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bollmaker: add disable short option

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This commit is contained in:
c9s 2022-01-09 02:24:10 +08:00
parent 4df5847647
commit 656ef942e4
1 changed files with 21 additions and 10 deletions
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31
pkg/strategy/bollmaker/strategy.go
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@ -49,15 +49,22 @@ type Strategy struct {
StandardIndicatorSet *bbgo.StandardIndicatorSet
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
Quantity fixedpoint.Value `json:"quantity"`
MinSpread fixedpoint.Value `json:"minSpread"`
Spread fixedpoint.Value `json:"spread"`
MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
UseTickerPrice bool `json:"useTickerPrice"`
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
Quantity fixedpoint.Value `json:"quantity"`
MinSpread fixedpoint.Value `json:"minSpread"`
Spread fixedpoint.Value `json:"spread"`
MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
UseTickerPrice bool `json:"useTickerPrice"`
// MaxExposurePosition is the maximum position you can hold
// +10 means you can hold 10 ETH long position by maximum
// -10 means you can hold -10 ETH short position by maximum
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
// DisableShort means you can don't want short position during the market making
DisableShort bool `json:"disableShort"`
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
@ -268,12 +275,14 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
if canBuy {
submitOrders = append(submitOrders, buyOrder)
}
if canSell {
if !s.DisableShort && canSell {
submitOrders = append(submitOrders, sellOrder)
}
} else if base > minQuantity {
if midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) && canSell {
submitOrders = append(submitOrders, sellOrder)
if !(s.DisableShort && (base.Float64() - sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)
}
}
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {
@ -281,7 +290,9 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
} else if base < -minQuantity {
if midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) && canSell {
submitOrders = append(submitOrders, sellOrder)
if !(s.DisableShort && (base.Float64() - sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)
}
}
if midPrice < s.state.Position.AverageCost.MulFloat64(1.0-s.MinProfitSpread.Float64()) && canBuy {