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adjust pips by bollband ratio

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This commit is contained in:
c9s 2021-05-17 23:55:09 +08:00
parent d1bfeccc72
commit d722b76564
1 changed files with 9 additions and 5 deletions
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14
pkg/strategy/xmaker/strategy.go
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@ -91,7 +91,7 @@ type Strategy struct {
NumLayers int `json:"numLayers"`
// Pips is the pips of the layer prices
Pips int `json:"pips"`
Pips fixedpoint.Value `json:"pips"`
// --------------------------------
// private field
@ -275,6 +275,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
var askQuantity = s.Quantity
var bidMargin = s.BidMargin
var askMargin = s.AskMargin
var pips = s.Pips
if s.EnableBollBandMargin {
lastDownBand := s.boll.LastDownBand()
@ -296,6 +297,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
(askMargin + bollMargin).Float64())
askMargin = askMargin + bollMargin
pips = pips.MulFloat64(ratio)
}
if bestAskPrice.Float64() > lastUpBand {
@ -312,6 +314,7 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
(bidMargin + bollMargin).Float64())
bidMargin = bidMargin + bollMargin
pips = pips.MulFloat64(ratio)
}
}
@ -334,8 +337,9 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
accumulativeBidQuantity += bidQuantity
bidPrice := aggregatePrice(sourceBook.Bids, accumulativeBidQuantity)
bidPrice = bidPrice.MulFloat64(1.0 - bidMargin.Float64())
if i > 0 && s.Pips > 0 {
bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
if i > 0 && pips > 0 {
bidPrice -= pips.MulFloat64(s.makerMarket.TickSize)
}
if makerQuota.QuoteAsset.Lock(bidQuantity.Mul(bidPrice)) && hedgeQuota.BaseAsset.Lock(bidQuantity) {
@ -380,8 +384,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
askPrice := aggregatePrice(sourceBook.Asks, accumulativeAskQuantity)
askPrice = askPrice.MulFloat64(1.0 + askMargin.Float64())
if i > 0 && s.Pips > 0 {
askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
if i > 0 && pips > 0 {
askPrice -= pips.MulFloat64(s.makerMarket.TickSize)
}
if makerQuota.BaseAsset.Lock(askQuantity) && hedgeQuota.QuoteAsset.Lock(askQuantity.Mul(askPrice)) {