lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-21 22:43:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

pricesolver: use float64 internally to make it faster and more precise

Browse Source
This commit is contained in:
c9s 2024-10-05 14:26:15 +08:00
parent 7506fb63a8
commit a94d1b424f
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 20 additions and 15 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

35
pkg/pricesolver/simple.go
View File

@ -19,12 +19,12 @@ type SimplePriceSolver struct {
// pricesByBase stores the prices by currency names as a 2-level map
// BTC -> USDT -> 48000.0
// BTC -> TWD -> 1536000
pricesByBase map[string]map[string]fixedpoint.Value
pricesByBase map[string]map[string]float64
// pricesByQuote is for reversed pairs, like USDT/TWD or BNB/BTC
// the reason that we don't store the reverse pricing in the same map is:
// expression like (1/price) could produce precision issue since the data type is fixed-point, only 8 fraction numbers are supported.
pricesByQuote map[string]map[string]fixedpoint.Value
pricesByQuote map[string]map[string]float64
mu sync.Mutex
}
@ -33,8 +33,8 @@ func NewSimplePriceResolver(markets types.MarketMap) *SimplePriceSolver {
return &SimplePriceSolver{
markets: markets,
symbolPrices: make(map[string]fixedpoint.Value),
pricesByBase: make(map[string]map[string]fixedpoint.Value),
pricesByQuote: make(map[string]map[string]fixedpoint.Value),
pricesByBase: make(map[string]map[string]float64),
pricesByQuote: make(map[string]map[string]float64),
}
}
@ -51,19 +51,19 @@ func (m *SimplePriceSolver) Update(symbol string, price fixedpoint.Value) {
quoteMap, ok2 := m.pricesByBase[market.BaseCurrency]
if !ok2 {
quoteMap = make(map[string]fixedpoint.Value)
quoteMap = make(map[string]float64)
m.pricesByBase[market.BaseCurrency] = quoteMap
}
quoteMap[market.QuoteCurrency] = price
quoteMap[market.QuoteCurrency] = price.Float64()
baseMap, ok3 := m.pricesByQuote[market.QuoteCurrency]
if !ok3 {
baseMap = make(map[string]fixedpoint.Value)
baseMap = make(map[string]float64)
m.pricesByQuote[market.QuoteCurrency] = baseMap
}
baseMap[market.BaseCurrency] = price
baseMap[market.BaseCurrency] = price.Float64()
}
func (m *SimplePriceSolver) UpdateFromTrade(trade types.Trade) {
@ -98,19 +98,19 @@ func (m *SimplePriceSolver) UpdateFromTickers(ctx context.Context, ex types.Exch
return nil
}
func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice float64, preferredFiats ...string) (float64, bool) {
quotePrices, ok := m.pricesByBase[asset]
if ok {
for quote, price := range quotePrices {
for _, fiat := range preferredFiats {
if quote == fiat {
return price.Mul(assetPrice), true
return price * assetPrice, true
}
}
}
for quote, price := range quotePrices {
if infPrice, ok := m.inferencePrice(quote, price.Mul(assetPrice), preferredFiats...); ok {
if infPrice, ok := m.inferencePrice(quote, price*assetPrice, preferredFiats...); ok {
return infPrice, true
}
}
@ -123,19 +123,19 @@ func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.V
for base, basePrice := range basePrices {
for _, fiat := range preferredFiats {
if base == fiat {
return assetPrice.Div(basePrice), true
return assetPrice / basePrice, true
}
}
}
for base, basePrice := range basePrices {
if infPrice, ok2 := m.inferencePrice(base, assetPrice.Div(basePrice), preferredFiats...); ok2 {
if infPrice, ok2 := m.inferencePrice(base, assetPrice/basePrice, preferredFiats...); ok2 {
return infPrice, true
}
}
}
return fixedpoint.Zero, false
return 0.0, false
}
func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
@ -147,5 +147,10 @@ func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string)
m.mu.Lock()
defer m.mu.Unlock()
return m.inferencePrice(asset, fixedpoint.One, preferredFiats...)
fn, ok := m.inferencePrice(asset, 1.0, preferredFiats...)
if ok {
return fixedpoint.NewFromFloat(fn), ok
}
return fixedpoint.Zero, false
}