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grid2: fix quote investment calculation for profit spread

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c9s 2022-12-06 01:57:33 +08:00
parent e7ff7a49db
commit fc80cfb714
1 changed files with 9 additions and 13 deletions
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22
pkg/strategy/grid2/strategy.go
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@ -553,32 +553,28 @@ func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInv
s.logger.Infof("grid base investment quantity range: %f <=> %f", minBaseQuantity.Float64(), maxBaseQuantity.Float64()) s.logger.Infof("grid base investment quantity range: %f <=> %f", minBaseQuantity.Float64(), maxBaseQuantity.Float64())
} }
// calculate quantity with quote investment
totalQuotePrice := fixedpoint.Zero totalQuotePrice := fixedpoint.Zero
// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + .... // quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
// => // =>
// quoteInvestment = (p1 + p2 + p3) * q // quoteInvestment = (p1 + p2 + p3) * q
// maxBuyQuantity = quoteInvestment / (p1 + p2 + p3) // maxBuyQuantity = quoteInvestment / (p1 + p2 + p3)
si := -1 si := -1
for i := len(pins) - 1; i >= 0; i-- { for i := len(pins) - 1 - maxNumberOfSellOrders; i >= 0; i-- {
pin := pins[i] pin := pins[i]
price := fixedpoint.Value(pin) price := fixedpoint.Value(pin)
sellPrice := price
// when profitSpread is set, the sell price is shift upper with the given spread
if s.ProfitSpread.Sign() > 0 {
sellPrice = sellPrice.Add(s.ProfitSpread)
}
// buy price greater than the last price will trigger taker order. // buy price greater than the last price will trigger taker order.
if price.Compare(lastPrice) >= 0 { if price.Compare(lastPrice) >= 0 {
si = i si = i
// for orders that sell // when profit spread is set, we count all the grid prices as buy prices
// if we still have the base balance if s.ProfitSpread.Sign() > 0 {
// quantity := amount.Div(lastPrice) totalQuotePrice = totalQuotePrice.Add(price)
if i > 0 { } else if i > 0 {
// we do not want to sell at i == 0 // when profit spread is not set
// convert sell to buy quote and add to requiredQuote // we do not want to place sell order at i == 0
// here we submit an order to convert a buy order into a sell order
nextLowerPin := pins[i-1] nextLowerPin := pins[i-1]
nextLowerPrice := fixedpoint.Value(nextLowerPin) nextLowerPrice := fixedpoint.Value(nextLowerPin)
// requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice)) // requiredQuote = requiredQuote.Add(quantity.Mul(nextLowerPrice))