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bollmaker: add QuantityOrAmount struct

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c9s 2022-01-27 01:10:39 +08:00
parent f1633b00a0
commit e82379a668
1 changed files with 44 additions and 8 deletions
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52
pkg/strategy/bollmaker/strategy.go
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@ -43,6 +43,27 @@ type BollingerSetting struct {
BandWidth float64 `json:"bandWidth"`
}
// QuantityOrAmount is a setting structure used for quantity/amount settings
type QuantityOrAmount struct {
// Quantity is the base order quantity for your buy/sell order.
// when quantity is set, the amount option will be not used.
Quantity fixedpoint.Value `json:"quantity"`
// Amount is the order quote amount for your buy/sell order.
Amount fixedpoint.Value `json:"amount"`
}
// CalculateQuantity calculates the equivalent quantity of the given price when amount is set
// it returns the quantity if the quantity is set
func (qa *QuantityOrAmount) CalculateQuantity(currentPrice fixedpoint.Value) fixedpoint.Value {
if qa.Amount > 0 {
quantity := qa.Amount.Div(currentPrice)
return quantity
}
return qa.Quantity
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability
@ -56,8 +77,7 @@ type Strategy struct {
// Interval is how long do you want to update your order price and quantity
Interval types.Interval `json:"interval"`
// Quantity is the base order quantity for your buy/sell order.
Quantity fixedpoint.Value `json:"quantity"`
QuantityOrAmount
// Spread is the price spread from the middle price.
// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
@ -80,16 +100,27 @@ type Strategy struct {
// -10 means you can hold -10 ETH short position by maximum
MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
// Long means your position will be long position
// Currently not used yet
Long *bool `json:"long,omitempty"`
// Short means your position will be long position
// Currently not used yet
Short *bool `json:"short,omitempty"`
// DisableShort means you can don't want short position during the market making
// Set to true if you want to hold more spot during market making.
DisableShort bool `json:"disableShort"`
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
// NeutralBollinger is the smaller range of the bollinger band
// If price is in this band, it usually means the price is oscillating.
// If price goes out of this band, we tend to not place sell orders or buy orders
NeutralBollinger *BollingerSetting `json:"neutralBollinger"`
// DefaultBollinger is the wide range of the bollinger band
// for controlling your exposure position
DefaultBollinger *BollingerSetting `json:"defaultBollinger"`
// StrongDowntrendSkew is the order quantity skew for strong downtrend band.
// when the bollinger band detect a strong downtrend, what's the order quantity skew we want to use.
// greater than 1.0 means when placing buy order, place sell order with less quantity
@ -265,12 +296,15 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
s.state.Position.String(),
)
quantity := s.Quantity
quantity := s.CalculateQuantity(midPrice)
sellQuantity := s.CalculateQuantity(askPrice)
buyQuantity := s.CalculateQuantity(bidPrice)
sellOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Quantity: quantity.Float64(),
Quantity: sellQuantity.Float64(),
Price: askPrice.Float64(),
Market: s.market,
GroupID: s.groupID,
@ -279,7 +313,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Quantity: quantity.Float64(),
Quantity: buyQuantity.Float64(),
Price: bidPrice.Float64(),
Market: s.market,
GroupID: s.groupID,
@ -519,7 +553,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
midPrice := fixedpoint.NewFromFloat((ticker.Buy + ticker.Sell) / 2)
mid := (ticker.Buy + ticker.Sell) / 2
log.Infof("using ticker price: bid %f / ask %f, mid price %f", ticker.Buy, ticker.Sell, mid)
midPrice := fixedpoint.NewFromFloat(mid)
s.placeOrders(ctx, orderExecutor, midPrice, &kline)
} else {
s.placeOrders(ctx, orderExecutor, fixedpoint.NewFromFloat(kline.Close), &kline)