xdepthmaker

Documentation

Index

• Constants
• Variables
• type CrossExchangeMarketMakingStrategy
  • func (s *CrossExchangeMarketMakingStrategy) Initialize(ctx context.Context, environ *bbgo.Environment, ...) error
• type ProfitStats
  • func (s *ProfitStats) AddTrade(trade types.Trade)
  • func (s *ProfitStats) ResetToday()
• type State
• type Strategy
  • func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, ...) error
  • func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession)
  • func (s *Strategy) Defaults() error
  • func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value)
  • func (s *Strategy) ID() string
  • func (s *Strategy) Initialize() error
  • func (s *Strategy) InstanceID() string
  • func (s *Strategy) Validate() error

Constants

const ID = "xdepthmaker"

Variables

var Two = fixedpoint.NewFromInt(2)

Types

type CrossExchangeMarketMakingStrategy

type CrossExchangeMarketMakingStrategy struct {
	Environ *bbgo.Environment

	// persistence fields
	Position        *types.Position    `json:"position,omitempty" persistence:"position"`
	ProfitStats     *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
	CoveredPosition fixedpoint.Value   `json:"coveredPosition,omitempty" persistence:"covered_position"`

	MakerOrderExecutor, HedgeOrderExecutor *bbgo.GeneralOrderExecutor
	// contains filtered or unexported fields
}

func (*CrossExchangeMarketMakingStrategy) Initialize

func (s *CrossExchangeMarketMakingStrategy) Initialize(
	ctx context.Context, environ *bbgo.Environment,
	makerSession, hedgeSession *bbgo.ExchangeSession,
	symbol, strategyID, instanceID string,
) error

type ProfitStats

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

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"`

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

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

type Strategy

type Strategy struct {
	*CrossExchangeMarketMakingStrategy

	Environment *bbgo.Environment

	Symbol string `json:"symbol"`

	// HedgeExchange session name
	HedgeExchange string `json:"hedgeExchange"`

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

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

	FullReplenishInterval types.Duration `json:"fullReplenishInterval"`

	OrderCancelWaitTime types.Duration `json:"orderCancelWaitTime"`

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

	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"`

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

	// DepthScale helps user to define the depth by layer scale
	DepthScale *bbgo.LayerScale `json:"depthScale,omitempty"`

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

	DisableHedge bool `json:"disableHedge"`

	NotifyTrade bool `json:"notifyTrade"`

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

	RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`

	NumLayers int `json:"numLayers"`

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

	ProfitFixerConfig *common.ProfitFixerConfig `json:"profitFixer"`
	// contains filtered or unexported fields
}

func (*Strategy) CrossRun

func (s *Strategy) CrossRun(
	ctx context.Context, _ 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) Hedge

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

func (*Strategy) ID

func (s *Strategy) ID() string

func (*Strategy) Initialize

func (s *Strategy) Initialize() error

func (*Strategy) InstanceID

func (s *Strategy) InstanceID() string

func (*Strategy) Validate

func (s *Strategy) Validate() error