xmaker

Documentation

Index

• Constants
• type ProfitStats
  • func (s *ProfitStats) AddTrade(trade types.Trade)
  • func (s *ProfitStats) ResetToday()
• type State
• type Strategy
  • func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, ...) error
  • func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession)
  • func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value)
  • func (s *Strategy) ID() string
  • func (s *Strategy) LoadState() error
  • func (s *Strategy) SaveState() error
  • func (s *Strategy) Validate() error

Constants

const ID = "xmaker"

Types

type ProfitStats

type ProfitStats struct {
	bbgo.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"`
}

func (*ProfitStats) AddTrade

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

func (*ProfitStats) ResetToday

func (s *ProfitStats) ResetToday()

type State

type State struct {
	CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`
	Position        *types.Position  `json:"position,omitempty"`
	ProfitStats     ProfitStats      `json:"profitStats,omitempty"`
}

type Strategy

type Strategy struct {
	*bbgo.Graceful
	*bbgo.Notifiability
	*bbgo.Persistence

	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"`

	Margin        fixedpoint.Value `json:"margin"`
	BidMargin     fixedpoint.Value `json:"bidMargin"`
	AskMargin     fixedpoint.Value `json:"askMargin"`
	UseDepthPrice bool             `json:"useDepthPrice"`

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

	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"`

	DisableHedge bool `json:"disableHedge"`

	NotifyTrade bool `json:"notifyTrade"`

	NumLayers int `json:"numLayers"`

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

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

func (*Strategy) ID

func (s *Strategy) ID() string

func (*Strategy) LoadState

func (s *Strategy) LoadState() error

func (*Strategy) SaveState

func (s *Strategy) SaveState() error

func (*Strategy) Validate

func (s *Strategy) Validate() error