lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-26 00:35:15 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

fix: add description on the limit taker behavior

Browse Source
This commit is contained in:
zenix 2022-08-30 21:07:49 +09:00
parent c2d5a5961f
commit be1f6e7242
1 changed files with 4 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

5
pkg/backtest/matching.go
View File

@ -187,12 +187,15 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *ty
order.Price = m.Market.TruncatePrice(m.LastPrice) order.Price = m.Market.TruncatePrice(m.LastPrice)
price = order.Price price = order.Price
} else if order.Type == types.OrderTypeLimit { } else if order.Type == types.OrderTypeLimit {
// if limit order's price is with the range of next kline
// we assume it will be traded as a maker trade, and is traded at its original price
// TODO: if it is treated as a maker trade, fee should be specially handled
// otherwise, set NextKLine.Close(i.e., m.LastPrice) to be the taker traded price
if m.NextKLine != nil && m.NextKLine.High.Compare(order.Price) > 0 && order.Side == types.SideTypeBuy { if m.NextKLine != nil && m.NextKLine.High.Compare(order.Price) > 0 && order.Side == types.SideTypeBuy {
order.AveragePrice = order.Price order.AveragePrice = order.Price
} else if m.NextKLine != nil && m.NextKLine.Low.Compare(order.Price) < 0 && order.Side == types.SideTypeSell { } else if m.NextKLine != nil && m.NextKLine.Low.Compare(order.Price) < 0 && order.Side == types.SideTypeSell {
order.AveragePrice = order.Price order.AveragePrice = order.Price
} else { } else {
order.AveragePrice = m.Market.TruncatePrice(m.LastPrice) order.AveragePrice = m.Market.TruncatePrice(m.LastPrice)
} }
price = order.AveragePrice price = order.AveragePrice