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Merge pull request #1113 from c9s/narumi/fixedmaker/skew
strategy: fixedmaker: add skew to adjust bid/ask price
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commit
52b2ffebd1
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@ -33,6 +33,10 @@ type Strategy struct {
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OrderType types.OrderType `json:"orderType"`
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DryRun bool `json:"dryRun"`
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// SkewFactor is used to calculate the skew of bid/ask price
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SkewFactor fixedpoint.Value `json:"skewFactor"`
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TargetWeight fixedpoint.Value `json:"targetWeight"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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@ -162,6 +166,8 @@ func (s *Strategy) replenish(ctx context.Context) {
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}
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func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrder, error) {
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orders := []types.SubmitOrder{}
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baseBalance, ok := s.session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
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return nil, fmt.Errorf("base currency %s balance not found", s.Market.BaseCurrency)
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@ -181,24 +187,29 @@ func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrde
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midPrice := ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromFloat(2.0))
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log.Infof("mid price: %+v", midPrice)
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orders := []types.SubmitOrder{}
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// calcualte skew by the difference between base weight and target weight
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baseValue := baseBalance.Total().Mul(midPrice)
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baseWeight := baseValue.Div(baseValue.Add(quoteBalance.Total()))
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skew := s.SkewFactor.Mul(baseWeight.Sub(s.TargetWeight))
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// calculate buy and sell price
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// buy price = mid price * (1 - r)
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buyPrice := midPrice.Mul(fixedpoint.One.Sub(s.HalfSpreadRatio))
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log.Infof("buy price: %+v", buyPrice)
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// sell price = mid price * (1 + r)
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sellPrice := midPrice.Mul(fixedpoint.One.Add(s.HalfSpreadRatio))
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log.Infof("sell price: %+v", sellPrice)
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// calculate bid and ask price
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// bid price = mid price * (1 - max(r + skew, 0))
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bidSpreadRatio := fixedpoint.Max(s.HalfSpreadRatio.Add(skew), fixedpoint.Zero)
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bidPrice := midPrice.Mul(fixedpoint.One.Sub(bidSpreadRatio))
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log.Infof("bid price: %s", bidPrice.String())
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// ask price = mid price * (1 + max(r - skew, 0))
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askSrasedRatio := fixedpoint.Max(s.HalfSpreadRatio.Sub(skew), fixedpoint.Zero)
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askPrice := midPrice.Mul(fixedpoint.One.Add(askSrasedRatio))
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log.Infof("ask price: %s", askPrice.String())
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// check balance and generate orders
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amount := s.Quantity.Mul(buyPrice)
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amount := s.Quantity.Mul(bidPrice)
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if quoteBalance.Available.Compare(amount) > 0 {
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: s.OrderType,
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Price: buyPrice,
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Price: bidPrice,
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Quantity: s.Quantity,
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})
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} else {
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@ -210,7 +221,7 @@ func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrde
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: s.OrderType,
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Price: sellPrice,
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Price: askPrice,
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Quantity: s.Quantity,
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})
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} else {
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