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xdepthmaker: avoid using the same depth price for the new maker order

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c9s 2024-09-25 15:52:52 +08:00
parent 6a5ab424c9
commit e11db4a2d1
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 30 additions and 14 deletions
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3
pkg/bbgo/activeorderbook.go
View File

@ -255,10 +255,9 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
if cancelAll {
orders = b.Orders()
} else {
// partial cancel
// for partial cancel
orders = filterCanceledOrders(orders)
}
} else {
log.Warnf("[ActiveOrderBook] using open orders API to verify the active orders...")

34
pkg/strategy/xdepthmaker/strategy.go
View File

@ -883,6 +883,9 @@ func (s *Strategy) generateMakerOrders(
continue
}
accumulatedDepth := fixedpoint.Zero
lastMakerPrice := fixedpoint.Zero
layerLoop:
for i := 1; i <= maxLayer; i++ {
// simple break, we need to check the market minNotional and minQuantity later
@ -899,8 +902,9 @@ func (s *Strategy) generateMakerOrders(
// requiredDepth is the required depth in quote currency
requiredDepth := fixedpoint.NewFromFloat(requiredDepthFloat)
accumulatedDepth = accumulatedDepth.Add(requiredDepth)
index := sideBook.IndexByQuoteVolumeDepth(requiredDepth)
index := sideBook.IndexByQuoteVolumeDepth(accumulatedDepth)
pvs := types.PriceVolumeSlice{}
if index == -1 {
@ -913,9 +917,7 @@ func (s *Strategy) generateMakerOrders(
continue
}
log.Infof("side: %s required depth: %f, pvs: %+v", side, requiredDepth.Float64(), pvs)
depthPrice := pvs.AverageDepthPriceByQuote(fixedpoint.Zero, 0)
depthPrice := pvs.AverageDepthPriceByQuote(accumulatedDepth, 0)
switch side {
case types.SideTypeBuy:
@ -935,9 +937,19 @@ func (s *Strategy) generateMakerOrders(
depthPrice = s.makerMarket.TruncatePrice(depthPrice)
if lastMakerPrice.Sign() > 0 && depthPrice.Compare(lastMakerPrice) == 0 {
switch side {
case types.SideTypeBuy:
depthPrice = depthPrice.Sub(s.makerMarket.TickSize)
case types.SideTypeSell:
depthPrice = depthPrice.Add(s.makerMarket.TickSize)
}
}
quantity := requiredDepth.Div(depthPrice)
quantity = s.makerMarket.TruncateQuantity(quantity)
log.Infof("side: %s required depth: %f price: %f quantity: %f", side, requiredDepth.Float64(), depthPrice.Float64(), quantity.Float64())
s.logger.Infof("%d) %s required depth: %f %s@%s", i, side, accumulatedDepth.Float64(), quantity.String(), depthPrice.String())
switch side {
case types.SideTypeBuy:
@ -986,6 +998,8 @@ func (s *Strategy) generateMakerOrders(
Price: depthPrice,
Quantity: quantity,
})
lastMakerPrice = depthPrice
}
}
@ -1052,7 +1066,7 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
balances, err := s.MakerOrderExecutor.Session().Exchange.QueryAccountBalances(ctx)
if err != nil {
log.WithError(err).Errorf("balance query error")
s.logger.WithError(err).Errorf("balance query error")
return
}
@ -1068,22 +1082,22 @@ func (s *Strategy) updateQuote(ctx context.Context, maxLayer int) {
return
}
log.Infof("quote balance: %s, base balance: %s", quoteBalance, baseBalance)
s.logger.Infof("quote balance: %s, base balance: %s", quoteBalance, baseBalance)
submitOrders, err := s.generateMakerOrders(s.sourceBook, maxLayer, baseBalance.Available, quoteBalance.Available)
if err != nil {
log.WithError(err).Errorf("generate order error")
s.logger.WithError(err).Errorf("generate order error")
return
}
if len(submitOrders) == 0 {
log.Warnf("no orders are generated")
s.logger.Warnf("no orders are generated")
return
}
_, err = s.MakerOrderExecutor.SubmitOrders(ctx, submitOrders...)
if err != nil {
log.WithError(err).Errorf("order error: %s", err.Error())
s.logger.WithError(err).Errorf("order error: %s", err.Error())
return
}
}

4
pkg/strategy/xdepthmaker/strategy_test.go
View File

@ -6,6 +6,7 @@ import (
"testing"
"time"
"github.com/sirupsen/logrus"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/bbgo"
@ -42,6 +43,7 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
CrossExchangeMarketMakingStrategy: &CrossExchangeMarketMakingStrategy{
makerMarket: newTestBTCUSDTMarket(),
},
logger: logrus.New(),
}
pricingBook := types.NewStreamBook("BTCUSDT", types.ExchangeBinance)
@ -70,6 +72,6 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
{Side: types.SideTypeBuy, Price: Number("24800"), Quantity: Number("0.283123")}, // =~ $7021.4504, accumulated amount =~ $1000.00 + $7005.3111219 + $7021.4504 = $8005.3111219 + $7021.4504 =~ $15026.7615219
{Side: types.SideTypeSell, Price: Number("25100"), Quantity: Number("0.03984")},
{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.2772")},
{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.277411")},
{Side: types.SideTypeSell, Price: Number("25300"), Quantity: Number("0.275845")},
}, orders)
}

3
pkg/types/trade.go
View File

@ -168,7 +168,7 @@ func trimTrailingZero(a float64) string {
// String is for console output
func (trade Trade) String() string {
return fmt.Sprintf("TRADE %s %s %4s %-4s @ %-6s | AMOUNT %s | FEE %s %s | OrderID %d | TID %d | %s",
return fmt.Sprintf("TRADE %s %s %4s %-4s @ %-6s | AMOUNT %s | FEE %s %s | OrderID %d | TID %d | %s | %s",
trade.Exchange.String(),
trade.Symbol,
trade.Side,
@ -180,6 +180,7 @@ func (trade Trade) String() string {
trade.OrderID,
trade.ID,
trade.Time.Time().Format(time.StampMilli),
trade.Liquidity(),
)
}