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grid2: refactor spread, height methods

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c9s 2022-11-06 10:06:57 +08:00
parent 2761cff2bf
commit e675a084e2
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1 changed files with 19 additions and 11 deletions
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30
pkg/strategy/grid2/grid.go
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@ -10,9 +10,6 @@ type Grid struct {
UpperPrice fixedpoint.Value `json:"upperPrice"`
LowerPrice fixedpoint.Value `json:"lowerPrice"`
// Spread is the spread of each grid
Spread fixedpoint.Value `json:"spread"`
// Size is the number of total grids
Size fixedpoint.Value `json:"size"`
@ -48,15 +45,12 @@ func buildPinCache(pins []Pin) map[Pin]struct{} {
}
func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid {
var height = upper.Sub(lower)
var spread = height.Div(size)
var pins = calculateArithmeticPins(lower, upper, size, tickSize)
grid := &Grid{
UpperPrice: upper,
LowerPrice: lower,
Size: size,
Spread: spread,
Pins: pins,
pinsCache: buildPinCache(pins),
}
@ -64,6 +58,15 @@ func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid {
return grid
}
func (g *Grid) Height() fixedpoint.Value {
return g.UpperPrice.Sub(g.LowerPrice)
}
// Spread returns the spread of each grid
func (g *Grid) Spread() fixedpoint.Value {
return g.Height().Div(g.Size)
}
func (g *Grid) Above(price fixedpoint.Value) bool {
return price.Compare(g.UpperPrice) > 0
}
@ -89,10 +92,11 @@ func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin) {
g.UpperPrice = upper
// since the grid is extended, the size should be updated as well
g.Size = (g.UpperPrice - g.LowerPrice).Div(g.Spread).Floor()
spread := g.Spread()
g.Size = (g.UpperPrice - g.LowerPrice).Div(spread).Floor()
lastPinPrice := fixedpoint.Value(g.Pins[len(g.Pins)-1])
for p := lastPinPrice.Add(g.Spread); p <= g.UpperPrice; p += g.Spread {
for p := lastPinPrice.Add(spread); p <= g.UpperPrice; p = p.Add(spread) {
newPins = append(newPins, Pin(p))
}
@ -102,18 +106,22 @@ func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin) {
}
func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []Pin) {
spread := g.Spread()
g.LowerPrice = lower
height := g.Height()
// since the grid is extended, the size should be updated as well
g.Size = (g.UpperPrice - g.LowerPrice).Div(g.Spread).Floor()
g.Size = height.Div(spread).Floor()
firstPinPrice := fixedpoint.Value(g.Pins[0])
numToAdd := (firstPinPrice.Sub(g.LowerPrice)).Div(g.Spread).Floor()
numToAdd := (firstPinPrice.Sub(g.LowerPrice)).Div(spread).Floor()
if numToAdd == 0 {
return newPins
}
for p := firstPinPrice.Sub(g.Spread.Mul(numToAdd)); p.Compare(firstPinPrice) < 0; p = p.Add(g.Spread) {
for p := firstPinPrice.Sub(spread.Mul(numToAdd)); p.Compare(firstPinPrice) < 0; p = p.Add(spread) {
newPins = append(newPins, Pin(p))
}