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