bbgo_origin/bbgo/calc.go

package bbgo

import (
	"github.com/adshao/go-binance"
	"math"
)

// this is for BTC
const MinQuantity = 0.00000100

// https://www.desmos.com/calculator/ircjhtccbn
func BuyVolumeModifier(price float64) float64 {
	targetPrice := 7500.0 // we will get 1 at price 7500, and more below 7500
	flatness := 1000.0    // higher number buys more in the middle section. higher number gets more flat line, reduced to 0 at price 2000 * 10
	return math.Min(2, math.Exp(-(price-targetPrice)/flatness))
}

func SellVolumeModifier(price float64) float64 {
	// \exp\left(\frac{x-10000}{500}\right)
	targetPrice := 10500.0 // target to sell most x1 at 10000.0
	flatness := 500.0      // higher number sells more in the middle section, lower number sells fewer in the middle section.
	return math.Min(2, math.Exp((price-targetPrice)/flatness))
}

func VolumeByPriceChange(currentPrice float64, change float64, side binance.SideType) float64 {
	volume := BaseVolumeByPriceChange(change)

	if side == binance.SideTypeSell {
		return volume * SellVolumeModifier(currentPrice)
	}

	return math.Max(MinQuantity, volume*BuyVolumeModifier(currentPrice))
}

func BaseVolumeByPriceChange(change float64) float64 {
	return 0.12 * math.Exp((math.Abs(change)-3100.0)/1600.0)
	// 0.116*math.Exp(math.Abs(change)/2400) - 0.1
}