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xmaker: pull out band value to fixedpoint

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c9s 2022-06-15 01:13:54 +08:00
parent ea88e84445
commit b47d103cf8
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 8 additions and 6 deletions
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14
pkg/strategy/xmaker/strategy.go
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@ -307,14 +307,16 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
var pips = s.Pips
if s.EnableBollBandMargin {
lastDownBand := s.boll.LastDownBand()
lastUpBand := s.boll.LastUpBand()
lastDownBand := fixedpoint.NewFromFloat(s.boll.LastDownBand())
lastUpBand := fixedpoint.NewFromFloat(s.boll.LastUpBand())
log.Infof("bollinger band: up/down = %f/%f", lastUpBand.Float64(), lastDownBand.Float64())
// when bid price is lower than the down band, then it's in the downtrend
// when ask price is higher than the up band, then it's in the uptrend
if bestBidPrice.Float64() < lastDownBand {
if bestBidPrice.Compare(lastDownBand) < 0 {
// ratio here should be greater than 1.00
ratio := fixedpoint.NewFromFloat(lastDownBand).Div(bestBidPrice)
ratio := lastDownBand.Div(bestBidPrice)
// so that the original bid margin can be multiplied by 1.x
bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)
@ -329,9 +331,9 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
pips = pips.Mul(ratio)
}
if bestAskPrice.Float64() > lastUpBand {
if bestAskPrice.Compare(lastUpBand) > 0 {
// ratio here should be greater than 1.00
ratio := bestAskPrice.Div(fixedpoint.NewFromFloat(lastUpBand))
ratio := bestAskPrice.Div(lastUpBand)
// so that the original bid margin can be multiplied by 1.x
bollMargin := s.BollBandMargin.Mul(ratio).Mul(s.BollBandMarginFactor)