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fix grid price calculation

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This commit is contained in:
c9s 2021-03-18 00:46:25 +08:00
parent 4a415a43b3
commit 72c1f55b70
1 changed files with 33 additions and 11 deletions
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44
pkg/strategy/grid/strategy.go
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@ -31,7 +31,7 @@ type Snapshot struct {
Orders []types.SubmitOrder `json:"orders,omitempty"`
FilledBuyGrids map[fixedpoint.Value]struct{} `json:"filledBuyGrids"`
FilledSellGrids map[fixedpoint.Value]struct{} `json:"filledSellGrids"`
Position *bbgo.Position `json:"position,omitempty"`
Position *bbgo.Position `json:"position,omitempty"`
}
type Strategy struct {
@ -113,14 +113,18 @@ func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]type
}
currentPrice := fixedpoint.NewFromFloat(currentPriceFloat)
priceRange := s.UpperPrice - s.LowerPrice
if priceRange <= 0 {
return nil, fmt.Errorf("upper price %f should not be less than or equal to lower price %f", s.UpperPrice.Float64(), s.LowerPrice.Float64())
if currentPrice > s.UpperPrice {
return nil, fmt.Errorf("current price %f is higher than upper price %f", currentPrice.Float64(), s.UpperPrice.Float64())
}
priceRange := s.UpperPrice - s.LowerPrice
numGrids := fixedpoint.NewFromInt(s.GridNum)
gridSpread := priceRange.Div(numGrids)
startPrice := fixedpoint.Max(s.LowerPrice, currentPrice+gridSpread)
// find the nearest grid price from the current price
startPrice := fixedpoint.Max(
s.LowerPrice,
s.UpperPrice-(s.UpperPrice-currentPrice).Div(gridSpread).Floor().Mul(gridSpread))
if startPrice > s.UpperPrice {
return nil, fmt.Errorf("current price %f exceeded the upper price boundary %f",
@ -196,14 +200,24 @@ func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types
}
currentPrice := fixedpoint.NewFromFloat(currentPriceFloat)
priceRange := s.UpperPrice - s.LowerPrice
if priceRange <= 0 {
return nil, fmt.Errorf("upper price %f should not be less than or equal to lower price %f", s.UpperPrice.Float64(), s.LowerPrice.Float64())
if currentPrice < s.LowerPrice {
return nil, fmt.Errorf("current price %f is lower than the lower price %f", currentPrice.Float64(), s.LowerPrice.Float64())
}
priceRange := s.UpperPrice - s.LowerPrice
numGrids := fixedpoint.NewFromInt(s.GridNum)
gridSpread := priceRange.Div(numGrids)
startPrice := fixedpoint.Min(s.UpperPrice, currentPrice-gridSpread)
// Find the nearest grid price for placing buy orders:
// buyRange = currentPrice - lowerPrice
// numOfBuyGrids = Floor(buyRange / gridSpread)
// startPrice = lowerPrice + numOfBuyGrids * gridSpread
// priceOfBuyOrder1 = startPrice
// priceOfBuyOrder2 = startPrice - gridSpread
// priceOfBuyOrder3 = startPrice - gridSpread * 2
startPrice := fixedpoint.Min(
s.UpperPrice,
s.LowerPrice+(currentPrice-s.LowerPrice).Div(gridSpread).Floor().Mul(gridSpread))
if startPrice < s.LowerPrice {
return nil, fmt.Errorf("current price %f exceeded the lower price boundary %f",
@ -417,8 +431,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Side = types.SideTypeBoth
}
if s.UpperPrice == 0 {
return errors.New("upperPrice can not be zero, you forgot to set?")
}
if s.LowerPrice == 0 {
return errors.New("lowerPrice can not be zero, you forgot to set?")
}
if s.UpperPrice <= s.LowerPrice {
return fmt.Errorf("upper price (%f) should not be less than lower price (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64())
return fmt.Errorf("upperPrice (%f) should not be less than or equal to lowerPrice (%f)", s.UpperPrice.Float64(), s.LowerPrice.Float64())
}
var snapshot Snapshot
@ -465,7 +487,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.Infof("backing up active orders...")
submitOrders := s.activeOrders.Backup()
snapshot := Snapshot{
Orders: submitOrders,
Orders: submitOrders,
Position: &s.position,
}