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Merge pull request #1122 from c9s/narumi/fixedmaker/clamp
strategy: fixedmaker: clamp skew
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commit
6ea49f98c2
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@ -590,3 +590,23 @@ func Abs(a Value) Value {
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}
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return a
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}
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func Clamp(x, min, max Value) Value {
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if x < min {
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return min
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}
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if x > max {
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return max
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}
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return x
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}
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func (x Value) Clamp(min, max Value) Value {
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if x < min {
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return min
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}
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if x > max {
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return max
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}
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return x
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}
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@ -1323,3 +1323,23 @@ func (dn Value) Format(mask string) string {
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}
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return buf.String()
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}
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func Clamp(x, min, max Value) Value {
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if x.Compare(min) < 0 {
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return min
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}
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if x.Compare(max) > 0 {
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return max
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}
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return x
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}
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func (x Value) Clamp(min, max Value) Value {
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if x.Compare(min) < 0 {
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return min
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}
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if x.Compare(max) > 0 {
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return max
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}
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return x
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}
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@ -211,11 +211,6 @@ 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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// 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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if s.ATRMultiplier.Float64() > 0 {
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atr := fixedpoint.NewFromFloat(s.atr.Last())
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log.Infof("atr: %s", atr.String())
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@ -223,12 +218,20 @@ func (s *Strategy) generateSubmitOrders(ctx context.Context) ([]types.SubmitOrde
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log.Infof("half spread ratio: %s", s.HalfSpreadRatio.String())
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}
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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(s.HalfSpreadRatio).Mul(baseWeight.Sub(s.TargetWeight))
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// let the skew be in the range of [-r, r]
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skew = skew.Clamp(s.HalfSpreadRatio.Neg(), s.HalfSpreadRatio)
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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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// bid price = mid price * (1 - r - skew))
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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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// ask price = mid price * (1 + r - skew))
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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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