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support: add sensitivity settings

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This commit is contained in:
c9s 2021-06-16 13:14:10 +08:00
parent 15ed802a54
commit 3d12a7df59
2 changed files with 34 additions and 4 deletions
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23
pkg/bbgo/scale.go
View File

@ -218,6 +218,27 @@ type SlideRule struct {
QuadraticScale *QuadraticScale `json:"quadratic"`
}
func (rule *SlideRule) Range() ([2]float64, error) {
if rule.LogScale != nil {
return rule.LogScale.Range, nil
}
if rule.ExpScale != nil {
return rule.ExpScale.Range, nil
}
if rule.LinearScale != nil {
return rule.LinearScale.Range, nil
}
if rule.QuadraticScale != nil {
r := rule.QuadraticScale.Range
return [2]float64{r[0], r[len(r)-1]}, nil
}
return [2]float64{}, errors.New("no any scale domain is defined")
}
func (rule *SlideRule) Scale() (Scale, error) {
if rule.LogScale != nil {
return rule.LogScale, nil
@ -238,7 +259,6 @@ func (rule *SlideRule) Scale() (Scale, error) {
return nil, errors.New("no any scale is defined")
}
// LayerScale defines the scale DSL for maker layers, e.g.,
//
// quantityScale:
@ -276,7 +296,6 @@ func (s *LayerScale) Scale(layer int) (quantity float64, err error) {
return scale.Call(float64(layer)), nil
}
// PriceVolumeScale defines the scale DSL for strategy, e.g.,
//
// quantityScale:

15
pkg/strategy/support/strategy.go
View File

@ -43,6 +43,7 @@ type Strategy struct {
MovingAverageWindow int `json:"movingAverageWindow"`
Quantity fixedpoint.Value `json:"quantity"`
MinVolume fixedpoint.Value `json:"minVolume"`
Sensitivity fixedpoint.Value `json:"sensitivity"`
TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
Targets []Target `json:"targets"`
@ -68,8 +69,8 @@ func (s *Strategy) Validate() error {
return fmt.Errorf("quantity or scaleQuantity can not be zero")
}
if s.MinVolume == 0 {
return fmt.Errorf("minVolume can not be zero")
if s.MinVolume == 0 && s.Sensitivity == 0 {
return fmt.Errorf("either minVolume nor sensitivity can not be zero")
}
return nil
@ -137,6 +138,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.MovingAverageWindow = 99
}
if s.Sensitivity > 0 {
volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
if err != nil {
return err
}
s.MinVolume = fixedpoint.NewFromFloat(volRange[1]).Mul(fixedpoint.NewFromFloat(1.0) - s.Sensitivity)
log.Infof("adjusted minimal triggering volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
}
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s is not defined", s.Symbol)