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strategy/linregmaker: qty calculation for backtest

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This commit is contained in:
Andy Cheng 2022-11-25 16:39:15 +08:00
parent 02a67a3de8
commit 71137620bd
2 changed files with 31 additions and 25 deletions
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4
config/linregmaker.yaml
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@ -126,7 +126,7 @@ exchangeStrategies:
# log means we want to use log scale, you can replace "log" with "linear" for linear scale
linear:
# from lower band -100% (-1) to upper band 100% (+1)
domain: [ -1, 1 ]
domain: [ -0.05, 0.05 ]
# when in down band, holds 1.0 by maximum
# when in up band, holds 0.05 by maximum
range: [ 0, 0.1 ]
@ -140,7 +140,7 @@ exchangeStrategies:
# log means we want to use log scale, you can replace "log" with "linear" for linear scale
linear:
# from lower band -100% (-1) to upper band 100% (+1)
domain: [ 1, -1 ]
domain: [0.05, -0.05 ]
# when in down band, holds 1.0 by maximum
# when in up band, holds 0.05 by maximum
range: [ 0, 0.1 ]

52
pkg/strategy/linregmaker/strategy.go
View File

@ -24,7 +24,7 @@ var two = fixedpoint.NewFromInt(2)
var log = logrus.WithField("strategy", ID)
// TODO: Logic for backtest
// TODO: Check logic of dynamic qty
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
@ -303,6 +303,20 @@ func (s *Strategy) getOrderPrices(midPrice fixedpoint.Value) (askPrice fixedpoin
return askPrice, bidPrice
}
// adjustQuantity to meet the min notional and qty requirement
func (s *Strategy) adjustQuantity(quantity, price fixedpoint.Value) fixedpoint.Value {
adjustedQty := quantity
if quantity.Mul(price).Compare(s.Market.MinNotional) < 0 {
adjustedQty = bbgo.AdjustFloatQuantityByMinAmount(quantity, price, s.Market.MinNotional.Mul(notionModifier))
}
if adjustedQty.Compare(s.Market.MinQuantity) < 0 {
adjustedQty = fixedpoint.Max(adjustedQty, s.Market.MinQuantity)
}
return adjustedQty
}
// getOrderQuantities returns sell and buy qty
func (s *Strategy) getOrderQuantities(askPrice fixedpoint.Value, bidPrice fixedpoint.Value) (sellQuantity fixedpoint.Value, buyQuantity fixedpoint.Value) {
// Default
@ -357,6 +371,9 @@ func (s *Strategy) getOrderQuantities(askPrice fixedpoint.Value, bidPrice fixedp
}
}
buyQuantity = s.adjustQuantity(buyQuantity, bidPrice)
sellQuantity = s.adjustQuantity(sellQuantity, askPrice)
log.Infof("sell qty:%v buy qty: %v", sellQuantity, buyQuantity)
return sellQuantity, buyQuantity
@ -373,12 +390,18 @@ func (s *Strategy) getAllowedBalance() (baseQty, quoteQty fixedpoint.Value) {
baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
isMargin := s.session.Margin || s.session.IsolatedMargin
isFutures := s.session.Futures || s.session.IsolatedFutures
if bbgo.IsBackTesting {
if !hasQuoteBalance {
baseQty = fixedpoint.Zero
quoteQty = fixedpoint.Zero
} else {
lastPrice, _ := s.session.LastPrice(s.Symbol)
baseQty = quoteBalance.Available.Div(lastPrice)
quoteQty = quoteBalance.Available
}
} else if s.session.Margin || s.session.IsolatedMargin {
if isMargin {
} else if isFutures {
} else if s.session.Futures || s.session.IsolatedFutures {
} else {
if !hasBaseBalance {
@ -514,10 +537,6 @@ func (s *Strategy) getOrderForms(buyQuantity, bidPrice, sellQuantity, askPrice f
}
}
// TODO: Move these to qty calculation
sellOrder = adjustOrderQuantity(sellOrder, s.Market)
buyOrder = adjustOrderQuantity(buyOrder, s.Market)
return buyOrder, sellOrder
}
@ -711,16 +730,3 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return nil
}
// adjustOrderQuantity to meet the min notional and qty requirement
func adjustOrderQuantity(submitOrder types.SubmitOrder, market types.Market) types.SubmitOrder {
if submitOrder.Quantity.Mul(submitOrder.Price).Compare(market.MinNotional) < 0 {
submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, market.MinNotional.Mul(notionModifier))
}
if submitOrder.Quantity.Compare(market.MinQuantity) < 0 {
submitOrder.Quantity = fixedpoint.Max(submitOrder.Quantity, market.MinQuantity)
}
return submitOrder
}