bbgo_origin/pkg/strategy/bollmaker/dynamic_spread.go

package bollmaker

import (
	"github.com/pkg/errors"

	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/indicator"
	"github.com/c9s/bbgo/pkg/types"
)

type DynamicSpreadSettings struct {
	Enabled bool `json:"enabled"`

	// Window is the window of the SMAs of spreads
	Window int `json:"window"`

	// AskSpreadScale is used to define the ask spread range with the given percentage.
	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`

	// BidSpreadScale is used to define the bid spread range with the given percentage.
	BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`

	DynamicAskSpread *indicator.SMA
	DynamicBidSpread *indicator.SMA
}

// Update dynamic spreads
func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
	if !ds.Enabled {
		return
	}

	ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()

	switch kline.Direction() {
	case types.DirectionUp:
		ds.DynamicAskSpread.Update(ampl)
		ds.DynamicBidSpread.Update(0)
	case types.DirectionDown:
		ds.DynamicBidSpread.Update(ampl)
		ds.DynamicAskSpread.Update(0)
	default:
		ds.DynamicAskSpread.Update(0)
		ds.DynamicBidSpread.Update(0)
	}
}

// GetAskSpread returns current ask spread
func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
	if !ds.Enabled {
		return 0, errors.New("dynamic spread is not enabled")
	}

	if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
		askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
		if err != nil {
			log.WithError(err).Errorf("can not calculate dynamicAskSpread")
			return 0, err
		}

		return askSpread, nil
	}

	return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
}

// GetBidSpread returns current dynamic bid spread
func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
	if !ds.Enabled {
		return 0, errors.New("dynamic spread is not enabled")
	}

	if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
		bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
		if err != nil {
			log.WithError(err).Errorf("can not calculate dynamicBidSpread")
			return 0, err
		}

		return bidSpread, nil
	}

	return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
}