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xmaker: add DepthQuantity

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c9s 2022-01-11 22:47:40 +08:00
parent b302adcc7e
commit 081a143ec0
1 changed files with 13 additions and 4 deletions
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17
pkg/strategy/xmaker/strategy.go
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@ -53,6 +53,7 @@ type Strategy struct {
BidMargin fixedpoint.Value `json:"bidMargin"`
AskMargin fixedpoint.Value `json:"askMargin"`
UseDepthPrice bool `json:"useDepthPrice"`
DepthQuantity fixedpoint.Value `json:"depthQuantity"`
EnableBollBandMargin bool `json:"enableBollBandMargin"`
BollBandInterval types.Interval `json:"bollBandInterval"`
@ -98,7 +99,7 @@ type Strategy struct {
book *types.StreamOrderBook
activeMakerOrders *bbgo.LocalActiveOrderBook
hedgeErrorLimiter *rate.Limiter
hedgeErrorLimiter *rate.Limiter
hedgeErrorRateReservation *rate.Reservation
orderStore *bbgo.OrderStore
@ -345,7 +346,11 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
accumulativeBidQuantity += bidQuantity
if s.UseDepthPrice {
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
if s.DepthQuantity > 0 {
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), s.DepthQuantity)
} else {
bidPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeBuy), accumulativeBidQuantity)
}
}
bidPrice = bidPrice.MulFloat64(1.0 - bidMargin.Float64())
@ -394,7 +399,11 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
accumulativeAskQuantity += askQuantity
if s.UseDepthPrice {
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
if s.DepthQuantity > 0 {
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
} else {
askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
}
}
askPrice = askPrice.MulFloat64(1.0 + askMargin.Float64())
@ -643,7 +652,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
}
}
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1 * time.Minute), 1)
s.hedgeErrorLimiter = rate.NewLimiter(rate.Every(1*time.Minute), 1)
// configure sessions
sourceSession, ok := sessions[s.SourceExchange]