Algo Trading：简单的等间距网格下单

class SplitPricer(Pricer):
    def __init__(self, pdesc, bid, ask):
        super().__init__(pdesc)
        self.bid = bid
        self.ask = ask
    def price(self)->list:
        lb = self.ask if self.pdesc['LB']=='ASK' else Decimal(self.pdesc['LB'])
        ub = self.bid if self.pdesc['UB']=='BID' else Decimal(self.pdesc['UB'])
        assert( not (self.pdesc['LB'] in ['BID','ASK'] and self.pdesc['UB'] in ['BID','ASK']) )

        n = int(self.pdesc['NT'] ) # Number of Trades
        n -= 1 # To facilitate arange below (arange exludes right bound)

        assert( lb < ub )
        assert( (lb >= self.ask and ub > self.ask)
                or 
                (lb < self.bid and ub <= self.bid ))
        d = (ub-lb)/n
        prices = np.arange(lb, ub+d, d).tolist()
        amount_ratio = np.ones(len(prices))/len(prices) # By default, equal amount at each prices
        return list( zip(prices,amount_ratio) )

其中“pdesc”类似以下格式（yml）：

...
  - NAME: split-main-order
    ACTION: split-buy
    EXCHANGE: BINANCE
    SYMBOL: BTC-USDT
    PRICE:
      T: SPLIT
      LB: 15000
      UB: 17798
      NT: 3
    AMOUNT: 0.03
    TYPE: limit
    TIF: 20201122 03:50:00

结果如下：

         ex    symbol     price     qty        type                 tif_now from_md
...
9   BINANCE  BTC-USDT  15000.00  0.0100   split-buy  0 days 16:48:58.884529  -15.7%
10  BINANCE  BTC-USDT  16399.00  0.0100   split-buy  0 days 16:48:58.884529   -7.9%
11  BINANCE  BTC-USDT  17798.00  0.0100   split-buy  0 days 16:48:58.884529   -0.0%