102 lines
2.5 KiB
Go
102 lines
2.5 KiB
Go
package liquiditymaker
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import (
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log "github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// input: liquidityOrderGenerator(
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//
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// totalLiquidityAmount,
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// startPrice,
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// endPrice,
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// numLayers,
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// quantityScale)
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//
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// when side == sell
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//
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// priceAsk1 * scale(1) * f = amount1
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// priceAsk2 * scale(2) * f = amount2
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// priceAsk3 * scale(3) * f = amount3
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//
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// totalLiquidityAmount = priceAsk1 * scale(1) * f + priceAsk2 * scale(2) * f + priceAsk3 * scale(3) * f + ....
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// totalLiquidityAmount = f * (priceAsk1 * scale(1) + priceAsk2 * scale(2) + priceAsk3 * scale(3) + ....)
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// f = totalLiquidityAmount / (priceAsk1 * scale(1) + priceAsk2 * scale(2) + priceAsk3 * scale(3) + ....)
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//
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// when side == buy
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//
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// priceBid1 * scale(1) * f = amount1
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type LiquidityOrderGenerator struct {
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Symbol string
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Market types.Market
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logger log.FieldLogger
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}
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func (g *LiquidityOrderGenerator) Generate(
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side types.SideType, totalAmount, startPrice, endPrice fixedpoint.Value, numLayers int, scale bbgo.Scale,
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) (orders []types.SubmitOrder) {
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if g.logger == nil {
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logger := log.New()
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logger.SetLevel(log.ErrorLevel)
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g.logger = logger
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}
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layerSpread := endPrice.Sub(startPrice).Div(fixedpoint.NewFromInt(int64(numLayers - 1)))
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switch side {
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case types.SideTypeSell:
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if layerSpread.Compare(g.Market.TickSize) < 0 {
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layerSpread = g.Market.TickSize
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}
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case types.SideTypeBuy:
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if layerSpread.Compare(g.Market.TickSize.Neg()) > 0 {
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layerSpread = g.Market.TickSize.Neg()
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}
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}
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quantityBase := 0.0
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var layerPrices []fixedpoint.Value
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var layerScales []float64
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for i := 0; i < numLayers; i++ {
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fi := fixedpoint.NewFromInt(int64(i))
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layerPrice := g.Market.TruncatePrice(startPrice.Add(layerSpread.Mul(fi)))
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layerPrices = append(layerPrices, layerPrice)
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layerScale := scale.Call(float64(i + 1))
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layerScales = append(layerScales, layerScale)
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quantityBase += layerPrice.Float64() * layerScale
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}
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factor := totalAmount.Float64() / quantityBase
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g.logger.Infof("liquidity amount base: %f, factor: %f", quantityBase, factor)
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for i := 0; i < numLayers; i++ {
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price := layerPrices[i]
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s := layerScales[i]
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quantity := g.Market.TruncateQuantity(fixedpoint.NewFromFloat(factor * s))
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if g.Market.IsDustQuantity(quantity, price) {
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continue
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}
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orders = append(orders, types.SubmitOrder{
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Symbol: g.Symbol,
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Price: price,
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Type: types.OrderTypeLimitMaker,
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Quantity: quantity,
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Side: side,
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Market: g.Market,
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})
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}
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return orders
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}
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