57 lines
1.8 KiB
Go
57 lines
1.8 KiB
Go
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package common
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import (
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"fmt"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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)
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var (
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zero = fixedpoint.Zero
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two = fixedpoint.NewFromFloat(2.0)
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)
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type InventorySkewBidAskRatios struct {
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BidRatio fixedpoint.Value
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AskRatio fixedpoint.Value
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}
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// https://hummingbot.org/strategy-configs/inventory-skew/
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// https://github.com/hummingbot/hummingbot/blob/31fc61d5e71b2c15732142d30983f3ea2be4d466/hummingbot/strategy/pure_market_making/inventory_skew_calculator.pyx
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type InventorySkew struct {
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InventoryRangeMultiplier fixedpoint.Value `json:"inventoryRangeMultiplier"`
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TargetBaseRatio fixedpoint.Value `json:"targetBaseRatio"`
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}
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func (s *InventorySkew) Validate() error {
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if s.InventoryRangeMultiplier.Float64() < 0 {
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return fmt.Errorf("inventoryRangeMultiplier should be positive")
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}
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if s.TargetBaseRatio.Float64() < 0 {
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return fmt.Errorf("targetBaseRatio should be positive")
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}
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return nil
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}
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func (s *InventorySkew) CalculateBidAskRatios(quantity fixedpoint.Value, price fixedpoint.Value, baseBalance fixedpoint.Value, quoteBalance fixedpoint.Value) *InventorySkewBidAskRatios {
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baseValue := baseBalance.Mul(price)
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totalValue := baseValue.Add(quoteBalance)
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inventoryRange := s.InventoryRangeMultiplier.Mul(quantity.Mul(two)).Mul(price)
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leftLimit := s.TargetBaseRatio.Mul(totalValue).Sub(inventoryRange)
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rightLimit := s.TargetBaseRatio.Mul(totalValue).Add(inventoryRange)
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bidAdjustment := interp(baseValue, leftLimit, rightLimit, two, zero).Clamp(zero, two)
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askAdjustment := interp(baseValue, leftLimit, rightLimit, zero, two).Clamp(zero, two)
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return &InventorySkewBidAskRatios{
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BidRatio: bidAdjustment,
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AskRatio: askAdjustment,
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}
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}
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func interp(x, x0, x1, y0, y1 fixedpoint.Value) fixedpoint.Value {
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return y0.Add(x.Sub(x0).Mul(y1.Sub(y0)).Div(x1.Sub(x0)))
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}
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