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FEATURE: [xmaker] add more config metrics #1718

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merged 4 commits into from
Aug 27, 2024
Merged

FEATURE: [xmaker] add more config metrics #1718

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199b86d
xmaker: add comments
c9s Aug 27, 2024
7e65aca
xmaker: add more config metrics
c9s Aug 27, 2024
b3c8739
xmaker: add config bid/ask margin metrics
c9s Aug 27, 2024
3d4ccd1
xmaker: integrate bid/ask margin metrics
c9s Aug 27, 2024
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43 changes: 39 additions & 4 deletions pkg/strategy/xmaker/metrics.go
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -26,18 +26,53 @@ var makerBestAskPriceMetrics = prometheus.NewGaugeVec(
Help: "",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var numOfLayersMetrics = prometheus.NewGaugeVec(
var bidMarginMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_num_of_layers",
Help: "",
Name: "xmaker_bid_margin",
Help: "the current bid margin (dynamic)",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var askMarginMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_ask_margin",
Help: "the current ask margin (dynamic)",
}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})

var configNumOfLayersMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_config_num_of_layers",
Help: "",
}, []string{"strategy_type", "strategy_id", "symbol"})

var configMaxExposureMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_config_max_exposure",
Help: "",
}, []string{"strategy_type", "strategy_id", "symbol"})

var configBidMarginMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_config_bid_margin",
Help: "",
}, []string{"strategy_type", "strategy_id", "symbol"})

var configAskMarginMetrics = prometheus.NewGaugeVec(
prometheus.GaugeOpts{
Name: "xmaker_config_ask_margin",
Help: "",
}, []string{"strategy_type", "strategy_id", "symbol"})

func init() {
prometheus.MustRegister(
openOrderBidExposureInUsdMetrics,
openOrderAskExposureInUsdMetrics,
makerBestBidPriceMetrics,
makerBestAskPriceMetrics,
numOfLayersMetrics,
bidMarginMetrics,
askMarginMetrics,
configNumOfLayersMetrics,
configMaxExposureMetrics,
configBidMarginMetrics,
configAskMarginMetrics,
)
}
42 changes: 26 additions & 16 deletions pkg/strategy/xmaker/strategy.go
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Original file line number Diff line number Diff line change
Expand Up @@ -401,9 +401,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {

bidExposureInUsd := fixedpoint.Zero
askExposureInUsd := fixedpoint.Zero

bidPrice := bestBidPrice
askPrice := bestAskPrice

bidMarginMetrics.With(labels).Set(bidMargin.Float64())
askMarginMetrics.With(labels).Set(askMargin.Float64())

for i := 0; i < s.NumLayers; i++ {
// for maker bid orders
if !disableMakerBid {
Expand All @@ -430,13 +433,13 @@ func (s *Strategy) updateQuote(ctx context.Context) {
}

bidPrice = bidPrice.Mul(fixedpoint.One.Sub(bidMargin))
if i > 0 && pips.Sign() > 0 {
if i == 0 {
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
} else if i > 0 && pips.Sign() > 0 {
bidPrice = bidPrice.Sub(pips.Mul(fixedpoint.NewFromInt(int64(i)).
Mul(s.makerMarket.TickSize)))
}

makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())

if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// if we bought, then we need to sell the base from the hedge session
submitOrders = append(submitOrders, types.SubmitOrder{
Expand Down Expand Up @@ -487,12 +490,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
}

askPrice = askPrice.Mul(fixedpoint.One.Add(askMargin))
if i > 0 && pips.Sign() > 0 {
if i == 0 {
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
} else if i > 0 && pips.Sign() > 0 {
askPrice = askPrice.Add(pips.Mul(fixedpoint.NewFromInt(int64(i)).Mul(s.makerMarket.TickSize)))
}

makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())

if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {

// if we bought, then we need to sell the base from the hedge session
Expand Down Expand Up @@ -753,6 +756,7 @@ func (s *Strategy) Defaults() error {
// circuitBreakerAlertLimiter is for CircuitBreaker alerts
s.circuitBreakerAlertLimiter = rate.NewLimiter(rate.Every(3*time.Minute), 2)
s.reportProfitStatsRateLimiter = rate.NewLimiter(rate.Every(5*time.Minute), 1)
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
return nil
}

Expand All @@ -773,8 +777,8 @@ func (s *Strategy) Validate() error {
}

func (s *Strategy) quoteWorker(ctx context.Context) {
quoteTicker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
defer quoteTicker.Stop()
ticker := time.NewTicker(util.MillisecondsJitter(s.UpdateInterval.Duration(), 200))
defer ticker.Stop()

defer func() {
if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
Expand All @@ -793,7 +797,7 @@ func (s *Strategy) quoteWorker(ctx context.Context) {
log.Warnf("%s maker goroutine stopped, due to the cancelled context", s.Symbol)
return

case <-quoteTicker.C:
case <-ticker.C:
s.updateQuote(ctx)

}
Expand Down Expand Up @@ -848,7 +852,7 @@ func (s *Strategy) CrossRun(
ctx context.Context, orderExecutionRouter bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession,
) error {

s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
instanceID := s.InstanceID()

// configure sessions
sourceSession, ok := sessions[s.SourceExchange]
Expand Down Expand Up @@ -880,20 +884,22 @@ func (s *Strategy) CrossRun(
}

indicators := s.sourceSession.Indicators(s.Symbol)
if !ok {
return fmt.Errorf("%s standard indicator set not found", s.Symbol)
}

s.boll = indicators.BOLL(types.IntervalWindow{
Interval: s.BollBandInterval,
Window: 21,
}, 1.0)

// restore state
instanceID := s.InstanceID()
s.groupID = util.FNV32(instanceID)
log.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)

configLabels := prometheus.Labels{"strategy_id": s.InstanceID(), "strategy_type": ID, "symbol": s.Symbol}
configNumOfLayersMetrics.With(configLabels).Set(float64(s.NumLayers))
configMaxExposureMetrics.With(configLabels).Set(s.MaxExposurePosition.Float64())
configBidMarginMetrics.With(configLabels).Set(s.BidMargin.Float64())
configAskMarginMetrics.With(configLabels).Set(s.AskMargin.Float64())

if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.makerMarket)
s.Position.Strategy = ID
Expand Down Expand Up @@ -1037,8 +1043,12 @@ func (s *Strategy) CrossRun(
go s.quoteWorker(ctx)

bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
// the ctx here is the shutdown context (not the strategy context)

// defer work group done to mark the strategy as stopped
defer wg.Done()

// send stop signal to the quoteWorker
close(s.stopC)

// wait for the quoter to stop
Expand All @@ -1048,7 +1058,7 @@ func (s *Strategy) CrossRun(
log.WithError(err).Errorf("graceful cancel error")
}

bbgo.Notify("%s: %s position", ID, s.Symbol, s.Position)
bbgo.Notify("Shutting down %s %s", ID, s.Symbol, s.Position)
})

return nil
Expand Down
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