xmaker: pull out s.UseDepthPrice dependency
This commit is contained in:
parent
4d3af3a6bc
commit
131d4b3d26
|
@ -203,7 +203,8 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
|
|||
}
|
||||
|
||||
sourceSession.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{
|
||||
Depth: s.SourceDepthLevel,
|
||||
// TODO: fix depth20 stream for binance
|
||||
// Depth: s.SourceDepthLevel,
|
||||
})
|
||||
|
||||
sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
|
||||
|
@ -444,6 +445,10 @@ func (s *Strategy) getInitialLayerQuantity(i int) (fixedpoint.Value, error) {
|
|||
return q, nil
|
||||
}
|
||||
|
||||
// getLayerPrice returns the price for the layer
|
||||
// i is the layer index, starting from 0
|
||||
// side is the side of the order
|
||||
// sourceBook is the source order book
|
||||
func (s *Strategy) getLayerPrice(
|
||||
i int,
|
||||
side types.SideType,
|
||||
|
@ -475,7 +480,7 @@ func (s *Strategy) getLayerPrice(
|
|||
}
|
||||
}
|
||||
|
||||
if s.UseDepthPrice {
|
||||
if requiredDepth.Sign() > 0 {
|
||||
price = aggregatePrice(sourceBook.SideBook(side), requiredDepth)
|
||||
price = price.Mul(fixedpoint.One.Add(delta))
|
||||
if i > 0 {
|
||||
|
@ -796,29 +801,17 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
|
|||
// for maker bid orders
|
||||
accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
|
||||
|
||||
requiredDepth := fixedpoint.Zero
|
||||
if s.UseDepthPrice {
|
||||
sideBook := sourceBook.SideBook(types.SideTypeBuy)
|
||||
if s.DepthQuantity.Sign() > 0 {
|
||||
if i == 0 {
|
||||
bidPrice = aggregatePrice(sideBook, s.DepthQuantity)
|
||||
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
|
||||
} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
|
||||
pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
|
||||
bidPrice = bidPrice.Sub(pips)
|
||||
}
|
||||
requiredDepth = s.DepthQuantity
|
||||
} else {
|
||||
bidPrice = aggregatePrice(sideBook, accumulativeBidQuantity)
|
||||
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
|
||||
}
|
||||
} else {
|
||||
if i == 0 {
|
||||
bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
|
||||
} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
|
||||
pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
|
||||
bidPrice = bidPrice.Sub(pips)
|
||||
requiredDepth = accumulativeBidQuantity
|
||||
}
|
||||
}
|
||||
|
||||
bidPrice = s.getLayerPrice(i, types.SideTypeBuy, s.sourceBook, quote, requiredDepth)
|
||||
|
||||
if i == 0 {
|
||||
s.logger.Infof("maker best bid price %f", bidPrice.Float64())
|
||||
makerBestBidPriceMetrics.With(s.metricsLabels).Set(bidPrice.Float64())
|
||||
|
@ -857,28 +850,17 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
|
|||
|
||||
accumulativeAskQuantity = accumulativeAskQuantity.Add(askQuantity)
|
||||
|
||||
requiredDepth := fixedpoint.Zero
|
||||
if s.UseDepthPrice {
|
||||
if s.DepthQuantity.Sign() > 0 {
|
||||
if i == 0 {
|
||||
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
|
||||
askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
|
||||
} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
|
||||
pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
|
||||
askPrice = askPrice.Add(pips)
|
||||
}
|
||||
requiredDepth = s.DepthQuantity
|
||||
} else {
|
||||
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
|
||||
askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
|
||||
}
|
||||
} else {
|
||||
if i == 0 {
|
||||
askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
|
||||
} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
|
||||
pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
|
||||
askPrice = askPrice.Add(pips)
|
||||
requiredDepth = accumulativeAskQuantity
|
||||
}
|
||||
}
|
||||
|
||||
askPrice = s.getLayerPrice(i, types.SideTypeSell, s.sourceBook, quote, requiredDepth)
|
||||
|
||||
if i == 0 {
|
||||
s.logger.Infof("maker best ask price %f", askPrice.Float64())
|
||||
makerBestAskPriceMetrics.With(s.metricsLabels).Set(askPrice.Float64())
|
||||
|
@ -1168,7 +1150,7 @@ func (s *Strategy) Defaults() error {
|
|||
}
|
||||
|
||||
func (s *Strategy) Validate() error {
|
||||
if s.Quantity.IsZero() || s.QuantityScale == nil {
|
||||
if s.Quantity.IsZero() && s.QuantityScale == nil {
|
||||
return errors.New("quantity or quantityScale can not be empty")
|
||||
}
|
||||
|
||||
|
|
Loading…
Reference in New Issue
Block a user