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fix grid strategy for backtesting

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This commit is contained in:
c9s 2020-11-10 14:18:54 +08:00
parent 770efeed4f
commit 941c93794c
2 changed files with 21 additions and 35 deletions
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4
pkg/strategy/flashcrash/strategy.go
View File

@ -63,8 +63,8 @@ func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bb
balances := session.Account.Balances() balances := session.Account.Balances()
balance, ok := balances[quoteCurrency] balance, ok := balances[quoteCurrency]
if !ok || balance.Available <= 0.0 { if !ok || balance.Available <= 0 {
log.Infof("insufficient balance of %s: %f", quoteCurrency, balance.Available) log.Infof("insufficient balance of %s: %f", quoteCurrency, balance.Available.Float64())
return return
} }

52
pkg/strategy/grid/strategy.go
View File

@ -88,12 +88,7 @@ func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bb
balances := session.Account.Balances() balances := session.Account.Balances()
balance, ok := balances[quoteCurrency] balance, ok := balances[quoteCurrency]
if !ok || balance.Available <= 0.0 { if !ok || balance.Available <= 0 {
return
}
var numOrders = s.GridNum - s.activeOrders.NumOfBids()
if numOrders <= 0 {
return return
} }
@ -105,7 +100,7 @@ func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bb
var startPrice = downBand var startPrice = downBand
var submitOrders []types.SubmitOrder var submitOrders []types.SubmitOrder
for i := 0; i < numOrders; i++ { for i := 0; i < s.GridNum; i++ {
submitOrders = append(submitOrders, types.SubmitOrder{ submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Side: types.SideTypeBuy, Side: types.SideTypeBuy,
@ -121,6 +116,7 @@ func (s *Strategy) updateBidOrders(orderExecutor bbgo.OrderExecutor, session *bb
orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...) orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
if err != nil { if err != nil {
log.WithError(err).Errorf("can not place orders")
return return
} }
@ -132,12 +128,7 @@ func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bb
balances := session.Account.Balances() balances := session.Account.Balances()
balance, ok := balances[baseCurrency] balance, ok := balances[baseCurrency]
if !ok || balance.Available <= 0.0 { if !ok || balance.Available <= 0 {
return
}
var numOrders = s.GridNum - s.activeOrders.NumOfAsks()
if numOrders <= 0 {
return return
} }
@ -149,7 +140,7 @@ func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bb
var startPrice = upBand var startPrice = upBand
var submitOrders []types.SubmitOrder var submitOrders []types.SubmitOrder
for i := 0; i < numOrders; i++ { for i := 0; i < s.GridNum; i++ {
submitOrders = append(submitOrders, types.SubmitOrder{ submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Side: types.SideTypeSell, Side: types.SideTypeSell,
@ -165,6 +156,7 @@ func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bb
orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...) orders, err := orderExecutor.SubmitOrders(context.Background(), submitOrders...)
if err != nil { if err != nil {
log.WithError(err).Errorf("can not place orders")
return return
} }
@ -182,26 +174,20 @@ func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.
log.WithError(err).Errorf("cancel order error") log.WithError(err).Errorf("cancel order error")
} }
log.Infof("checking grid orders, bids=%d asks=%d", s.activeOrders.Bids.Len(), s.activeOrders.Asks.Len())
_, ok := session.Account.Balance(s.Market.QuoteCurrency)
if ok {
s.updateBidOrders(orderExecutor, session)
}
_, ok = session.Account.Balance(s.Market.BaseCurrency)
// TODO: add base asset quantity check, think about how to reuse the risk control executor
if ok {
s.updateAskOrders(orderExecutor, session)
}
s.activeOrders.Print() s.activeOrders.Print()
if s.activeOrders.Bids.Len() < s.GridNum {
_, ok := session.Account.Balance(s.Market.QuoteCurrency)
if ok {
log.Infof("active bid orders not enough: %d < %d, updating...", s.activeOrders.Bids.Len(), s.GridNum)
s.updateBidOrders(orderExecutor, session)
}
}
if s.activeOrders.Asks.Len() < s.GridNum {
_, ok := session.Account.Balance(s.Market.BaseCurrency)
// TODO: add base asset quantity check, think about how to reuse the risk control executor
if ok {
log.Infof("active ask orders not enough: %d < %d, updating...", s.activeOrders.Asks.Len(), s.GridNum)
s.updateAskOrders(orderExecutor, session)
}
}
} }
func (s *Strategy) orderUpdateHandler(order types.Order) { func (s *Strategy) orderUpdateHandler(order types.Order) {