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scmaker: add MaxExposure option

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c9s 2023-06-19 13:46:45 +08:00
parent 8360931497
commit 2448fa6f83
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2 changed files with 29 additions and 8 deletions
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24
pkg/strategy/scmaker/strategy.go
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@ -46,6 +46,8 @@ type Strategy struct {
LiquiditySlideRule *bbgo.SlideRule `json:"liquidityScale"`
LiquidityLayerTickSize fixedpoint.Value `json:"liquidityLayerTickSize"`
MaxExposure fixedpoint.Value `json:"maxExposure"`
MinProfit fixedpoint.Value `json:"minProfit"`
Position *types.Position `json:"position,omitempty" persistence:"position"`
@ -264,10 +266,6 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
midPriceEMA := s.ewma.Last(0)
midPrice := fixedpoint.NewFromFloat(midPriceEMA)
makerQuota := &bbgo.QuotaTransaction{}
makerQuota.QuoteAsset.Add(quoteBal.Available)
makerQuota.BaseAsset.Add(baseBal.Available)
bandWidth := s.boll.Last(0)
log.Infof("spread: %f mid price ema: %f boll band width: %f", spread.Float64(), midPriceEMA, bandWidth)
@ -294,11 +292,11 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
askPrice = midPrice.Add(sp)
}
if i > 0 && bidPrice.Compare(ticker.Buy) < 0 {
if i > 0 && bidPrice.Compare(ticker.Buy) > 0 {
bidPrice = ticker.Buy.Sub(sp)
}
if i > 0 && askPrice.Compare(ticker.Sell) > 0 {
if i > 0 && askPrice.Compare(ticker.Sell) < 0 {
askPrice = ticker.Sell.Add(sp)
}
@ -312,6 +310,20 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
availableBase := baseBal.Available
availableQuote := quoteBal.Available
// check max exposure
if s.MaxExposure.Sign() > 0 {
availableQuote = fixedpoint.Min(availableQuote, s.MaxExposure)
baseQuoteValue := availableBase.Mul(ticker.Sell)
if baseQuoteValue.Compare(s.MaxExposure) > 0 {
availableBase = s.MaxExposure.Div(ticker.Sell)
}
}
makerQuota := &bbgo.QuotaTransaction{}
makerQuota.QuoteAsset.Add(availableQuote)
makerQuota.BaseAsset.Add(availableBase)
log.Infof("balances before liq orders: %s, %s",
baseBal.String(),
quoteBal.String())

13
pkg/types/trade_stats_test.go
View File

@ -8,8 +8,17 @@ import (
"github.com/c9s/bbgo/pkg/fixedpoint"
)
func number(v float64) fixedpoint.Value {
return fixedpoint.NewFromFloat(v)
func number(v interface{}) fixedpoint.Value {
switch tv := v.(type) {
case float64:
return fixedpoint.NewFromFloat(tv)
case string:
return fixedpoint.MustNewFromString(tv)
default:
panic("invalid number input")
}
}
func TestTradeStats_consecutiveCounterAndAmount(t *testing.T) {