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backtest: fix market order fee calculation

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This commit is contained in:
c9s 2022-01-30 02:00:30 +08:00
parent 20938895a8
commit ec8129ab87
1 changed files with 8 additions and 7 deletions
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15
pkg/backtest/matching.go
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@ -216,6 +216,13 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
}
}
price := order.Price
switch order.Type {
case types.OrderTypeMarket, types.OrderTypeStopMarket:
price = m.LastPrice.Float64()
}
var fee float64
var feeCurrency string
@ -226,17 +233,11 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
feeCurrency = m.Market.BaseCurrency
case types.SideTypeSell:
fee = order.Quantity * order.Price * feeRate
fee = order.Quantity * price * feeRate
feeCurrency = m.Market.QuoteCurrency
}
price := order.Price
switch order.Type {
case types.OrderTypeMarket, types.OrderTypeStopMarket:
price = m.LastPrice.Float64()
}
var id = incTradeID()
return types.Trade{