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adjust second layer price according to the pips

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This commit is contained in:
c9s 2021-05-11 01:06:39 +08:00
parent b86ed36aa2
commit d2a770bc05
1 changed files with 6 additions and 0 deletions
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6
pkg/strategy/xmaker/strategy.go
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@ -266,6 +266,9 @@ func (s *Strategy) updateQuote(ctx context.Context) {
accumulativeBidQuantity += bidQuantity
bidPrice := aggregatePrice(sourceBook.Bids, accumulativeBidQuantity)
bidPrice = bidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
if i > 0 && s.Pips > 0 {
bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
}
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
// if we bought, then we need to sell the base from the hedge session
@ -307,6 +310,9 @@ func (s *Strategy) updateQuote(ctx context.Context) {
askPrice := aggregatePrice(sourceBook.Asks, accumulativeBidQuantity)
askPrice = askPrice.MulFloat64(1.0 + s.AskMargin.Float64())
if i > 0 && s.Pips > 0 {
askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
}
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {
// if we bought, then we need to sell the base from the hedge session