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if session.IsolatedMargin {
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leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
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log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxIsolatedMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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} else {
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leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
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log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxCrossMarginLeverage.Float64(),
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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 := risk.CalculateMaxPosition(price, accountUsdValue, leverage)
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debt := baseBalance.Debt()
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maxQuantity := maxPosition.Sub(debt)
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log.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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accountUsdValue.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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maxPositionQuantity := risk.CalculateMaxPosition(price, totalUsdValue, leverage)
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return maxPositionQuantity, nil
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}
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return quantity, types.NewZeroAssetError(
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errors.New("quantity is zero, can not submit sell order, please check your settings"))
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}
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func CalculateQuoteQuantity(
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ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value,
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) (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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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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originLeverage := leverage
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if session.IsolatedMargin {
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leverage = fixedpoint.Min(leverage, maxIsolatedMarginLeverage)
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log.Infof("using isolated margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxIsolatedMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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} else {
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leverage = fixedpoint.Min(leverage, maxCrossMarginLeverage)
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log.Infof("using cross margin, maxLeverage=%f originalLeverage=%f currentLeverage=%f",
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maxCrossMarginLeverage.Float64(),
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originLeverage.Float64(),
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leverage.Float64())
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}
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// using leverage -- starts from here
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priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
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accountValue := NewAccountValueCalculator(session, priceSolver, quoteCurrency)
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if err := accountValue.UpdatePrices(ctx); err != nil {
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return fixedpoint.Zero, err
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}
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availableQuote, err := accountValue.AvailableQuote()
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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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log.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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