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test grid extend functions

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c9s 2021-10-29 14:00:55 +08:00 committed by c9s
parent 561c476846
commit 56e40eff67
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2 changed files with 83 additions and 14 deletions
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46
pkg/strategy/shakegrid/grid.go
View File

@ -1,16 +1,18 @@
package shakegrid
import "github.com/c9s/bbgo/pkg/fixedpoint"
import (
"github.com/c9s/bbgo/pkg/fixedpoint"
)
type Grid struct {
UpperPrice fixedpoint.Value `json:"upperPrice"`
LowerPrice fixedpoint.Value `json:"lowerPrice"`
// Size is the spread of each grid
Size fixedpoint.Value `json:"size"`
// Spread is the spread of each grid
Spread fixedpoint.Value `json:"spread"`
// Density is the number of total grids
Density fixedpoint.Value `json:"density"`
// Size is the number of total grids
Size fixedpoint.Value `json:"size"`
// Pins are the pinned grid prices, from low to high
Pins []fixedpoint.Value `json:"pins"`
@ -21,23 +23,47 @@ func NewGrid(lower, upper, density fixedpoint.Value) *Grid {
var size = height.Div(density)
var pins []fixedpoint.Value
for p := lower ; p <= upper ; p += size {
for p := lower; p <= upper; p += size {
pins = append(pins, p)
}
return &Grid{
UpperPrice: upper,
LowerPrice: lower,
Density: density,
Size: size,
Size: density,
Spread: size,
Pins: pins,
}
}
func (g *Grid) ExtendUpperPrice(price fixedpoint.Value) {
func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []fixedpoint.Value) {
g.UpperPrice = upper
// since the grid is extended, the size should be updated as well
g.Size = (g.UpperPrice - g.LowerPrice).Div(g.Spread).Ceil()
lastPin := g.Pins[ len(g.Pins) - 1 ]
for p := lastPin + g.Spread; p <= g.UpperPrice; p += g.Spread {
newPins = append(newPins, p)
}
g.Pins = append(g.Pins, newPins...)
return newPins
}
func (g *Grid) ExtendLowerPrice(price fixedpoint.Value) {
func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []fixedpoint.Value) {
g.LowerPrice = lower
// since the grid is extended, the size should be updated as well
g.Size = (g.UpperPrice - g.LowerPrice).Div(g.Spread).Ceil()
firstPin := g.Pins[0]
numToAdd := (firstPin - g.LowerPrice).Div(g.Spread).Ceil()
for p := firstPin - g.Spread.Mul(numToAdd); p < firstPin; p += g.Spread {
newPins = append(newPins, p)
}
g.Pins = append(newPins, g.Pins...)
return newPins
}

49
pkg/strategy/shakegrid/grid_test.go
View File

@ -9,13 +9,56 @@ import (
func TestNewGrid(t *testing.T) {
upper := fixedpoint.NewFromFloat(500.0)
lower := fixedpoint.NewFromFloat(100.0)
density := fixedpoint.NewFromFloat(100.0)
grid := NewGrid(lower, upper, density)
size := fixedpoint.NewFromFloat(100.0)
grid := NewGrid(lower, upper, size)
assert.Equal(t, upper, grid.UpperPrice)
assert.Equal(t, lower, grid.LowerPrice)
assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Size)
assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
if assert.Len(t, grid.Pins, 101) {
assert.Equal(t, fixedpoint.NewFromFloat(100.0), grid.Pins[0])
assert.Equal(t, fixedpoint.NewFromFloat(500.0), grid.Pins[100])
}
}
func TestGrid_ExtendUpperPrice(t *testing.T) {
upper := fixedpoint.NewFromFloat(500.0)
lower := fixedpoint.NewFromFloat(100.0)
size := fixedpoint.NewFromFloat(100.0)
grid := NewGrid(lower, upper, size)
originalSpread := grid.Spread
newPins := grid.ExtendUpperPrice(fixedpoint.NewFromFloat(1000.0))
assert.Equal(t, originalSpread, grid.Spread)
assert.Len(t, newPins, 125) // (1000-500) / 4
assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
if assert.Len(t, grid.Pins, 226) {
assert.Equal(t, fixedpoint.NewFromFloat(100.0), grid.Pins[0])
assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[225])
}
}
func TestGrid_ExtendLowerPrice(t *testing.T) {
upper := fixedpoint.NewFromFloat(3000.0)
lower := fixedpoint.NewFromFloat(2000.0)
size := fixedpoint.NewFromFloat(100.0)
grid := NewGrid(lower, upper, size)
// spread = (3000 - 2000) / 100.0
expectedSpread := fixedpoint.NewFromFloat(10.0)
assert.Equal(t, expectedSpread, grid.Spread)
originalSpread := grid.Spread
newPins := grid.ExtendLowerPrice(fixedpoint.NewFromFloat(1000.0))
assert.Equal(t, originalSpread, grid.Spread)
// 100 = (2000-1000) / 10
if assert.Len(t, newPins, 100) {
assert.Equal(t, fixedpoint.NewFromFloat(2000.0) - expectedSpread, newPins[99])
}
assert.Equal(t, expectedSpread, grid.Spread)
if assert.Len(t, grid.Pins, 201) {
assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[0])
assert.Equal(t, fixedpoint.NewFromFloat(3000.0), grid.Pins[200])
}
}