mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
grid2: fix si index check
This commit is contained in:
parent
44210bf26a
commit
35bfdfab8d
|
@ -934,7 +934,7 @@ func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoin
|
|||
var submitOrders []types.SubmitOrder
|
||||
|
||||
// si is for sell order price index
|
||||
var si = len(pins) - 1
|
||||
var si = len(pins)
|
||||
for i := len(pins) - 1; i >= 0; i-- {
|
||||
pin := pins[i]
|
||||
price := fixedpoint.Value(pin)
|
||||
|
|
|
@ -77,7 +77,9 @@ func TestStrategy_generateGridOrders(t *testing.T) {
|
|||
s.QuantityOrAmount.Quantity = number(0.01)
|
||||
|
||||
lastPrice := number(15300)
|
||||
orders, err := s.generateGridOrders(number(10000.0), number(0), lastPrice)
|
||||
quoteInvestment := number(10000.0)
|
||||
baseInvestment := number(0)
|
||||
orders, err := s.generateGridOrders(quoteInvestment, baseInvestment, lastPrice)
|
||||
assert.NoError(t, err)
|
||||
if !assert.Equal(t, 10, len(orders)) {
|
||||
for _, o := range orders {
|
||||
|
@ -99,6 +101,52 @@ func TestStrategy_generateGridOrders(t *testing.T) {
|
|||
}, orders)
|
||||
})
|
||||
|
||||
t.Run("quote only + buy only", func(t *testing.T) {
|
||||
s := newTestStrategy()
|
||||
s.UpperPrice = number(0.9)
|
||||
s.LowerPrice = number(0.1)
|
||||
s.GridNum = 7
|
||||
s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
|
||||
s.grid.CalculateArithmeticPins()
|
||||
|
||||
assert.Equal(t, []Pin{
|
||||
Pin(number(0.1)),
|
||||
Pin(number(0.23)),
|
||||
Pin(number(0.36)),
|
||||
Pin(number(0.50)),
|
||||
Pin(number(0.63)),
|
||||
Pin(number(0.76)),
|
||||
Pin(number(0.9)),
|
||||
}, s.grid.Pins, "pins are correct")
|
||||
|
||||
lastPrice := number(22100)
|
||||
quoteInvestment := number(100.0)
|
||||
baseInvestment := number(0)
|
||||
|
||||
quantity, err := s.calculateQuoteInvestmentQuantity(quoteInvestment, lastPrice, s.grid.Pins)
|
||||
assert.NoError(t, err)
|
||||
assert.Equal(t, number(38.75968992).String(), quantity.String())
|
||||
|
||||
s.QuantityOrAmount.Quantity = quantity
|
||||
|
||||
orders, err := s.generateGridOrders(quoteInvestment, baseInvestment, lastPrice)
|
||||
assert.NoError(t, err)
|
||||
if !assert.Equal(t, 6, len(orders)) {
|
||||
for _, o := range orders {
|
||||
t.Logf("- %s %s", o.Price.String(), o.Side)
|
||||
}
|
||||
}
|
||||
|
||||
assertPriceSide(t, []PriceSideAssert{
|
||||
{number(0.76), types.SideTypeBuy},
|
||||
{number(0.63), types.SideTypeBuy},
|
||||
{number(0.5), types.SideTypeBuy},
|
||||
{number(0.36), types.SideTypeBuy},
|
||||
{number(0.23), types.SideTypeBuy},
|
||||
{number(0.1), types.SideTypeBuy},
|
||||
}, orders)
|
||||
})
|
||||
|
||||
t.Run("base + quote", func(t *testing.T) {
|
||||
s := newTestStrategy()
|
||||
s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
|
||||
|
|
Loading…
Reference in New Issue
Block a user