mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
grid2: fix calculateQuoteBaseInvestmentQuantity grid calculation
This commit is contained in:
parent
541c0e76b5
commit
7e0ac66ea1
|
@ -534,7 +534,7 @@ func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInv
|
|||
if sellPrice.Compare(lastPrice) < 0 {
|
||||
break
|
||||
}
|
||||
|
||||
|
||||
numberOfSellOrders++
|
||||
}
|
||||
|
||||
|
@ -552,17 +552,25 @@ func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInv
|
|||
s.logger.Infof("grid base investment quantity range: %f <=> %f", minBaseQuantity.Float64(), maxBaseQuantity.Float64())
|
||||
}
|
||||
|
||||
buyPlacedPrice := fixedpoint.Zero
|
||||
totalQuotePrice := fixedpoint.Zero
|
||||
// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
|
||||
// =>
|
||||
// quoteInvestment = (p1 + p2 + p3) * q
|
||||
// maxBuyQuantity = quoteInvestment / (p1 + p2 + p3)
|
||||
si := len(pins) - 1
|
||||
for i := len(pins) - 1; i >= 0; i-- {
|
||||
pin := pins[i]
|
||||
price := fixedpoint.Value(pin)
|
||||
sellPrice := price
|
||||
|
||||
// when profitSpread is set, the sell price is shift upper with the given spread
|
||||
if s.ProfitSpread.Sign() > 0 {
|
||||
sellPrice = sellPrice.Add(s.ProfitSpread)
|
||||
}
|
||||
|
||||
if price.Compare(lastPrice) >= 0 {
|
||||
si = i
|
||||
|
||||
// for orders that sell
|
||||
// if we still have the base balance
|
||||
// quantity := amount.Div(lastPrice)
|
||||
|
@ -572,11 +580,10 @@ func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInv
|
|||
nextLowerPrice := fixedpoint.Value(nextLowerPin)
|
||||
// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))
|
||||
totalQuotePrice = totalQuotePrice.Add(nextLowerPrice)
|
||||
buyPlacedPrice = nextLowerPrice
|
||||
}
|
||||
} else {
|
||||
// for orders that buy
|
||||
if !buyPlacedPrice.IsZero() && price.Compare(buyPlacedPrice) == 0 {
|
||||
if s.ProfitSpread.IsZero() && i+1 == si {
|
||||
continue
|
||||
}
|
||||
|
||||
|
|
Loading…
Reference in New Issue
Block a user