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xmaker: set mmr
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@c9s
c9s committed Jan 25, 2025
1 parent 9332b83 commit 79232e7
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Showing 2 changed files with 49 additions and 18 deletions.
63 changes: 47 additions & 16 deletions pkg/strategy/xmaker/strategy.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -678,13 +678,35 @@ func (s *Strategy) getLayerPrice(
return price
}

// margin level = totalValue / totalDebtValue
func calculateDebtQuota(totalValue, debtValue, minMarginLevel fixedpoint.Value) fixedpoint.Value {
// margin level = totalValue / totalDebtValue * MMR (maintenance margin ratio)
// on binance:
// - MMR with 10x leverage = 5%
// - MMR with 5x leverage = 9%
// - MMR with 3x leverage = 10%
func calculateDebtQuota(totalValue, debtValue, minMarginLevel, leverage fixedpoint.Value) fixedpoint.Value {
if minMarginLevel.IsZero() || totalValue.IsZero() {
return fixedpoint.Zero
}

debtCap := totalValue.Div(minMarginLevel)
defaultMmr := fixedpoint.NewFromFloat(9.0 * 0.01)
if leverage.Compare(fixedpoint.NewFromFloat(10.0)) >= 0 {
defaultMmr = fixedpoint.NewFromFloat(5.0 * 0.01) // 5%
} else if leverage.Compare(fixedpoint.NewFromFloat(5.0)) >= 0 {
defaultMmr = fixedpoint.NewFromFloat(9.0 * 0.01) // 9%
} else if leverage.Compare(fixedpoint.NewFromFloat(3.0)) >= 0 {
defaultMmr = fixedpoint.NewFromFloat(10.0 * 0.01) // 10%
}

debtCap := totalValue.Div(minMarginLevel).Div(defaultMmr)
marginLevel := totalValue.Div(debtValue).Div(defaultMmr)

log.Infof("calculateDebtQuota: debtCap=%f, debtValue=%f currentMarginLevel=%f mmr=%f",
debtCap.Float64(),
debtValue.Float64(),
marginLevel.Float64(),
defaultMmr.Float64(),
)

debtQuota := debtCap.Sub(debtValue)
if debtQuota.Sign() < 0 {
return fixedpoint.Zero
Expand All @@ -693,7 +715,7 @@ func calculateDebtQuota(totalValue, debtValue, minMarginLevel fixedpoint.Value)
return debtQuota
}

func (s *Strategy) allowMarginHedge(side types.SideType) (bool, fixedpoint.Value) {
func (s *Strategy) allowMarginHedge(makerSide types.SideType) (bool, fixedpoint.Value) {
zero := fixedpoint.Zero

if !s.sourceSession.Margin {
Expand All @@ -712,15 +734,22 @@ func (s *Strategy) allowMarginHedge(side types.SideType) (bool, fixedpoint.Value
marketValue := s.accountValueCalculator.MarketValue()
debtValue := s.accountValueCalculator.DebtValue()
netValueInUsd := s.accountValueCalculator.NetValue()
s.logger.Infof("hedge account net value in usd: %f, debt value in usd: %f",
s.logger.Infof("hedge account net value in usd: %f, debt value in usd: %f, total value in usd: %f",
netValueInUsd.Float64(),
debtValue.Float64())
debtValue.Float64(),
marketValue.Float64(),
)

// if the margin level is higher than the minimal margin level,
// we can hedge the position, but we need to check the debt quota
if hedgeAccount.MarginLevel.Compare(s.MinMarginLevel) > 0 {

// debtQuota is the quota with minimal margin level
debtQuota := calculateDebtQuota(marketValue, debtValue, bufMinMarginLevel)
debtQuota := calculateDebtQuota(marketValue, debtValue, bufMinMarginLevel, s.MaxHedgeAccountLeverage)

s.logger.Infof("hedge account margin level %f > %f, debt quota: %f",
hedgeAccount.MarginLevel.Float64(), s.MinMarginLevel.Float64(), debtQuota.Float64())

if debtQuota.Sign() <= 0 {
return false, zero
}
Expand All @@ -738,7 +767,7 @@ func (s *Strategy) allowMarginHedge(side types.SideType) (bool, fixedpoint.Value
debtQuota = fixedpoint.Min(debtQuota, leverageQuotaInUsd)
}

switch side {
switch makerSide {
case types.SideTypeBuy:
return true, debtQuota

Expand All @@ -753,7 +782,7 @@ func (s *Strategy) allowMarginHedge(side types.SideType) (bool, fixedpoint.Value
return true, zero
}

// side here is the side of maker
// makerSide here is the makerSide of maker
// if the margin level is too low, check if we can hedge the position with repayments to reduce the position
quoteBal, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency)
if !ok {
Expand All @@ -765,7 +794,7 @@ func (s *Strategy) allowMarginHedge(side types.SideType) (bool, fixedpoint.Value
baseBal = types.NewZeroBalance(s.sourceMarket.BaseCurrency)
}

switch side {
switch makerSide {
case types.SideTypeBuy:
if baseBal.Available.IsZero() {
return false, zero
Expand Down Expand Up @@ -850,7 +879,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
bestBid, bestAsk, hasPrice := s.sourceBook.BestBidAndAsk()
if !hasPrice {
s.logger.Warnf("no valid price, skip quoting")
return fmt.Errorf("no valid book price")
return nil
}

bestBidPrice := bestBid.Price
Expand Down Expand Up @@ -954,7 +983,7 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
!hedgeAccount.MarginLevel.IsZero() {

if hedgeAccount.MarginLevel.Compare(s.MinMarginLevel) < 0 {
s.logger.Infof("hedge account margin level %s is less then the min margin level %s, calculating the borrowed positions",
s.logger.Warnf("hedge account margin level %s is less then the min margin level %s, calculating the borrowed positions",
hedgeAccount.MarginLevel.String(),
s.MinMarginLevel.String())
} else {
Expand All @@ -963,17 +992,19 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
s.MinMarginLevel.String())
}

allowMarginBuy, bidQuota := s.allowMarginHedge(types.SideTypeBuy)
if allowMarginBuy {
allowMarginSell, bidQuota := s.allowMarginHedge(types.SideTypeBuy)
if allowMarginSell {
hedgeQuota.BaseAsset.Add(bidQuota.Div(bestBid.Price))
} else {
s.logger.Warnf("margin hedge sell is disabled, disabling maker bid orders...")
disableMakerBid = true
}

allowMarginSell, sellQuota := s.allowMarginHedge(types.SideTypeSell)
if allowMarginSell {
allowMarginBuy, sellQuota := s.allowMarginHedge(types.SideTypeSell)
if allowMarginBuy {
hedgeQuota.QuoteAsset.Add(sellQuota.Mul(bestAsk.Price))
} else {
s.logger.Warnf("margin hedge buy is disabled, disabling maker ask orders...")
disableMakerAsk = true
}
} else {
Expand Down
4 changes: 2 additions & 2 deletions pkg/strategy/xmaker/strategy_test.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -68,12 +68,12 @@ func TestStrategy_allowMarginHedge(t *testing.T) {

allowed, quota := s.allowMarginHedge(types.SideTypeBuy)
if assert.True(t, allowed) {
assert.InDelta(t, 133782.26785814, quota.Float64(), 1.0, "should be able to borrow %f USDT", quota.Float64())
assert.InDelta(t, 2.47735853175711e+06, quota.Float64(), 0.0001, "should be able to borrow %f USDT", quota.Float64())
}

allowed, quota = s.allowMarginHedge(types.SideTypeSell)
if assert.True(t, allowed) {
assert.InDelta(t, 1.36512518, quota.Float64(), 0.0001, "should be able to borrow %f BTC", quota.Float64())
assert.InDelta(t, 25.27916869, quota.Float64(), 0.0001, "should be able to borrow %f BTC", quota.Float64())
}
})

Expand Down

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