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Merge pull request #1721 from c9s/c9s/xmaker/fix-agg-price-method

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FIX: [xmaker] fix aggregatePrice method
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c9s 2024-08-28 22:46:19 +08:00 committed by GitHub
commit 8e91a023ca
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1 changed files with 8 additions and 12 deletions
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20
pkg/strategy/xmaker/strategy.go
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@ -167,29 +167,23 @@ func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
} }
func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) { func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
q := requiredQuantity
totalAmount := fixedpoint.Zero
if len(pvs) == 0 { if len(pvs) == 0 {
price = fixedpoint.Zero price = fixedpoint.Zero
return price return price
} else if pvs[0].Volume.Compare(requiredQuantity) >= 0 {
return pvs[0].Price
} }
sumAmount := fixedpoint.Zero
sumQty := fixedpoint.Zero
for i := 0; i < len(pvs); i++ { for i := 0; i < len(pvs); i++ {
pv := pvs[i] pv := pvs[i]
if pv.Volume.Compare(q) >= 0 { sumQty = sumQty.Add(pv.Volume)
totalAmount = totalAmount.Add(q.Mul(pv.Price)) sumAmount = sumAmount.Add(pv.Volume.Mul(pv.Price))
if sumQty.Compare(requiredQuantity) >= 0 {
break break
} }
q = q.Sub(pv.Volume)
totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
} }
price = totalAmount.Div(requiredQuantity) return sumAmount.Div(sumQty)
return price
} }
func (s *Strategy) Initialize() error { func (s *Strategy) Initialize() error {
@ -573,6 +567,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
} }
if i == 0 { if i == 0 {
s.logger.Infof("maker best bid price %f", bidPrice.Float64())
makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64()) makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
} }
@ -640,6 +635,7 @@ func (s *Strategy) updateQuote(ctx context.Context) {
} }
if i == 0 { if i == 0 {
s.logger.Infof("maker best ask price %f", askPrice.Float64())
makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64()) makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
} }