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backtest: adjust best bid/ask price with tick size
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@ -12,18 +12,18 @@ for each kline, the backtest engine:
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There are 2 ways that a strategy could work with backtest engine:
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1. the strategy receives kline from the market data stream, and then it submits the order by the given market data to the backtest engine.
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backtest engine receives the order and then pushes the trade and order updates to the user data stream.
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1. the strategy receives kline from the market data stream, and then it submits the order by the given market data to the backtest engine.
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backtest engine receives the order and then pushes the trade and order updates to the user data stream.
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the strategy receives the trade and update its position.
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the strategy receives the trade and update its position.
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2. the strategy places the orders when it starts. (like grid) the strategy then receives the order updates and then submit a new order
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by its order update message.
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2. the strategy places the orders when it starts. (like grid) the strategy then receives the order updates and then submit a new order
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by its order update message.
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We need to ensure that:
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1. if the strategy submits the order from the market data stream, since it's a separate goroutine, the strategy should block the backtest engine
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to process the trades before the next kline is published.
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1. if the strategy submits the order from the market data stream, since it's a separate goroutine, the strategy should block the backtest engine
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to process the trades before the next kline is published.
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*/
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package backtest
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@ -270,8 +270,8 @@ func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticke
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Open: kline.Open,
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High: kline.High,
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Low: kline.Low,
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Buy: kline.Close,
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Sell: kline.Close,
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Buy: kline.Close.Sub(matching.Market.TickSize),
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Sell: kline.Close.Add(matching.Market.TickSize),
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}, nil
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}
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