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Merge pull request #1767 from c9s/c9s/pricesolver/float64
IMPROVE: use float64 in pricesolver internally to make it more precise
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commit
80b1a3262d
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@ -19,12 +19,12 @@ type SimplePriceSolver struct {
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// pricesByBase stores the prices by currency names as a 2-level map
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// BTC -> USDT -> 48000.0
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// BTC -> TWD -> 1536000
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pricesByBase map[string]map[string]fixedpoint.Value
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pricesByBase map[string]map[string]float64
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// pricesByQuote is for reversed pairs, like USDT/TWD or BNB/BTC
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// the reason that we don't store the reverse pricing in the same map is:
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// expression like (1/price) could produce precision issue since the data type is fixed-point, only 8 fraction numbers are supported.
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pricesByQuote map[string]map[string]fixedpoint.Value
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pricesByQuote map[string]map[string]float64
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mu sync.Mutex
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}
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@ -33,8 +33,8 @@ func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceSolver {
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return &SimplePriceSolver{
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markets: markets,
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symbolPrices: make(map[string]fixedpoint.Value),
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pricesByBase: make(map[string]map[string]fixedpoint.Value),
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pricesByQuote: make(map[string]map[string]fixedpoint.Value),
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pricesByBase: make(map[string]map[string]float64),
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pricesByQuote: make(map[string]map[string]float64),
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}
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}
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@ -51,19 +51,19 @@ func (m *SimplePriceSolver) Update(symbol string, price fixedpoint.Value) {
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quoteMap, ok2 := m.pricesByBase[market.BaseCurrency]
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if !ok2 {
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quoteMap = make(map[string]fixedpoint.Value)
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quoteMap = make(map[string]float64)
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m.pricesByBase[market.BaseCurrency] = quoteMap
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}
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quoteMap[market.QuoteCurrency] = price
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quoteMap[market.QuoteCurrency] = price.Float64()
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baseMap, ok3 := m.pricesByQuote[market.QuoteCurrency]
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if !ok3 {
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baseMap = make(map[string]fixedpoint.Value)
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baseMap = make(map[string]float64)
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m.pricesByQuote[market.QuoteCurrency] = baseMap
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}
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baseMap[market.BaseCurrency] = price
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baseMap[market.BaseCurrency] = price.Float64()
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}
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func (m *SimplePriceSolver) UpdateFromTrade(trade types.Trade) {
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@ -98,19 +98,19 @@ func (m *SimplePriceSolver) UpdateFromTickers(ctx context.Context, ex types.Exch
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return nil
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}
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func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
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func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice float64, preferredFiats ...string) (float64, bool) {
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quotePrices, ok := m.pricesByBase[asset]
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if ok {
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for quote, price := range quotePrices {
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for _, fiat := range preferredFiats {
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if quote == fiat {
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return price.Mul(assetPrice), true
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return price * assetPrice, true
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}
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}
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}
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for quote, price := range quotePrices {
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if infPrice, ok := m.inferencePrice(quote, price.Mul(assetPrice), preferredFiats...); ok {
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if infPrice, ok := m.inferencePrice(quote, price*assetPrice, preferredFiats...); ok {
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return infPrice, true
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}
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}
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@ -123,19 +123,19 @@ func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.V
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for base, basePrice := range basePrices {
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for _, fiat := range preferredFiats {
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if base == fiat {
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return assetPrice.Div(basePrice), true
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return assetPrice / basePrice, true
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}
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}
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}
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for base, basePrice := range basePrices {
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if infPrice, ok2 := m.inferencePrice(base, assetPrice.Div(basePrice), preferredFiats...); ok2 {
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if infPrice, ok2 := m.inferencePrice(base, assetPrice/basePrice, preferredFiats...); ok2 {
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return infPrice, true
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}
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}
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}
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return fixedpoint.Zero, false
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return 0.0, false
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}
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func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
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@ -147,5 +147,10 @@ func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string)
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m.mu.Lock()
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defer m.mu.Unlock()
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return m.inferencePrice(asset, fixedpoint.One, preferredFiats...)
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fn, ok := m.inferencePrice(asset, 1.0, preferredFiats...)
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if ok {
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return fixedpoint.NewFromFloat(fn), ok
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}
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return fixedpoint.Zero, false
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}
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