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53 lines
1.6 KiB
Go
53 lines
1.6 KiB
Go
package bbgo
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import (
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"github.com/adshao/go-binance"
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"math"
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)
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// this is for BTC
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const MinQuantity = 0.00000100
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// https://www.desmos.com/calculator/ircjhtccbn
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func BuyVolumeModifier(price float64) float64 {
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targetPrice := 7500.0 // we will get 1 at price 7500, and more below 7500
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flatness := 1000.0 // higher number buys more in the middle section. higher number gets more flat line, reduced to 0 at price 2000 * 10
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return math.Min(2, math.Exp(-(price-targetPrice)/flatness))
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}
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func SellVolumeModifier(price float64) float64 {
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// \exp\left(\frac{x-10000}{500}\right)
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targetPrice := 10500.0 // target to sell most x1 at 10000.0
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flatness := 500.0 // higher number sells more in the middle section, lower number sells fewer in the middle section.
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return math.Min(2, math.Exp((price-targetPrice)/flatness))
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}
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func VolumeByPriceChange(market Market, currentPrice float64, change float64, side binance.SideType) float64 {
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volume := BaseVolumeByPriceChange(change)
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if side == binance.SideTypeSell {
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volume *= SellVolumeModifier(currentPrice)
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} else {
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volume *= BuyVolumeModifier(currentPrice)
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}
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// at least the minimal quantity
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volume = math.Max(market.MinQuantity, volume)
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// modify volume for the min amount
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amount := currentPrice * volume
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if amount < market.MinAmount {
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ratio := market.MinAmount / amount
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volume *= ratio
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}
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volume = math.Trunc(volume * math.Pow10(market.VolumePrecision)) / math.Pow10(market.VolumePrecision)
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return volume
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}
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func BaseVolumeByPriceChange(change float64) float64 {
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return 0.2 * math.Exp((math.Abs(change)-3100.0)/1600.0)
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// 0.116*math.Exp(math.Abs(change)/2400) - 0.1
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}
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