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types: fix AdjustQuantityByMinNotional by round up the quantity
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parent
c3ca5b75ac
commit
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@ -2,6 +2,7 @@ package types
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import (
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"math"
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"strconv"
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"github.com/leekchan/accounting"
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@ -59,7 +60,14 @@ func (m Market) IsDustQuantity(quantity, price fixedpoint.Value) bool {
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// TruncateQuantity uses the step size to truncate floating number, in order to avoid the rounding issue
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func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value {
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return fixedpoint.MustNewFromString(m.FormatQuantity(quantity))
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var ts = m.StepSize.Float64()
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var prec = int(math.Round(math.Log10(ts) * -1.0))
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var pow10 = math.Pow10(prec)
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qf := math.Trunc(quantity.Float64() * pow10)
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qf = qf / pow10
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qs := strconv.FormatFloat(qf, 'f', prec, 64)
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return fixedpoint.MustNewFromString(qs)
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}
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func (m Market) TruncatePrice(price fixedpoint.Value) fixedpoint.Value {
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@ -136,15 +144,18 @@ func (m Market) CanonicalizeVolume(val fixedpoint.Value) float64 {
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return math.Trunc(p*val.Float64()) / p
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}
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var minNotionalSealant = fixedpoint.NewFromFloat(1.0001)
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// AdjustQuantityByMinNotional adjusts the quantity to make the amount greater than the given minAmount
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func (m Market) AdjustQuantityByMinNotional(quantity, currentPrice fixedpoint.Value) fixedpoint.Value {
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// modify quantity for the min amount
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quantity = m.TruncateQuantity(quantity)
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amount := currentPrice.Mul(quantity)
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if amount.Compare(m.MinNotional) < 0 {
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ratio := m.MinNotional.Mul(minNotionalSealant).Div(amount)
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return quantity.Mul(ratio)
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ratio := m.MinNotional.Div(amount)
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quantity = quantity.Mul(ratio)
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ts := m.StepSize.Float64()
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prec := int(math.Round(math.Log10(ts) * -1.0))
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return quantity.Round(prec, fixedpoint.Up)
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}
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return quantity
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@ -191,3 +191,53 @@ func Test_formatQuantity(t *testing.T) {
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})
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}
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}
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func TestMarket_TruncateQuantity(t *testing.T) {
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market := Market{
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StepSize: fixedpoint.NewFromFloat(0.0001),
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}
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testCases := []struct {
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input string
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expect string
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}{
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{"0.00573961", "0.0057"},
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{"0.00579961", "0.0057"},
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{"0.0057", "0.0057"},
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}
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for _, testCase := range testCases {
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q := fixedpoint.MustNewFromString(testCase.input)
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q2 := market.TruncateQuantity(q)
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assert.Equalf(t, testCase.expect, q2.String(), "input: %s stepSize: %s", testCase.input, market.StepSize.String())
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}
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}
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func TestMarket_AdjustQuantityByMinNotional(t *testing.T) {
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market := Market{
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Symbol: "ETHUSDT",
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StepSize: fixedpoint.NewFromFloat(0.0001),
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MinQuantity: fixedpoint.NewFromFloat(0.0001),
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MinNotional: fixedpoint.NewFromFloat(10.0),
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VolumePrecision: 8,
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PricePrecision: 2,
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}
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// Quantity:0.00573961 Price:1750.99
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testCases := []struct {
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input string
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expect string
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}{
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{"0.00573961", "0.0058"},
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}
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price := fixedpoint.NewFromFloat(1750.99)
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for _, testCase := range testCases {
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q := fixedpoint.MustNewFromString(testCase.input)
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q2 := market.AdjustQuantityByMinNotional(q, price)
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assert.Equalf(t, testCase.expect, q2.String(), "input: %s stepSize: %s", testCase.input, market.StepSize.String())
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assert.False(t, market.IsDustQuantity(q2, price))
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}
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}
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