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tri: update quantity truncation method

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c9s 2024-01-26 17:16:06 +08:00
parent 67b500fce5
commit 4b70f864ff
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2 changed files with 42 additions and 13 deletions
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43
pkg/strategy/tri/market.go
View File

@ -2,6 +2,8 @@ package tri
import (
"fmt"
"math"
"strconv"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/sigchan"
@ -18,12 +20,39 @@ type ArbMarket struct {
bestBid, bestAsk types.PriceVolume
buyRate, sellRate float64
sigC sigchan.Chan
truncateBaseQuantity, truncateQuoteQuantity QuantityTruncator
}
func (m *ArbMarket) String() string {
return m.Symbol
}
type QuantityTruncator func(value fixedpoint.Value) fixedpoint.Value
func createBaseQuantityTruncator(m types.Market) QuantityTruncator {
var stepSizeFloat = m.StepSize.Float64()
var truncPrec = int(math.Round(math.Log10(stepSizeFloat) * -1.0))
return createRoundedTruncator(truncPrec)
}
func createPricePrecisionBasedQuoteQuantityTruncator(m types.Market) QuantityTruncator {
// note that MAX uses the price precision for its quote asset precision
return createRoundedTruncator(m.PricePrecision)
}
func createRoundedTruncator(truncPrec int) QuantityTruncator {
var truncPow10 = math.Pow10(truncPrec)
var roundPrec = truncPrec + 1
var roundPow10 = math.Pow10(roundPrec)
return func(value fixedpoint.Value) fixedpoint.Value {
v := value.Float64()
v = math.Trunc(math.Round(v*roundPow10)/10.0) / truncPow10
s := strconv.FormatFloat(v, 'f', truncPrec, 64)
return fixedpoint.MustNewFromString(s)
}
}
func (m *ArbMarket) getInitialBalance(balances types.BalanceMap, dir int) (fixedpoint.Value, string) {
if dir == 1 { // sell 1 BTC -> 19000 USDT
b, ok := balances[m.BaseCurrency]
@ -31,14 +60,14 @@ func (m *ArbMarket) getInitialBalance(balances types.BalanceMap, dir int) (fixed
return fixedpoint.Zero, m.BaseCurrency
}
return m.market.TruncateQuantity(b.Available), m.BaseCurrency
return m.truncateBaseQuantity(b.Available), m.BaseCurrency
} else if dir == -1 {
b, ok := balances[m.QuoteCurrency]
if !ok {
return fixedpoint.Zero, m.QuoteCurrency
}
return m.market.TruncateQuantity(b.Available), m.QuoteCurrency
return m.truncateQuoteQuantity(b.Available), m.QuoteCurrency
}
return fixedpoint.Zero, ""
@ -75,24 +104,22 @@ func (m *ArbMarket) updateRate() {
func (m *ArbMarket) newOrder(dir int, transitingQuantity float64) (types.SubmitOrder, float64) {
if dir == 1 { // sell ETH -> BTC, sell USDT -> TWD
q, r := fitQuantityByBase(m.market.TruncateQuantity(m.bestBid.Volume).Float64(), transitingQuantity)
fq := fixedpoint.NewFromFloat(q)
q, r := fitQuantityByBase(m.truncateBaseQuantity(m.bestBid.Volume).Float64(), transitingQuantity)
return types.SubmitOrder{
Symbol: m.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Quantity: fq,
Quantity: fixedpoint.NewFromFloat(q),
Price: m.bestBid.Price,
Market: m.market,
}, r
} else if dir == -1 { // use 1 BTC to buy X ETH
q, r := fitQuantityByQuote(m.bestAsk.Price.Float64(), m.market.TruncateQuantity(m.bestAsk.Volume).Float64(), transitingQuantity)
fq := fixedpoint.NewFromFloat(q)
q, r := fitQuantityByQuote(m.bestAsk.Price.Float64(), m.truncateBaseQuantity(m.bestAsk.Volume).Float64(), transitingQuantity)
return types.SubmitOrder{
Symbol: m.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: fq,
Quantity: fixedpoint.NewFromFloat(q),
Price: m.bestAsk.Price,
Market: m.market,
}, r

12
pkg/strategy/tri/strategy.go
View File

@ -773,11 +773,13 @@ func (s *Strategy) buildArbMarkets(session *bbgo.ExchangeSession, symbols []stri
}
m := &ArbMarket{
Symbol: symbol,
market: market,
BaseCurrency: market.BaseCurrency,
QuoteCurrency: market.QuoteCurrency,
sigC: sigC,
Symbol: symbol,
market: market,
BaseCurrency: market.BaseCurrency,
QuoteCurrency: market.QuoteCurrency,
sigC: sigC,
truncateBaseQuantity: createBaseQuantityTruncator(market),
truncateQuoteQuantity: createPricePrecisionBasedQuoteQuantityTruncator(market),
}
if separateStream {