grid2: fix profit spread behavior and tests

pkg/strategy/grid2/strategy.go

@@ -37,6 +37,11 @@ type Strategy struct {
 	Symbol string `json:"symbol"`
 
 	// ProfitSpread is the fixed profit spread you want to submit the sell order
+	// When ProfitSpread is enabled, the grid will shift up, e.g.,
+	// If you opened a grid with the price range 10_000 to 20_000
+	// With profit spread set to 3_000
+	// The sell orders will be placed in the range 13_000 to 23_000
+	// And the buy orders will be placed in the original price range 10_000 to 20_000
 	ProfitSpread fixedpoint.Value `json:"profitSpread"`
 
 	// GridNum is the grid number, how many orders you want to post on the orderbook.
@@ -786,6 +791,13 @@ func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoin
 	for i := len(pins) - 1; i >= 0; i-- {
 		pin := pins[i]
 		price := fixedpoint.Value(pin)
+		sellPrice := price
+
+		// when profitSpread is set, the sell price is shift upper with the given spread
+		if s.ProfitSpread.Sign() > 0 {
+			sellPrice = sellPrice.Add(s.ProfitSpread)
+		}
+
 		quantity := s.QuantityOrAmount.Quantity
 		if quantity.IsZero() {
 			quantity = s.QuantityOrAmount.Amount.Div(price)
@@ -799,7 +811,7 @@ func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoin
 					Symbol:      s.Symbol,
 					Type:        types.OrderTypeLimit,
 					Side:        types.SideTypeSell,
-					Price:       price,
+					Price:       sellPrice,
 					Quantity:    quantity,
 					Market:      s.Market,
 					TimeInForce: types.TimeInForceGTC,
@@ -826,7 +838,7 @@ func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoin
 				// skip i == 0
 			}
 		} else {
-			if i+1 == si {
+			if s.ProfitSpread.IsZero() && i+1 == si {
 				continue
 			}
 

pkg/strategy/grid2/strategy_test.go

@@ -56,8 +56,8 @@ type PriceSideAssert struct {
 
 func assertPriceSide(t *testing.T, priceSideAsserts []PriceSideAssert, orders []types.SubmitOrder) {
 	for i, a := range priceSideAsserts {
-		assert.Equal(t, a.Side, orders[i].Side)
-		assert.Equal(t, a.Price, orders[i].Price)
+		assert.Equalf(t, a.Price, orders[i].Price, "order #%d price should be %f", i+1, a.Price.Float64())
+		assert.Equalf(t, a.Side, orders[i].Side, "order at price %f should be %s", a.Price.Float64(), a.Side)
 	}
 }
 
@@ -149,6 +149,38 @@ func TestStrategy_generateGridOrders(t *testing.T) {
 		}, orders)
 	})
 
+	t.Run("enough base + quote + profitSpread", func(t *testing.T) {
+		s := newTestStrategy()
+		s.ProfitSpread = number(1_000)
+		s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
+		s.grid.CalculateArithmeticPins()
+		s.QuantityOrAmount.Quantity = number(0.01)
+
+		lastPrice := number(15300)
+		orders, err := s.generateGridOrders(number(10000.0), number(1.0), lastPrice)
+		assert.NoError(t, err)
+		if !assert.Equal(t, 11, len(orders)) {
+			for _, o := range orders {
+				t.Logf("- %s %s", o.Price.String(), o.Side)
+			}
+		}
+
+		assertPriceSide(t, []PriceSideAssert{
+			{number(21000.0), types.SideTypeSell},
+			{number(20000.0), types.SideTypeSell},
+			{number(19000.0), types.SideTypeSell},
+			{number(18000.0), types.SideTypeSell},
+			{number(17000.0), types.SideTypeSell},
+
+			{number(15000.0), types.SideTypeBuy},
+			{number(14000.0), types.SideTypeBuy},
+			{number(13000.0), types.SideTypeBuy},
+			{number(12000.0), types.SideTypeBuy},
+			{number(11000.0), types.SideTypeBuy},
+			{number(10000.0), types.SideTypeBuy},
+		}, orders)
+	})
+
 }
 
 func TestStrategy_checkRequiredInvestmentByAmount(t *testing.T) {