xfunding

Documentation

Index

• Constants
• type FundingFee
  • func (f *FundingFee) SlackAttachment() slack.Attachment
• type FuturesTransfer
• type MovingAverageConfig
• type PositionState
  • func (i PositionState) String() string
• type ProfitStats
  • func (s *ProfitStats) AddFundingFee(fee FundingFee) error
  • func (s *ProfitStats) SlackAttachment() slack.Attachment
• type State
  • func (s *State) Reset()
• 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) Defaults() error
  • func (s *Strategy) ID() string
  • func (s *Strategy) InstanceID() string
  • func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, ...) error
  • func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)
  • func (s *Strategy) Validate() error

Constants

const ID = "xfunding"

Types

type FundingFee

type FundingFee struct {
	Asset  string           `json:"asset"`
	Amount fixedpoint.Value `json:"amount"`
	Txn    int64            `json:"txn"`
	Time   time.Time        `json:"time"`
}

func (*FundingFee) SlackAttachment

func (f *FundingFee) SlackAttachment() slack.Attachment

type FuturesTransfer

type FuturesTransfer interface {
	TransferFuturesAccountAsset(ctx context.Context, asset string, amount fixedpoint.Value, io types.TransferDirection) error
	QueryAccountBalances(ctx context.Context) (types.BalanceMap, error)
}

type MovingAverageConfig

type MovingAverageConfig struct {
	Interval types.Interval `json:"interval"`
	// MovingAverageType is the moving average indicator type that we want to use,
	// it could be SMA or EWMA
	MovingAverageType string `json:"movingAverageType"`

	// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
	// it could be "1m", "5m", "1h" and so on.  note that, the moving averages are calculated from
	// the k-line data we subscribed
	// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
	//
	// // MovingAverageWindow is the number of the window size of the moving average indicator.
	// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
	// MovingAverageWindow int `json:"movingAverageWindow"`
	MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
}

type PositionState

type PositionState int

Position State Transitions: NoOp -> Opening Opening -> Ready -> Closing Closing -> Closed -> Opening

const (
	PositionClosed PositionState = iota
	PositionOpening
	PositionReady
	PositionClosing
)

func (PositionState) String

func (i PositionState) String() string

type ProfitStats

type ProfitStats struct {
	*types.ProfitStats

	FundingFeeCurrency string           `json:"fundingFeeCurrency"`
	TotalFundingFee    fixedpoint.Value `json:"totalFundingFee"`
	FundingFeeRecords  []FundingFee     `json:"fundingFeeRecords"`
	LastFundingFeeTxn  int64            `json:"lastFundingFeeTxn"`
	LastFundingFeeTime time.Time        `json:"lastFundingFeeTime"`
}

func (*ProfitStats) AddFundingFee

func (s *ProfitStats) AddFundingFee(fee FundingFee) error

func (*ProfitStats) SlackAttachment

func (s *ProfitStats) SlackAttachment() slack.Attachment

type State

type State struct {
	PositionStartTime time.Time `json:"positionStartTime"`

	// PositionState is default to NoOp
	PositionState PositionState

	PendingBaseTransfer fixedpoint.Value `json:"pendingBaseTransfer"`
	TotalBaseTransfer   fixedpoint.Value `json:"totalBaseTransfer"`
	UsedQuoteInvestment fixedpoint.Value `json:"usedQuoteInvestment"`
}

func (*State) Reset

func (s *State) Reset()

type Strategy

type Strategy struct {
	Environment *bbgo.Environment

	// These fields will be filled from the config file (it translates YAML to JSON)
	Symbol   string         `json:"symbol"`
	Interval types.Interval `json:"interval"`

	Market types.Market `json:"-"`

	// Leverage is the leverage of the futures position
	Leverage fixedpoint.Value `json:"leverage,omitempty"`

	// IncrementalQuoteQuantity is used for opening position incrementally with a small fixed quote quantity
	// for example, 100usdt per order
	IncrementalQuoteQuantity fixedpoint.Value `json:"incrementalQuoteQuantity"`

	QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`

	MinHoldingPeriod types.Duration `json:"minHoldingPeriod"`

	// ShortFundingRate is the funding rate range for short positions
	// TODO: right now we don't support negative funding rate (long position) since it's rarer
	ShortFundingRate *struct {
		High fixedpoint.Value `json:"high"`
		Low  fixedpoint.Value `json:"low"`
	} `json:"shortFundingRate"`

	SpotSession    string `json:"spotSession"`
	FuturesSession string `json:"futuresSession"`

	// Reset your position info
	Reset bool `json:"reset"`

	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`

	// CloseFuturesPosition can be enabled to close the futures position and then transfer the collateral asset back to the spot account.
	CloseFuturesPosition bool `json:"closeFuturesPosition"`

	ProfitStats *ProfitStats `persistence:"profit_stats"`

	// SpotPosition is used for the spot position (usually long position)
	// so that we know how much spot we have bought and the average cost of the spot.
	SpotPosition *types.Position `persistence:"spot_position"`

	// FuturesPosition is used for the futures position
	// this position is the reverse side of the spot position, when spot position is long, then the futures position will be short.
	// but the base quantity should be the same as the spot position
	FuturesPosition *types.Position `persistence:"futures_position"`

	// NeutralPosition is used for sharing spot/futures position
	// when creating the spot position and futures position, there will be a spread between the spot position and the futures position.
	// this neutral position can calculate the spread cost between these two positions
	NeutralPosition *types.Position `persistence:"neutral_position"`

	State *State `persistence:"state"`
	// contains filtered or unexported fields
}

Strategy is the xfunding fee strategy Right now it only supports short position in the USDT futures account. When opening the short position, it uses spot account to buy inventory, then transfer the inventory to the futures account as collateral assets.

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

func (s *Strategy) Defaults() error

func (*Strategy) ID

func (s *Strategy) ID() string

func (*Strategy) InstanceID

func (s *Strategy) InstanceID() string

func (*Strategy) Run

func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error

func (*Strategy) Subscribe

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)

func (*Strategy) Validate

func (s *Strategy) Validate() error