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grid2: define PinCalculator type

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This commit is contained in:
c9s 2022-11-09 19:43:14 +08:00
parent a8cbe0e488
commit a42c1799e2
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GPG Key ID: 7385E7E464CB0A54
3 changed files with 26 additions and 10 deletions
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22
pkg/strategy/grid2/grid.go
View File

@ -7,6 +7,8 @@ import (
"github.com/c9s/bbgo/pkg/fixedpoint"
)
type PinCalculator func() []Pin
type Grid struct {
UpperPrice fixedpoint.Value `json:"upperPrice"`
LowerPrice fixedpoint.Value `json:"lowerPrice"`
@ -24,6 +26,8 @@ type Grid struct {
Pins []Pin `json:"pins"`
pinsCache map[Pin]struct{} `json:"-"`
calculator PinCalculator
}
type Pin fixedpoint.Value
@ -63,9 +67,21 @@ func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid {
return grid
}
func (g *Grid) CalculatePins() {
var pins = calculateArithmeticPins(g.LowerPrice, g.UpperPrice, g.Spread, g.TickSize)
g.addPins(pins)
func (g *Grid) CalculateGeometricPins() {
g.calculator = func() []Pin {
// return calculateArithmeticPins(g.LowerPrice, g.UpperPrice, g.Spread, g.TickSize)
return nil
}
g.addPins(g.calculator())
}
func (g *Grid) CalculateArithmeticPins() {
g.calculator = func() []Pin {
return calculateArithmeticPins(g.LowerPrice, g.UpperPrice, g.Spread, g.TickSize)
}
g.addPins(g.calculator())
}
func (g *Grid) Height() fixedpoint.Value {

12
pkg/strategy/grid2/grid_test.go
View File

@ -28,7 +28,7 @@ func TestNewGrid(t *testing.T) {
lower := fixedpoint.NewFromFloat(100.0)
size := fixedpoint.NewFromFloat(100.0)
grid := NewGrid(lower, upper, size, number(0.01))
grid.CalculatePins()
grid.CalculateArithmeticPins()
assert.Equal(t, upper, grid.UpperPrice)
assert.Equal(t, lower, grid.LowerPrice)
@ -44,7 +44,7 @@ func TestGrid_HasPin(t *testing.T) {
lower := fixedpoint.NewFromFloat(100.0)
size := fixedpoint.NewFromFloat(100.0)
grid := NewGrid(lower, upper, size, number(0.01))
grid.CalculatePins()
grid.CalculateArithmeticPins()
assert.True(t, grid.HasPin(Pin(number(100.0))))
assert.True(t, grid.HasPin(Pin(number(500.0))))
@ -56,7 +56,7 @@ func TestGrid_ExtendUpperPrice(t *testing.T) {
lower := number(100.0)
size := number(4.0)
grid := NewGrid(lower, upper, size, number(0.01))
grid.CalculatePins()
grid.CalculateArithmeticPins()
originalSpread := grid.Spread
@ -76,7 +76,7 @@ func TestGrid_ExtendLowerPrice(t *testing.T) {
lower := fixedpoint.NewFromFloat(2000.0)
size := fixedpoint.NewFromFloat(10.0)
grid := NewGrid(lower, upper, size, number(0.01))
grid.CalculatePins()
grid.CalculateArithmeticPins()
assert.Equal(t, Pin(number(2000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
@ -111,7 +111,7 @@ func TestGrid_NextLowerPin(t *testing.T) {
lower := number(100.0)
size := number(4.0)
grid := NewGrid(lower, upper, size, number(0.01))
grid.CalculatePins()
grid.CalculateArithmeticPins()
t.Logf("pins: %+v", grid.Pins)
@ -129,7 +129,7 @@ func TestGrid_NextHigherPin(t *testing.T) {
lower := number(100.0)
size := number(4.0)
grid := NewGrid(lower, upper, size, number(0.01))
grid.CalculatePins()
grid.CalculateArithmeticPins()
t.Logf("pins: %+v", grid.Pins)
next, ok := grid.NextHigherPin(number(100.0))

2
pkg/strategy/grid2/strategy.go
View File

@ -126,7 +126,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
s.grid.CalculatePins()
s.grid.CalculateArithmeticPins()
s.orderStore = bbgo.NewOrderStore(s.Symbol)
s.orderStore.BindStream(session.UserDataStream)