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Improve bollgrid strategy's balance check and quote calculation

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This commit is contained in:
Larry850806 2021-02-08 17:32:31 +08:00
parent 776cd95955
commit d22a8e9c63
1 changed files with 29 additions and 19 deletions
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48
pkg/strategy/bollgrid/strategy.go
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@ -175,11 +175,11 @@ func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bb
}
func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
quoteCurrency := s.Market.QuoteCurrency
balances := session.Account.Balances()
quoteBalance := balances[s.Market.QuoteCurrency].Available.Float64()
baseBalance := balances[s.Market.BaseCurrency].Available.Float64()
balance, ok := balances[quoteCurrency]
if !ok || balance.Available <= 0 {
if quoteBalance <= 0 && baseBalance <= 0 {
return
}
@ -222,22 +222,6 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
side = types.SideTypeBuy
}
// trend up
switch side {
case types.SideTypeBuy:
if ema7.Last() > ema25.Last()*1.001 && ema25.Last() > ema99.Last()*1.0005 {
log.Infof("all ema lines trend up, skip buy")
continue
}
case types.SideTypeSell:
if ema7.Last() < ema25.Last()*(1-0.004) && ema25.Last() < ema99.Last()*(1-0.0005) {
log.Infof("all ema lines trend down, skip sell")
continue
}
}
order := types.SubmitOrder{
Symbol: s.Symbol,
Side: side,
@ -247,6 +231,32 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
Price: price,
TimeInForce: "GTC",
}
switch side {
case types.SideTypeBuy:
if ema7.Last() > ema25.Last()*1.001 && ema25.Last() > ema99.Last()*1.0005 {
log.Infof("all ema lines trend up, skip buy")
continue
}
if quoteBalance < order.Quantity {
log.Infof("quote balance %f is not enough, stop generating buy orders", quoteBalance)
continue
}
quoteBalance -= order.Quantity
case types.SideTypeSell:
if ema7.Last() < ema25.Last()*(1-0.004) && ema25.Last() < ema99.Last()*(1-0.0005) {
log.Infof("all ema lines trend down, skip sell")
continue
}
if baseBalance < order.Quantity {
log.Infof("base balance %f is not enough, stop generating sell orders", baseBalance)
continue
}
baseBalance -= order.Quantity
}
log.Infof("submitting order: %s", order.String())
orders = append(orders, order)
}