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strategy/linregmaker: default value of spread

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This commit is contained in:
Andy Cheng 2022-11-23 17:44:40 +08:00
parent 0f0549fa42
commit 41e27a8e38
2 changed files with 14 additions and 7 deletions
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10
config/linregmaker.yaml
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@ -27,7 +27,7 @@ backtest:
makerCommission: 10 # 0.15% makerCommission: 10 # 0.15%
takerCommission: 15 # 0.15% takerCommission: 15 # 0.15%
balances: balances:
BTC: 10.0 BTC: 2.0
USDT: 10000.0 USDT: 10000.0
exchangeStrategies: exchangeStrategies:
@ -70,7 +70,6 @@ exchangeStrategies:
# spread # spread
spread: 0.1% spread: 0.1%
# dynamicSpread # dynamicSpread
dynamicSpread: dynamicSpread:
amplitude: # delete other scaling strategy if this is defined amplitude: # delete other scaling strategy if this is defined
@ -96,7 +95,7 @@ exchangeStrategies:
# when in up band, holds 0.05 by maximum # when in up band, holds 0.05 by maximum
range: [ 0.001, 0.002 ] range: [ 0.001, 0.002 ]
maxExposurePosition: 10 #maxExposurePosition: 10
DynamicExposure: DynamicExposure:
bollBandExposure: bollBandExposure:
interval: "1h" interval: "1h"
@ -142,3 +141,8 @@ exchangeStrategies:
# when in down band, holds 1.0 by maximum # when in down band, holds 1.0 by maximum
# when in up band, holds 0.05 by maximum # when in up band, holds 0.05 by maximum
range: [ 0, 0.1 ] range: [ 0, 0.1 ]
exits:
# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
- roiStopLoss:
percentage: 20%

11
pkg/strategy/linregmaker/strategy.go
View File

@ -89,8 +89,7 @@ type Strategy struct {
// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread)) // For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
// For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread)) // For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
// Spread can be set by percentage or floating number. e.g., 0.1% or 0.001 // Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
// TODO: if nil? Spread fixedpoint.Value `json:"spread"`
Spread fixedpoint.Value `json:"spread,omitempty"`
// BidSpread overrides the spread setting, this spread will be used for the buy order // BidSpread overrides the spread setting, this spread will be used for the buy order
BidSpread fixedpoint.Value `json:"bidSpread,omitempty"` BidSpread fixedpoint.Value `json:"bidSpread,omitempty"`
@ -104,8 +103,7 @@ type Strategy struct {
// MaxExposurePosition is the maximum position you can hold // MaxExposurePosition is the maximum position you can hold
// 10 means you can hold 10 ETH long/short position by maximum // 10 means you can hold 10 ETH long/short position by maximum
// TODO: if nil? MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition,omitempty"`
// DynamicExposure is used to define the exposure position range with the given percentage. // DynamicExposure is used to define the exposure position range with the given percentage.
// When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically // When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically
@ -429,6 +427,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.useTickerPrice = true s.useTickerPrice = true
} }
// Default spread
if s.Spread == fixedpoint.Zero {
s.Spread = fixedpoint.NewFromFloat(0.001)
}
// StrategyController // StrategyController
s.Status = types.StrategyStatusRunning s.Status = types.StrategyStatusRunning
s.OnSuspend(func() { s.OnSuspend(func() {