xmaker: pull out getLayerPrice and add test against the method

pkg/strategy/xmaker/strategy.go

@@ -444,6 +444,53 @@ func (s *Strategy) getInitialLayerQuantity(i int) (fixedpoint.Value, error) {
 	return q, nil
 }
 
+func (s *Strategy) getLayerPrice(
+	i int,
+	side types.SideType,
+	sourceBook *types.StreamOrderBook,
+	quote *Quote,
+	requiredDepth fixedpoint.Value,
+) (price fixedpoint.Value) {
+	var margin, delta, pips fixedpoint.Value
+
+	switch side {
+	case types.SideTypeSell:
+		margin = quote.AskMargin
+		delta = margin
+
+		if quote.AskLayerPips.Sign() > 0 {
+			pips = quote.AskLayerPips
+		} else {
+			pips = fixedpoint.One
+		}
+
+	case types.SideTypeBuy:
+		margin = quote.BidMargin
+		delta = margin.Neg()
+
+		if quote.BidLayerPips.Sign() > 0 {
+			pips = quote.BidLayerPips.Neg()
+		} else {
+			pips = fixedpoint.One.Neg()
+		}
+	}
+
+	if s.UseDepthPrice {
+		price = aggregatePrice(sourceBook.SideBook(side), requiredDepth)
+		price = price.Mul(fixedpoint.One.Add(delta))
+		if i > 0 {
+			price = price.Add(pips.Mul(s.makerMarket.TickSize))
+		}
+	} else {
+		price = price.Mul(fixedpoint.One.Add(delta))
+		if i > 0 {
+			price = price.Add(pips.Mul(s.makerMarket.TickSize))
+		}
+	}
+
+	return price
+}
+
 func (s *Strategy) updateQuote(ctx context.Context) error {
 	if err := s.activeMakerOrders.GracefulCancel(ctx, s.makerSession.Exchange); err != nil {
 		s.logger.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
@@ -710,7 +757,6 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 
 	var submitOrders []types.SubmitOrder
 	var accumulativeBidQuantity, accumulativeAskQuantity fixedpoint.Value
-	var askQuantity = s.Quantity
 
 	var quote = &Quote{
 		BestBidPrice: bestBidPrice,
@@ -798,26 +844,17 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
 				hedgeQuota.Rollback()
 			}
 
-			if s.QuantityMultiplier.Sign() > 0 {
-				bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
-			}
 		}
 	}
 
-	for i := 0; i < s.NumLayers; i++ {
 	// for maker ask orders
 	if !disableMakerAsk {
-			if s.QuantityScale != nil {
+		for i := 0; i < s.NumLayers; i++ {
-				qf, err := s.QuantityScale.Scale(i + 1)
+			askQuantity, err := s.getInitialLayerQuantity(i)
 			if err != nil {
-					return fmt.Errorf("quantityScale error: %w", err)
+				return err
 			}
 
-				log.Infof("%s scaling ask #%d quantity to %f", s.Symbol, i+1, qf)
-
-				// override the default bid quantity
-				askQuantity = fixedpoint.NewFromFloat(qf)
-			}
 			accumulativeAskQuantity = accumulativeAskQuantity.Add(askQuantity)
 
 			if s.UseDepthPrice {

pkg/strategy/xmaker/strategy_test.go

@@ -2,28 +2,87 @@ package xmaker
 
 import (
 	"testing"
+	"time"
 
 	"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
+	. "git.qtrade.icu/lychiyu/bbgo/pkg/testing/testhelper"
 	"git.qtrade.icu/lychiyu/bbgo/pkg/types"
 	"github.com/stretchr/testify/assert"
 )
 
-func Test_aggregatePrice(t *testing.T) {
+func TestStrategy_getLayerPrice(t *testing.T) {
-	bids := types.PriceVolumeSlice{
+	symbol := "BTCUSDT"
-		{
+	market := Market(symbol)
-			Price:  fixedpoint.NewFromFloat(1000.0),
+
-			Volume: fixedpoint.NewFromFloat(1.0),
+	s := &Strategy{
-		},
+		UseDepthPrice: true,
-		{
+		DepthQuantity: Number(3.0),
-			Price:  fixedpoint.NewFromFloat(1200.0),
+		makerMarket:   market,
-			Volume: fixedpoint.NewFromFloat(1.0),
-		},
-		{
-			Price:  fixedpoint.NewFromFloat(1400.0),
-			Volume: fixedpoint.NewFromFloat(1.0),
-		},
 	}
 
+	sourceBook := types.NewStreamBook(symbol, types.ExchangeBinance)
+	sourceBook.Load(types.SliceOrderBook{
+		Symbol: symbol,
+		Bids: PriceVolumeSlice(
+			Number(1300.0), Number(1.0),
+			Number(1200.0), Number(2.0),
+			Number(1100.0), Number(3.0),
+		),
+		Asks: PriceVolumeSlice(
+			Number(1301.0), Number(1.0),
+			Number(1400.0), Number(2.0),
+			Number(1500.0), Number(3.0),
+		),
+		Time:         time.Time{},
+		LastUpdateId: 1,
+	})
+
+	quote := &Quote{
+		BestBidPrice: Number(1300.0),
+		BestAskPrice: Number(1301.0),
+		BidMargin:    Number(0.001),
+		AskMargin:    Number(0.001),
+		BidLayerPips: Number(100.0),
+		AskLayerPips: Number(100.0),
+	}
+
+	t.Run("depthPrice bid price at 0", func(t *testing.T) {
+		price := s.getLayerPrice(0, types.SideTypeBuy, sourceBook, quote, s.DepthQuantity)
+
+		// (1300 + 1200*2)/3 * (1 - 0.001)
+		assert.InDelta(t, 1232.10, price.Float64(), 0.01)
+	})
+
+	t.Run("depthPrice bid price at 1", func(t *testing.T) {
+		price := s.getLayerPrice(1, types.SideTypeBuy, sourceBook, quote, s.DepthQuantity)
+
+		// (1300 + 1200*2)/3 * (1 - 0.001) - 100 * 0.01
+		assert.InDelta(t, 1231.10, price.Float64(), 0.01)
+	})
+
+	t.Run("depthPrice ask price at 0", func(t *testing.T) {
+		price := s.getLayerPrice(0, types.SideTypeSell, sourceBook, quote, s.DepthQuantity)
+
+		// (1301 + 1400*2)/3 * (1 + 0.001)
+		assert.InDelta(t, 1368.367, price.Float64(), 0.01)
+	})
+
+	t.Run("depthPrice ask price at 1", func(t *testing.T) {
+		price := s.getLayerPrice(1, types.SideTypeSell, sourceBook, quote, s.DepthQuantity)
+
+		// (1301 + 1400*2)/3 * (1 + 0.001) + 100 * 0.01
+		assert.InDelta(t, 1369.367, price.Float64(), 0.01)
+	})
+
+}
+
+func Test_aggregatePrice(t *testing.T) {
+	bids := PriceVolumeSliceFromText(`
+	1000.0, 1.0
+	1200.0, 1.0
+	1400.0, 1.0
+`)
+
 	aggregatedPrice1 := aggregatePrice(bids, fixedpoint.NewFromFloat(0.5))
 	assert.Equal(t, fixedpoint.NewFromFloat(1000.0), aggregatedPrice1)