mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-23 23:35:14 +00:00
102 lines
2.5 KiB
Go
102 lines
2.5 KiB
Go
package liquiditymaker
|
|
|
|
import (
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// input: liquidityOrderGenerator(
|
|
//
|
|
// totalLiquidityAmount,
|
|
// startPrice,
|
|
// endPrice,
|
|
// numLayers,
|
|
// quantityScale)
|
|
//
|
|
// when side == sell
|
|
//
|
|
// priceAsk1 * scale(1) * f = amount1
|
|
// priceAsk2 * scale(2) * f = amount2
|
|
// priceAsk3 * scale(3) * f = amount3
|
|
//
|
|
// totalLiquidityAmount = priceAsk1 * scale(1) * f + priceAsk2 * scale(2) * f + priceAsk3 * scale(3) * f + ....
|
|
// totalLiquidityAmount = f * (priceAsk1 * scale(1) + priceAsk2 * scale(2) + priceAsk3 * scale(3) + ....)
|
|
// f = totalLiquidityAmount / (priceAsk1 * scale(1) + priceAsk2 * scale(2) + priceAsk3 * scale(3) + ....)
|
|
//
|
|
// when side == buy
|
|
//
|
|
// priceBid1 * scale(1) * f = amount1
|
|
type LiquidityOrderGenerator struct {
|
|
Symbol string
|
|
Market types.Market
|
|
|
|
logger log.FieldLogger
|
|
}
|
|
|
|
func (g *LiquidityOrderGenerator) Generate(
|
|
side types.SideType, totalAmount, startPrice, endPrice fixedpoint.Value, numLayers int, scale bbgo.Scale,
|
|
) (orders []types.SubmitOrder) {
|
|
|
|
if g.logger == nil {
|
|
logger := log.New()
|
|
logger.SetLevel(log.ErrorLevel)
|
|
g.logger = logger
|
|
}
|
|
|
|
layerSpread := endPrice.Sub(startPrice).Div(fixedpoint.NewFromInt(int64(numLayers - 1)))
|
|
switch side {
|
|
case types.SideTypeSell:
|
|
if layerSpread.Compare(g.Market.TickSize) < 0 {
|
|
layerSpread = g.Market.TickSize
|
|
}
|
|
|
|
case types.SideTypeBuy:
|
|
if layerSpread.Compare(g.Market.TickSize.Neg()) > 0 {
|
|
layerSpread = g.Market.TickSize.Neg()
|
|
}
|
|
}
|
|
|
|
quantityBase := 0.0
|
|
var layerPrices []fixedpoint.Value
|
|
var layerScales []float64
|
|
for i := 0; i < numLayers; i++ {
|
|
fi := fixedpoint.NewFromInt(int64(i))
|
|
layerPrice := g.Market.TruncatePrice(startPrice.Add(layerSpread.Mul(fi)))
|
|
layerPrices = append(layerPrices, layerPrice)
|
|
|
|
layerScale := scale.Call(float64(i + 1))
|
|
layerScales = append(layerScales, layerScale)
|
|
|
|
quantityBase += layerPrice.Float64() * layerScale
|
|
}
|
|
|
|
factor := totalAmount.Float64() / quantityBase
|
|
|
|
g.logger.Infof("liquidity amount base: %f, factor: %f", quantityBase, factor)
|
|
|
|
for i := 0; i < numLayers; i++ {
|
|
price := layerPrices[i]
|
|
s := layerScales[i]
|
|
|
|
quantity := g.Market.TruncateQuantity(fixedpoint.NewFromFloat(factor * s))
|
|
|
|
if g.Market.IsDustQuantity(quantity, price) {
|
|
continue
|
|
}
|
|
|
|
orders = append(orders, types.SubmitOrder{
|
|
Symbol: g.Symbol,
|
|
Price: price,
|
|
Type: types.OrderTypeLimitMaker,
|
|
Quantity: quantity,
|
|
Side: side,
|
|
Market: g.Market,
|
|
})
|
|
}
|
|
|
|
return orders
|
|
}
|