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improve order submit loop

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This commit is contained in:
c9s 2020-12-17 17:54:48 +08:00
parent da80ebe645
commit e282a8a917
1 changed files with 15 additions and 14 deletions
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29
pkg/strategy/grid/strategy.go
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@ -33,7 +33,6 @@ type Strategy struct {
// This field will be injected automatically since it's a single exchange strategy. // This field will be injected automatically since it's a single exchange strategy.
bbgo.OrderExecutor bbgo.OrderExecutor
orderStore *bbgo.OrderStore orderStore *bbgo.OrderStore
// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc // Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
@ -83,27 +82,30 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
priceRange := s.UpperPrice - s.LowerPrice priceRange := s.UpperPrice - s.LowerPrice
gridSize := priceRange.Div(fixedpoint.NewFromInt(s.GridNum)) gridSize := priceRange.Div(fixedpoint.NewFromInt(s.GridNum))
log.Infof("current price: %f", currentPrice)
var orders []types.SubmitOrder var orders []types.SubmitOrder
for price := s.LowerPrice; price <= s.UpperPrice; price += gridSize { for price := currentPriceF + gridSize; price <= s.UpperPrice; price += gridSize {
var side types.SideType
if price > currentPriceF {
side = types.SideTypeSell
} else {
side = types.SideTypeBuy
}
order := types.SubmitOrder{ order := types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Side: side, Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Market: s.Market,
Quantity: s.Quantity,
Price: price.Float64(),
TimeInForce: "GTC",
}
orders = append(orders, order)
}
for price := currentPriceF - gridSize; price <= s.LowerPrice; price -= gridSize {
order := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Market: s.Market, Market: s.Market,
Quantity: s.Quantity, Quantity: s.Quantity,
Price: price.Float64(), Price: price.Float64(),
TimeInForce: "GTC", TimeInForce: "GTC",
} }
log.Infof("submitting order: %s", order.String())
orders = append(orders, order) orders = append(orders, order)
} }
@ -166,7 +168,6 @@ func (s *Strategy) submitReverseOrder(order types.Order) {
s.activeOrders.Add(createdOrders...) s.activeOrders.Add(createdOrders...)
} }
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
} }