assign CircuitBreakLossThreshold to MaximumTotalLoss and delete circu…

…itBreakEMA
c9s · Nov 28, 2024 · 22cbace · 22cbace
1 parent 1a8820d
commit 22cbace
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Showing 6 changed files with 12 additions and 26 deletions.
diff --git a/config/fixedmaker.yaml b/config/fixedmaker.yaml
@@ -24,10 +24,7 @@ exchangeStrategies:
 
       positionHardLimit: 1500
       maxPositionQuantity: 1500
-      circuitBreakLossThreshold: -0.15
-      circuitBreakEMA:
-        interval: 1m
-        window: 14
+      circuitBreakLossThreshold: 0.15
 
       inventorySkew:
         inventoryRangeMultiplier: 1.0

diff --git a/config/scmaker.yaml b/config/scmaker.yaml
@@ -32,13 +32,8 @@ exchangeStrategies:
     ## maxExposure controls how much balance should be used for placing the maker orders
     maxExposure: 10_000
 
-    ## circuitBreakEMA is used for calculating the price for circuitBreak
-    circuitBreakEMA:
-      interval: 1m
-      window: 14
-
     ## circuitBreakLossThreshold is the maximum loss threshold for realized+unrealized PnL
-    circuitBreakLossThreshold: -10.0
+    circuitBreakLossThreshold: 10.0
 
     ## positionHardLimit is the maximum position limit
     positionHardLimit: 500.0

diff --git a/config/xfixedmaker.yaml b/config/xfixedmaker.yaml
@@ -41,10 +41,7 @@ crossExchangeStrategies:
       positionHardLimit: 200
       maxPositionQuantity: 0.005
 
-      circuitBreakLossThreshold: -10
-      circuitBreakEMA:
-        interval: 1m
-        window: 14
+      circuitBreakLossThreshold: 10
 
       inventorySkew:
         inventoryRangeMultiplier: 1.0

diff --git a/pkg/strategy/common/strategy.go b/pkg/strategy/common/strategy.go
@@ -14,10 +14,9 @@ import (
 )
 
 type RiskController struct {
-	PositionHardLimit         fixedpoint.Value     `json:"positionHardLimit"`
-	MaxPositionQuantity       fixedpoint.Value     `json:"maxPositionQuantity"`
-	CircuitBreakLossThreshold fixedpoint.Value     `json:"circuitBreakLossThreshold"`
-	CircuitBreakEMA           types.IntervalWindow `json:"circuitBreakEMA"`
+	PositionHardLimit         fixedpoint.Value `json:"positionHardLimit"`
+	MaxPositionQuantity       fixedpoint.Value `json:"maxPositionQuantity"`
+	CircuitBreakLossThreshold fixedpoint.Value `json:"circuitBreakLossThreshold"`
 
 	positionRiskControl     *riskcontrol.PositionRiskControl
 	circuitBreakRiskControl *circuitbreaker.BasicCircuitBreaker
@@ -81,7 +80,12 @@ func (s *Strategy) Initialize(
 
 	if !s.CircuitBreakLossThreshold.IsZero() {
 		log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
-		s.circuitBreakRiskControl = circuitbreaker.NewBasicCircuitBreaker(strategyID, instanceID, market.Symbol)
+		s.circuitBreakRiskControl = &circuitbreaker.BasicCircuitBreaker{
+			Enabled:          true,
+			MaximumTotalLoss: s.CircuitBreakLossThreshold,
+			HaltDuration:     types.Duration(24 * time.Hour),
+		}
+		s.circuitBreakRiskControl.SetMetricsInfo(strategyID, instanceID, market.Symbol)
 
 		s.OrderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
 			if profit != nil && s.circuitBreakRiskControl != nil {

diff --git a/pkg/strategy/fixedmaker/strategy.go b/pkg/strategy/fixedmaker/strategy.go
@@ -81,10 +81,6 @@ func (s *Strategy) Validate() error {
 
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
-
-	if !s.CircuitBreakLossThreshold.IsZero() {
-		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.CircuitBreakEMA.Interval})
-	}
 }
 
 func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {

diff --git a/pkg/strategy/xfixedmaker/strategy.go b/pkg/strategy/xfixedmaker/strategy.go
@@ -91,9 +91,6 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
 		return
 	}
 	tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
-	if !s.CircuitBreakLossThreshold.IsZero() {
-		tradingSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.CircuitBreakEMA.Interval})
-	}
 
 	referenceSession, ok := sessions[s.ReferenceExchange]
 	if !ok {