package grid2 import ( "fmt" "math" "sort" "github.com/c9s/bbgo/pkg/fixedpoint" ) type PinCalculator func() []Pin type Grid struct { UpperPrice fixedpoint.Value `json:"upperPrice"` LowerPrice fixedpoint.Value `json:"lowerPrice"` // Size is the number of total grids Size fixedpoint.Value `json:"size"` // 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"` pinsCache map[Pin]struct{} `json:"-"` calculator PinCalculator } type Pin fixedpoint.Value func calculateArithmeticPins(lower, upper, spread, tickSize fixedpoint.Value) []Pin { var pins []Pin var ts = tickSize.Float64() for p := lower; p.Compare(upper) <= 0; p = p.Add(spread) { // tickSize here = 0.01 pp := p.Float64() / ts pp = math.Trunc(pp) * ts pin := Pin(fixedpoint.NewFromFloat(pp)) pins = append(pins, pin) } return pins } func buildPinCache(pins []Pin) map[Pin]struct{} { cache := make(map[Pin]struct{}, len(pins)) for _, pin := range pins { cache[pin] = struct{}{} } return cache } func NewGrid(lower, upper, size, tickSize fixedpoint.Value) *Grid { height := upper.Sub(lower) one := fixedpoint.NewFromInt(1) spread := height.Div(size.Sub(one)) grid := &Grid{ UpperPrice: upper, LowerPrice: lower, Size: size, TickSize: tickSize, Spread: spread, } return grid } func (g *Grid) CalculateGeometricPins() { g.calculator = func() []Pin { // TODO: implement geometric calculator // return calculateArithmeticPins(g.LowerPrice, g.UpperPrice, g.Spread, g.TickSize) return nil } g.addPins(g.calculator()) } func (g *Grid) CalculateArithmeticPins() { g.calculator = func() []Pin { one := fixedpoint.NewFromInt(1) height := g.UpperPrice.Sub(g.LowerPrice) spread := height.Div(g.Size.Sub(one)) return calculateArithmeticPins(g.LowerPrice, g.UpperPrice, spread, g.TickSize) } g.addPins(g.calculator()) } func (g *Grid) Height() fixedpoint.Value { return g.UpperPrice.Sub(g.LowerPrice) } func (g *Grid) Above(price fixedpoint.Value) bool { return price.Compare(g.UpperPrice) > 0 } func (g *Grid) Below(price fixedpoint.Value) bool { return price.Compare(g.LowerPrice) < 0 } func (g *Grid) OutOfRange(price fixedpoint.Value) bool { return price.Compare(g.LowerPrice) < 0 || price.Compare(g.UpperPrice) > 0 } func (g *Grid) HasPin(pin Pin) (ok bool) { _, ok = g.pinsCache[pin] return ok } // NextHigherPin finds the next higher pin func (g *Grid) NextHigherPin(price fixedpoint.Value) (Pin, bool) { i := g.SearchPin(price) if i < len(g.Pins) && fixedpoint.Value(g.Pins[i]).Compare(price) == 0 && i+1 < len(g.Pins) { return g.Pins[i+1], true } return Pin(fixedpoint.Zero), false } // NextLowerPin finds the next lower pin func (g *Grid) NextLowerPin(price fixedpoint.Value) (Pin, bool) { i := g.SearchPin(price) if i < len(g.Pins) && fixedpoint.Value(g.Pins[i]).Compare(price) == 0 && i-1 >= 0 { return g.Pins[i-1], true } return Pin(fixedpoint.Zero), false } func (g *Grid) SearchPin(price fixedpoint.Value) int { i := sort.Search(len(g.Pins), func(i int) bool { a := fixedpoint.Value(g.Pins[i]) return a.Compare(price) >= 0 }) return i } func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []Pin) { if upper.Compare(g.UpperPrice) <= 0 { return nil } newPins = calculateArithmeticPins(g.UpperPrice.Add(g.Spread), upper, g.Spread, g.TickSize) g.UpperPrice = upper g.addPins(newPins) return newPins } func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []Pin) { 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...) sort.Slice(g.Pins, func(i, j int) bool { a := fixedpoint.Value(g.Pins[i]) b := fixedpoint.Value(g.Pins[j]) return a.Compare(b) < 0 }) g.updatePinsCache() } func (g *Grid) updatePinsCache() { g.pinsCache = buildPinCache(g.Pins) } func (g *Grid) String() string { return fmt.Sprintf("GRID: priceRange: %f <=> %f size: %f spread: %f", g.LowerPrice.Float64(), g.UpperPrice.Float64(), g.Size.Float64(), g.Spread.Float64()) }