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grid2: check profitSpread for profit

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c9s 2022-12-03 16:59:47 +08:00
parent 175ab289e2
commit 2977c80dd1
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 21 additions and 4 deletions
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25
pkg/strategy/grid2/strategy.go
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@ -108,6 +108,14 @@ func (s *Strategy) Validate() error {
return fmt.Errorf("upperPrice (%s) should not be less than or equal to lowerPrice (%s)", s.UpperPrice.String(), s.LowerPrice.String())
}
if !s.ProfitSpread.IsZero() {
percent := s.ProfitSpread.Div(s.LowerPrice)
feeRate := fixedpoint.NewFromFloat(0.075 * 0.01)
if percent.Compare(feeRate) < 0 {
return fmt.Errorf("profitSpread %f %s is too small, less than the fee rate: %s", s.ProfitSpread.Float64(), percent.Percentage(), feeRate.Percentage())
}
}
if s.GridNum == 0 {
return fmt.Errorf("gridNum can not be zero")
}
@ -147,8 +155,13 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
switch o.Side {
case types.SideTypeSell:
newSide = types.SideTypeBuy
if pin, ok := s.grid.NextLowerPin(newPrice); ok {
newPrice = fixedpoint.Value(pin)
if !s.ProfitSpread.IsZero() {
newPrice = newPrice.Sub(s.ProfitSpread)
} else {
if pin, ok := s.grid.NextLowerPin(newPrice); ok {
newPrice = fixedpoint.Value(pin)
}
}
// use the profit to buy more inventory in the grid
@ -159,8 +172,12 @@ func (s *Strategy) handleOrderFilled(o types.Order) {
case types.SideTypeBuy:
newSide = types.SideTypeSell
if pin, ok := s.grid.NextHigherPin(newPrice); ok {
newPrice = fixedpoint.Value(pin)
if !s.ProfitSpread.IsZero() {
newPrice = newPrice.Add(s.ProfitSpread)
} else {
if pin, ok := s.grid.NextHigherPin(newPrice); ok {
newPrice = fixedpoint.Value(pin)
}
}
if s.EarnBase {