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bbgo: fix base amount borrow check

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c9s 2022-09-19 13:12:49 +08:00
parent d4398bbbf9
commit 05defc3aad
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1 changed files with 14 additions and 3 deletions
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17
pkg/bbgo/order_executor_general.go
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@ -5,6 +5,7 @@ import (
"errors"
"fmt"
"strings"
"sync/atomic"
"time"
log "github.com/sirupsen/logrus"
@ -29,6 +30,8 @@ type GeneralOrderExecutor struct {
tradeCollector *TradeCollector
marginBaseMaxBorrowable, marginQuoteMaxBorrowable fixedpoint.Value
closing int64
}
func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strategyInstanceID string, position *types.Position) *GeneralOrderExecutor {
@ -228,6 +231,11 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
Tag: strings.Join(options.Tags, ","),
}
baseBalance, _ := e.session.Account.Balance(e.position.Market.BaseCurrency)
// FIXME: fix the max quote borrowing checking
// quoteBalance, _ := e.session.Account.Balance(e.position.Market.QuoteCurrency)
if !options.LimitOrderTakerRatio.IsZero() {
if options.Long {
// use higher price to buy (this ensures that our order will be filled)
@ -258,7 +266,7 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
}
quoteQuantity := quantity.Mul(price)
if quoteQuantity.Compare(e.marginQuoteMaxBorrowable) > 0 {
if !e.marginQuoteMaxBorrowable.IsZero() && quoteQuantity.Compare(e.marginQuoteMaxBorrowable) > 0 {
log.Warnf("adjusting quantity %f according to the max margin quote borrowable amount: %f", quantity.Float64(), e.marginQuoteMaxBorrowable.Float64())
quantity = AdjustQuantityByMaxAmount(quantity, price, e.marginQuoteMaxBorrowable)
}
@ -283,9 +291,10 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
}
}
if quantity.Compare(e.marginBaseMaxBorrowable) > 0 {
if !e.marginBaseMaxBorrowable.IsZero() && quantity.Sub(baseBalance.Available).Compare(e.marginBaseMaxBorrowable) > 0 {
log.Warnf("adjusting %f quantity according to the max margin base borrowable amount: %f", quantity.Float64(), e.marginBaseMaxBorrowable.Float64())
quantity = fixedpoint.Min(quantity, e.marginBaseMaxBorrowable)
// quantity = fixedpoint.Min(quantity, e.marginBaseMaxBorrowable)
quantity = baseBalance.Available.Add(e.marginBaseMaxBorrowable)
}
submitOrder.Side = types.SideTypeSell
@ -348,6 +357,8 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
return nil
}
atomic.AddInt64(&e.closing, 1)
// check base balance and adjust the close position order
if e.position.IsLong() {
if baseBalance, ok := e.session.Account.Balance(e.position.Market.BaseCurrency); ok {