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ktrade: remove ticker

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austin362667 2022-08-30 12:30:08 +08:00 committed by Austin Liu
parent a18a06819e
commit 6a119bfca0
1 changed files with 20 additions and 20 deletions
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40
pkg/strategy/ktrade/minute.go
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@ -2,9 +2,6 @@ package ktrade
import (
"context"
"github.com/c9s/bbgo/pkg/util"
"time"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
@ -32,9 +29,9 @@ type Minute struct {
}
func (s *Minute) updateQuote(ctx context.Context, symbol string) {
bestBid, bestAsk, _ := s.StreamBook.BestBidAndAsk()
//bestBid, bestAsk, _ := s.StreamBook.BestBidAndAsk()
s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2))
//s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2))
//log.Info(s.midPrice)
}
@ -52,8 +49,9 @@ func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.General
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
log.Infof("%s trade @ %f", trade.Side, trade.Price.Float64())
//bestAsk, _ := s.StreamBook.BestAsk()
//bestBid, _ := s.StreamBook.BestBid()
bestAsk, _ := s.StreamBook.BestAsk()
bestBid, _ := s.StreamBook.BestBid()
s.midPrice = bestBid.Price.Add(bestAsk.Price).Div(fixedpoint.NewFromInt(2))
if trade.Side == types.SideTypeBuy && trade.Price.Compare(s.midPrice) > 0 {
_ = s.orderExecutor.GracefulCancel(context.Background())
@ -61,8 +59,9 @@ func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.General
newAskPrice := s.midPrice.Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
log.Infof("short @ %f", newAskPrice.Float64())
if trade.Price.Compare(newAskPrice) > 0 {
s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(1.001)), symbol)
s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, s.midPrice.Mul(fixedpoint.NewFromFloat(1.001)), symbol)
} else {
log.Infof("new")
s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, newAskPrice.Round(2, 1), symbol)
}
@ -72,8 +71,9 @@ func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.General
newBidPrice := s.midPrice.Mul(fixedpoint.NewFromFloat(0.25)).Add(trade.Price.Mul(fixedpoint.NewFromFloat(0.75)))
log.Infof("long @ %f", newBidPrice.Float64())
if trade.Price.Compare(newBidPrice) < 0 {
s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(0.999)), symbol)
s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, s.midPrice.Mul(fixedpoint.NewFromFloat(0.999)), symbol)
} else {
log.Infof("new")
s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, newBidPrice.Round(2, 1), symbol)
}
}
@ -86,17 +86,17 @@ func (s *Minute) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.General
}))
go func() {
quoteTicker := time.NewTicker(util.MillisecondsJitter(time.Millisecond*10, 200))
defer quoteTicker.Stop()
for {
select {
case <-quoteTicker.C:
s.updateQuote(context.Background(), symbol)
}
}
}()
//go func() {
// quoteTicker := time.NewTicker(util.MillisecondsJitter(time.Millisecond*10, 200))
// defer quoteTicker.Stop()
//
// for {
// select {
// case <-quoteTicker.C:
// s.updateQuote(context.Background(), symbol)
// }
// }
//}()
if !bbgo.IsBackTesting {
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {