mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-25 16:25:16 +00:00
85 lines
2.3 KiB
Go
85 lines
2.3 KiB
Go
package bollmaker
|
|
|
|
import (
|
|
"github.com/pkg/errors"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type DynamicSpreadSettings struct {
|
|
Enabled bool `json:"enabled"`
|
|
|
|
// Window is the window of the SMAs of spreads
|
|
Window int `json:"window"`
|
|
|
|
// AskSpreadScale is used to define the ask spread range with the given percentage.
|
|
AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
|
|
|
|
// BidSpreadScale is used to define the bid spread range with the given percentage.
|
|
BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
|
|
|
|
DynamicAskSpread *indicator.SMA
|
|
DynamicBidSpread *indicator.SMA
|
|
}
|
|
|
|
// Update dynamic spreads
|
|
func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
|
|
if !ds.Enabled {
|
|
return
|
|
}
|
|
|
|
ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
|
|
|
|
switch kline.Direction() {
|
|
case types.DirectionUp:
|
|
ds.DynamicAskSpread.Update(ampl)
|
|
ds.DynamicBidSpread.Update(0)
|
|
case types.DirectionDown:
|
|
ds.DynamicBidSpread.Update(ampl)
|
|
ds.DynamicAskSpread.Update(0)
|
|
default:
|
|
ds.DynamicAskSpread.Update(0)
|
|
ds.DynamicBidSpread.Update(0)
|
|
}
|
|
}
|
|
|
|
// GetAskSpread returns current ask spread
|
|
func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
|
|
if !ds.Enabled {
|
|
return 0, errors.New("dynamic spread is not enabled")
|
|
}
|
|
|
|
if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
|
|
askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not calculate dynamicAskSpread")
|
|
return 0, err
|
|
}
|
|
|
|
return askSpread, nil
|
|
}
|
|
|
|
return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
|
|
}
|
|
|
|
// GetBidSpread returns current dynamic bid spread
|
|
func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
|
|
if !ds.Enabled {
|
|
return 0, errors.New("dynamic spread is not enabled")
|
|
}
|
|
|
|
if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
|
|
bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not calculate dynamicBidSpread")
|
|
return 0, err
|
|
}
|
|
|
|
return bidSpread, nil
|
|
}
|
|
|
|
return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
|
|
}
|