Merge pull request #1856 from c9s/c9s/xmaker/improve-quota-calc

IMPROVE: [xmaker] improve quota calculation
c9s · Dec 6, 2024 · df241ec · df241ec
2 parents 215e5b1 + 79328db
commit df241ec
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Showing 3 changed files with 30 additions and 12 deletions.
diff --git a/pkg/fixedpoint/convert.go b/pkg/fixedpoint/convert.go
@@ -170,7 +170,9 @@ func (v Value) Percentage() string {
 	} else if v == NegInf {
 		return "-inf%"
 	}
-	return strconv.FormatFloat(float64(v)/DefaultPow*100., 'f', -1, 64) + "%"
+
+	trcv := math.Trunc(float64(v)/DefaultPow*100.*1e4) / 1e4
+	return strconv.FormatFloat(trcv, 'f', -1, 64) + "%"
 }
 
 func (v Value) FormatPercentage(prec int) string {

diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go
@@ -720,18 +720,36 @@ func (s *Strategy) allowMarginHedge(side types.SideType) (bool, fixedpoint.Value
 		return false, zero
 	}
 
+	bufMinMarginLevel := s.MinMarginLevel.Mul(fixedpoint.NewFromFloat(1.005))
 	marketValue := s.accountValueCalculator.MarketValue()
 	debtValue := s.accountValueCalculator.DebtValue()
+	netValueInUsd := s.accountValueCalculator.NetValue()
+	s.logger.Infof("hedge account net value in usd: %f, debt value in usd: %f",
+		netValueInUsd.Float64(),
+		debtValue.Float64())
 
 	// if the margin level is higher than the minimal margin level,
 	// we can hedge the position, but we need to check the debt quota
 	if hedgeAccount.MarginLevel.Compare(s.MinMarginLevel) > 0 {
-		debtQuota := calculateDebtQuota(marketValue, debtValue, s.MinMarginLevel)
-
+		// debtQuota is the quota with minimal margin level
+		debtQuota := calculateDebtQuota(marketValue, debtValue, bufMinMarginLevel)
 		if debtQuota.Sign() <= 0 {
 			return false, zero
 		}
 
+		// if MaxHedgeAccountLeverage is set, we need to calculate credit buffer
+		if s.MaxHedgeAccountLeverage.Sign() > 0 {
+			maximumValueInUsd := netValueInUsd.Mul(s.MaxHedgeAccountLeverage)
+			leverageQuotaInUsd := maximumValueInUsd.Sub(debtValue)
+			s.logger.Infof("hedge account maximum leveraged value in usd: %f (%f x), quota in usd: %f",
+				maximumValueInUsd.Float64(),
+				s.MaxHedgeAccountLeverage.Float64(),
+				leverageQuotaInUsd.Float64(),
+			)
+
+			debtQuota = fixedpoint.Min(debtQuota, leverageQuotaInUsd)
+		}
+
 		switch side {
 		case types.SideTypeBuy:
 			return true, debtQuota
@@ -957,13 +975,6 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 				s.MinMarginLevel.String())
 		}
 
-		// calculate credit buffer
-		netValueInUsd := s.accountValueCalculator.NetValue()
-		s.logger.Infof("hedge account net value in usd: %f", netValueInUsd.Float64())
-
-		maximumValueInUsd := netValueInUsd.Mul(s.MaxHedgeAccountLeverage)
-		s.logger.Infof("hedge account maximum leveraged value in usd: %f (%f x)", maximumValueInUsd.Float64(), s.MaxHedgeAccountLeverage.Float64())
-
 		allowMarginBuy, bidQuota := s.allowMarginHedge(types.SideTypeBuy)
 		if allowMarginBuy {
 			hedgeQuota.BaseAsset.Add(bidQuota.Div(bestBid.Price))

diff --git a/pkg/strategy/xmaker/strategy_test.go b/pkg/strategy/xmaker/strategy_test.go
@@ -7,6 +7,7 @@ import (
 	"testing"
 	"time"
 
+	"github.com/sirupsen/logrus"
 	"github.com/stretchr/testify/assert"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
@@ -20,6 +21,8 @@ import (
 func TestStrategy_allowMarginHedge(t *testing.T) {
 	symbol := "BTCUSDT"
 	market := Market(symbol)
+	logger := logrus.New()
+	logger.SetLevel(logrus.ErrorLevel)
 	priceSolver := pricesolver.NewSimplePriceResolver(AllMarkets())
 	priceSolver.Update("BTCUSDT", Number(98000.0))
 	priceSolver.Update("ETHUSDT", Number(3800.0))
@@ -58,17 +61,18 @@ func TestStrategy_allowMarginHedge(t *testing.T) {
 			sourceMarket:           market,
 			sourceSession:          session,
 			accountValueCalculator: accountValueCalc,
+			logger:                 logger,
 		}
 		s.lastPrice.Set(Number(98000.0))
 
 		allowed, quota := s.allowMarginHedge(types.SideTypeBuy)
 		if assert.True(t, allowed) {
-			assert.InDelta(t, 134941.176470588, quota.Float64(), 1.0, "should be able to borrow %f USDT", quota.Float64())
+			assert.InDelta(t, 133782.26785814, quota.Float64(), 1.0, "should be able to borrow %f USDT", quota.Float64())
 		}
 
 		allowed, quota = s.allowMarginHedge(types.SideTypeSell)
 		if assert.True(t, allowed) {
-			assert.InDelta(t, 1.376951, quota.Float64(), 0.0001, "should be able to borrow %f BTC", quota.Float64())
+			assert.InDelta(t, 1.36512518, quota.Float64(), 0.0001, "should be able to borrow %f BTC", quota.Float64())
 		}
 	})
 
@@ -110,6 +114,7 @@ func TestStrategy_allowMarginHedge(t *testing.T) {
 			sourceMarket:           market,
 			sourceSession:          session,
 			accountValueCalculator: accountValueCalc,
+			logger:                 logger,
 		}
 		s.lastPrice.Set(Number(98000.0))