lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-26 08:45:16 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

grid2: pull out check code to checkRequiredInvestmentByQuantity

Browse Source
This commit is contained in:
c9s 2022-11-14 17:37:32 +08:00
parent cde463e294
commit 3da86ab2e1
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 40 additions and 46 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

86
pkg/strategy/grid2/strategy.go
View File

@ -176,8 +176,42 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return nil
}
func (s *Strategy) calculateRequiredInvestment(baseInvestment, quoteInvestment, totalBaseBalance, totalQuoteBalance fixedpoint.Value) {
func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvestment, totalBaseBalance, totalQuoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) error {
requiredBase := fixedpoint.Zero
requiredQuote := fixedpoint.Zero
for i := len(s.grid.Pins) - 1; i >= 0; i++ {
pin := s.grid.Pins[i]
price := fixedpoint.Value(pin)
// TODO: add fee if we don't have the platform token. BNB, OKEX or MAX...
if price.Compare(lastPrice) >= 0 {
// for orders that sell
// if we still have the base balance
if requiredBase.Compare(totalBaseBalance) < 0 {
requiredBase = requiredBase.Add(quantity)
} else if i > 0 {
// convert buy quote to requiredQuote
nextLowerPin := s.grid.Pins[i-1]
nextLowerPrice := fixedpoint.Value(nextLowerPin)
requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
}
} else {
requiredQuote = requiredQuote.Add(quantity.Mul(price))
}
}
if requiredBase.Compare(totalBaseBalance) < 0 && requiredQuote.Compare(totalQuoteBalance) < 0 {
return fmt.Errorf("both base balance (%f %s) and quote balance (%f %s) are not enought",
totalBaseBalance.Float64(), s.Market.BaseCurrency,
totalQuoteBalance.Float64(), s.Market.QuoteCurrency)
}
if requiredBase.Compare(totalBaseBalance) < 0 {
// see if we can convert some quotes to base
}
return nil
}
func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
@ -199,56 +233,16 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
totalBase := baseBalance.Available
totalQuote := quoteBalance.Available
s.calculateRequiredInvestment(s.BaseInvestment, s.QuoteInvestment, totalBase, totalQuote)
// shift 1 grid because we will start from the buy order
// if the buy order is filled, then we will submit another sell order at the higher grid.
quantityOrAmountIsSet := s.QuantityOrAmount.IsSet()
if quantityOrAmountIsSet {
requiredBase := fixedpoint.Zero
requiredQuote := fixedpoint.Zero
for i := len(s.grid.Pins) - 1; i >= 0; i++ {
pin := s.grid.Pins[i]
price := fixedpoint.Value(pin)
if price.Compare(lastPrice) >= 0 {
// for orders that sell
// if we still have the base balance
if requiredBase.Compare(totalBase) < 0 {
if q := s.QuantityOrAmount.Quantity; !q.IsZero() {
requiredBase = requiredBase.Add(s.QuantityOrAmount.Quantity)
} else if amount := s.QuantityOrAmount.Amount; !amount.IsZero() {
qq := s.QuantityOrAmount.CalculateQuantity(price)
requiredBase = requiredBase.Add(qq)
}
} else if i > 0 {
// convert buy quote to requiredQuote
nextLowerPin := s.grid.Pins[i-1]
nextLowerPrice := fixedpoint.Value(nextLowerPin)
if q := s.QuantityOrAmount.Quantity; !q.IsZero() {
requiredQuote = requiredQuote.Add(q.Mul(nextLowerPrice))
} else if amount := s.QuantityOrAmount.Amount; !amount.IsZero() {
requiredQuote = requiredQuote.Add(amount)
}
}
} else {
// for orders that buy
if q := s.QuantityOrAmount.Quantity; !q.IsZero() {
requiredQuote = requiredQuote.Add(q.Mul(price))
} else if amount := s.QuantityOrAmount.Amount; !amount.IsZero() {
requiredQuote = requiredQuote.Add(amount)
}
}
}
if requiredBase.Compare(totalBase) < 0 && requiredQuote.Compare(totalQuote) < 0 {
return fmt.Errorf("both base balance (%f %s) and quote balance (%f %s) are not enought",
totalBase.Float64(), s.Market.BaseCurrency,
totalQuote.Float64(), s.Market.QuoteCurrency)
}
if requiredBase.Compare(totalBase) < 0 {
// see if we can convert some quotes to base
if err2 := s.checkRequiredInvestmentByQuantity(
s.BaseInvestment, s.QuoteInvestment,
totalBase, totalQuote,
lastPrice, s.QuantityOrAmount.Quantity, s.grid.Pins); err != nil {
return err2
}
}