xmaker

type BaseHedgeExecutorConfig struct {
}

type BestPriceHedge struct {
	Enabled bool `json:"enabled"`

	BelowAmount fixedpoint.Value `json:"belowAmount"`
}

type CounterpartyHedgeExecutor struct {
	HedgeExecutor

	*HedgeMarket
	// contains filtered or unexported fields
}

type CounterpartyHedgeExecutorConfig struct {
	BaseHedgeExecutorConfig

	PriceLevel int `json:"priceLevel"`
}

type DebtQuotaResult struct {
	AmountInQuote fixedpoint.Value

	DebtValue       fixedpoint.Value
	NetValueInUsd   fixedpoint.Value
	TotalValueInUsd fixedpoint.Value
	MarginLevel     fixedpoint.Value
}

type DebtQuotaWorker struct {
	// contains filtered or unexported fields
}

type DelayedHedge struct {
	// EnableDelayHedge enables the delay hedge feature
	Enabled bool `json:"enabled"`

	// MaxDelayDuration is the maximum delay duration to hedge the position
	MaxDelayDuration types.Duration `json:"maxDelay"`

	// FixedDelayDuration is the fixed delay duration
	FixedDelayDuration types.Duration `json:"fixedDelay"`

	// SignalThreshold is the signal threshold to trigger the delay hedge
	SignalThreshold float64 `json:"signalThreshold"`

	// DynamicDelayScale is the dynamic delay scale
	DynamicDelayScale *bbgo.SlideRule `json:"dynamicDelayScale,omitempty"`
}

type FastCancel struct {
	Enabled bool `json:"enabled"`

	SourceSession string `json:"session"`

	// Symbol is the source symbol
	Symbol string `json:"symbol"`

	TriggerSpread fixedpoint.Value `json:"triggerSpread"`

	MarketTradeC chan types.Trade
	// contains filtered or unexported fields
}

type FeeMode string

type HedgeExecutor interface {
	// Hedge executes a hedge order based on the uncovered position and the hedge delta
	// uncoveredPosition: the current uncovered position that needs to be hedged
	// hedgeDelta: the delta that needs to be hedged, which is the negative of uncoveredPosition
	// quantity: the absolute value of hedgeDelta, which is the order quantity to be hedged
	// side: the side of the hedge order, which is determined by the sign of hedgeDelta
	Hedge(
		ctx context.Context,
		uncoveredPosition, hedgeDelta, quantity fixedpoint.Value,
		side types.SideType,
	) error

	// Clear clears any pending orders or state related to hedging
	Clear(ctx context.Context) error
}

type HedgeMarket struct {
	*HedgeMarketConfig

	Position *types.Position
	// contains filtered or unexported fields
}

type HedgeMarketConfig struct {
	SymbolSelector string         `json:"symbolSelector"`
	HedgeMethod    HedgeMethod    `json:"hedgeMethod"`
	HedgeInterval  types.Duration `json:"hedgeInterval"`

	MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`
	MaxLeverage    fixedpoint.Value `json:"maxLeverage"`

	HedgeMethodMarket       *MarketOrderHedgeExecutorConfig  `json:"hedgeMethodMarket,omitempty"`       // for backward compatibility, this is the default hedge method
	HedgeMethodCounterparty *CounterpartyHedgeExecutorConfig `json:"hedgeMethodCounterparty,omitempty"` // for backward compatibility, this is the default hedge method

	HedgeMethodQueue *struct {
		PriceLevel int `json:"priceLevel"`
	} `json:"hedgeMethodQueue,omitempty"` // for backward compatibility, this is the default hedge method

	QuotingDepth        fixedpoint.Value `json:"quotingDepth"`
	QuotingDepthInQuote fixedpoint.Value `json:"quotingDepthInQuote"`
}

type HedgeMethod string

type MarketOrderHedgeExecutor struct {
	*HedgeMarket
	// contains filtered or unexported fields
}

type MarketOrderHedgeExecutorConfig struct {
	BaseHedgeExecutorConfig

	MaxOrderQuantity fixedpoint.Value `json:"maxOrderQuantity,omitempty"` // max order quantity for market order hedge
}

type MutexFloat64 struct {
	// contains filtered or unexported fields
}

type PositionExposure struct {
	// contains filtered or unexported fields
}

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
}

type Quote struct {
	BestBidPrice, BestAskPrice fixedpoint.Value

	BidMargin, AskMargin fixedpoint.Value

	// BidLayerPips is the price pips between each layer
	BidLayerPips, AskLayerPips fixedpoint.Value
}

type RatioBase string

type SessionBinder interface {
	Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error
}

type SignalMargin struct {
	Enabled   bool            `json:"enabled"`
	Scale     *bbgo.SlideRule `json:"scale,omitempty"`
	Threshold float64         `json:"threshold,omitempty"`
}

type SplitHedge struct {
	Enabled bool `json:"enabled"`

	Algo SplitHedgeAlgo `json:"algo"`

	BestPriceHedge *BestPriceHedge `json:"bestPriceHedge"`

	ProportionAlgo *SplitHedgeProportionAlgo `json:"proportionAlgo"`

	// HedgeMarkets stores session name to hedge market config mapping.
	HedgeMarkets map[string]*HedgeMarketConfig `json:"hedgeMarkets"`
	// contains filtered or unexported fields
}

type SplitHedgeAlgo string

type SplitHedgeProportionAlgo struct {
	// RatioBase controls how per-market ratio is applied when calculating each slice.
	// - "remaining": apply the ratio to the remaining quantity after prior markets.
	// - "total" (default): apply the ratio to the original total quantity for every market.
	RatioBase RatioBase `json:"ratioBase"`

	ProportionMarkets []*SplitHedgeProportionMarket `json:"markets"`
}

type SplitHedgeProportionMarket struct {
	Name string `json:"name"`

	Ratio fixedpoint.Value `json:"ratio"`

	MaxQuantity fixedpoint.Value `json:"maxQuantity"`

	MaxQuoteQuantity fixedpoint.Value `json:"maxQuoteQuantity"`
}

type SpreadMaker struct {
	Enabled bool `json:"enabled"`

	MinProfitRatio   fixedpoint.Value `json:"minProfitRatio"`
	MaxQuoteAmount   fixedpoint.Value `json:"maxQuoteAmount"`
	MaxOrderLifespan types.Duration   `json:"maxOrderLifespan"`

	SignalThreshold float64 `json:"signalThreshold"`

	ReverseSignalOrderCancel bool `json:"reverseSignalOrderCancel"`

	MakerOnly bool `json:"makerOnly"`
	// contains filtered or unexported fields
}

type State struct {
	CoveredPosition fixedpoint.Value `json:"coveredPosition,omitempty"`

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

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

type Strategy struct {
	common.StrategyProfitFixer

	Environment *bbgo.Environment

	// Symbol is the maker Symbol
	Symbol      string `json:"symbol"`
	MakerSymbol string `json:"makerSymbol"`

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

	// SourceSymbol allows subscribing to a different symbol for price/book
	SourceSymbol string `json:"sourceSymbol,omitempty"`

	// SourceExchange session name
	SourceExchange string `json:"sourceExchange"`
	HedgeSession   string `json:"hedgeSession"`

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

	EnableSignalMargin bool `json:"enableSignalMargin"`

	// Direction-divergence (D2) control — optional risk widener driven by signal direction conflicts
	EnableDirectionDivergence bool    `json:"enableDirectionDivergence"`
	DivergenceTau             float64 `json:"divergenceTau,omitempty"`     // magnitude threshold to ignore weak signals (τ)
	DivergenceEpsM            float64 `json:"divergenceEpsM,omitempty"`    // "no-consensus" threshold on |m|
	DivergenceMarginK         float64 `json:"divergenceMarginK,omitempty"` // k used to widen margins: margin *= (1 + k*D2)
	// Divergence-driven size and side controls
	DivergenceSizeK            float64 `json:"divergenceSizeK,omitempty"`            // sizeScale = max(0, 1 - k*D2)
	DivergenceDisableThreshold float64 `json:"divergenceDisableThreshold,omitempty"` // if D2 >= threshold, disable reverse side

	SignalSource string `json:"signalSource,omitempty"`

	SignalConfigList *signal.DynamicConfig `json:"signals"`

	SignalReverseSideMargin       *SignalMargin `json:"signalReverseSideMargin,omitempty"`
	SignalTrendSideMarginDiscount *SignalMargin `json:"signalTrendSideMarginDiscount,omitempty"`

	// Margin is the default margin for the quote
	Margin    fixedpoint.Value `json:"margin"`
	BidMargin fixedpoint.Value `json:"bidMargin"`
	AskMargin fixedpoint.Value `json:"askMargin"`

	// MinMargin is the minimum margin protection for signal margin
	MinMargin *fixedpoint.Value `json:"minMargin"`

	UseDepthPrice bool             `json:"useDepthPrice"`
	DepthQuantity fixedpoint.Value `json:"depthQuantity"`

	// TODO: move SourceDepthLevel to HedgeMarket
	SourceDepthLevel types.Depth `json:"sourceDepthLevel"`
	MakerOnly        bool        `json:"makerOnly"`

	// MaxHedgeDelayDuration is the maximum delay duration to hedge the position
	MaxDelayHedgeDuration     types.Duration `json:"maxHedgeDelayDuration"`
	DelayHedgeSignalThreshold float64        `json:"delayHedgeSignalThreshold"`

	DelayedHedge *DelayedHedge `json:"delayedHedge,omitempty"`

	SplitHedge *SplitHedge `json:"splitHedge,omitempty"`

	SpreadMaker *SpreadMaker `json:"spreadMaker,omitempty"`

	FastCancel *FastCancel `json:"fastCancel,omitempty"`

	EnableBollBandMargin bool             `json:"enableBollBandMargin"`
	BollBandInterval     types.Interval   `json:"bollBandInterval"`
	BollBandMargin       fixedpoint.Value `json:"bollBandMargin"`
	BollBandMarginFactor fixedpoint.Value `json:"bollBandMarginFactor"`

	// MinMarginLevel is the minimum margin level to trigger the hedge
	MinMarginLevel fixedpoint.Value `json:"minMarginLevel"`

	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"`

	// QuantityMultiplier is the factor that multiplies the quantity of the previous layer
	QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`

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

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

	MaxHedgeAccountLeverage       fixedpoint.Value `json:"maxHedgeAccountLeverage"`
	MaxHedgeQuoteQuantityPerOrder fixedpoint.Value `json:"maxHedgeQuoteQuantityPerOrder"`

	DisableHedge bool `json:"disableHedge"`

	NotifyTrade                        bool             `json:"notifyTrade"`
	NotifyIgnoreSmallAmountProfitTrade fixedpoint.Value `json:"notifyIgnoreSmallAmountProfitTrade"`

	EnableArbitrage bool `json:"enableArbitrage"`

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

	RecoverTradeScanPeriod types.Duration `json:"recoverTradeScanPeriod"`

	MaxQuoteQuotaRatio fixedpoint.Value `json:"maxQuoteQuotaRatio,omitempty"`

	NumLayers int `json:"numLayers"`

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

	UseSandbox              bool                        `json:"useSandbox,omitempty"`
	SandboxExchangeBalances map[string]fixedpoint.Value `json:"sandboxExchangeBalances,omitempty"`

	SyntheticHedge *SyntheticHedge `json:"syntheticHedge,omitempty"`

	AuthTimeout types.Duration `json:"authTimeout,omitempty"`

	CircuitBreaker *circuitbreaker.BasicCircuitBreaker `json:"circuitBreaker"`

	// persistence fields
	Position    *types.Position `json:"position,omitempty" persistence:"position"`
	ProfitStats *ProfitStats    `json:"profitStats,omitempty" persistence:"profit_stats"`
	// contains filtered or unexported fields
}

type SyntheticHedge struct {
	// SyntheticHedge is a strategy that uses synthetic hedging to manage risk
	Enabled bool `json:"enabled"`

	Source *HedgeMarketConfig `json:"source"`
	Fiat   *HedgeMarketConfig `json:"fiat"`
	// contains filtered or unexported fields
}