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backtest: adjust best bid/ask price with tick size

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c9s 2023-06-12 16:01:40 +08:00
parent fded41b0ea
commit 0482ade44a
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1 changed files with 9 additions and 9 deletions
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18
pkg/backtest/exchange.go
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@ -12,18 +12,18 @@ for each kline, the backtest engine:
There are 2 ways that a strategy could work with backtest engine: There are 2 ways that a strategy could work with backtest engine:
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. 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.
backtest engine receives the order and then pushes the trade and order updates to the user data stream. backtest engine receives the order and then pushes the trade and order updates to the user data stream.
the strategy receives the trade and update its position. the strategy receives the trade and update its position.
2. the strategy places the orders when it starts. (like grid) the strategy then receives the order updates and then submit a new order 2. the strategy places the orders when it starts. (like grid) the strategy then receives the order updates and then submit a new order
by its order update message. by its order update message.
We need to ensure that: We need to ensure that:
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 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
to process the trades before the next kline is published. to process the trades before the next kline is published.
*/ */
package backtest package backtest
@ -270,8 +270,8 @@ func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticke
Open: kline.Open, Open: kline.Open,
High: kline.High, High: kline.High,
Low: kline.Low, Low: kline.Low,
Buy: kline.Close, Buy: kline.Close.Sub(matching.Market.TickSize),
Sell: kline.Close, Sell: kline.Close.Add(matching.Market.TickSize),
}, nil }, nil
} }