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xmaker: improve bid/ask pricing when UseDepthPrice and DepthQuantity are on
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parent
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commit
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@ -498,21 +498,32 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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}
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}
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accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
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accumulativeBidQuantity = accumulativeBidQuantity.Add(bidQuantity)
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if s.UseDepthPrice {
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if s.UseDepthPrice {
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sideBook := sourceBook.SideBook(types.SideTypeBuy)
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sideBook := sourceBook.SideBook(types.SideTypeBuy)
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if s.DepthQuantity.Sign() > 0 {
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if s.DepthQuantity.Sign() > 0 {
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bidPrice = aggregatePrice(sideBook, s.DepthQuantity)
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if i == 0 {
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bidPrice = aggregatePrice(sideBook, s.DepthQuantity)
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
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pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
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bidPrice = bidPrice.Sub(pips)
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}
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} else {
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} else {
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bidPrice = aggregatePrice(sideBook, accumulativeBidQuantity)
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bidPrice = aggregatePrice(sideBook, accumulativeBidQuantity)
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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}
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} else {
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if i == 0 {
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
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pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
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bidPrice = bidPrice.Sub(pips)
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}
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}
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}
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}
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if i == 0 {
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if i == 0 {
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bidPrice = bidPrice.Mul(fixedpoint.One.Sub(quote.BidMargin))
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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makerBestBidPriceMetrics.With(labels).Set(bidPrice.Float64())
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} else if i > 0 && quote.BidLayerPips.Sign() > 0 {
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pips := quote.BidLayerPips.Mul(s.makerMarket.TickSize)
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bidPrice = bidPrice.Sub(pips)
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}
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}
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
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@ -558,18 +569,28 @@ func (s *Strategy) updateQuote(ctx context.Context) {
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if s.UseDepthPrice {
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if s.UseDepthPrice {
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if s.DepthQuantity.Sign() > 0 {
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if s.DepthQuantity.Sign() > 0 {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
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if i == 0 {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), s.DepthQuantity)
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
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pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
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askPrice = askPrice.Add(pips)
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}
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} else {
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} else {
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
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askPrice = aggregatePrice(sourceBook.SideBook(types.SideTypeSell), accumulativeAskQuantity)
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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}
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} else {
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if i == 0 {
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
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pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
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askPrice = askPrice.Add(pips)
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}
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}
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}
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}
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if i == 0 {
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if i == 0 {
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askPrice = askPrice.Mul(fixedpoint.One.Add(quote.AskMargin))
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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makerBestAskPriceMetrics.With(labels).Set(askPrice.Float64())
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} else if i > 0 && quote.AskLayerPips.Sign() > 0 {
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pips := quote.AskLayerPips.Mul(s.makerMarket.TickSize)
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askPrice = askPrice.Add(pips)
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}
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}
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
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