adjust hedge quantity according to the hedge account balances

c9s · May 10, 2021 · 95d58e9 · 95d58e9
1 parent c1ea9ff
commit 95d58e9
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Showing 4 changed files with 32 additions and 9 deletions.
diff --git a/pkg/bbgo/order_execution.go b/pkg/bbgo/order_execution.go
@@ -153,10 +153,10 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
 
 			// Increase the quantity if the amount is not enough,
 			// this is the only increase op, later we will decrease the quantity if it meets the criteria
-			quantity = adjustQuantityByMinAmount(quantity, price, market.MinAmount*1.01)
+			quantity = AdjustQuantityByMinAmount(quantity, price, market.MinAmount*1.01)
 
 			if c.MaxOrderAmount > 0 {
-				quantity = adjustQuantityByMaxAmount(quantity, price, c.MaxOrderAmount.Float64())
+				quantity = AdjustQuantityByMaxAmount(quantity, price, c.MaxOrderAmount.Float64())
 			}
 
 			quoteAssetQuota := math.Max(0.0, quoteBalance.Available.Float64()-c.MinQuoteBalance.Float64())
@@ -169,7 +169,7 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
 				continue
 			}
 
-			quantity = adjustQuantityByMaxAmount(quantity, price, quoteAssetQuota)
+			quantity = AdjustQuantityByMaxAmount(quantity, price, quoteAssetQuota)
 
 			// if MaxBaseAssetBalance is enabled, we should check the current base asset balance
 			if baseBalance, hasBaseAsset := balances[market.BaseCurrency]; hasBaseAsset && c.MaxBaseAssetBalance > 0 {
@@ -217,7 +217,7 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
 			}
 
 			// if the amount is too small, we should increase it.
-			quantity = adjustQuantityByMinAmount(quantity, price, market.MinNotional*1.01)
+			quantity = AdjustQuantityByMinAmount(quantity, price, market.MinNotional*1.01)
 
 			// we should not SELL too much
 			quantity = math.Min(quantity, baseAssetBalance.Available.Float64())
@@ -244,7 +244,7 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
 			}
 
 			if c.MaxOrderAmount > 0 {
-				quantity = adjustQuantityByMaxAmount(quantity, price, c.MaxOrderAmount.Float64())
+				quantity = AdjustQuantityByMaxAmount(quantity, price, c.MaxOrderAmount.Float64())
 			}
 
 			notional := quantity * lastPrice

diff --git a/pkg/bbgo/order_processor.go b/pkg/bbgo/order_processor.go
@@ -13,8 +13,8 @@ var (
 	ErrAssetBalanceLevelTooHigh = errors.New("asset balance level too high")
 )
 
-// adjustQuantityByMinAmount adjusts the quantity to make the amount greater than the given minAmount
-func adjustQuantityByMinAmount(quantity, currentPrice, minAmount float64) float64 {
+// AdjustQuantityByMinAmount adjusts the quantity to make the amount greater than the given minAmount
+func AdjustQuantityByMinAmount(quantity, currentPrice, minAmount float64) float64 {
 	// modify quantity for the min amount
 	amount := currentPrice * quantity
 	if amount < minAmount {
@@ -25,7 +25,7 @@ func adjustQuantityByMinAmount(quantity, currentPrice, minAmount float64) float6
 	return quantity
 }
 
-func adjustQuantityByMaxAmount(quantity float64, price float64, maxAmount float64) float64 {
+func AdjustQuantityByMaxAmount(quantity float64, price float64, maxAmount float64) float64 {
 	amount := price * quantity
 	if amount > maxAmount {
 		ratio := maxAmount / amount

diff --git a/pkg/bbgo/order_processor_test.go b/pkg/bbgo/order_processor_test.go
@@ -36,7 +36,7 @@ func TestAdjustQuantityByMinAmount(t *testing.T) {
 
 	for _, test := range tests {
 		t.Run(test.name, func(t *testing.T) {
-			q := adjustQuantityByMinAmount(test.args.quantity, test.args.price, test.args.minAmount)
+			q := AdjustQuantityByMinAmount(test.args.quantity, test.args.price, test.args.minAmount)
 			assert.Equal(t, test.wanted, q)
 		})
 	}

diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go
@@ -349,6 +349,29 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
 		return
 	}
 
+	// adjust quantity according to the balances
+	account := s.sourceSession.Account
+	switch side {
+
+	case types.SideTypeBuy:
+		// check quote quantity
+		if quote, ok := account.Balance(s.sourceMarket.QuoteCurrency) ; ok {
+			if quote.Available < notional {
+				qf := bbgo.AdjustQuantityByMinAmount(quantity.Float64(), lastPrice, quote.Available.Float64() * 0.99999)
+				quantity = fixedpoint.NewFromFloat(qf)
+			}
+		}
+
+	case types.SideTypeSell:
+		// check quote quantity
+		if base, ok := account.Balance(s.sourceMarket.BaseCurrency) ; ok {
+			if base.Available < quantity {
+				quantity = base.Available
+			}
+		}
+
+	}
+
 	s.Notifiability.Notify("Submitting hedge order: %s %s %f", s.Symbol, side, quantity.Float64())
 	orderExecutor := &bbgo.ExchangeOrderExecutor{Session: s.sourceSession}
 	returnOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{