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fix: set backtest cancel Delta to be 1e-11

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This commit is contained in:
zenix 2022-02-15 18:59:10 +09:00
parent 7455279517
commit a3a262783f
3 changed files with 20 additions and 8 deletions
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3
pkg/fixedpoint/dec.go
View File

@ -790,8 +790,7 @@ func (dn Value) Int64() int64 {
return 0
}
if dn.sign != signNegInf && dn.sign != signPosInf {
if 0 < dn.exp && dn.exp < digitsMax &&
(dn.coef%pow10[digitsMax-dn.exp]) == 0 { // usual case
if 0 < dn.exp && dn.exp < digitsMax {
return int64(dn.sign) * int64(dn.coef/pow10[digitsMax-dn.exp])
} else if dn.exp <= 0 && dn.coef != 0 {
result := math.Log10(float64(dn.coef)) - float64(digitsMax) + float64(dn.exp)

23
pkg/strategy/grid/strategy.go
View File

@ -149,6 +149,12 @@ func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]type
numGrids := fixedpoint.NewFromInt(s.GridNum)
gridSpread := priceRange.Div(numGrids)
if gridSpread.IsZero() {
return nil, fmt.Errorf(
"either numGrids(%v) is too big or priceRange(%v) is too small, "+
"the differences of grid prices become zero", numGrids, priceRange)
}
// find the nearest grid price from the current price
startPrice := fixedpoint.Max(
s.LowerPrice,
@ -156,9 +162,9 @@ func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]type
s.UpperPrice.Sub(currentPrice).Div(gridSpread).Trunc().Mul(gridSpread)))
if startPrice.Compare(s.UpperPrice) > 0 {
return nil, fmt.Errorf("current price %s exceeded the upper price boundary %s",
currentPrice.String(),
s.UpperPrice.String())
return nil, fmt.Errorf("current price %v exceeded the upper price boundary %v",
currentPrice,
s.UpperPrice)
}
balances := session.Account.Balances()
@ -230,13 +236,20 @@ func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types
}
if currentPrice.Compare(s.LowerPrice) < 0 {
return nil, fmt.Errorf("current price %s is lower than the lower price %s", currentPrice.String(), s.LowerPrice.String())
return nil, fmt.Errorf("current price %v is lower than the lower price %v",
currentPrice, s.LowerPrice)
}
priceRange := s.UpperPrice.Sub(s.LowerPrice)
numGrids := fixedpoint.NewFromInt(s.GridNum)
gridSpread := priceRange.Div(numGrids)
if gridSpread.IsZero() {
return nil, fmt.Errorf(
"either numGrids(%v) is too big or priceRange(%v) is too small, "+
"the differences of grid prices become zero", numGrids, priceRange)
}
// Find the nearest grid price for placing buy orders:
// buyRange = currentPrice - lowerPrice
// numOfBuyGrids = Floor(buyRange / gridSpread)
@ -250,7 +263,7 @@ func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types
currentPrice.Sub(s.LowerPrice).Div(gridSpread).Trunc().Mul(gridSpread)))
if startPrice.Compare(s.LowerPrice) < 0 {
return nil, fmt.Errorf("current price %s exceeded the lower price boundary %v",
return nil, fmt.Errorf("current price %v exceeded the lower price boundary %v",
currentPrice,
s.UpperPrice)
}

2
pkg/types/account.go
View File

@ -316,7 +316,7 @@ func (a *Account) UseLockedBalance(currency string, fund fixedpoint.Value) error
return fmt.Errorf("trying to use more than locked: locked %v < want to use %v", balance.Locked, fund)
}
var QuantityDelta = fixedpoint.MustNewFromString("0.0000000000001")
var QuantityDelta = fixedpoint.MustNewFromString("0.00000000001")
func (a *Account) UnlockBalance(currency string, unlocked fixedpoint.Value) error {
a.Lock()