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strategy: check min/max spread settings

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This commit is contained in:
Andy Cheng 2022-05-16 12:57:00 +08:00
parent 64a760cf32
commit 3c094a195b
1 changed files with 4 additions and 4 deletions
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8
pkg/strategy/bollmaker/strategy.go
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@ -680,9 +680,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
if s.DynamicSpreadWindow > 0 && s.DynamicBidSpread.Length() >= s.DynamicSpreadWindow {
dynamicBidSpread := fixedpoint.NewFromFloat(s.DynamicBidSpread.Last())
if dynamicBidSpread.Compare(s.MaxBidSpread) > 0 {
if !s.MaxBidSpread.IsZero() && dynamicBidSpread.Compare(s.MaxBidSpread) > 0 {
s.BidSpread = s.MaxBidSpread
} else if dynamicBidSpread.Compare(s.MinBidSpread) < 0 {
} else if !s.MinBidSpread.IsZero() && dynamicBidSpread.Compare(s.MinBidSpread) < 0 {
s.BidSpread = s.MinBidSpread
} else {
s.BidSpread = dynamicBidSpread
@ -691,9 +691,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
if s.DynamicSpreadWindow > 0 && s.DynamicAskSpread.Length() >= s.DynamicSpreadWindow {
dynamicAskSpread := fixedpoint.NewFromFloat(s.DynamicAskSpread.Last())
if dynamicAskSpread.Compare(s.MaxAskSpread) > 0 {
if !s.MaxAskSpread.IsZero() && dynamicAskSpread.Compare(s.MaxAskSpread) > 0 {
s.AskSpread = s.MaxAskSpread
} else if dynamicAskSpread.Compare(s.MinAskSpread) < 0 {
} else if !s.MinAskSpread.IsZero() && dynamicAskSpread.Compare(s.MinAskSpread) < 0 {
s.AskSpread = s.MinAskSpread
} else {
s.AskSpread = dynamicAskSpread