bbgo_origin/pkg/strategy/common/inventory_skew.go
2024-05-20 15:19:22 +08:00

57 lines
1.8 KiB
Go

package common
import (
"fmt"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
var (
zero = fixedpoint.Zero
two = fixedpoint.NewFromFloat(2.0)
)
type InventorySkewBidAskRatios struct {
BidRatio fixedpoint.Value
AskRatio fixedpoint.Value
}
// https://hummingbot.org/strategy-configs/inventory-skew/
// https://github.com/hummingbot/hummingbot/blob/31fc61d5e71b2c15732142d30983f3ea2be4d466/hummingbot/strategy/pure_market_making/inventory_skew_calculator.pyx
type InventorySkew struct {
InventoryRangeMultiplier fixedpoint.Value `json:"inventoryRangeMultiplier"`
TargetBaseRatio fixedpoint.Value `json:"targetBaseRatio"`
}
func (s *InventorySkew) Validate() error {
if s.InventoryRangeMultiplier.Float64() < 0 {
return fmt.Errorf("inventoryRangeMultiplier should be positive")
}
if s.TargetBaseRatio.Float64() < 0 {
return fmt.Errorf("targetBaseRatio should be positive")
}
return nil
}
func (s *InventorySkew) CalculateBidAskRatios(quantity fixedpoint.Value, price fixedpoint.Value, baseBalance fixedpoint.Value, quoteBalance fixedpoint.Value) *InventorySkewBidAskRatios {
baseValue := baseBalance.Mul(price)
totalValue := baseValue.Add(quoteBalance)
inventoryRange := s.InventoryRangeMultiplier.Mul(quantity.Mul(two)).Mul(price)
leftLimit := s.TargetBaseRatio.Mul(totalValue).Sub(inventoryRange)
rightLimit := s.TargetBaseRatio.Mul(totalValue).Add(inventoryRange)
bidAdjustment := interp(baseValue, leftLimit, rightLimit, two, zero).Clamp(zero, two)
askAdjustment := interp(baseValue, leftLimit, rightLimit, zero, two).Clamp(zero, two)
return &InventorySkewBidAskRatios{
BidRatio: bidAdjustment,
AskRatio: askAdjustment,
}
}
func interp(x, x0, x1, y0, y1 fixedpoint.Value) fixedpoint.Value {
return y0.Add(x.Sub(x0).Mul(y1.Sub(y0)).Div(x1.Sub(x0)))
}