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https://github.com/c9s/bbgo.git
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FEATURE: use notional based to crease dca maker orders
This commit is contained in:
chiahung.lin
parent
60003fc472
commit
4aa6ea3a46
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@ -9,14 +9,14 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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func (s *Strategy) placeMakerOrders(ctx context.Context) error {
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func (s *Strategy) placeDCAOrders(ctx context.Context) error {
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s.logger.Infof("[DCA] start placing maker orders")
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price, err := s.getBestPriceUntilSuccess(ctx, s.Short)
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if err != nil {
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return err
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}
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orders, err := s.generateMakerOrder(s.Short, s.Budget, price, s.PriceDeviation, s.MaxOrderNum)
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orders, err := s.generateDCAOrders(s.Short, s.Budget, price, s.PriceDeviation, s.MaxOrderNum)
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if err != nil {
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return err
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}
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@ -50,47 +50,35 @@ func (s *Strategy) getBestPriceUntilSuccess(ctx context.Context, short bool) (fi
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return fixedpoint.Zero, err
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}
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func (s *Strategy) generateMakerOrder(short bool, budget, price, margin fixedpoint.Value, orderNum int64) ([]types.SubmitOrder, error) {
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marginPrice := price.Mul(margin)
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if !short {
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marginPrice = marginPrice.Neg()
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}
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func (s *Strategy) generateDCAOrders(short bool, budget, price, priceDeviation fixedpoint.Value, maxOrderNum int64) ([]types.SubmitOrder, error) {
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// TODO: not implement short part yet
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var prices []fixedpoint.Value
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var total fixedpoint.Value
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for i := 0; i < int(orderNum); i++ {
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price = price.Add(marginPrice)
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truncatePrice := s.Market.TruncatePrice(price)
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// need to avoid the price is below 0
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if truncatePrice.Compare(fixedpoint.Zero) <= 0 {
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break
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}
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prices = append(prices, truncatePrice)
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total = total.Add(truncatePrice)
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factor := fixedpoint.One.Sub(priceDeviation)
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if short {
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factor = fixedpoint.One.Add(priceDeviation)
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}
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quantity := fixedpoint.Zero
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l := len(prices) - 1
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for ; l >= 0; l-- {
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if total.IsZero() {
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return nil, fmt.Errorf("total is zero, please check it")
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// calculate all valid prices
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var prices []fixedpoint.Value
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for i := 0; i < int(maxOrderNum); i++ {
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if i > 0 {
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price = price.Mul(factor)
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}
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quantity = budget.Div(total)
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quantity = s.Market.TruncateQuantity(quantity)
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if prices[l].Mul(quantity).Compare(s.Market.MinNotional) > 0 {
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price = s.Market.TruncatePrice(price)
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if price.Compare(s.Market.MinPrice) < 0 {
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break
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}
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total = total.Sub(prices[l])
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prices = append(prices, price)
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}
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notional, orderNum := calculateDCAMakerOrderNotionalAndNum(s.Market, short, budget, prices)
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if orderNum == 0 {
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return nil, fmt.Errorf("failed to calculate DCA maker order notional and num, price: %s, budget: %s", price, budget)
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}
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var submitOrders []types.SubmitOrder
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for i := 0; i <= l; i++ {
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for i := 0; i < orderNum; i++ {
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quantity := s.Market.TruncateQuantity(notional.Div(prices[i]))
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.Market,
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@ -106,3 +94,27 @@ func (s *Strategy) generateMakerOrder(short bool, budget, price, margin fixedpoi
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return submitOrders, nil
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}
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// calculateDCAMakerNotionalAndNum will calculate the notional and num of DCA orders
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// DCA2 is notional-based, every order has the same notional
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func calculateDCAMakerOrderNotionalAndNum(market types.Market, short bool, budget fixedpoint.Value, prices []fixedpoint.Value) (fixedpoint.Value, int) {
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for num := len(prices); num > 0; num-- {
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notional := budget.Div(fixedpoint.NewFromInt(int64(num)))
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if notional.Compare(market.MinNotional) < 0 {
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continue
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}
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maxPriceIdx := 0
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if short {
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maxPriceIdx = num - 1
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}
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quantity := market.TruncateQuantity(notional.Div(prices[maxPriceIdx]))
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if quantity.Compare(market.MinQuantity) < 0 {
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continue
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}
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return notional, num
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}
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return fixedpoint.Zero, 0
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}
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@ -45,58 +45,31 @@ func TestGenerateMakerOrder(t *testing.T) {
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strategy := newTestStrategy()
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t.Run("case 1: all config is valid and we can place enough orders", func(t *testing.T) {
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budget := Number("105000")
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budget := Number("10500")
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askPrice := Number("30000")
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margin := Number("0.05")
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submitOrders, err := strategy.generateMakerOrder(false, budget, askPrice, margin, 4)
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submitOrders, err := strategy.generateDCAOrders(false, budget, askPrice, margin, 4)
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if !assert.NoError(err) {
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return
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}
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assert.Len(submitOrders, 4)
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assert.Equal(submitOrders[0].Price, Number("28500"))
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assert.Equal(submitOrders[1].Price, Number("27000"))
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assert.Equal(submitOrders[2].Price, Number("25500"))
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assert.Equal(submitOrders[3].Price, Number("24000"))
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assert.Equal(submitOrders[0].Quantity, Number("1"))
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assert.Equal(submitOrders[1].Quantity, Number("1"))
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assert.Equal(submitOrders[2].Quantity, Number("1"))
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assert.Equal(submitOrders[3].Quantity, Number("1"))
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assert.Equal(Number("30000"), submitOrders[0].Price)
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assert.Equal(Number("0.0875"), submitOrders[0].Quantity)
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assert.Equal(Number("28500"), submitOrders[1].Price)
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assert.Equal(Number("0.092105"), submitOrders[1].Quantity)
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assert.Equal(Number("27075"), submitOrders[2].Price)
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assert.Equal(Number("0.096952"), submitOrders[2].Quantity)
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assert.Equal(Number("25721.25"), submitOrders[3].Price)
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assert.Equal(Number("0.102055"), submitOrders[3].Quantity)
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})
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t.Run("case 2: some orders' price will below 0 and we should not create such order", func(t *testing.T) {
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budget := Number("100000")
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askPrice := Number("30000")
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margin := Number("0.2")
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submitOrders, err := strategy.generateMakerOrder(false, budget, askPrice, margin, 5)
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if !assert.NoError(err) {
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return
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}
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assert.Len(submitOrders, 4)
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assert.Equal(submitOrders[0].Price, Number("24000"))
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assert.Equal(submitOrders[1].Price, Number("18000"))
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assert.Equal(submitOrders[2].Price, Number("12000"))
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assert.Equal(submitOrders[3].Price, Number("6000"))
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assert.Equal(submitOrders[0].Quantity, Number("1.666666"))
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assert.Equal(submitOrders[1].Quantity, Number("1.666666"))
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assert.Equal(submitOrders[2].Quantity, Number("1.666666"))
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assert.Equal(submitOrders[3].Quantity, Number("1.666666"))
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t.Run("case 2: some orders' price will below 0, so we should not create such order", func(t *testing.T) {
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})
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t.Run("case 3: some orders' notional is too small and we should not create such order", func(t *testing.T) {
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budget := Number("30")
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askPrice := Number("30000")
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margin := Number("0.2")
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submitOrders, err := strategy.generateMakerOrder(false, budget, askPrice, margin, 5)
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if !assert.NoError(err) {
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return
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}
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t.Run("case 3: notional is too small, so we should decrease num of orders", func(t *testing.T) {
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})
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assert.Len(submitOrders, 2)
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assert.Equal(submitOrders[0].Price, Number("24000"))
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assert.Equal(submitOrders[1].Price, Number("18000"))
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assert.Equal(submitOrders[0].Quantity, Number("0.000714"))
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assert.Equal(submitOrders[1].Quantity, Number("0.000714"))
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t.Run("case 4: quantity is too small, so we should decrease num of orders", func(t *testing.T) {
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})
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}
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