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fix: highest price normalization in drift strategy

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zenix 2022-07-13 11:31:23 +09:00
parent c51a99400d
commit 7310feb0de
1 changed files with 1 additions and 1 deletions
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2
pkg/strategy/drift/strategy.go
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@ -342,7 +342,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
canvas := types.NewCanvas(s.InstanceID(), s.Interval) canvas := types.NewCanvas(s.InstanceID(), s.Interval)
fmt.Println(dynamicKLine.StartTime, dynamicKLine.EndTime) fmt.Println(dynamicKLine.StartTime, dynamicKLine.EndTime)
mean := priceLine.Mean(100) mean := priceLine.Mean(100)
highestPrice := priceLine.Highest(100) highestPrice := priceLine.Minus(mean).Highest(100)
highestDrift := s.drift.Highest(100) highestDrift := s.drift.Highest(100)
ratio := highestDrift / highestPrice ratio := highestDrift / highestPrice
canvas.Plot("drift", s.drift, dynamicKLine.StartTime, 100) canvas.Plot("drift", s.drift, dynamicKLine.StartTime, 100)