From 778a3d8be100143b5e838e391c5b30dcc6b20621 Mon Sep 17 00:00:00 2001
From: austin362667 <austin362667@gmail.com>
Date: Wed, 19 Oct 2022 17:24:27 +0800
Subject: [PATCH] strategy:irr: clean up

strategy:irr: clean up

strategy:irr: clean up

strategy:irr: clean up
---
 config/irr.yaml              | 12 ++----------
 pkg/strategy/irr/strategy.go | 18 +++++-------------
 2 files changed, 7 insertions(+), 23 deletions(-)

diff --git a/config/irr.yaml b/config/irr.yaml
index eb899c093..302980d28 100644
--- a/config/irr.yaml
+++ b/config/irr.yaml
@@ -22,18 +22,10 @@ exchangeStrategies:
   irr:
     symbol: BTCBUSD
     # in milliseconds(ms)
+    # must > 10 ms
     hftInterval: 1000
-    # indicator window
-    window: 0
-    # maxima position in USD
-    amount: 100
+    # qty per trade
     quantity: 0.001
-    # minProfit pips in USD
-    pips: 0.0
-    # alpha1: negative return reversion
-    NR: true
-    # alpha2: moving average reversion
-    MR: true
     # Draw pnl
     drawGraph: true
     graphPNLPath: "./pnl.png"
diff --git a/pkg/strategy/irr/strategy.go b/pkg/strategy/irr/strategy.go
index 8eb010440..dbdf30c82 100644
--- a/pkg/strategy/irr/strategy.go
+++ b/pkg/strategy/irr/strategy.go
@@ -48,15 +48,9 @@ type Strategy struct {
 	orderExecutor *bbgo.GeneralOrderExecutor
 
 	bbgo.QuantityOrAmount
-	MinProfit float64 `json:"pips"`
 
-	Interval int  `json:"hftInterval"`
-	NR       bool `json:"NR"`
-	MR       bool `json:"MR"`
+	Interval int `json:"hftInterval"`
 
-	// for back-test
-	Nrr *NRR
-	Ma  *indicator.SMA
 	// realtime book ticker to submit order
 	obBuyPrice  uint64
 	obSellPrice uint64
@@ -399,9 +393,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 								log.Infof("box ended at price: %f with time length: %d", boxClosePrice, boxCounter)
 								// box ending, should re-balance position
 								nirr := fixedpoint.NewFromFloat(((boxOpenPrice - boxClosePrice) / boxOpenPrice) / (float64(boxCounter) + 1))
-								qty := s.QuantityOrAmount.CalculateQuantity(fixedpoint.Value(boxClosePrice))
-								qty = qty.Mul(nirr.Abs().Div(fixedpoint.NewFromInt(1000)))
-								log.Infof("Alpha: %f with Diff Qty: %f", nirr.Float64(), qty.Float64())
+								log.Infof("Alpha: %f", nirr.Float64())
 								if nirr.Float64() < 0 {
 									_, err := s.orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
 										Symbol:   s.Symbol,
@@ -409,7 +401,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 										Quantity: s.Quantity,
 										Type:     types.OrderTypeLimitMaker,
 										Price:    fixedpoint.NewFromFloat(float64(s.obSellPrice)),
-										Tag:      "irr re-balance: sell",
+										Tag:      "irrSell",
 									})
 									if err != nil {
 										log.WithError(err)
@@ -421,7 +413,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 										Quantity: s.Quantity,
 										Type:     types.OrderTypeLimitMaker,
 										Price:    fixedpoint.NewFromFloat(float64(s.obBuyPrice)),
-										Tag:      "irr re-balance: buy",
+										Tag:      "irrBuy",
 									})
 									if err != nil {
 										log.WithError(err)
@@ -452,7 +444,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			for {
 				select {
 				case <-intervalOpenTicker.C:
-					time.Sleep(time.Duration(s.Interval/10) * time.Millisecond)
+					time.Sleep(10 * time.Millisecond)
 					log.Infof("kline open time @ %s", time.Now().Format("2006-01-02 15:04:05.000000"))
 
 					if s.currentTradePrice > 0 && s.closePrice > 0 {