lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-20 08:11:08 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

Merge pull request #1654 from c9s/c9s/improve-min-notional-adjuster

Browse Source 
FIX: [types] improve AdjustQuantityByMinNotional
This commit is contained in:
c9s 2024-06-13 17:32:44 +08:00 committed by GitHub
commit 468f928142
No known key found for this signature in database
GPG Key ID: B5690EEEBB952194
1 changed files with 12 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

16
pkg/types/market.go
View File

@ -219,21 +219,29 @@ func (m Market) CanonicalizeVolume(val fixedpoint.Value) float64 {
return math.Trunc(p*val.Float64()) / p
}
func (m Market) AdjustQuantityByMinQuantity(quantity fixedpoint.Value) fixedpoint.Value {
func (m Market) AdjustQuantityByMinQuantity(quantity fixedpoint.Value) fixedpoint.Value {
return fixedpoint.Max(quantity, m.MinQuantity)
}
func (m Market) RoundUpByStepSize(quantity fixedpoint.Value) fixedpoint.Value {
ts := m.StepSize.Float64()
prec := int(math.Round(math.Log10(ts) * -1.0))
return quantity.Round(prec, fixedpoint.Up)
}
// AdjustQuantityByMinNotional adjusts the quantity to make the amount greater than the given minAmount
func (m Market) AdjustQuantityByMinNotional(quantity, currentPrice fixedpoint.Value) fixedpoint.Value {
// modify quantity for the min amount
if quantity.IsZero() && m.MinNotional.Sign() > 0 {
return m.RoundUpByStepSize(m.MinNotional.Div(currentPrice))
}
amount := currentPrice.Mul(quantity)
if amount.Compare(m.MinNotional) < 0 {
ratio := m.MinNotional.Div(amount)
quantity = quantity.Mul(ratio)
ts := m.StepSize.Float64()
prec := int(math.Round(math.Log10(ts) * -1.0))
return quantity.Round(prec, fixedpoint.Up)
return m.RoundUpByStepSize(quantity)
}
return quantity