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bollmaker: add Test_calculateBandPercentage test

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This commit is contained in:
c9s 2022-01-27 02:22:26 +08:00
parent f9d650cd23
commit aea8f97ab9
2 changed files with 108 additions and 25 deletions
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64
pkg/strategy/bollmaker/strategy.go
View File

@ -287,6 +287,18 @@ func (s *Strategy) LoadState() error {
return nil
}
func (s *Strategy) getCurrentAllowedExposurePosition(bandPercentage float64) (fixedpoint.Value, error) {
if s.DynamicExposurePositionScale != nil {
v, err := s.DynamicExposurePositionScale.Scale(bandPercentage)
if err != nil {
return 0, err
}
return fixedpoint.NewFromFloat(v), nil
}
return s.MaxExposurePosition, nil
}
func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, midPrice fixedpoint.Value, kline *types.KLine) {
askPrice := midPrice.Mul(one + s.Spread)
bidPrice := midPrice.Mul(one - s.Spread)
@ -301,7 +313,6 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
s.state.Position.String(),
)
quantity := s.CalculateQuantity(midPrice)
sellQuantity := s.CalculateQuantity(askPrice)
buyQuantity := s.CalculateQuantity(bidPrice)
@ -326,14 +337,25 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
var submitOrders []types.SubmitOrder
minQuantity := fixedpoint.NewFromFloat(s.market.MinQuantity)
baseBalance, hasBaseBalance := balances[s.market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.market.QuoteCurrency]
canBuy := hasQuoteBalance && quoteBalance.Available > s.Quantity.Mul(midPrice) && (s.MaxExposurePosition > 0 && base < s.MaxExposurePosition)
canSell := hasBaseBalance && baseBalance.Available > s.Quantity && (s.MaxExposurePosition > 0 && base > -s.MaxExposurePosition)
downBand := s.defaultBoll.LastDownBand()
upBand := s.defaultBoll.LastUpBand()
sma := s.defaultBoll.LastSMA()
log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)
bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
maxExposurePosition, err := s.getCurrentAllowedExposurePosition(bandPercentage)
if err != nil {
log.WithError(err).Errorf("can not calculate CurrentAllowedExposurePosition")
return
}
canBuy := hasQuoteBalance && quoteBalance.Available > s.Quantity.Mul(midPrice) && (maxExposurePosition > 0 && base < maxExposurePosition)
canSell := hasBaseBalance && baseBalance.Available > s.Quantity && (maxExposurePosition > 0 && base > -maxExposurePosition)
if s.ShadowProtection && kline != nil {
switch kline.Direction() {
case types.DirectionDown:
shadowHeight := kline.GetLowerShadowHeight()
@ -352,26 +374,6 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
}
// adjust quantity for closing position if we over sold or over bought
if s.MaxExposurePosition > 0 && base.Abs() > s.MaxExposurePosition {
scale := &bbgo.ExponentialScale{
Domain: [2]float64{0, s.MaxExposurePosition.Float64()},
Range: [2]float64{quantity.Float64(), base.Abs().Float64()},
}
if err := scale.Solve(); err != nil {
log.WithError(err).Errorf("scale solving error")
return
}
qf := scale.Call(base.Abs().Float64())
_ = qf
if base > minQuantity {
// sellOrder.Quantity = qf
} else if base < -minQuantity {
// buyOrder.Quantity = qf
}
}
if midPrice.Float64() > s.neutralBoll.LastDownBand() && midPrice.Float64() < s.neutralBoll.LastUpBand() {
// we don't have position yet
// place orders on both side if it's in oscillating band
@ -587,3 +589,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return nil
}
func calculateBandPercentage(up, down, sma, midPrice float64) float64 {
if midPrice < sma {
// should be negative percentage
return (midPrice - sma) / math.Abs(sma-down)
} else if midPrice > sma {
// should be positive percentage
return (midPrice - sma) / math.Abs(up-sma)
}
return 0.0
}

69
pkg/strategy/bollmaker/strategy_test.go Normal file
View File

@ -0,0 +1,69 @@
package bollmaker
import (
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
func Test_calculateBandPercentage(t *testing.T) {
type args struct {
up float64
down float64
sma float64
midPrice float64
}
tests := []struct {
name string
args args
want fixedpoint.Value
}{
{
name: "positive boundary",
args: args{
up: 2000.0,
sma: 1500.0,
down: 1000.0,
midPrice: 2000.0,
},
want: fixedpoint.NewFromFloat(1.0),
},
{
name: "inside positive boundary",
args: args{
up: 2000.0,
sma: 1500.0,
down: 1000.0,
midPrice: 1600.0,
},
want: fixedpoint.NewFromFloat(0.2), // 20%
},
{
name: "negative boundary",
args: args{
up: 2000.0,
sma: 1500.0,
down: 1000.0,
midPrice: 1000.0,
},
want: fixedpoint.NewFromFloat(-1.0),
},
{
name: "out of negative boundary",
args: args{
up: 2000.0,
sma: 1500.0,
down: 1000.0,
midPrice: 800.0,
},
want: fixedpoint.NewFromFloat(-1.4),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
if got := calculateBandPercentage(tt.args.up, tt.args.down, tt.args.sma, tt.args.midPrice); fixedpoint.NewFromFloat(got) != tt.want {
t.Errorf("calculateBandPercentage() = %v, want %v", got, tt.want)
}
})
}
}