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FIX: [xdepthmaker] add disableHedge option and put profix fixer before Initialize() #1562

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merged 4 commits into from Mar 6, 2024
Merged

FIX: [xdepthmaker] add disableHedge option and put profix fixer before Initialize() #1562

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ac43937
xdepthmaker: add disable hedge option
c9s Mar 6, 2024
31676cc
xdepthmaker: run profit fixer before s.CrossExchangeMarketMakingStrat…
c9s Mar 6, 2024
1fb7262
xdepthmaker: adjust default update interval
c9s Mar 6, 2024
ad9163f
xdepthmaker: adjust FullReplenishInterval to 10min
c9s Mar 6, 2024
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36 changes: 20 additions & 16 deletions pkg/strategy/xdepthmaker/strategy.go
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Expand Up @@ -181,6 +181,8 @@ type Strategy struct {
// 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
Expand Down Expand Up @@ -267,11 +269,11 @@ func (s *Strategy) Validate() error {

func (s *Strategy) Defaults() error {
if s.UpdateInterval == 0 {
s.UpdateInterval = types.Duration(time.Second)
s.UpdateInterval = types.Duration(5 * time.Second)
}

if s.FullReplenishInterval == 0 {
s.FullReplenishInterval = types.Duration(15 * time.Minute)
s.FullReplenishInterval = types.Duration(10 * time.Minute)
}

if s.HedgeInterval == 0 {
Expand Down Expand Up @@ -317,19 +319,6 @@ func (s *Strategy) CrossRun(

log.Infof("makerSession: %s hedgeSession: %s", makerSession.Name, hedgeSession.Name)

if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx, s.Environment, makerSession, hedgeSession, s.Symbol, ID, s.InstanceID()); err != nil {
return err
}

s.pricingBook = types.NewStreamBook(s.Symbol)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)

s.stopC = make(chan struct{})

s.authedC = make(chan struct{}, 5)
bindAuthSignal(ctx, s.makerSession.UserDataStream, s.authedC)
bindAuthSignal(ctx, s.hedgeSession.UserDataStream, s.authedC)

if s.ProfitFixerConfig != nil {
if s.ProfitFixerConfig.TradesSince.Time().IsZero() {
return errors.New("tradesSince time can not be zero")
Expand All @@ -347,6 +336,19 @@ func (s *Strategy) CrossRun(
}
}

if err := s.CrossExchangeMarketMakingStrategy.Initialize(ctx, s.Environment, makerSession, hedgeSession, s.Symbol, ID, s.InstanceID()); err != nil {
return err
}

s.pricingBook = types.NewStreamBook(s.Symbol)
s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)

s.stopC = make(chan struct{})

s.authedC = make(chan struct{}, 5)
bindAuthSignal(ctx, s.makerSession.UserDataStream, s.authedC)
bindAuthSignal(ctx, s.hedgeSession.UserDataStream, s.authedC)

if s.RecoverTrade {
go s.runTradeRecover(ctx)
}
Expand Down Expand Up @@ -441,7 +443,9 @@ func (s *Strategy) CrossRun(
uncoverPosition,
)

s.Hedge(ctx, uncoverPosition.Neg())
if !s.DisableHedge {
s.Hedge(ctx, uncoverPosition.Neg())
}
}
}
}
Expand Down