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33 lines
710 B
Go
33 lines
710 B
Go
package xdepthmaker
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
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q := requiredQuantity
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totalAmount := fixedpoint.Zero
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if len(pvs) == 0 {
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price = fixedpoint.Zero
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return price
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} else if pvs[0].Volume.Compare(requiredQuantity) >= 0 {
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return pvs[0].Price
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}
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for i := 0; i < len(pvs); i++ {
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pv := pvs[i]
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if pv.Volume.Compare(q) >= 0 {
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totalAmount = totalAmount.Add(q.Mul(pv.Price))
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break
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}
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q = q.Sub(pv.Volume)
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totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
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}
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price = totalAmount.Div(requiredQuantity.Sub(q))
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return price
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}
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