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grid2: add FeeRate configuration for checking profit spread

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c9s 2022-12-05 18:15:30 +08:00
parent c5fb15dc22
commit f727f314e6
1 changed files with 12 additions and 2 deletions
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14
pkg/strategy/grid2/strategy.go
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@ -80,6 +80,10 @@ type Strategy struct {
// If this is set, when bbgo started, it will clear the open orders in the same market (by symbol)
ClearOpenOrdersWhenStart bool `json:"clearOpenOrdersWhenStart"`
// FeeRate is used for calculating the minimal profit spread.
// it makes sure that your grid configuration is profitable.
FeeRate fixedpoint.Value `json:"feeRate"`
GridProfitStats *GridProfitStats `persistence:"grid_profit_stats"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
Position *types.Position `persistence:"position"`
@ -113,10 +117,16 @@ func (s *Strategy) Validate() error {
return fmt.Errorf("upperPrice (%s) should not be less than or equal to lowerPrice (%s)", s.UpperPrice.String(), s.LowerPrice.String())
}
if s.FeeRate.IsZero() {
s.FeeRate = fixedpoint.NewFromFloat(0.1 * 0.01) // 0.1%, 0.075% with BNB
}
if !s.ProfitSpread.IsZero() {
percent := s.ProfitSpread.Div(s.LowerPrice)
feeRate := fixedpoint.NewFromFloat(0.1 * 0.01) // 0.1%, 0.075% with BNB
if percent.Compare(feeRate) < 0 {
// the min fee rate from 2 maker/taker orders
minProfitSpread := s.FeeRate.Mul(fixedpoint.NewFromInt(2))
if percent.Compare(minProfitSpread) < 0 {
return fmt.Errorf("profitSpread %f %s is too small, less than the fee rate: %s", s.ProfitSpread.Float64(), percent.Percentage(), feeRate.Percentage())
}
}