Merge pull request #1710 from c9s/c9s/xmaker/stb-improvements

IMPROVE: [xmaker] improve stability

config/xmaker.yaml

@@ -60,6 +60,7 @@ crossExchangeStrategies:
     # 18002.00
     pips: 10
     circuitBreaker:
+      enabled: true
       maximumConsecutiveTotalLoss: 36.0
       maximumConsecutiveLossTimes: 10
       maximumLossPerRound: 15.0

examples/exchange-api/binance-book/main.go

@@ -48,7 +48,7 @@ var rootCmd = &cobra.Command{
 		stream.SetPublicOnly()
 		stream.Subscribe(types.BookChannel, symbol, types.SubscribeOptions{})
 
-		streamBook := types.NewStreamBook(symbol)
+		streamBook := types.NewStreamBook(symbol, exchange.Name())
 		streamBook.BindStream(stream)
 
 		go func() {

pkg/bbgo/session.go

@@ -464,7 +464,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 	for _, sub := range session.Subscriptions {
 		switch sub.Channel {
 		case types.BookChannel:
-			book := types.NewStreamBook(sub.Symbol)
+			book := types.NewStreamBook(sub.Symbol, session.ExchangeName)
 			book.BindStream(session.MarketDataStream)
 			session.orderBooks[sub.Symbol] = book
 

pkg/cmd/orderbook.go

@@ -54,7 +54,7 @@ var orderbookCmd = &cobra.Command{
 			return fmt.Errorf("session %s not found", sessionName)
 		}
 
-		orderBook := types.NewMutexOrderBook(symbol)
+		orderBook := types.NewMutexOrderBook(symbol, session.Exchange.Name())
 
 		s := session.Exchange.NewStream()
 		s.SetPublicOnly()

pkg/priceresolver/simple.go → pkg/pricesolver/simple.go

@@ -1,4 +1,4 @@
-package priceresolver
+package pricesolver
 
 import (
 	"sync"
@@ -9,8 +9,8 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-// SimplePriceResolver implements a map-structure-based price index
-type SimplePriceResolver struct {
+// SimplePriceSolver implements a map-structure-based price index
+type SimplePriceSolver struct {
 	// symbolPrices stores the latest trade price by mapping symbol to price
 	symbolPrices map[string]fixedpoint.Value
 	markets      types.MarketMap
@@ -28,16 +28,16 @@ type SimplePriceResolver struct {
 	mu sync.Mutex
 }
 
-func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceResolver {
-	return &SimplePriceResolver{
+func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceSolver {
+	return &SimplePriceSolver{
 		markets:       markets,
 		symbolPrices:  make(map[string]fixedpoint.Value),
 		pricesByBase:  make(map[string]map[string]fixedpoint.Value),
 		pricesByQuote: make(map[string]map[string]fixedpoint.Value),
 	}
 }
 
-func (m *SimplePriceResolver) Update(symbol string, price fixedpoint.Value) {
+func (m *SimplePriceSolver) Update(symbol string, price fixedpoint.Value) {
 	m.mu.Lock()
 	defer m.mu.Unlock()
 
@@ -65,11 +65,11 @@ func (m *SimplePriceResolver) Update(symbol string, price fixedpoint.Value) {
 	baseMap[market.BaseCurrency] = price
 }
 
-func (m *SimplePriceResolver) UpdateFromTrade(trade types.Trade) {
+func (m *SimplePriceSolver) UpdateFromTrade(trade types.Trade) {
 	m.Update(trade.Symbol, trade.Price)
 }
 
-func (m *SimplePriceResolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
+func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
 	// log.Infof("inferencePrice %s = %f", asset, assetPrice.Float64())
 	quotePrices, ok := m.pricesByBase[asset]
 	if ok {
@@ -112,7 +112,7 @@ func (m *SimplePriceResolver) inferencePrice(asset string, assetPrice fixedpoint
 	return fixedpoint.Zero, false
 }
 
-func (m *SimplePriceResolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
+func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
 	m.mu.Lock()
 	defer m.mu.Unlock()
 	return m.inferencePrice(asset, fixedpoint.One, preferredFiats...)

pkg/priceresolver/simple_test.go → pkg/pricesolver/simple_test.go

@@ -1,4 +1,4 @@
-package priceresolver
+package pricesolver
 
 import (
 	"testing"

pkg/strategy/audacitymaker/orderflow.go

@@ -2,6 +2,7 @@ package audacitymaker
 
 import (
 	"context"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -38,7 +39,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 	position := orderExecutor.Position()
 	symbol := position.Symbol
 	// ger best bid/ask, not used yet
-	s.StreamBook = types.NewStreamBook(symbol)
+	s.StreamBook = types.NewStreamBook(symbol, session.ExchangeName)
 	s.StreamBook.BindStream(session.MarketDataStream)
 
 	// use queue to do time-series rolling
@@ -59,7 +60,7 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 
 	session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
 
-		//log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
+		// log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
 
 		ctx := context.Background()
 
@@ -80,10 +81,10 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 			sellTradesNumber.Update(1)
 		}
 
-		//canceled := s.orderExecutor.GracefulCancel(ctx)
-		//if canceled != nil {
+		// canceled := s.orderExecutor.GracefulCancel(ctx)
+		// if canceled != nil {
 		//	_ = s.orderExecutor.GracefulCancel(ctx)
-		//}
+		// }
 
 		sizeFraction := buyTradeSize.Sum() / sellTradeSize.Sum()
 		numberFraction := buyTradesNumber.Sum() / sellTradesNumber.Sum()
@@ -112,15 +113,15 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 			if outlier(orderFlowSizeMinMax.Tail(100), threshold) > 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) > 0 {
 				_ = s.orderExecutor.GracefulCancel(ctx)
 				log.Infof("long!!")
-				//_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
+				// _ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
 				_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price, symbol)
-				//_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
+				// _ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
 			} else if outlier(orderFlowSizeMinMax.Tail(100), threshold) < 0 && outlier(orderFlowNumberMinMax.Tail(100), threshold) < 0 {
 				_ = s.orderExecutor.GracefulCancel(ctx)
 				log.Infof("short!!")
-				//_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
+				// _ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
 				_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price, symbol)
-				//_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
+				// _ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
 			}
 		}
 
@@ -138,7 +139,9 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 	}
 }
 
-func (s *PerTrade) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string) error {
+func (s *PerTrade) placeOrder(
+	ctx context.Context, side types.SideType, quantity fixedpoint.Value, price fixedpoint.Value, symbol string,
+) error {
 	market, _ := s.session.Market(symbol)
 	_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 		Symbol:   symbol,

pkg/strategy/scmaker/strategy.go

@@ -98,7 +98,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
 	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
 
-	s.book = types.NewStreamBook(s.Symbol)
+	s.book = types.NewStreamBook(s.Symbol, session.Exchange.Name())
 	s.book.BindStream(session.MarketDataStream)
 
 	s.liquidityOrderBook = bbgo.NewActiveOrderBook(s.Symbol)

pkg/strategy/tri/strategy.go

@@ -513,7 +513,9 @@ func notifyUsdPnL(profit fixedpoint.Value) {
 	bbgo.Notify(title)
 }
 
-func (s *Strategy) iocOrderExecution(ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64) (types.OrderSlice, error) {
+func (s *Strategy) iocOrderExecution(
+	ctx context.Context, session *bbgo.ExchangeSession, orders [3]types.SubmitOrder, ratio float64,
+) (types.OrderSlice, error) {
 	service, ok := session.Exchange.(types.ExchangeOrderQueryService)
 	if !ok {
 		return nil, errors.New("exchange does not support ExchangeOrderQueryService")
@@ -700,7 +702,9 @@ func (s *Strategy) waitWebSocketOrderDone(ctx context.Context, orderID uint64, t
 	}
 }
 
-func (s *Strategy) waitOrdersAndCollectTrades(ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice) (map[uint64][]types.Trade, types.OrderSlice, error) {
+func (s *Strategy) waitOrdersAndCollectTrades(
+	ctx context.Context, service types.ExchangeOrderQueryService, createdOrders types.OrderSlice,
+) (map[uint64][]types.Trade, types.OrderSlice, error) {
 	var err error
 	var orderTrades = make(map[uint64][]types.Trade)
 	var updatedOrders types.OrderSlice
@@ -763,7 +767,9 @@ func (s *Strategy) analyzeOrders(orders types.OrderSlice) {
 	}
 }
 
-func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan) (map[string]*ArbMarket, error) {
+func (s *Strategy) buildArbMarkets(
+	session *bbgo.ExchangeSession, symbols []string, separateStream bool, sigC sigchan.Chan,
+) (map[string]*ArbMarket, error) {
 	markets := make(map[string]*ArbMarket)
 	// build market object
 	for _, symbol := range symbols {
@@ -790,7 +796,7 @@ func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []stri
 				Speed: types.SpeedHigh,
 			})
 
-			book := types.NewStreamBook(symbol)
+			book := types.NewStreamBook(symbol, session.ExchangeName)
 			priceUpdater := func(_ types.SliceOrderBook) {
 				bestBid, bestAsk, _ := book.BestBidAndAsk()
 				if bestAsk.Equals(m.bestAsk) && bestBid.Equals(m.bestBid) {

pkg/strategy/xalign/strategy.go

@@ -14,7 +14,7 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/priceresolver"
+	"github.com/c9s/bbgo/pkg/pricesolver"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -57,7 +57,7 @@ type Strategy struct {
 
 	faultBalanceRecords map[string][]TimeBalance
 
-	priceResolver *priceresolver.SimplePriceResolver
+	priceResolver *pricesolver.SimplePriceSolver
 
 	sessions   map[string]*bbgo.ExchangeSession
 	orderBooks map[string]*bbgo.ActiveOrderBook
@@ -372,7 +372,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 		// session.Market(symbol)
 	}
 
-	s.priceResolver = priceresolver.NewSimplePriceResolver(markets)
+	s.priceResolver = pricesolver.NewSimplePriceResolver(markets)
 
 	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()

pkg/strategy/xdepthmaker/strategy.go

@@ -393,7 +393,7 @@ func (s *Strategy) CrossRun(
 		return err
 	}
 
-	s.pricingBook = types.NewStreamBook(s.HedgeSymbol)
+	s.pricingBook = types.NewStreamBook(s.HedgeSymbol, s.hedgeSession.ExchangeName)
 	s.pricingBook.BindStream(s.hedgeSession.MarketDataStream)
 
 	s.stopC = make(chan struct{})

pkg/strategy/xdepthmaker/strategy_test.go

@@ -44,7 +44,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
 		},
 	}
 
-	pricingBook := types.NewStreamBook("BTCUSDT")
+	pricingBook := types.NewStreamBook("BTCUSDT", types.ExchangeBinance)
 	pricingBook.Load(types.SliceOrderBook{
 		Symbol: "BTCUSDT",
 		Bids: types.PriceVolumeSlice{

pkg/strategy/xgap/strategy.go

@@ -153,11 +153,11 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 	})
 
 	if s.SourceExchange != "" {
-		s.sourceBook = types.NewStreamBook(s.Symbol)
+		s.sourceBook = types.NewStreamBook(s.Symbol, sourceSession.ExchangeName)
 		s.sourceBook.BindStream(s.sourceSession.MarketDataStream)
 	}
 
-	s.tradingBook = types.NewStreamBook(s.Symbol)
+	s.tradingBook = types.NewStreamBook(s.Symbol, tradingSession.ExchangeName)
 	s.tradingBook.BindStream(s.tradingSession.MarketDataStream)
 
 	s.tradingSession.UserDataStream.OnTradeUpdate(func(trade types.Trade) {

pkg/strategy/xmaker/metrics.go

@@ -0,0 +1,43 @@
+package xmaker
+
+import "github.com/prometheus/client_golang/prometheus"
+
+var openOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_open_order_bid_exposure_in_usd",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var openOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_open_order_ask_exposure_in_usd",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var makerBestBidPriceMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_maker_best_bid_price",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_maker_best_ask_price",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var numOfLayersMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "xmaker_num_of_layers",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+func init() {
+	prometheus.MustRegister(
+		openOrderBidExposureInUsdMetrics,
+		openOrderAskExposureInUsdMetrics,
+		makerBestBidPriceMetrics,
+		makerBestAskPriceMetrics,
+		numOfLayersMetrics,
+	)
+}