Merge pull request #11 from moconnell/small-delta

Small delta
moconnell · Dec 19, 2021 · fe75333 · fe75333
2 parents 04f9664 + cd382bd
commit fe75333
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Showing 17 changed files with 765 additions and 22 deletions.
diff --git a/src/YoloAbstractions/Config/YoloConfig.cs b/src/YoloAbstractions/Config/YoloConfig.cs
@@ -9,7 +9,6 @@ public class YoloConfig
     public decimal? NominalCash { get; init; }
     public AssetPermissions AssetPermissions { get; init; } = AssetPermissions.SpotAndPerp;
     public string BaseAsset { get; init; }
-    public RebalanceMode RebalanceMode { get; init; } =
-        RebalanceMode.Slow;
+    public RebalanceMode RebalanceMode { get; init; } = RebalanceMode.Slow;
     public decimal SpreadSplit { get; init; } = 0.5m;
 }
diff --git a/src/YoloAbstractions/Trade.cs b/src/YoloAbstractions/Trade.cs
@@ -7,4 +7,7 @@ public record Trade(
     AssetType AssetType,
     decimal Amount,
     decimal? LimitPrice = null,
-    DateTime? Expiry = null);
+    DateTime? Expiry = null)
+{
+    public bool IsTradeable => Amount != 0;
+}
diff --git a/src/YoloBroker.Ftx/Config/FtxConfig.cs b/src/YoloBroker.Ftx/Config/FtxConfig.cs
@@ -5,5 +5,6 @@ public class FtxConfig
     public string ApiKey { get; init; }
     public string Secret { get; init; }
     public string BaseAddress { get; init; }
+    public bool? PostOnly { get; init; }
     public string? SubAccount { get; init; }
 }
diff --git a/src/YoloBroker.Ftx/FtxBroker.cs b/src/YoloBroker.Ftx/FtxBroker.cs
@@ -43,7 +43,11 @@ public FtxBroker(FtxConfig config)
                 BaseAddress = config.BaseAddress,
                 SubaccountName = config.SubAccount
             });
+
+        PostOnly = config.PostOnly;
     }
+
+    private bool? PostOnly { get; }
 
     public void Dispose()
     {
@@ -69,6 +73,7 @@ public async IAsyncEnumerable<TradeResult> PlaceTradesAsync(
                 orderType,
                 quantity,
                 trade.LimitPrice,
+                postOnly: PostOnly,
                 ct: ct);
 
             yield return new TradeResult(

diff --git a/src/YoloKonsole/appsettings.json b/src/YoloKonsole/appsettings.json
@@ -18,6 +18,7 @@
   "FTX": {
     "ApiKey": "",
     "Secret": "",
+    "PostOnly": true,
     "BaseAddress": "https://ftx.com/api",
     "SubAccount": ""
   }

diff --git a/src/YoloTrades/LoggerExtensions.cs b/src/YoloTrades/LoggerExtensions.cs
@@ -82,4 +82,14 @@ public static partial void WithinTradeBuffer(
         decimal currentWeight,
         decimal constrainedTargetWeight,
         decimal delta);
+
+    [LoggerMessage(
+        EventId = TradeEventIds.DeltaTooSmall,
+        Level = LogLevel.Information,
+        Message =
+            "({Token}): no action - delta too small to trade (delta: {Delta:0.0000})")]
+    public static partial void DeltaTooSmall(
+        this ILogger logger,
+        string token,
+        decimal delta);
 }
diff --git a/src/YoloTrades/TradeFactory.cs b/src/YoloTrades/TradeFactory.cs
@@ -137,7 +137,12 @@ IEnumerable<Trade> RebalancePositions(Weight w)
                     var currentProjectedPosition = projectedPositions[trade.AssetName];
                     var newProjectedPosition = currentProjectedPosition + trade;
                     projectedPositions[trade.AssetName] = newProjectedPosition;
-                    yield return trade;
+                    if (trade.IsTradeable)
+                        yield return trade;
+                    else
+                    {
+                        _logger.DeltaTooSmall(token, remainingDelta);
+                    }
                     remainingDelta = remainingDeltaPostTrade;
                 }
             }
@@ -205,16 +210,18 @@ AssetType.Spot when weight + remainingDelta < 0 &&
             var factor = isBuy ? SpreadSplit : 1 - SpreadSplit;
             var spread = market.Ask!.Value - market.Bid!.Value;
             var rawLimitPrice = market.Bid!.Value + spread * factor;
-            var limitPrice = Math.Floor(rawLimitPrice / market.PriceStep) * market.PriceStep;
+            var limitPriceSteps = rawLimitPrice / market.PriceStep;
+            var limitPrice = (isBuy ? Math.Floor(limitPriceSteps) : Math.Ceiling(limitPriceSteps)) * market.PriceStep;
             var trade = new Trade(market.Name, market.AssetType, size, limitPrice);
 
-            _logger.GeneratedTrade(token, delta, trade);
+            if (trade.IsTradeable)
+                _logger.GeneratedTrade(token, delta, trade);
 
             remainingDelta -= delta;
 
             yield return (trade, remainingDelta);
 
-            if (restart)
+            if (restart || remainingDelta == 0)
             {
                 break;
             }

diff --git a/src/YoloTrades/WellKnown.cs b/src/YoloTrades/WellKnown.cs
@@ -8,6 +8,7 @@ public static class TradeEventIds
         internal const int WithinTradeBuffer = 110;
         internal const int GeneratedTrade = 111;
         internal const int MarketPositions = 112;
+        internal const int DeltaTooSmall = 113;
         internal const int NoMarkets = 151;
         internal const int MultiplePositions = 152;
         internal const int NoAsk = 152;