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scmaker: calculate balance quantity

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c9s 2023-06-14 15:16:48 +08:00
parent aa4f998382
commit b8597a1803
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3 changed files with 39 additions and 13 deletions
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2
config/scmaker.yaml
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@ -34,7 +34,7 @@ exchangeStrategies:
liquidityScale:
exp:
domain: [0, 10]
range: [100, 500]
range: [1, 4]
backtest:
sessions:

1
go.sum
View File

@ -671,6 +671,7 @@ github.com/stretchr/testify v1.7.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/
github.com/stretchr/testify v1.7.4 h1:wZRexSlwd7ZXfKINDLsO4r7WBt3gTKONc6K/VesHvHM=
github.com/stretchr/testify v1.7.4/go.mod h1:yNjHg4UonilssWZ8iaSj1OCr/vHnekPRkoO+kdMU+MU=
github.com/stretchr/testify v1.8.0/go.mod h1:yNjHg4UonilssWZ8iaSj1OCr/vHnekPRkoO+kdMU+MU=
github.com/stretchr/testify v1.8.1 h1:w7B6lhMri9wdJUVmEZPGGhZzrYTPvgJArz7wNPgYKsk=
github.com/stretchr/testify v1.8.1/go.mod h1:w2LPCIKwWwSfY2zedu0+kehJoqGctiVI29o6fzry7u4=
github.com/subosito/gotenv v1.2.0 h1:Slr1R9HxAlEKefgq5jn9U+DnETlIUa6HfgEzj0g5d7s=
github.com/subosito/gotenv v1.2.0/go.mod h1:N0PQaV/YGNqwC0u51sEeR/aUtSLEXKX9iv69rRypqCw=

49
pkg/strategy/scmaker/strategy.go
View File

@ -27,7 +27,7 @@ func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
// scmaker is a stable coin market maker
// Strategy scmaker is a stable coin market maker
type Strategy struct {
Environment *bbgo.Environment
Market types.Market
@ -191,18 +191,43 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
log.Infof("mid price ema: %f boll band width: %f", midPriceEMA, bandWidth)
var liqOrders []types.SubmitOrder
n := s.liquidityScale.Sum(1.0)
var bidPrices []fixedpoint.Value
var askPrices []fixedpoint.Value
// calculate and collect prices
for i := 0; i <= s.NumOfLiquidityLayers; i++ {
fi := fixedpoint.NewFromInt(int64(i))
quantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)))
bidPrice := midPrice.Sub(s.Market.TickSize.Mul(fi))
askPrice := midPrice.Add(s.Market.TickSize.Mul(fi))
if i == 0 {
bidPrice = ticker.Buy
askPrice = ticker.Sell
bidPrices = append(bidPrices, ticker.Buy)
askPrices = append(askPrices, ticker.Sell)
} else if i == s.NumOfLiquidityLayers {
bwf := fixedpoint.NewFromFloat(bandWidth)
bidPrices = append(bidPrices, midPrice.Add(-bwf))
askPrices = append(askPrices, midPrice.Add(bwf))
} else {
bidPrice := midPrice.Sub(s.Market.TickSize.Mul(fi))
askPrice := midPrice.Add(s.Market.TickSize.Mul(fi))
bidPrices = append(bidPrices, bidPrice)
askPrices = append(askPrices, askPrice)
}
}
log.Infof("layer #%d %f/%f = %f", i, askPrice.Float64(), bidPrice.Float64(), quantity.Float64())
askX := baseBal.Available.Float64() / n
bidX := quoteBal.Available.Float64() / (n * (fixedpoint.Sum(bidPrices).Float64()))
askX = math.Trunc(askX*1e8) / 1e8
bidX = math.Trunc(bidX*1e8) / 1e8
var liqOrders []types.SubmitOrder
for i := 0; i <= s.NumOfLiquidityLayers; i++ {
bidQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * bidX)
askQuantity := fixedpoint.NewFromFloat(s.liquidityScale.Call(float64(i)) * askX)
bidPrice := bidPrices[i]
askPrice := askPrices[i]
log.Infof("layer #%d %f/%f = %f/%f", i, askPrice.Float64(), bidPrice.Float64(), askQuantity.Float64(), bidQuantity.Float64())
placeBuy := true
placeSell := true
@ -218,13 +243,13 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
}
}
quoteQuantity := quantity.Mul(bidPrice)
quoteQuantity := bidQuantity.Mul(bidPrice)
if !makerQuota.QuoteAsset.Lock(quoteQuantity) {
placeBuy = false
}
if !makerQuota.BaseAsset.Lock(quantity) {
if !makerQuota.BaseAsset.Lock(askQuantity) {
placeSell = false
}
@ -233,7 +258,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: quantity,
Quantity: bidQuantity,
Price: bidPrice,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,
@ -245,7 +270,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: quantity,
Quantity: askQuantity,
Price: askPrice,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,