mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
xmaker: add interval jitter
This commit is contained in:
parent
c278cdbf30
commit
2f326d0fed
|
@ -4,6 +4,7 @@ import (
|
|||
"context"
|
||||
"fmt"
|
||||
"math"
|
||||
"math/rand"
|
||||
"sync"
|
||||
"time"
|
||||
|
||||
|
@ -30,10 +31,6 @@ func init() {
|
|||
bbgo.RegisterStrategy(ID, &Strategy{})
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
return ID
|
||||
}
|
||||
|
||||
type State struct {
|
||||
HedgePosition fixedpoint.Value `json:"hedgePosition"`
|
||||
Position *bbgo.Position `json:"position,omitempty"`
|
||||
|
@ -82,6 +79,10 @@ type Strategy struct {
|
|||
stopC chan struct{}
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
return ID
|
||||
}
|
||||
|
||||
func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
|
||||
sourceSession, ok := sessions[s.SourceExchange]
|
||||
if !ok {
|
||||
|
@ -113,6 +114,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
|
|||
|
||||
if s.activeMakerOrders.NumOfAsks() > 0 || s.activeMakerOrders.NumOfBids() > 0 {
|
||||
log.Warnf("there are some %s orders not canceled, skipping placing maker orders", s.Symbol)
|
||||
s.activeMakerOrders.Print()
|
||||
return
|
||||
}
|
||||
|
||||
|
@ -472,11 +474,12 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
|
|||
s.stopC = make(chan struct{})
|
||||
|
||||
go func() {
|
||||
posTicker := time.NewTicker(s.HedgeInterval.Duration())
|
||||
posTicker := time.NewTicker(durationJitter(s.HedgeInterval.Duration(), 200))
|
||||
defer posTicker.Stop()
|
||||
|
||||
ticker := time.NewTicker(s.UpdateInterval.Duration())
|
||||
defer ticker.Stop()
|
||||
quoteTicker := time.NewTicker(durationJitter(s.UpdateInterval.Duration(), 200))
|
||||
defer quoteTicker.Stop()
|
||||
|
||||
for {
|
||||
select {
|
||||
|
||||
|
@ -486,7 +489,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
|
|||
case <-ctx.Done():
|
||||
return
|
||||
|
||||
case <-ticker.C:
|
||||
case <-quoteTicker.C:
|
||||
s.updateQuote(ctx)
|
||||
|
||||
case <-posTicker.C:
|
||||
|
@ -521,6 +524,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
|
|||
}
|
||||
|
||||
log.Warnf("%d orders are not cancelled yet...", len(orders))
|
||||
s.activeMakerOrders.Print()
|
||||
}
|
||||
|
||||
if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
|
||||
|
@ -533,3 +537,8 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
|
|||
|
||||
return nil
|
||||
}
|
||||
|
||||
func durationJitter(d time.Duration, jitterInMilliseconds int) time.Duration {
|
||||
n := rand.Intn(jitterInMilliseconds)
|
||||
return d + time.Duration(n) * time.Millisecond
|
||||
}
|
||||
|
|
Loading…
Reference in New Issue
Block a user