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add price type

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This commit is contained in:
narumi 2024-02-23 13:46:07 +08:00
parent 06c533f3d7
commit 8f2d551399
6 changed files with 61 additions and 34 deletions
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4
config/autobuy.yaml
View File

@ -6,8 +6,8 @@ exchangeStrategies:
symbol: MAXTWD
schedule: "@every 1s"
threshold: 200
# price type: buy, sell, last or mid
priceType: buy
# price type: LAST, BUY, SELL, MID, TAKER, MAKER
priceType: BUY
# order quantity or amount
# quantity: 100

1
config/rebalance.yaml
View File

@ -11,5 +11,6 @@ exchangeStrategies:
threshold: 1%
maxAmount: 1_000 # max amount to buy or sell per order
orderType: LIMIT_MAKER # LIMIT, LIMIT_MAKER or MARKET
priceType: MAKER # LAST, MID, TAKER or MAKER
dryRun: true
onStart: true

23
pkg/strategy/autobuy/strategy.go
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@ -18,8 +18,6 @@ const ID = "autobuy"
var log = logrus.WithField("strategy", ID)
var two = fixedpoint.NewFromInt(2)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
@ -33,7 +31,7 @@ type Strategy struct {
Symbol string `json:"symbol"`
Schedule string `json:"schedule"`
Threshold fixedpoint.Value `json:"threshold"`
PriceType PriceType `json:"priceType"`
PriceType types.PriceType `json:"priceType"`
Bollinger *types.BollingerSetting `json:"bollinger"`
DryRun bool `json:"dryRun"`
@ -67,7 +65,7 @@ func (s *Strategy) Validate() error {
func (s *Strategy) Defaults() error {
if s.PriceType == "" {
s.PriceType = PriceTypeBuy
s.PriceType = types.PriceTypeMaker
}
return nil
}
@ -122,19 +120,8 @@ func (s *Strategy) autobuy(ctx context.Context) {
return
}
var price fixedpoint.Value
switch s.PriceType {
case PriceTypeLast:
price = ticker.Last
case PriceTypeBuy:
price = ticker.Buy
case PriceTypeSell:
price = ticker.Sell
case PriceTypeMid:
price = ticker.Buy.Add(ticker.Sell).Div(two)
default:
price = ticker.Buy
}
side := types.SideTypeBuy
price := s.PriceType.Map(ticker, side)
if price.Float64() > s.boll.UpBand.Last(0) {
log.Infof("price %s is higher than upper band %f, skip", price.String(), s.boll.UpBand.Last(0))
@ -150,7 +137,7 @@ func (s *Strategy) autobuy(ctx context.Context) {
quantity := s.CalculateQuantity(price)
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Side: side,
Type: types.OrderTypeLimitMaker,
Quantity: quantity,
Price: price,

10
pkg/strategy/autobuy/types.go
View File

@ -1,10 +0,0 @@
package autobuy
type PriceType string
const (
PriceTypeLast = PriceType("last")
PriceTypeBuy = PriceType("buy")
PriceTypeSell = PriceType("sell")
PriceTypeMid = PriceType("mid")
)

12
pkg/strategy/rebalance/strategy.go
View File

@ -33,6 +33,7 @@ type Strategy struct {
Threshold fixedpoint.Value `json:"threshold"`
MaxAmount fixedpoint.Value `json:"maxAmount"` // max amount to buy or sell per order
OrderType types.OrderType `json:"orderType"`
PriceType types.PriceType `json:"priceType"`
DryRun bool `json:"dryRun"`
OnStart bool `json:"onStart"` // rebalance on start
@ -46,6 +47,10 @@ func (s *Strategy) Defaults() error {
if s.OrderType == "" {
s.OrderType = types.OrderTypeLimitMaker
}
if s.PriceType == "" {
s.PriceType = types.PriceTypeMaker
}
return nil
}
@ -243,12 +248,11 @@ func (s *Strategy) generateOrder(ctx context.Context) (*types.SubmitOrder, error
return nil, err
}
var price fixedpoint.Value
price := s.PriceType.Map(ticker, side)
if side == types.SideTypeBuy {
price = ticker.Buy
quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(ticker.Sell))
quantity = fixedpoint.Min(quantity, balances[s.QuoteCurrency].Available.Div(price))
} else if side == types.SideTypeSell {
price = ticker.Sell
quantity = fixedpoint.Min(quantity, balances[market.BaseCurrency].Available)
}

45
pkg/types/price_type.go Normal file
View File

@ -0,0 +1,45 @@
package types
import (
"github.com/c9s/bbgo/pkg/fixedpoint"
)
type PriceType string
const (
PriceTypeLast PriceType = "LAST"
PriceTypeBuy PriceType = "BUY" // BID
PriceTypeSell PriceType = "SELL" // ASK
PriceTypeMid PriceType = "MID"
PriceTypeMaker PriceType = "MAKER"
PriceTypeTaker PriceType = "TAKER"
)
func (p PriceType) Map(ticker *Ticker, side SideType) fixedpoint.Value {
price := ticker.Last
switch p {
case PriceTypeLast:
price = ticker.Last
case PriceTypeBuy:
price = ticker.Buy
case PriceTypeSell:
price = ticker.Sell
case PriceTypeMid:
price = ticker.Buy.Add(ticker.Sell).Div(fixedpoint.NewFromInt(2))
case PriceTypeMaker:
if side == SideTypeBuy {
price = ticker.Buy
} else if side == SideTypeSell {
price = ticker.Sell
}
case PriceTypeTaker:
if side == SideTypeBuy {
price = ticker.Sell
} else if side == SideTypeSell {
price = ticker.Buy
}
}
return price
}