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xgap: add SimulateVolume

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This commit is contained in:
c9s 2021-12-28 01:47:07 +08:00
parent e911530eab
commit 958dd97f52
1 changed files with 37 additions and 20 deletions
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57
pkg/strategy/xgap/strategy.go
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@ -64,16 +64,17 @@ type Strategy struct {
DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
UpdateInterval types.Duration `json:"updateInterval"`
SimulateVolume bool `json:"simulateVolume"`
sourceSession, tradingSession *bbgo.ExchangeSession
sourceMarket, tradingMarket types.Market
state *State
mu sync.Mutex
lastKLine types.KLine
sourceBook, tradingBook *types.StreamOrderBook
groupID uint32
mu sync.Mutex
lastSourceKLine, lastTradingKLine types.KLine
sourceBook, tradingBook *types.StreamOrderBook
groupID uint32
stopC chan struct{}
}
@ -200,9 +201,15 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
// from here, set data binding
s.sourceSession.MarketDataStream.OnKLine(func(kline types.KLine) {
log.Infof("source exchange %s price: %f", s.Symbol, kline.Close)
log.Infof("source exchange %s price: %f volume: %f", s.Symbol, kline.Close, kline.Volume)
s.mu.Lock()
s.lastKLine = kline
s.lastSourceKLine = kline
s.mu.Unlock()
})
s.tradingSession.MarketDataStream.OnKLine(func(kline types.KLine) {
log.Infof("trading exchange %s price: %f volume: %f", s.Symbol, kline.Close, kline.Volume)
s.mu.Lock()
s.lastTradingKLine = kline
s.mu.Unlock()
})
@ -284,6 +291,16 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
if s.Quantity > 0 {
quantity = s.Quantity.Float64()
quantity = math.Min(quantity, s.tradingMarket.MinQuantity)
} else if s.SimulateVolume {
s.mu.Lock()
if s.lastTradingKLine.Volume > 0 && s.lastSourceKLine.Volume > 0 {
volumeDiff := s.lastSourceKLine.Volume - s.lastTradingKLine.Volume
// change the current quantity only diff is positive
if volumeDiff > 0 {
quantity = volumeDiff
}
}
s.mu.Unlock()
}
var quoteAmount = price * quantity
@ -294,23 +311,23 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
}
createdOrders, err := tradingSession.Exchange.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.tradingMarket,
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.tradingMarket,
// TimeInForce: "GTC",
GroupID: s.groupID,
GroupID: s.groupID,
}, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.tradingMarket,
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.tradingMarket,
// TimeInForce: "GTC",
GroupID: s.groupID,
GroupID: s.groupID,
})
if err != nil {
log.WithError(err).Error("order submit error")