inventory skew

pkg/strategy/fixedmaker/inventory_skew.go

@@ -0,0 +1,43 @@
+package fixedmaker
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+var (
+	zero = fixedpoint.Zero
+	two  = fixedpoint.NewFromFloat(2.0)
+)
+
+type InventorySkewBidAskRatios struct {
+	bidRatio fixedpoint.Value
+	askRatio fixedpoint.Value
+}
+
+// https://hummingbot.org/strategy-configs/inventory-skew/
+// https://github.com/hummingbot/hummingbot/blob/31fc61d5e71b2c15732142d30983f3ea2be4d466/hummingbot/strategy/pure_market_making/inventory_skew_calculator.pyx
+type InventorySkew struct {
+	InventoryRangeMultiplier fixedpoint.Value `json:"inventoryRangeMultiplier"`
+	TargetBaseRatio          fixedpoint.Value `json:"targetBaseRatio"`
+}
+
+func (s *InventorySkew) CalculateBidAskRatios(quantity fixedpoint.Value, price fixedpoint.Value, baseBalance fixedpoint.Value, quoteBalance fixedpoint.Value) *InventorySkewBidAskRatios {
+	baseValue := baseBalance.Mul(price)
+	totalValue := baseValue.Add(quoteBalance)
+
+	inventoryRange := s.InventoryRangeMultiplier.Mul(quantity.Mul(two)).Mul(price)
+	leftLimit := s.TargetBaseRatio.Mul(totalValue).Sub(inventoryRange)
+	rightLimit := s.TargetBaseRatio.Mul(totalValue).Add(inventoryRange)
+
+	bidAdjustment := interp(baseValue, leftLimit, rightLimit, two, zero).Clamp(zero, two)
+	askAdjustment := interp(baseValue, leftLimit, rightLimit, zero, two).Clamp(zero, two)
+
+	return &InventorySkewBidAskRatios{
+		bidRatio: bidAdjustment,
+		askRatio: askAdjustment,
+	}
+}
+
+func interp(x, x0, x1, y0, y1 fixedpoint.Value) fixedpoint.Value {
+	return y0.Add(x.Sub(x0).Mul(y1.Sub(y0)).Div(x1.Sub(x0)))
+}

pkg/strategy/fixedmaker/inventory_skew_test.go

@@ -0,0 +1,69 @@
+package fixedmaker
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
+	cases := []struct {
+		quantity     fixedpoint.Value
+		price        fixedpoint.Value
+		baseBalance  fixedpoint.Value
+		quoteBalance fixedpoint.Value
+		want         *InventorySkewBidAskRatios
+	}{
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(1.0),
+			quoteBalance: fixedpoint.NewFromFloat(1000),
+			want: &InventorySkewBidAskRatios{
+				bidRatio: fixedpoint.NewFromFloat(1.0),
+				askRatio: fixedpoint.NewFromFloat(1.0),
+			},
+		},
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(1.0),
+			quoteBalance: fixedpoint.NewFromFloat(1200),
+			want: &InventorySkewBidAskRatios{
+				bidRatio: fixedpoint.NewFromFloat(1.5),
+				askRatio: fixedpoint.NewFromFloat(0.5),
+			},
+		},
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(0.0),
+			quoteBalance: fixedpoint.NewFromFloat(10000),
+			want: &InventorySkewBidAskRatios{
+				bidRatio: fixedpoint.NewFromFloat(2.0),
+				askRatio: fixedpoint.NewFromFloat(0.0),
+			},
+		},
+		{
+			quantity:     fixedpoint.NewFromFloat(1.0),
+			price:        fixedpoint.NewFromFloat(1000),
+			baseBalance:  fixedpoint.NewFromFloat(2.0),
+			quoteBalance: fixedpoint.NewFromFloat(0.0),
+			want: &InventorySkewBidAskRatios{
+				bidRatio: fixedpoint.NewFromFloat(0.0),
+				askRatio: fixedpoint.NewFromFloat(2.0),
+			},
+		},
+	}
+
+	for _, c := range cases {
+		s := &InventorySkew{
+			InventoryRangeMultiplier: fixedpoint.NewFromFloat(0.1),
+			TargetBaseRatio:          fixedpoint.NewFromFloat(0.5),
+		}
+		got := s.CalculateBidAskRatios(c.quantity, c.price, c.baseBalance, c.quoteBalance)
+		assert.Equal(t, c.want.bidRatio.Float64(), got.bidRatio.Float64())
+		assert.Equal(t, c.want.askRatio.Float64(), got.askRatio.Float64())
+	}
+}