strategy/linregmaker: works w/o dynamic qty

config/linregmaker.yaml

@@ -110,7 +110,7 @@ exchangeStrategies:
               domain: [ -1, 1 ]
               # when in down band, holds 1.0 by maximum
               # when in up band, holds 0.05 by maximum
-              range: [ 10.0, 1.0 ]
+              range: [ 1.0, 1.0 ]
 
     # quantity is the base order quantity for your buy/sell order.
     quantity: 0.1

pkg/dynamicmetric/bollsetting.go

@@ -1,9 +0,0 @@
-package dynamicmetric
-
-import "github.com/c9s/bbgo/pkg/types"
-
-// BollingerSetting is for Bollinger Band settings
-type BollingerSetting struct {
-	types.IntervalWindow
-	BandWidth float64 `json:"bandWidth"`
-}

pkg/dynamicmetric/dynamic_spread.go

@@ -16,18 +16,6 @@ type DynamicSpread struct {
 
 	// WeightedBollWidthRatioSpread calculates spreads based on two Bollinger Bands
 	WeightedBollWidthRatioSpread *DynamicSpreadBollWidthRatio `json:"weightedBollWidth"`
-
-	// deprecated
-	Enabled *bool `json:"enabled"`
-
-	// deprecated
-	types.IntervalWindow
-
-	// deprecated. AskSpreadScale is used to define the ask spread range with the given percentage.
-	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
-
-	// deprecated. BidSpreadScale is used to define the bid spread range with the given percentage.
-	BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
 }
 
 // Initialize dynamic spread
@@ -37,14 +25,6 @@ func (ds *DynamicSpread) Initialize(symbol string, session *bbgo.ExchangeSession
 		ds.AmpSpread.initialize(symbol, session)
 	case ds.WeightedBollWidthRatioSpread != nil:
 		ds.WeightedBollWidthRatioSpread.initialize(symbol, session)
-	case ds.Enabled != nil && *ds.Enabled:
-		// backward compatibility
-		ds.AmpSpread = &DynamicSpreadAmp{
-			IntervalWindow: ds.IntervalWindow,
-			AskSpreadScale: ds.AskSpreadScale,
-			BidSpreadScale: ds.BidSpreadScale,
-		}
-		ds.AmpSpread.initialize(symbol, session)
 	}
 }
 
@@ -171,8 +151,8 @@ type DynamicSpreadBollWidthRatio struct {
 	// A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
 	Sensitivity float64 `json:"sensitivity"`
 
-	DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
+	DefaultBollinger types.IntervalWindowBandWidth `json:"defaultBollinger"`
-	NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
+	NeutralBollinger types.IntervalWindowBandWidth `json:"neutralBollinger"`
 
 	neutralBoll *indicator.BOLL
 	defaultBoll *indicator.BOLL
@@ -232,7 +212,7 @@ func (ds *DynamicSpreadBollWidthRatio) getWeightedBBWidthRatio(positiveSigmoid b
 	//   - To bid spread, the weighting density function d_weight(x) is sigmoid((default_BB_mid - x) / (w / alpha))
 	//   - The higher sensitivity factor alpha, the sharper weighting function.
 	//
-	// Then calculate the weighted band width ratio by taking integral of d_weight(x) from neutral_BB_lower to neutral_BB_upper:
+	// Then calculate the weighted bandwidth ratio by taking integral of d_weight(x) from neutral_BB_lower to neutral_BB_upper:
 	//   infinite integral of ask spread sigmoid weighting density function F(x) = (w / alpha) * ln(exp(x / (w / alpha)) + exp(default_BB_mid / (w / alpha)))
 	//   infinite integral of bid spread sigmoid weighting density function F(x) = x - (w / alpha) * ln(exp(x / (w / alpha)) + exp(default_BB_mid / (w / alpha)))
 	//   Note that we've rescaled the sigmoid function to fit default BB,

pkg/strategy/linregmaker/strategy.go

@@ -25,17 +25,12 @@ var two = fixedpoint.NewFromInt(2)
 var log = logrus.WithField("strategy", ID)
 
 //TODO: Logic for backtest
+// TODO: Dynamic exposure should work on both side
 
 func init() {
 	bbgo.RegisterStrategy(ID, &Strategy{})
 }
 
-// TODO: Remove BollingerSetting and bollsetting.go
-type BollingerSetting struct {
-	types.IntervalWindow
-	BandWidth float64 `json:"bandWidth"`
-}
-
 type Strategy struct {
 	Environment          *bbgo.Environment
 	StandardIndicatorSet *bbgo.StandardIndicatorSet
@@ -77,7 +72,10 @@ type Strategy struct {
 	// NeutralBollinger is the smaller range of the bollinger band
 	// If price is in this band, it usually means the price is oscillating.
 	// If price goes out of this band, we tend to not place sell orders or buy orders
-	NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
+	NeutralBollinger types.IntervalWindowBandWidth `json:"neutralBollinger"`
+
+	// neutralBoll is the neutral price section for TradeInBand
+	neutralBoll *indicator.BOLL
 
 	// TradeInBand
 	// When this is on, places orders only when the current price is in the bollinger band.
@@ -113,7 +111,7 @@ type Strategy struct {
 	DynamicExposure dynamicmetric.DynamicExposure `json:"dynamicExposure"`
 
 	bbgo.QuantityOrAmount
-	// TODO: Should work w/o dynamic qty
+
 	// DynamicQuantityIncrease calculates the increase position order quantity dynamically
 	DynamicQuantityIncrease dynamicmetric.DynamicQuantitySet `json:"dynamicQuantityIncrease"`
 
@@ -134,9 +132,6 @@ type Strategy struct {
 
 	groupID uint32
 
-	// neutralBoll is the neutral price section
-	neutralBoll *indicator.BOLL
-
 	// StrategyController
 	bbgo.StrategyController
 }
@@ -176,7 +171,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	}
 
 	// Subscribe for BBs
-	if s.NeutralBollinger != nil && s.NeutralBollinger.Interval != "" {
+	if s.NeutralBollinger.Interval != "" {
 		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
 			Interval: s.NeutralBollinger.Interval,
 		})
@@ -276,39 +271,38 @@ func (s *Strategy) getOrderPrices(midPrice fixedpoint.Value) (askPrice fixedpoin
 func (s *Strategy) getOrderQuantities(askPrice fixedpoint.Value, bidPrice fixedpoint.Value) (sellQuantity fixedpoint.Value, buyQuantity fixedpoint.Value) {
 	// TODO: spot, margin, and futures
 
+	// Default
+	sellQuantity = s.QuantityOrAmount.CalculateQuantity(askPrice)
+	buyQuantity = s.QuantityOrAmount.CalculateQuantity(bidPrice)
+
 	// Dynamic qty
 	switch {
 	case s.mainTrendCurrent == types.DirectionUp:
-		var err error
 		if len(s.DynamicQuantityIncrease) > 0 {
-			buyQuantity, err = s.DynamicQuantityIncrease.GetQuantity()
+			qty, err := s.DynamicQuantityIncrease.GetQuantity()
-			if err != nil {
+			if err == nil {
-				buyQuantity = s.QuantityOrAmount.CalculateQuantity(bidPrice)
+				buyQuantity = qty
 			}
 		}
 		if len(s.DynamicQuantityDecrease) > 0 {
-			sellQuantity, err = s.DynamicQuantityDecrease.GetQuantity()
+			qty, err := s.DynamicQuantityDecrease.GetQuantity()
-			if err != nil {
+			if err == nil {
-				sellQuantity = s.QuantityOrAmount.CalculateQuantity(askPrice)
+				sellQuantity = qty
 			}
 		}
 	case s.mainTrendCurrent == types.DirectionDown:
-		var err error
 		if len(s.DynamicQuantityIncrease) > 0 {
-			sellQuantity, err = s.DynamicQuantityIncrease.GetQuantity()
+			qty, err := s.DynamicQuantityIncrease.GetQuantity()
-			if err != nil {
+			if err == nil {
-				sellQuantity = s.QuantityOrAmount.CalculateQuantity(bidPrice)
+				sellQuantity = qty
 			}
 		}
 		if len(s.DynamicQuantityDecrease) > 0 {
-			buyQuantity, err = s.DynamicQuantityDecrease.GetQuantity()
+			qty, err := s.DynamicQuantityDecrease.GetQuantity()
-			if err != nil {
+			if err == nil {
-				buyQuantity = s.QuantityOrAmount.CalculateQuantity(askPrice)
+				buyQuantity = qty
 			}
 		}
-	default:
-		sellQuantity = s.QuantityOrAmount.CalculateQuantity(askPrice)
-		buyQuantity = s.QuantityOrAmount.CalculateQuantity(bidPrice)
 	}
 
 	// Faster position decrease