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grid2: fix extendLowerPrice method and tests
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@ -17,6 +17,9 @@ type Grid struct {
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// TickSize is the price tick size, this is used for truncating price
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TickSize fixedpoint.Value `json:"tickSize"`
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// Spread is a immutable number
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Spread fixedpoint.Value `json:"spread"`
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// Pins are the pinned grid prices, from low to high
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Pins []Pin `json:"pins"`
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@ -46,14 +49,17 @@ func buildPinCache(pins []Pin) map[Pin]struct{} {
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}
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func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid {
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height := upper.Sub(lower)
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spread := height.Div(size)
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grid := &Grid{
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UpperPrice: upper,
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LowerPrice: lower,
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Size: size,
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TickSize: tickSize,
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Spread: spread,
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}
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var spread = grid.Spread()
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var pins = calculateArithmeticPins(lower, upper, spread, tickSize)
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grid.addPins(pins)
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return grid
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@ -63,11 +69,6 @@ func (g *Grid) Height() fixedpoint.Value {
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return g.UpperPrice.Sub(g.LowerPrice)
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}
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// Spread returns the spread of each grid
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func (g *Grid) Spread() fixedpoint.Value {
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return g.Height().Div(g.Size)
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}
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func (g *Grid) Above(price fixedpoint.Value) bool {
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return price.Compare(g.UpperPrice) > 0
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}
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@ -86,31 +87,34 @@ func (g *Grid) HasPin(pin Pin) (ok bool) {
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}
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func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin) {
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spread := g.Spread()
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startPrice := g.UpperPrice.Add(spread)
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for p := startPrice; p.Compare(upper) <= 0; p = p.Add(spread) {
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newPins = append(newPins, Pin(p))
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}
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newPins = calculateArithmeticPins(g.UpperPrice, upper, g.Spread, g.TickSize)
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g.UpperPrice = upper
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g.addPins(newPins)
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return newPins
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}
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func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []Pin) {
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spread := g.Spread()
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startPrice := g.LowerPrice.Sub(spread)
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for p := startPrice; p.Compare(lower) >= 0; p = p.Sub(spread) {
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newPins = append(newPins, Pin(p))
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if lower.Compare(g.LowerPrice) >= 0 {
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return nil
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}
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n := g.LowerPrice.Sub(lower).Div(g.Spread).Floor()
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lower = g.LowerPrice.Sub(g.Spread.Mul(n))
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newPins = calculateArithmeticPins(lower, g.LowerPrice.Sub(g.Spread), g.Spread, g.TickSize)
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g.LowerPrice = lower
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g.addPins(newPins)
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return newPins
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}
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func (g *Grid) TopPin() Pin {
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return g.Pins[len(g.Pins)-1]
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}
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func (g *Grid) BottomPin() Pin {
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return g.Pins[0]
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}
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func (g *Grid) addPins(pins []Pin) {
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g.Pins = append(g.Pins, pins...)
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@ -45,48 +45,50 @@ func TestGrid_HasPin(t *testing.T) {
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func TestGrid_ExtendUpperPrice(t *testing.T) {
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upper := number(500.0)
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lower := number(100.0)
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size := number(100.0)
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grid := NewGrid(lower, upper, size, number(2.0))
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size := number(40.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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originalSpread := grid.Spread
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assert.Equal(t, number(10.0), originalSpread)
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assert.Len(t, grid.Pins, 40) // (1000-500) / 4
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newPins := grid.ExtendUpperPrice(number(1000.0))
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assert.Equal(t, originalSpread, grid.Spread)
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assert.Len(t, newPins, 125) // (1000-500) / 4
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assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
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if assert.Len(t, grid.Pins, 226) {
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assert.Equal(t, fixedpoint.NewFromFloat(100.0), grid.Pins[0])
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assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[225])
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}
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assert.Len(t, newPins, 51) // (1000-500) / 4
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}
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func TestGrid_ExtendLowerPrice(t *testing.T) {
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upper := fixedpoint.NewFromFloat(3000.0)
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lower := fixedpoint.NewFromFloat(2000.0)
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size := fixedpoint.NewFromFloat(100.0)
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grid := NewGrid(lower, upper, size, number(2.0))
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size := fixedpoint.NewFromFloat(10.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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// spread = (3000 - 2000) / 100.0
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expectedSpread := fixedpoint.NewFromFloat(10.0)
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assert.Equal(t, Pin(number(2000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
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assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
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assert.Len(t, grid.Pins, 11)
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// spread = (3000 - 2000) / 10.0
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expectedSpread := fixedpoint.NewFromFloat(100.0)
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assert.Equal(t, expectedSpread, grid.Spread)
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originalSpread := grid.Spread
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newPins := grid.ExtendLowerPrice(fixedpoint.NewFromFloat(1000.0))
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assert.Equal(t, originalSpread, grid.Spread)
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t.Logf("newPins: %+v", newPins)
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// 100 = (2000-1000) / 10
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if assert.Len(t, newPins, 100) {
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assert.Equal(t, fixedpoint.NewFromFloat(2000.0)-expectedSpread, newPins[99])
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if assert.Len(t, newPins, 10) {
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assert.Equal(t, Pin(number(1000.0)), newPins[0])
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assert.Equal(t, Pin(number(1900.0)), newPins[len(newPins)-1])
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}
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assert.Equal(t, expectedSpread, grid.Spread)
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if assert.Len(t, grid.Pins, 201) {
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assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[0])
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assert.Equal(t, fixedpoint.NewFromFloat(3000.0), grid.Pins[200])
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}
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newPins2 := grid.ExtendLowerPrice(
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fixedpoint.NewFromFloat(1000.0 - 1.0))
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assert.Len(t, newPins2, 0) // should have no new pin generated
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if assert.Len(t, grid.Pins, 21) {
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assert.Equal(t, Pin(number(1000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
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assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
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}
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}
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func Test_calculateArithmeticPins(t *testing.T) {
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