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

pkg/bbgo/activeorderbook.go

@@ -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...")
 

pkg/strategy/xdepthmaker/strategy.go

@@ -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(accumulatedDepth, 0)
-
-			depthPrice := pvs.AverageDepthPriceByQuote(fixedpoint.Zero, 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
 	}
 }

pkg/strategy/xdepthmaker/strategy_test.go

@@ -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)
 }

pkg/types/trade.go

@@ -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(),
 	)
 }