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support: fix sensitivity calculation

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This commit is contained in:
c9s 2021-06-16 14:16:39 +08:00
parent 5fecccedd6
commit 811319fa25
1 changed files with 3 additions and 4 deletions
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7
pkg/strategy/support/strategy.go
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@ -148,7 +148,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return err return err
} }
s.MinVolume = fixedpoint.NewFromFloat(volRange[1]).Mul(fixedpoint.NewFromFloat(1.0) - s.Sensitivity) s.MinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1] - volRange[0]).Mul(fixedpoint.NewFromFloat(1.0) - s.Sensitivity)
log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64()) log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
} }
@ -162,7 +162,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return err return err
} }
s.ResistanceMinVolume = fixedpoint.NewFromFloat(volRange[1]).Mul(fixedpoint.NewFromFloat(1.0) - s.ResistanceSensitivity) s.ResistanceMinVolume = fixedpoint.NewFromFloat(volRange[0]) + fixedpoint.NewFromFloat(volRange[1] - volRange[0]).Mul(fixedpoint.NewFromFloat(1.0) - s.ResistanceSensitivity)
log.Infof("adjusted minimal resistance volume to %f according to sensitivity %f", s.ResistanceMinVolume.Float64(), s.ResistanceSensitivity.Float64()) log.Infof("adjusted minimal resistance volume to %f according to sensitivity %f", s.ResistanceMinVolume.Float64(), s.ResistanceSensitivity.Float64())
} }
@ -218,12 +218,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
takerBuyBaseVolumeThreshold := kline.Volume * s.ResistanceTakerBuyRatio.Float64() takerBuyBaseVolumeThreshold := kline.Volume * s.ResistanceTakerBuyRatio.Float64()
if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold { if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold {
s.Notify("%s: resistance detected, taker buy base volume %f > threshold %f (volume %f) at price %f", s.Notify("%s: resistance detected, taker buy base volume %f < threshold %f (volume %f) at price %f",
s.Symbol, s.Symbol,
kline.TakerBuyBaseAssetVolume, kline.TakerBuyBaseAssetVolume,
takerBuyBaseVolumeThreshold, takerBuyBaseVolumeThreshold,
kline.Volume, kline.Volume,
s.TakerBuyRatio.Float64(),
closePriceF, closePriceF,
) )
return return