xmaker

package
v1.61.0 Latest Latest
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This package is not in the latest version of its module.

 Go to latest Published: Dec 23, 2024 License: AGPL-3.0 Imports: 25 Imported by: 2

Documentation

Index

Constants

View Source 
const (
	SignalNumberMaxLong  = 2.0
	SignalNumberMaxShort = -2.0
)
View Source 
const ID = "xmaker"

Variables

This section is empty.

Functions

func AdjustHedgeQuantityWithAvailableBalance added in v1.61.0 

func AdjustHedgeQuantityWithAvailableBalance(
	account *types.Account,
	market types.Market,
	side types.SideType, quantity, lastPrice fixedpoint.Value,
) fixedpoint.Value

Types

type BollingerBandTrendSignal added in v1.60.1 

type BollingerBandTrendSignal struct {
	types.IntervalWindow
	MinBandWidth float64 `json:"minBandWidth"`
	MaxBandWidth float64 `json:"maxBandWidth"`
	// contains filtered or unexported fields
}

func (*BollingerBandTrendSignal) Bind added in v1.60.1 

func (s *BollingerBandTrendSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error

func (*BollingerBandTrendSignal) CalculateSignal added in v1.60.1 

func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64, error)

type DelayedHedge added in v1.61.0 

type DelayedHedge struct {
	// EnableDelayHedge enables the delay hedge feature
	Enabled bool `json:"enabled"`

	// MaxDelayDuration is the maximum delay duration to hedge the position
	MaxDelayDuration types.Duration `json:"maxDelay"`

	// FixedDelayDuration is the fixed delay duration
	FixedDelayDuration types.Duration `json:"fixedDelay"`

	// SignalThreshold is the signal threshold to trigger the delay hedge
	SignalThreshold float64 `json:"signalThreshold"`

	// DynamicDelayScale is the dynamic delay scale
	DynamicDelayScale *bbgo.SlideRule `json:"dynamicDelayScale,omitempty"`
}

type DepthRatioSignal added in v1.61.0 

type DepthRatioSignal struct {
	// PriceRange, 2% depth ratio means 2% price range from the mid price
	PriceRange fixedpoint.Value `json:"priceRange"`
	MinRatio   float64          `json:"minRatio"`
	// contains filtered or unexported fields
}

func (*DepthRatioSignal) Bind added in v1.61.0 

func (s *DepthRatioSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error

func (*DepthRatioSignal) CalculateSignal added in v1.61.0 

func (s *DepthRatioSignal) CalculateSignal(ctx context.Context) (float64, error)

func (*DepthRatioSignal) SetStreamBook added in v1.61.0 

func (s *DepthRatioSignal) SetStreamBook(book *types.StreamOrderBook)

type KLineShapeSignal added in v1.60.1 

type KLineShapeSignal struct {
	FullBodyThreshold float64 `json:"fullBodyThreshold"`
}

type MutexFloat64 added in v1.61.0 

type MutexFloat64 struct {
	// contains filtered or unexported fields
}

func (*MutexFloat64) Get added in v1.61.0 

func (m *MutexFloat64) Get() float64

func (*MutexFloat64) Set added in v1.61.0 

func (m *MutexFloat64) Set(v float64)

type OrderBookBestPriceVolumeSignal added in v1.60.1 

type OrderBookBestPriceVolumeSignal struct {
	RatioThreshold fixedpoint.Value `json:"ratioThreshold"`
	MinVolume      fixedpoint.Value `json:"minVolume"`
	MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
	// contains filtered or unexported fields
}

func (*OrderBookBestPriceVolumeSignal) Bind added in v1.60.1 

func (s *OrderBookBestPriceVolumeSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error

func (*OrderBookBestPriceVolumeSignal) CalculateSignal added in v1.60.1 

func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (float64, error)

func (*OrderBookBestPriceVolumeSignal) SetStreamBook added in v1.61.0 

func (s *OrderBookBestPriceVolumeSignal) SetStreamBook(book *types.StreamOrderBook)

type ProfitStats added in v1.17.0 

type ProfitStats struct {
	*types.ProfitStats

	MakerExchange types.ExchangeName `json:"makerExchange"`

	AccumulatedMakerVolume    fixedpoint.Value `json:"accumulatedMakerVolume,omitempty"`
	AccumulatedMakerBidVolume fixedpoint.Value `json:"accumulatedMakerBidVolume,omitempty"`
	AccumulatedMakerAskVolume fixedpoint.Value `json:"accumulatedMakerAskVolume,omitempty"`

	TodayMakerVolume    fixedpoint.Value `json:"todayMakerVolume,omitempty"`
	TodayMakerBidVolume fixedpoint.Value `json:"todayMakerBidVolume,omitempty"`
	TodayMakerAskVolume fixedpoint.Value `json:"todayMakerAskVolume,omitempty"`
	// contains filtered or unexported fields
}

func (*ProfitStats) AddTrade added in v1.17.0 

func (s *ProfitStats) AddTrade(trade types.Trade)

func (*ProfitStats) ResetToday added in v1.17.0 

func (s *ProfitStats) ResetToday()

type Quote added in v1.60.1 

type Quote struct {
	BestBidPrice, BestAskPrice fixedpoint.Value

	BidMargin, AskMargin fixedpoint.Value

	// BidLayerPips is the price pips between each layer
	BidLayerPips, AskLayerPips fixedpoint.Value
}

type SessionBinder added in v1.60.1 

type SessionBinder interface {
	Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error
}

type SignalConfig added in v1.60.1 

type SignalConfig struct {
	Weight                   float64                         `json:"weight"`
	BollingerBandTrendSignal *BollingerBandTrendSignal       `json:"bollingerBandTrend,omitempty"`
	OrderBookBestPriceSignal *OrderBookBestPriceVolumeSignal `json:"orderBookBestPrice,omitempty"`
	DepthRatioSignal         *DepthRatioSignal               `json:"depthRatio,omitempty"`
	KLineShapeSignal         *KLineShapeSignal               `json:"klineShape,omitempty"`
	TradeVolumeWindowSignal  *TradeVolumeWindowSignal        `json:"tradeVolumeWindow,omitempty"`
}

func (*SignalConfig) Get added in v1.61.0 

func (c *SignalConfig) Get() SignalProvider

type SignalMargin added in v1.61.0 

type SignalMargin struct {
	Enabled   bool            `json:"enabled"`
	Scale     *bbgo.SlideRule `json:"scale,omitempty"`
	Threshold float64         `json:"threshold,omitempty"`
}

type SignalNumber added in v1.60.1 

type SignalNumber float64

type SignalProvider added in v1.60.1 

type SignalProvider interface {
	CalculateSignal(ctx context.Context) (float64, error)
}

type State 

type State struct {
	CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`

	// Deprecated:
	Position *types.Position `json:"position,omitempty"`

	// Deprecated:
	ProfitStats ProfitStats `json:"profitStats,omitempty"`
}

type Strategy 

type Strategy struct {
	Environment *bbgo.Environment

	Symbol string `json:"symbol"`

	// SourceExchange session name
	SourceExchange string `json:"sourceExchange"`

	// MakerExchange session name
	MakerExchange string `json:"makerExchange"`

	UpdateInterval      types.Duration `json:"updateInterval"`
	HedgeInterval       types.Duration `json:"hedgeInterval"`
	OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`

	SubscribeFeeTokenMarkets bool `json:"subscribeFeeTokenMarkets"`

	EnableSignalMargin bool           `json:"enableSignalMargin"`
	SignalConfigList   []SignalConfig `json:"signals"`

	SignalReverseSideMargin       *SignalMargin `json:"signalReverseSideMargin,omitempty"`
	SignalTrendSideMarginDiscount *SignalMargin `json:"signalTrendSideMarginDiscount,omitempty"`

	// Margin is the default margin for the quote
	Margin    fixedpoint.Value `json:"margin"`
	BidMargin fixedpoint.Value `json:"bidMargin"`
	AskMargin fixedpoint.Value `json:"askMargin"`

	// MinMargin is the minimum margin protection for signal margin
	MinMargin *fixedpoint.Value `json:"minMargin"`

	UseDepthPrice    bool             `json:"useDepthPrice"`
	DepthQuantity    fixedpoint.Value `json:"depthQuantity"`
	SourceDepthLevel types.Depth      `json:"sourceDepthLevel"`

	// EnableDelayHedge enables the delay hedge feature
	EnableDelayHedge bool `json:"enableDelayHedge"`
	// MaxHedgeDelayDuration is the maximum delay duration to hedge the position
	MaxDelayHedgeDuration     types.Duration `json:"maxHedgeDelayDuration"`
	DelayHedgeSignalThreshold float64        `json:"delayHedgeSignalThreshold"`

	DelayedHedge *DelayedHedge `json:"delayedHedge,omitempty"`

	EnableBollBandMargin bool             `json:"enableBollBandMargin"`
	BollBandInterval     types.Interval   `json:"bollBandInterval"`
	BollBandMargin       fixedpoint.Value `json:"bollBandMargin"`
	BollBandMarginFactor fixedpoint.Value `json:"bollBandMarginFactor"`

	// MinMarginLevel is the minimum margin level to trigger the hedge
	MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`

	StopHedgeQuoteBalance fixedpoint.Value `json:"stopHedgeQuoteBalance"`
	StopHedgeBaseBalance  fixedpoint.Value `json:"stopHedgeBaseBalance"`

	// Quantity is used for fixed quantity of the first layer
	Quantity fixedpoint.Value `json:"quantity"`

	// QuantityMultiplier is the factor that multiplies the quantity of the previous layer
	QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`

	// QuantityScale helps user to define the quantity by layer scale
	QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`

	// MaxExposurePosition defines the unhedged quantity of stop
	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`

	MaxHedgeAccountLeverage       fixedpoint.Value `json:"maxHedgeAccountLeverage"`
	MaxHedgeQuoteQuantityPerOrder fixedpoint.Value `json:"maxHedgeQuoteQuantityPerOrder"`

	DisableHedge bool `json:"disableHedge"`

	NotifyTrade                        bool             `json:"notifyTrade"`
	NotifyIgnoreSmallAmountProfitTrade fixedpoint.Value `json:"notifyIgnoreSmallAmountProfitTrade"`

	EnableArbitrage bool `json:"enableArbitrage"`

	// RecoverTrade tries to find the missing trades via the REStful API
	RecoverTrade bool `json:"recoverTrade"`

	RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`

	MaxQuoteQuotaRatio fixedpoint.Value `json:"maxQuoteQuotaRatio,omitempty"`

	NumLayers int `json:"numLayers"`

	// Pips is the pips of the layer prices
	Pips fixedpoint.Value `json:"pips"`

	// ProfitFixerConfig is the profit fixer configuration
	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer,omitempty"`

	CircuitBreaker *circuitbreaker.BasicCircuitBreaker `json:"circuitBreaker"`

	// persistence fields
	Position    *types.Position `json:"position,omitempty" persistence:"position"`
	ProfitStats *ProfitStats    `json:"profitStats,omitempty" persistence:"profit_stats"`
	// contains filtered or unexported fields
}

func (*Strategy) CrossRun 

func (s *Strategy) CrossRun(
	ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
) error

func (*Strategy) CrossSubscribe 

func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession)

func (*Strategy) Defaults added in v1.60.1 

func (s *Strategy) Defaults() error

func (*Strategy) Hedge 

func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value)

func (*Strategy) ID 

func (s *Strategy) ID() string

func (*Strategy) Initialize added in v1.55.0 

func (s *Strategy) Initialize() error

func (*Strategy) InstanceID added in v1.33.0 

func (s *Strategy) InstanceID() string

func (*Strategy) PrintConfig added in v1.61.0 

func (s *Strategy) PrintConfig(f io.Writer, pretty bool, withColor ...bool)

func (*Strategy) Validate added in v1.16.0 

func (s *Strategy) Validate() error

type StreamBookSetter added in v1.61.0 

type StreamBookSetter interface {
	SetStreamBook(book *types.StreamOrderBook)
}

type TradeVolumeWindowSignal added in v1.60.2 

type TradeVolumeWindowSignal struct {
	Threshold fixedpoint.Value `json:"threshold"`
	Window    types.Duration   `json:"window"`
	// contains filtered or unexported fields
}

func (*TradeVolumeWindowSignal) Bind added in v1.60.2 

func (s *TradeVolumeWindowSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error

func (*TradeVolumeWindowSignal) CalculateSignal added in v1.60.2 

func (s *TradeVolumeWindowSignal) CalculateSignal(_ context.Context) (float64, error)

Source Files

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