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103 lines
2.4 KiB
Go
103 lines
2.4 KiB
Go
package shakegrid
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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type Grid struct {
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UpperPrice fixedpoint.Value `json:"upperPrice"`
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LowerPrice fixedpoint.Value `json:"lowerPrice"`
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// Spread is the spread of each grid
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Spread fixedpoint.Value `json:"spread"`
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// Size is the number of total grids
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Size fixedpoint.Value `json:"size"`
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// Pins are the pinned grid prices, from low to high
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Pins []fixedpoint.Value `json:"pins"`
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pinsCache map[fixedpoint.Value]struct{} `json:"-"`
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}
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func NewGrid(lower, upper, density fixedpoint.Value) *Grid {
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var height = upper - lower
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var size = height.Div(density)
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var pins []fixedpoint.Value
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for p := lower; p <= upper; p += size {
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pins = append(pins, p)
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}
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grid := &Grid{
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UpperPrice: upper,
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LowerPrice: lower,
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Size: density,
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Spread: size,
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Pins: pins,
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pinsCache: make(map[fixedpoint.Value]struct{}, len(pins)),
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}
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grid.updatePinsCache()
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return grid
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}
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func (g *Grid) Above(price fixedpoint.Value) bool {
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return price > g.UpperPrice
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}
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func (g *Grid) Below(price fixedpoint.Value) bool {
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return price < g.LowerPrice
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}
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func (g *Grid) OutOfRange(price fixedpoint.Value) bool {
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return price < g.LowerPrice || price > g.UpperPrice
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}
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func (g *Grid) updatePinsCache() {
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for _, pin := range g.Pins {
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g.pinsCache[pin] = struct{}{}
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}
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}
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func (g *Grid) HasPin(pin fixedpoint.Value) (ok bool) {
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_, ok = g.pinsCache[pin]
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return ok
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}
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func (g *Grid) ExtendUpperPrice(upper fixedpoint.Value) (newPins []fixedpoint.Value) {
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g.UpperPrice = upper
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// since the grid is extended, the size should be updated as well
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g.Size = (g.UpperPrice - g.LowerPrice).Div(g.Spread).Floor()
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lastPin := g.Pins[len(g.Pins)-1]
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for p := lastPin + g.Spread; p <= g.UpperPrice; p += g.Spread {
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newPins = append(newPins, p)
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}
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g.Pins = append(g.Pins, newPins...)
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g.updatePinsCache()
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return newPins
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}
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func (g *Grid) ExtendLowerPrice(lower fixedpoint.Value) (newPins []fixedpoint.Value) {
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g.LowerPrice = lower
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// since the grid is extended, the size should be updated as well
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g.Size = (g.UpperPrice - g.LowerPrice).Div(g.Spread).Floor()
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firstPin := g.Pins[0]
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numToAdd := (firstPin - g.LowerPrice).Div(g.Spread).Floor()
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if numToAdd == 0 {
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return newPins
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}
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for p := firstPin - g.Spread.Mul(numToAdd); p < firstPin; p += g.Spread {
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newPins = append(newPins, p)
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}
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g.Pins = append(newPins, g.Pins...)
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g.updatePinsCache()
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return newPins
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}
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