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xmaker: fix sides

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c9s 2024-09-09 18:03:03 +08:00 committed by lychiyu
parent 0eb6808ad4
commit 6f391c7a1f
1 changed files with 3 additions and 3 deletions
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6
pkg/strategy/xmaker/strategy.go
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@ -937,7 +937,7 @@ func aggregatePriceVolumeSliceWithPriceFilter(pvs types.PriceVolumeSlice, filter
// tryArbitrage tries to arbitrage between the source and maker exchange // tryArbitrage tries to arbitrage between the source and maker exchange
func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote) (bool, error) { func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote) (bool, error) {
marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin)) marginBidPrice := quote.BestBidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.BidMargin)) marginAskPrice := quote.BestAskPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
var iocOrders []types.SubmitOrder var iocOrders []types.SubmitOrder
if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok { if makerBid, makerAsk, ok := s.makerBook.BestBidAndAsk(); ok {
@ -955,8 +955,8 @@ func (s *Strategy) tryArbitrage(ctx context.Context, quote *Quote) (bool, error)
}) })
} else if makerBid.Price.Compare(marginAskPrice) >= 0 { } else if makerBid.Price.Compare(marginAskPrice) >= 0 {
askPvs := s.makerBook.SideBook(types.SideTypeSell) bidPvs := s.makerBook.SideBook(types.SideTypeBuy)
sumPv := aggregatePriceVolumeSliceWithPriceFilter(askPvs, marginBidPrice) sumPv := aggregatePriceVolumeSliceWithPriceFilter(bidPvs, marginBidPrice)
// send ioc order for arbitrage // send ioc order for arbitrage
iocOrders = append(iocOrders, types.SubmitOrder{ iocOrders = append(iocOrders, types.SubmitOrder{