lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-25 16:25:16 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

xmaker: improve bid/ask pricing when UseDepthPrice and DepthQuantity are on

Browse Source
This commit is contained in:
c9s 2024-08-27 18:09:14 +08:00
parent a740ef10c2
commit 9939b5ce68
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 31 additions and 10 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

37
pkg/strategy/xmaker/strategy.go
View File

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