xmaker: support quantity scale

pkg/bbgo/scale.go

@@ -238,9 +238,48 @@ func (rule *SlideRule) Scale() (Scale, error) {
 	return nil, errors.New("no any scale is defined")
 }
 
+
+// LayerScale defines the scale DSL for maker layers, e.g.,
+//
+// quantityScale:
+//   byLayer:
+//     exp:
+//       domain: [1, 5]
+//       range: [0.01, 1.0]
+//
+// and
+//
+// quantityScale:
+//   byLayer:
+//     linear:
+//       domain: [1, 3]
+//       range: [0.01, 1.0]
+type LayerScale struct {
+	LayerRule *SlideRule `json:"byLayer"`
+}
+
+func (s *LayerScale) Scale(layer int) (quantity float64, err error) {
+	if s.LayerRule == nil {
+		err = errors.New("either price or volume scale is not defined")
+		return
+	}
+
+	scale, err := s.LayerRule.Scale()
+	if err != nil {
+		return 0, err
+	}
+
+	if err := scale.Solve(); err != nil {
+		return 0, err
+	}
+
+	return scale.Call(float64(layer)), nil
+}
+
+
 // PriceVolumeScale defines the scale DSL for strategy, e.g.,
 //
-// scaleQuantity:
+// quantityScale:
 //   byPrice:
 //     exp:
 //       domain: [10_000, 50_000]
@@ -248,22 +287,22 @@ func (rule *SlideRule) Scale() (Scale, error) {
 //
 // and
 //
-// scaleQuantity:
+// quantityScale:
 //   byVolume:
 //     linear:
 //       domain: [10_000, 50_000]
 //       range: [0.01, 1.0]
 type PriceVolumeScale struct {
-	ByPrice  *SlideRule `json:"byPrice"`
+	ByPriceRule  *SlideRule `json:"byPrice"`
-	ByVolume *SlideRule `json:"byVolume"`
+	ByVolumeRule *SlideRule `json:"byVolume"`
 }
 
-func (q *PriceVolumeScale) Scale(price float64, volume float64) (quantity float64, err error) {
+func (s *PriceVolumeScale) Scale(price float64, volume float64) (quantity float64, err error) {
-	if q.ByPrice != nil {
+	if s.ByPriceRule != nil {
-		quantity, err = q.ScaleByPrice(price)
+		quantity, err = s.ScaleByPrice(price)
 		return
-	} else if q.ByVolume != nil {
+	} else if s.ByVolumeRule != nil {
-		quantity, err = q.ScaleByVolume(volume)
+		quantity, err = s.ScaleByVolume(volume)
 	} else {
 		err = errors.New("either price or volume scale is not defined")
 	}
@@ -271,12 +310,12 @@ func (q *PriceVolumeScale) Scale(price float64, volume float64) (quantity float6
 }
 
 // ScaleByPrice scale quantity by the given price
-func (q *PriceVolumeScale) ScaleByPrice(price float64) (float64, error) {
+func (s *PriceVolumeScale) ScaleByPrice(price float64) (float64, error) {
-	if q.ByPrice == nil {
+	if s.ByPriceRule == nil {
 		return 0, errors.New("byPrice scale is not defined")
 	}
 
-	scale, err := q.ByPrice.Scale()
+	scale, err := s.ByPriceRule.Scale()
 	if err != nil {
 		return 0, err
 	}
@@ -289,12 +328,12 @@ func (q *PriceVolumeScale) ScaleByPrice(price float64) (float64, error) {
 }
 
 // ScaleByVolume scale quantity by the given volume
-func (q *PriceVolumeScale) ScaleByVolume(volume float64) (float64, error) {
+func (s *PriceVolumeScale) ScaleByVolume(volume float64) (float64, error) {
-	if q.ByVolume == nil {
+	if s.ByVolumeRule == nil {
 		return 0, errors.New("byVolume scale is not defined")
 	}
 
-	scale, err := q.ByVolume.Scale()
+	scale, err := s.ByVolumeRule.Scale()
 	if err != nil {
 		return 0, err
 	}

pkg/bbgo/scale_test.go

@@ -82,6 +82,20 @@ func TestLinearScale(t *testing.T) {
 	}
 }
 
+func TestLinearScale2(t *testing.T) {
+	scale := LinearScale{
+		Domain: [2]float64{1, 3},
+		Range:  [2]float64{0.1, 0.4},
+	}
+
+	err := scale.Solve()
+	assert.NoError(t, err)
+	assert.Equal(t, "f(x) = 0.150000 * x + -0.050000", scale.String())
+	assert.Equal(t, fixedpoint.NewFromFloat(0.1), fixedpoint.NewFromFloat(scale.Call(1)))
+	assert.Equal(t, fixedpoint.NewFromFloat(0.4), fixedpoint.NewFromFloat(scale.Call(3)))
+}
+
+
 func TestQuadraticScale(t *testing.T) {
 	// see https://www.desmos.com/calculator/vfqntrxzpr
 	scale := QuadraticScale{

pkg/strategy/grid/strategy.go

@@ -75,8 +75,8 @@ type Strategy struct {
 	// Quantity is the quantity you want to submit for each order.
 	Quantity fixedpoint.Value `json:"quantity,omitempty"`
 
-	// ScaleQuantity helps user to define the quantity by price scale or volume scale
+	// QuantityScale helps user to define the quantity by price scale or volume scale
-	ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity,omitempty"`
+	QuantityScale *bbgo.PriceVolumeScale `json:"quantityScale,omitempty"`
 
 	// FixedAmount is used for fixed amount (dynamic quantity) if you don't want to use fixed quantity.
 	FixedAmount fixedpoint.Value `json:"amount,omitempty" yaml:"amount"`
@@ -122,7 +122,7 @@ func (s *Strategy) Validate() error {
 		return fmt.Errorf("profit spread should bigger than 0")
 	}
 
-	if s.Quantity == 0 && s.ScaleQuantity == nil {
+	if s.Quantity == 0 && s.QuantityScale == nil {
 		return fmt.Errorf("quantity or scaleQuantity can not be zero")
 	}
 
@@ -175,8 +175,8 @@ func (s *Strategy) generateGridSellOrders(session *bbgo.ExchangeSession) ([]type
 		var quantity fixedpoint.Value
 		if s.Quantity > 0 {
 			quantity = s.Quantity
-		} else if s.ScaleQuantity != nil {
+		} else if s.QuantityScale != nil {
-			qf, err := s.ScaleQuantity.Scale(price.Float64(), 0)
+			qf, err := s.QuantityScale.Scale(price.Float64(), 0)
 			if err != nil {
 				return nil, err
 			}
@@ -268,8 +268,8 @@ func (s *Strategy) generateGridBuyOrders(session *bbgo.ExchangeSession) ([]types
 		var quantity fixedpoint.Value
 		if s.Quantity > 0 {
 			quantity = s.Quantity
-		} else if s.ScaleQuantity != nil {
+		} else if s.QuantityScale != nil {
-			qf, err := s.ScaleQuantity.Scale(price.Float64(), 0)
+			qf, err := s.QuantityScale.Scale(price.Float64(), 0)
 			if err != nil {
 				return nil, err
 			}

pkg/strategy/xmaker/strategy.go

@@ -8,6 +8,7 @@ import (
 	"sync"
 	"time"
 
+	"github.com/pkg/errors"
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
@@ -54,8 +55,16 @@ type Strategy struct {
 	Margin    fixedpoint.Value `json:"margin"`
 	BidMargin fixedpoint.Value `json:"bidMargin"`
 	AskMargin fixedpoint.Value `json:"askMargin"`
+
+	// Quantity is used for fixed quantity of the first layer
 	Quantity fixedpoint.Value `json:"quantity"`
+
+	// QuantityMultiplier is the factor that multiplies the quantity of the previous layer
 	QuantityMultiplier fixedpoint.Value `json:"quantityMultiplier"`
+
+	// QuantityScale helps user to define the quantity by layer scale
+	QuantityScale *bbgo.LayerScale `json:"quantityScale,omitempty"`
+
 	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
 	DisableHedge        bool             `json:"disableHedge"`
 
@@ -134,10 +143,8 @@ func (s *Strategy) updateQuote(ctx context.Context) {
 	bestAskPrice := sourceBook.Asks[0].Price
 	log.Infof("%s best bid price %f, best ask price: %f", s.Symbol, bestBidPrice.Float64(), bestAskPrice.Float64())
 
-	bidQuantity := s.Quantity
 	bidPrice := bestBidPrice.MulFloat64(1.0 - s.BidMargin.Float64())
 
-	askQuantity := s.Quantity
 	askPrice := bestAskPrice.MulFloat64(1.0 + s.AskMargin.Float64())
 
 	log.Infof("%s quote bid price: %f ask price: %f", s.Symbol, bidPrice.Float64(), askPrice.Float64())
@@ -206,9 +213,24 @@ func (s *Strategy) updateQuote(ctx context.Context) {
 		return
 	}
 
+	bidQuantity := s.Quantity
+	askQuantity := s.Quantity
 	for i := 0; i < s.NumLayers; i++ {
 		// for maker bid orders
 		if !disableMakerBid {
+			if s.QuantityScale != nil {
+				qf, err := s.QuantityScale.Scale(i + 1)
+				if err != nil {
+					log.WithError(err).Errorf("quantityScale error")
+					return
+				}
+
+				log.Infof("scaling quantity to %f by layer: %d", qf, i+1)
+
+				// override the default bid quantity
+				bidQuantity = fixedpoint.NewFromFloat(qf)
+			}
+
 			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
 				submitOrders = append(submitOrders, types.SubmitOrder{
@@ -227,12 +249,27 @@ func (s *Strategy) updateQuote(ctx context.Context) {
 				makerQuota.Rollback()
 				hedgeQuota.Rollback()
 			}
+
 			bidPrice -= fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
+
+			if s.QuantityMultiplier > 0 {
 				bidQuantity = bidQuantity.Mul(s.QuantityMultiplier)
 			}
+		}
 
 		// for maker ask orders
 		if !disableMakerAsk {
+			if s.QuantityScale != nil {
+				qf, err := s.QuantityScale.Scale(i + 1)
+				if err != nil {
+					log.WithError(err).Errorf("quantityScale error")
+					return
+				}
+
+				// override the default bid quantity
+				askQuantity = fixedpoint.NewFromFloat(qf)
+			}
+
 			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
 				submitOrders = append(submitOrders, types.SubmitOrder{
@@ -251,9 +288,12 @@ func (s *Strategy) updateQuote(ctx context.Context) {
 				hedgeQuota.Rollback()
 			}
 			askPrice += fixedpoint.NewFromFloat(s.makerMarket.TickSize * float64(s.Pips))
+
+			if s.QuantityMultiplier > 0 {
 				askQuantity = askQuantity.Mul(s.QuantityMultiplier)
 			}
 		}
+	}
 
 	if len(submitOrders) == 0 {
 		return
@@ -371,6 +411,22 @@ func (s *Strategy) handleTradeUpdate(trade types.Trade) {
 	s.lastPrice = trade.Price
 }
 
+func (s *Strategy) Validate() error {
+	if s.Quantity == 0 || s.QuantityScale == nil {
+		return errors.New("quantity or quantityScale can not be empty")
+	}
+
+	if s.QuantityMultiplier != 0 && s.QuantityMultiplier < 0 {
+		return errors.New("quantityMultiplier can not be a negative number")
+	}
+
+	if len(s.Symbol) == 0 {
+		return errors.New("symbol is required")
+	}
+
+	return nil
+}
+
 func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
 	// configure default values
 	if s.UpdateInterval == 0 {
@@ -401,10 +457,6 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 		}
 	}
 
-	if s.Quantity == 0 {
-		s.Quantity = defaultQuantity
-	}
-
 	// configure sessions
 	sourceSession, ok := sessions[s.SourceExchange]
 	if !ok {