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grid2: call TruncatePrice on profitSpread

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c9s 2022-12-06 02:13:32 +08:00
parent dd591c936f
commit aa5f2a032a
2 changed files with 24 additions and 12 deletions
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32
config/grid2.yaml
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@ -16,8 +16,8 @@ sessions:
# example command: # example command:
# go run ./cmd/bbgo backtest --config config/grid2.yaml --base-asset-baseline # go run ./cmd/bbgo backtest --config config/grid2.yaml --base-asset-baseline
backtest: backtest:
startTime: "2022-06-01" startTime: "2021-06-01"
endTime: "2022-06-30" endTime: "2021-12-31"
symbols: symbols:
- BTCUSDT - BTCUSDT
sessions: [binance] sessions: [binance]
@ -25,16 +25,16 @@ backtest:
binance: binance:
balances: balances:
BTC: 0.0 BTC: 0.0
USDT: 10000.0 USDT: 21_000.0
exchangeStrategies: exchangeStrategies:
- on: binance - on: binance
grid2: grid2:
symbol: BTCUSDT symbol: BTCUSDT
upperPrice: 15_000.0 upperPrice: 60_000.0
lowerPrice: 10_000.0 lowerPrice: 28_000.0
gridNumber: 10 gridNumber: 1000
## compound is used for buying more inventory when the profit is made by the filled SELL order. ## compound is used for buying more inventory when the profit is made by the filled SELL order.
## when compound is disabled, fixed quantity is used for each grid order. ## when compound is disabled, fixed quantity is used for each grid order.
@ -45,14 +45,14 @@ exchangeStrategies:
## meaning that earn BTC instead of USDT when trading in the BTCUSDT pair. ## meaning that earn BTC instead of USDT when trading in the BTCUSDT pair.
# earnBase: true # earnBase: true
## triggerPrice is used for opening your grid only when the last price touches your trigger price. ## triggerPrice (optional) is used for opening your grid only when the last price touches your trigger price.
## this is useful when you don't want to create a grid from a higher price. ## this is useful when you don't want to create a grid from a higher price.
## for example, when the last price hit 17_000.0 then open a grid with the price range 13_000 to 20_000 ## for example, when the last price hit 17_000.0 then open a grid with the price range 13_000 to 20_000
triggerPrice: 17_000.0 # triggerPrice: 17_000.0
## triggerPrice is used for closing your grid only when the last price touches your stop loss price. ## triggerPrice (optional) is used for closing your grid only when the last price touches your stop loss price.
## for example, when the price drops to 17_000.0 then close the grid and sell all base inventory. ## for example, when the price drops to 17_000.0 then close the grid and sell all base inventory.
stopLossPrice: 10_000.0 # stopLossPrice: 10_000.0
## profitSpread is the profit spread of the arbitrage order (sell order) ## profitSpread is the profit spread of the arbitrage order (sell order)
## greater the profitSpread, greater the profit you make when the sell order is filled. ## greater the profitSpread, greater the profit you make when the sell order is filled.
@ -73,12 +73,20 @@ exchangeStrategies:
## 3) quoteInvestment and baseInvestment: when using quoteInvestment, the strategy will automatically calculate your best quantity for the whole grid. ## 3) quoteInvestment and baseInvestment: when using quoteInvestment, the strategy will automatically calculate your best quantity for the whole grid.
## quoteInvestment is required, and baseInvestment is optional (could be zero) ## quoteInvestment is required, and baseInvestment is optional (could be zero)
## if you have existing BTC position and want to reuse it you can set the baseInvestment. ## if you have existing BTC position and want to reuse it you can set the baseInvestment.
quoteInvestment: 10_000 quoteInvestment: 20_000
## baseInvestment is optional ## baseInvestment (optional) can be useful when you have existing inventory, maybe bought at much lower price
baseInvestment: 0.0 baseInvestment: 0.0
## closeWhenCancelOrder (optional)
## default to false
closeWhenCancelOrder: true closeWhenCancelOrder: true
## resetPositionWhenStart (optional)
## default to false
resetPositionWhenStart: false resetPositionWhenStart: false
## clearOpenOrdersWhenStart (optional)
## default to false
clearOpenOrdersWhenStart: false clearOpenOrdersWhenStart: false
keepOrdersWhenShutdown: false keepOrdersWhenShutdown: false

4
pkg/strategy/grid2/strategy.go
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@ -931,6 +931,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.groupID = util.FNV32(instanceID) s.groupID = util.FNV32(instanceID)
s.logger.Infof("using group id %d from fnv(%s)", s.groupID, instanceID) s.logger.Infof("using group id %d from fnv(%s)", s.groupID, instanceID)
if s.ProfitSpread.Sign() > 0 {
s.ProfitSpread = s.Market.TruncatePrice(s.ProfitSpread)
}
if s.GridProfitStats == nil { if s.GridProfitStats == nil {
s.GridProfitStats = newGridProfitStats(s.Market) s.GridProfitStats = newGridProfitStats(s.Market)
} }