support: add sensitivity settings

pkg/bbgo/scale.go

@@ -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:

pkg/strategy/support/strategy.go

@@ -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 {
+	if s.MinVolume == 0 && s.Sensitivity == 0 {
-		return fmt.Errorf("minVolume can not be zero")
+		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)