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strategy: temp vars for faster calculation

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This commit is contained in:
Andy Cheng 2022-05-17 10:43:18 +08:00
parent 686a358c6e
commit db62352e6e
1 changed files with 5 additions and 2 deletions
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7
pkg/strategy/bollmaker/strategy.go
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@ -672,11 +672,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
// Update spreads
high := kline.GetHigh().Float64()
open := kline.GetOpen().Float64()
low := kline.GetLow().Float64()
if s.DynamicSpreadWindow > 0 && kline.Direction() == types.DirectionUp {
s.DynamicAskSpread.Update(kline.GetHigh().Sub(kline.GetOpen()).Div(kline.GetOpen()).Float64())
s.DynamicAskSpread.Update((high - open) / open)
}
if s.DynamicSpreadWindow > 0 && kline.Direction() == types.DirectionDown {
s.DynamicBidSpread.Update(kline.GetOpen().Sub(kline.GetLow()).Div(kline.GetOpen()).Float64())
s.DynamicBidSpread.Update((open - low) / open)
}
if s.DynamicSpreadWindow > 0 && s.DynamicBidSpread.Length() >= s.DynamicSpreadWindow {
dynamicBidSpread := fixedpoint.NewFromFloat(s.DynamicBidSpread.Last())