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xgap: add MaxJitterQuantity and fix source book subscription

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c9s 2024-11-16 01:13:24 +08:00
parent 69f49d6a86
commit 23db7fac1e
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1 changed files with 27 additions and 15 deletions
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36
pkg/strategy/xgap/strategy.go
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@ -52,6 +52,8 @@ type Strategy struct {
MinSpread fixedpoint.Value `json:"minSpread"` MinSpread fixedpoint.Value `json:"minSpread"`
Quantity fixedpoint.Value `json:"quantity"` Quantity fixedpoint.Value `json:"quantity"`
MaxJitterQuantity fixedpoint.Value `json:"maxJitterQuantity"`
DryRun bool `json:"dryRun"` DryRun bool `json:"dryRun"`
DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"` DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
@ -113,7 +115,7 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
} }
sourceSession.Subscribe(types.KLineChannel, s.SourceSymbol, types.SubscribeOptions{Interval: "1m"}) sourceSession.Subscribe(types.KLineChannel, s.SourceSymbol, types.SubscribeOptions{Interval: "1m"})
sourceSession.Subscribe(types.BookChannel, s.SourceSymbol, types.SubscribeOptions{Depth: types.DepthLevel5}) sourceSession.Subscribe(types.BookChannel, s.SourceSymbol, types.SubscribeOptions{Depth: types.DepthLevelFull})
} }
tradingSession, ok := sessions[s.TradingExchange] tradingSession, ok := sessions[s.TradingExchange]
@ -327,26 +329,30 @@ func (s *Strategy) placeOrders(ctx context.Context) {
quantity = fixedpoint.Max(s.Quantity, quantity) quantity = fixedpoint.Max(s.Quantity, quantity)
} else if s.SimulateVolume { } else if s.SimulateVolume {
s.mu.Lock() s.mu.Lock()
if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 { lastTradingKLine := s.lastTradingKLine
log.Infof("trading exchange %s price: %s volume: %s", lastSourceKLine := s.lastSourceKLine
s.Symbol, s.lastTradingKLine.Close.String(), s.lastTradingKLine.Volume.String()) s.mu.Unlock()
log.Infof("source exchange %s price: %s volume: %s",
s.Symbol, s.lastSourceKLine.Close.String(), s.lastSourceKLine.Volume.String()) if lastTradingKLine.Volume.Sign() > 0 && lastSourceKLine.Volume.Sign() > 0 {
log.Infof("trading exchange %s price: %s volume: %s",
s.Symbol, lastTradingKLine.Close.String(), lastTradingKLine.Volume.String())
log.Infof("source exchange %s price: %s volume: %s",
s.Symbol, lastSourceKLine.Close.String(), lastSourceKLine.Volume.String())
volumeDiff := s.lastSourceKLine.Volume.Sub(lastTradingKLine.Volume)
volumeDiff := s.lastSourceKLine.Volume.Sub(s.lastTradingKLine.Volume)
// change the current quantity only diff is positive // change the current quantity only diff is positive
if volumeDiff.Sign() > 0 { if volumeDiff.Sign() > 0 {
quantity = volumeDiff quantity = volumeDiff
} }
} }
s.mu.Unlock()
} else if s.DailyTargetVolume.Sign() > 0 { } else if s.DailyTargetVolume.Sign() > 0 {
numOfTicks := (24 * time.Hour) / s.UpdateInterval.Duration() numOfTicks := (24 * time.Hour) / s.UpdateInterval.Duration()
quantity = fixedpoint.NewFromFloat(s.DailyTargetVolume.Float64() / float64(numOfTicks)) quantity = fixedpoint.NewFromFloat(s.DailyTargetVolume.Float64() / float64(numOfTicks))
quantity = quantityJitter(quantity, 0.02) }
} else {
// plus a 2% quantity jitter if s.MaxJitterQuantity.Sign() > 0 {
quantity = quantityJitter(quantity, 0.02) quantity = quantityJitter2(quantity, s.MaxJitterQuantity)
} }
log.Infof("%s quantity: %f", s.Symbol, quantity.Float64()) log.Infof("%s quantity: %f", s.Symbol, quantity.Float64())
@ -398,3 +404,9 @@ func quantityJitter(q fixedpoint.Value, rg float64) fixedpoint.Value {
jitter := 1.0 + math.Max(rg, rand.Float64()) jitter := 1.0 + math.Max(rg, rand.Float64())
return q.Mul(fixedpoint.NewFromFloat(jitter)) return q.Mul(fixedpoint.NewFromFloat(jitter))
} }
func quantityJitter2(q, maxJitterQ fixedpoint.Value) fixedpoint.Value {
rg := maxJitterQ.Sub(q).Float64()
randQuantity := fixedpoint.NewFromFloat(q.Float64() + rg*rand.Float64())
return randQuantity
}