Refactor: add average depth price method

pkg/exchange/max/exchange.go

@@ -645,8 +645,11 @@ func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (cr
 	req.Market(toLocalSymbol(o.Symbol)).
 		Side(toLocalSideType(o.Side)).
 		Volume(quantityString).
-		OrderType(orderType).
-		ClientOrderID(clientOrderID)
+		OrderType(orderType)
+
+	if clientOrderID != "" {
+		req.ClientOrderID(clientOrderID)
+	}
 
 	if o.GroupID > 0 {
 		req.GroupID(strconv.FormatUint(uint64(o.GroupID%math.MaxInt32), 10))

pkg/strategy/xdepthmaker/aggregate.go

@@ -1,32 +1,2 @@
 package xdepthmaker
 
-import (
-	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-func aggregatePrice(pvs types.PriceVolumeSlice, requiredQuantity fixedpoint.Value) (price fixedpoint.Value) {
-	q := requiredQuantity
-	totalAmount := fixedpoint.Zero
-
-	if len(pvs) == 0 {
-		price = fixedpoint.Zero
-		return price
-	} else if pvs[0].Volume.Compare(requiredQuantity) >= 0 {
-		return pvs[0].Price
-	}
-
-	for i := 0; i < len(pvs); i++ {
-		pv := pvs[i]
-		if pv.Volume.Compare(q) >= 0 {
-			totalAmount = totalAmount.Add(q.Mul(pv.Price))
-			break
-		}
-
-		q = q.Sub(pv.Volume)
-		totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
-	}
-
-	price = totalAmount.Div(requiredQuantity.Sub(q))
-	return price
-}

pkg/strategy/xdepthmaker/strategy.go

@@ -712,11 +712,7 @@ func (s *Strategy) generateMakerOrders(
 
 			log.Infof("side: %s required depth: %f, pvs: %+v", side, requiredDepth.Float64(), pvs)
 
-			depthPrice, err := averageDepthPrice(pvs)
-			if err != nil {
-				log.WithError(err).Errorf("error aggregating depth price")
-				continue
-			}
+			depthPrice := pvs.AverageDepthPriceByQuote(fixedpoint.Zero, 0)
 
 			switch side {
 			case types.SideTypeBuy:
@@ -923,25 +919,6 @@ func selectSessions2(
 	return s1, s2, nil
 }
 
-func averageDepthPrice(pvs types.PriceVolumeSlice) (price fixedpoint.Value, err error) {
-	if len(pvs) == 0 {
-		return fixedpoint.Zero, fmt.Errorf("empty pv slice")
-	}
-
-	totalQuoteAmount := fixedpoint.Zero
-	totalQuantity := fixedpoint.Zero
-
-	for i := 0; i < len(pvs); i++ {
-		pv := pvs[i]
-		quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
-		totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
-		totalQuantity = totalQuantity.Add(pv.Volume)
-	}
-
-	price = totalQuoteAmount.Div(totalQuantity)
-	return price, nil
-}
-
 func min(a, b int) int {
 	if a < b {
 		return a

pkg/types/price_volume_slice.go

@@ -206,3 +206,56 @@ func ParsePriceVolumeSliceJSON(b []byte) (slice PriceVolumeSlice, err error) {
 
 	return slice, nil
 }
+
+func (slice PriceVolumeSlice) AverageDepthPriceByQuote(requiredDepthInQuote fixedpoint.Value, maxLevel int) fixedpoint.Value {
+	if len(slice) == 0 {
+		return fixedpoint.Zero
+	}
+
+	totalQuoteAmount := fixedpoint.Zero
+	totalQuantity := fixedpoint.Zero
+
+	l := len(slice)
+	if maxLevel > 0 && l > maxLevel {
+		l = maxLevel
+	}
+
+	for i := 0; i < l; i++ {
+		pv := slice[i]
+		quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
+		totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
+		totalQuantity = totalQuantity.Add(pv.Volume)
+
+		if requiredDepthInQuote.Sign() > 0 && totalQuoteAmount.Compare(requiredDepthInQuote) > 0 {
+			return totalQuoteAmount.Div(totalQuantity)
+		}
+	}
+
+	return totalQuoteAmount.Div(totalQuantity)
+}
+
+// AverageDepthPrice uses the required total quantity to calculate the corresponding price
+func (slice PriceVolumeSlice) AverageDepthPrice(requiredQuantity fixedpoint.Value) fixedpoint.Value {
+	// rest quantity
+	rq := requiredQuantity
+	totalAmount := fixedpoint.Zero
+
+	if len(slice) == 0 {
+		return fixedpoint.Zero
+	} else if slice[0].Volume.Compare(requiredQuantity) >= 0 {
+		return slice[0].Price
+	}
+
+	for i := 0; i < len(slice); i++ {
+		pv := slice[i]
+		if pv.Volume.Compare(rq) >= 0 {
+			totalAmount = totalAmount.Add(rq.Mul(pv.Price))
+			break
+		}
+
+		rq = rq.Sub(pv.Volume)
+		totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
+	}
+
+	return totalAmount.Div(requiredQuantity.Sub(rq))
+}