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grid2: add more code to setupGridOrders

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c9s 2022-11-24 15:55:02 +08:00
parent 4407aa7f97
commit e3c735b700
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1 changed files with 73 additions and 44 deletions
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117
pkg/strategy/grid2/strategy.go
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@ -301,6 +301,9 @@ func (s *Strategy) checkRequiredInvestmentByAmount(baseBalance, quoteBalance, am
return requiredBase, requiredQuote, nil
}
// setupGridOrders
// 1) if quantity or amount is set, we should use quantity/amount directly instead of using investment amount to calculate.
// 2) if baseInvestment, quoteInvestment is set, then we should calculate the quantity from the given base investment and quote investment.
func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSession) error {
lastPrice, err := s.getLastTradePrice(ctx, session)
if err != nil {
@ -321,15 +324,6 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
totalBase := baseBalance.Available
totalQuote := quoteBalance.Available
if !s.BaseInvestment.IsZero() && !s.QuoteInvestment.IsZero() {
if s.BaseInvestment.Compare(totalBase) > 0 {
return fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", s.BaseInvestment.Float64(), totalBase.Float64())
}
if s.QuoteInvestment.Compare(totalQuote) > 0 {
return fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", s.QuoteInvestment.Float64(), totalQuote.Float64())
}
}
// shift 1 grid because we will start from the buy order
// if the buy order is filled, then we will submit another sell order at the higher grid.
if s.QuantityOrAmount.IsSet() {
@ -345,42 +339,77 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
}
}
for i := len(s.grid.Pins) - 2; i >= 0; i++ {
pin := s.grid.Pins[i]
price := fixedpoint.Value(pin)
if price.Compare(lastPrice) >= 0 {
// check sell order
if quantityOrAmountIsSet {
if s.QuantityOrAmount.Quantity.Sign() > 0 {
quantity := s.QuantityOrAmount.Quantity
createdOrders, err2 := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,
Tag: "grid",
})
if err2 != nil {
return err2
}
_ = createdOrders
} else if s.QuantityOrAmount.Amount.Sign() > 0 {
}
} else if s.BaseInvestment.Sign() > 0 {
} else {
// error: either quantity, amount, baseInvestment is not set.
}
if !s.BaseInvestment.IsZero() && !s.QuoteInvestment.IsZero() {
if s.BaseInvestment.Compare(totalBase) > 0 {
return fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", s.BaseInvestment.Float64(), totalBase.Float64())
}
if s.QuoteInvestment.Compare(totalQuote) > 0 {
return fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", s.QuoteInvestment.Float64(), totalQuote.Float64())
}
if !s.QuantityOrAmount.IsSet() {
// TODO: calculate and override the quantity here
}
}
var buyPlacedPrice = fixedpoint.Zero
var pins = s.grid.Pins
var usedBase = fixedpoint.Zero
var usedQuote = fixedpoint.Zero
var submitOrders []types.SubmitOrder
for i := len(pins) - 1; i >= 0; i-- {
pin := pins[i]
price := fixedpoint.Value(pin)
quantity := s.QuantityOrAmount.Quantity
if quantity.IsZero() {
quantity = s.QuantityOrAmount.Amount.Div(price)
}
// TODO: add fee if we don't have the platform token. BNB, OKB or MAX...
if price.Compare(lastPrice) >= 0 {
if usedBase.Add(quantity).Compare(totalBase) < 0 {
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimitMaker,
Side: types.SideTypeSell,
Price: price,
Quantity: quantity,
})
usedBase = usedBase.Add(quantity)
} else if i > 0 {
// next price
nextPin := pins[i-1]
nextPrice := fixedpoint.Value(nextPin)
submitOrders = append(submitOrders, types.SubmitOrder{
Symbol: s.Symbol,
Type: types.OrderTypeLimitMaker,
Side: types.SideTypeBuy,
Price: nextPrice,
Quantity: quantity,
})
quoteQuantity := quantity.Mul(price)
usedQuote = usedQuote.Add(quoteQuantity)
buyPlacedPrice = nextPrice
}
} else {
}
/*
createdOrders, err2 := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,
Tag: "grid",
})
if err2 != nil {
return err2
}
*/
}
return nil