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Merge pull request #435 from jessy1092/fix/correct-bollmaker-params

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fix: Correct uptrendSkew and downtrendSkew parameters setting on bollmaker strategy
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Yo-An Lin 2022-01-14 12:18:18 +08:00 committed by GitHub
commit e797e597b1
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1 changed files with 2 additions and 2 deletions
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pkg/strategy/bollmaker/strategy.go
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@ -329,13 +329,13 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
} }
} else if midPrice.Float64() > s.defaultBoll.LastDownBand() && midPrice.Float64() < s.neutralBoll.LastDownBand() { // downtrend, might bounce back } else if midPrice.Float64() > s.defaultBoll.LastDownBand() && midPrice.Float64() < s.neutralBoll.LastDownBand() { // downtrend, might bounce back
skew := 2.0 skew := s.DowntrendSkew.Float64()
ratio := 1.0 / skew ratio := 1.0 / skew
sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio) sellOrder.Quantity = math.Max(s.market.MinQuantity, buyOrder.Quantity*ratio)
} else if midPrice.Float64() < s.defaultBoll.LastUpBand() && midPrice.Float64() > s.neutralBoll.LastUpBand() { // uptrend, might bounce back } else if midPrice.Float64() < s.defaultBoll.LastUpBand() && midPrice.Float64() > s.neutralBoll.LastUpBand() { // uptrend, might bounce back
skew := 0.5 skew := s.UptrendSkew.Float64()
buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew) buyOrder.Quantity = math.Max(s.market.MinQuantity, sellOrder.Quantity*skew)
} else if midPrice.Float64() < s.defaultBoll.LastDownBand() { // strong downtrend } else if midPrice.Float64() < s.defaultBoll.LastDownBand() { // strong downtrend