grid2: fix extendLowerPrice method and tests

pkg/strategy/grid2/grid.go

@@ -17,6 +17,9 @@ type Grid struct {
 	// TickSize is the price tick size, this is used for truncating price
 	TickSize fixedpoint.Value `json:"tickSize"`
 
+	// Spread is a immutable number
+	Spread fixedpoint.Value `json:"spread"`
+
 	// Pins are the pinned grid prices, from low to high
 	Pins []Pin `json:"pins"`
 
@@ -46,14 +49,17 @@ func buildPinCache(pins []Pin) map[Pin]struct{} {
 }
 
 func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid {
+	height := upper.Sub(lower)
+	spread := height.Div(size)
+
 	grid := &Grid{
 		UpperPrice: upper,
 		LowerPrice: lower,
 		Size:       size,
 		TickSize:   tickSize,
+		Spread:     spread,
 	}
 
-	var spread = grid.Spread()
 	var pins = calculateArithmeticPins(lower, upper, spread, tickSize)
 	grid.addPins(pins)
 	return grid
@@ -63,11 +69,6 @@ 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
 }
@@ -86,31 +87,34 @@ func (g *Grid) HasPin(pin Pin) (ok bool) {
 }
 
 func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin) {
-	spread := g.Spread()
-
-	startPrice := g.UpperPrice.Add(spread)
-	for p := startPrice; p.Compare(upper) <= 0; p = p.Add(spread) {
-		newPins = append(newPins, Pin(p))
-	}
-
+	newPins = calculateArithmeticPins(g.UpperPrice, upper, g.Spread, g.TickSize)
 	g.UpperPrice = upper
 	g.addPins(newPins)
 	return newPins
 }
 
 func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []Pin) {
-	spread := g.Spread()
-
-	startPrice := g.LowerPrice.Sub(spread)
-	for p := startPrice; p.Compare(lower) >= 0; p = p.Sub(spread) {
-		newPins = append(newPins, Pin(p))
+	if lower.Compare(g.LowerPrice) >= 0 {
+		return nil
 	}
 
+	n := g.LowerPrice.Sub(lower).Div(g.Spread).Floor()
+	lower = g.LowerPrice.Sub(g.Spread.Mul(n))
+	newPins = calculateArithmeticPins(lower, g.LowerPrice.Sub(g.Spread), g.Spread, g.TickSize)
+
 	g.LowerPrice = lower
 	g.addPins(newPins)
 	return newPins
 }
 
+func (g *Grid) TopPin() Pin {
+	return g.Pins[len(g.Pins)-1]
+}
+
+func (g *Grid) BottomPin() Pin {
+	return g.Pins[0]
+}
+
 func (g *Grid) addPins(pins []Pin) {
 	g.Pins = append(g.Pins, pins...)
 

pkg/strategy/grid2/grid_test.go

@@ -45,48 +45,50 @@ func TestGrid_HasPin(t *testing.T) {
 func TestGrid_ExtendUpperPrice(t *testing.T) {
 	upper := number(500.0)
 	lower := number(100.0)
-	size := number(100.0)
-	grid := NewGrid(lower, upper, size, number(2.0))
-
+	size := number(40.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
 	originalSpread := grid.Spread
+
+	assert.Equal(t, number(10.0), originalSpread)
+	assert.Len(t, grid.Pins, 40) // (1000-500) / 4
+
 	newPins := grid.ExtendUpperPrice(number(1000.0))
 	assert.Equal(t, originalSpread, grid.Spread)
-	assert.Len(t, newPins, 125) // (1000-500) / 4
-	assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
-	if assert.Len(t, grid.Pins, 226) {
-		assert.Equal(t, fixedpoint.NewFromFloat(100.0), grid.Pins[0])
-		assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[225])
-	}
+	assert.Len(t, newPins, 51) // (1000-500) / 4
 }
 
 func TestGrid_ExtendLowerPrice(t *testing.T) {
 	upper := fixedpoint.NewFromFloat(3000.0)
 	lower := fixedpoint.NewFromFloat(2000.0)
-	size := fixedpoint.NewFromFloat(100.0)
-	grid := NewGrid(lower, upper, size, number(2.0))
+	size := fixedpoint.NewFromFloat(10.0)
+	grid := NewGrid(lower, upper, size, number(0.01))
 
-	// spread = (3000 - 2000) / 100.0
-	expectedSpread := fixedpoint.NewFromFloat(10.0)
+	assert.Equal(t, Pin(number(2000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
+	assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
+	assert.Len(t, grid.Pins, 11)
+
+	// spread = (3000 - 2000) / 10.0
+	expectedSpread := fixedpoint.NewFromFloat(100.0)
 	assert.Equal(t, expectedSpread, grid.Spread)
 
 	originalSpread := grid.Spread
 	newPins := grid.ExtendLowerPrice(fixedpoint.NewFromFloat(1000.0))
 	assert.Equal(t, originalSpread, grid.Spread)
 
+	t.Logf("newPins: %+v", newPins)
+
 	// 100 = (2000-1000) / 10
-	if assert.Len(t, newPins, 100) {
-		assert.Equal(t, fixedpoint.NewFromFloat(2000.0)-expectedSpread, newPins[99])
+	if assert.Len(t, newPins, 10) {
+		assert.Equal(t, Pin(number(1000.0)), newPins[0])
+		assert.Equal(t, Pin(number(1900.0)), newPins[len(newPins)-1])
 	}
 
 	assert.Equal(t, expectedSpread, grid.Spread)
-	if assert.Len(t, grid.Pins, 201) {
-		assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[0])
-		assert.Equal(t, fixedpoint.NewFromFloat(3000.0), grid.Pins[200])
-	}
 
-	newPins2 := grid.ExtendLowerPrice(
-		fixedpoint.NewFromFloat(1000.0 - 1.0))
-	assert.Len(t, newPins2, 0) // should have no new pin generated
+	if assert.Len(t, grid.Pins, 21) {
+		assert.Equal(t, Pin(number(1000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
+		assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
+	}
 }
 
 func Test_calculateArithmeticPins(t *testing.T) {