lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

strategy: dynamic spread for bollmaker

Browse Source
This commit is contained in:
Andy Cheng 2022-05-13 17:58:46 +08:00
parent 02b22afd72
commit 64a760cf32
1 changed files with 48 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

48
pkg/strategy/bollmaker/strategy.go
View File

@ -78,6 +78,18 @@ type Strategy struct {
// AskSpread overrides the spread setting, this spread will be used for the sell order
AskSpread fixedpoint.Value `json:"askSpread,omitempty"`
// DynamicSpreadWindow enables the automatic adjustment to bid and ask spread.
// When DynamicSpreadWindow is set and is larger than 0, the spreads are calculated based on the SMA of amplitude of
// [DynamicSpreadWindow] K-lines
DynamicSpreadWindow int `json:"dynamicSpreadWindow,omitempty"`
MinAskSpread fixedpoint.Value `json:"minAskSpread"`
MinBidSpread fixedpoint.Value `json:"minBidSpread"`
MaxAskSpread fixedpoint.Value `json:"maxAskSpread"`
MaxBidSpread fixedpoint.Value `json:"maxBidSpread"`
DynamicAskSpread *indicator.SMA
DynamicBidSpread *indicator.SMA
// MinProfitSpread is the minimal order price spread from the current average cost.
// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
@ -507,6 +519,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// StrategyController
s.Status = types.StrategyStatusRunning
// Setup dynamic spread
if s.DynamicSpreadWindow > 0 {
s.DynamicBidSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.DynamicSpreadWindow}}
s.DynamicAskSpread = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.DynamicSpreadWindow}}
}
s.OnSuspend(func() {
s.Status = types.StrategyStatusStopped
@ -653,6 +671,36 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
// Update spreads
if s.DynamicSpreadWindow > 0 && kline.Direction() == types.DirectionUp {
s.DynamicAskSpread.Update(kline.GetHigh().Sub(kline.GetOpen()).Div(kline.GetOpen()).Float64())
}
if s.DynamicSpreadWindow > 0 && kline.Direction() == types.DirectionDown {
s.DynamicBidSpread.Update(kline.GetOpen().Sub(kline.GetLow()).Div(kline.GetOpen()).Float64())
}
if s.DynamicSpreadWindow > 0 && s.DynamicBidSpread.Length() >= s.DynamicSpreadWindow {
dynamicBidSpread := fixedpoint.NewFromFloat(s.DynamicBidSpread.Last())
if dynamicBidSpread.Compare(s.MaxBidSpread) > 0 {
s.BidSpread = s.MaxBidSpread
} else if dynamicBidSpread.Compare(s.MinBidSpread) < 0 {
s.BidSpread = s.MinBidSpread
} else {
s.BidSpread = dynamicBidSpread
}
log.Infof("new bid spread: %v", s.BidSpread.Percentage())
}
if s.DynamicSpreadWindow > 0 && s.DynamicAskSpread.Length() >= s.DynamicSpreadWindow {
dynamicAskSpread := fixedpoint.NewFromFloat(s.DynamicAskSpread.Last())
if dynamicAskSpread.Compare(s.MaxAskSpread) > 0 {
s.AskSpread = s.MaxAskSpread
} else if dynamicAskSpread.Compare(s.MinAskSpread) < 0 {
s.AskSpread = s.MinAskSpread
} else {
s.AskSpread = dynamicAskSpread
}
log.Infof("new ask spread: %v", s.AskSpread.Percentage())
}
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
return
}