Merge pull request #1172 from c9s/c9s/grid2/base-quote

FEATURE: [grid2] truncate base quantity for quote+base mode

pkg/strategy/grid2/strategy.go

@@ -777,20 +777,30 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInv
 		numberOfSellOrders++
 	}
 
+	// avoid placing a sell order above the last price
+	if numberOfSellOrders > 0 {
+		numberOfSellOrders--
+	}
+
 	// if the maxBaseQuantity is less than minQuantity, then we need to reduce the number of the sell orders
 	// so that the quantity can be increased.
-	maxNumberOfSellOrders := numberOfSellOrders + 1
+	baseQuantity := s.Market.TruncateQuantity(
-	minBaseQuantity := fixedpoint.Max(s.Market.MinNotional.Div(lastPrice), s.Market.MinQuantity)
+		baseInvestment.Div(
-	maxBaseQuantity := fixedpoint.Zero
+			fixedpoint.NewFromInt(
-	for maxBaseQuantity.Compare(s.Market.MinQuantity) <= 0 || maxBaseQuantity.Compare(minBaseQuantity) <= 0 {
+				int64(numberOfSellOrders))))
-		maxNumberOfSellOrders--
+
-		maxBaseQuantity = baseInvestment.Div(fixedpoint.NewFromInt(int64(maxNumberOfSellOrders)))
+	minBaseQuantity := fixedpoint.Max(
-	}
+		s.Market.MinNotional.Div(s.UpperPrice),
-	s.logger.Infof("grid base investment sell orders: %d", maxNumberOfSellOrders)
+		s.Market.MinQuantity)
-	if maxNumberOfSellOrders > 0 {
+
-		s.logger.Infof("grid base investment quantity: %f (base investment) / %d (number of sell orders) = %f (base quantity per order)", baseInvestment.Float64(), maxNumberOfSellOrders, maxBaseQuantity.Float64())
+	if baseQuantity.Compare(minBaseQuantity) <= 0 {
+		baseQuantity = s.Market.RoundUpQuantityByPrecision(minBaseQuantity)
+		numberOfSellOrders = int(math.Floor(baseInvestment.Div(baseQuantity).Float64()))
 	}
 
+	s.logger.Infof("grid base investment sell orders: %d", numberOfSellOrders)
+	s.logger.Infof("grid base investment quantity: %f (base investment) / %d (number of sell orders) = %f (base quantity per order)", baseInvestment.Float64(), numberOfSellOrders, baseQuantity.Float64())
+
 	// calculate quantity with quote investment
 	totalQuotePrice := fixedpoint.Zero
 	// quoteInvestment = (p1 * q) + (p2 * q) + (p3 * q) + ....
@@ -798,7 +808,7 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInv
 	// quoteInvestment = (p1 + p2 + p3) * q
 	// maxBuyQuantity = quoteInvestment / (p1 + p2 + p3)
 	si := -1
-	for i := len(pins) - 1 - maxNumberOfSellOrders; i >= 0; i-- {
+	for i := len(pins) - 1 - numberOfSellOrders; i >= 0; i-- {
 		pin := pins[i]
 		price := fixedpoint.Value(pin)
 
@@ -834,8 +844,8 @@ func (s *Strategy) calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInv
 	}
 
 	quoteSideQuantity := quoteInvestment.Div(totalQuotePrice)
-	if maxNumberOfSellOrders > 0 {
+	if numberOfSellOrders > 0 {
-		return fixedpoint.Min(quoteSideQuantity, maxBaseQuantity), nil
+		return fixedpoint.Min(quoteSideQuantity, baseQuantity), nil
 	}
 
 	return quoteSideQuantity, nil
@@ -1323,7 +1333,7 @@ func (s *Strategy) generateGridOrders(totalQuote, totalBase, lastPrice fixedpoin
 		if price.Compare(lastPrice) >= 0 {
 			si = i
 
-			// do not place sell order when i == 0
+			// do not place sell order when i == 0 (the bottom of grid)
 			if i == 0 {
 				continue
 			}

pkg/strategy/grid2/strategy_test.go

@@ -285,8 +285,58 @@ func TestStrategy_checkRequiredInvestmentByAmount(t *testing.T) {
 	})
 }
 
-func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
+func TestStrategy_calculateBaseQuoteInvestmentQuantity(t *testing.T) {
+	t.Run("1 sell", func(t *testing.T) {
+		s := newTestStrategy()
+		s.Market = newTestMarket("ETHUSDT")
+		s.UpperPrice = number(200.0)
+		s.LowerPrice = number(100.0)
+		s.GridNum = 7
+		s.Compound = true
 
+		lastPrice := number(180.0)
+		quoteInvestment := number(334.0) // 333.33
+		baseInvestment := number(0.5)
+		quantity, err := s.calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInvestment, lastPrice, []Pin{
+			Pin(number(100.00)),
+			Pin(number(116.67)),
+			Pin(number(133.33)),
+			Pin(number(150.00)),
+			Pin(number(166.67)),
+			Pin(number(183.33)),
+			Pin(number(200.00)),
+		})
+		assert.NoError(t, err)
+		assert.InDelta(t, 0.5, quantity.Float64(), 0.0001)
+	})
+
+	t.Run("6 sell", func(t *testing.T) {
+		s := newTestStrategy()
+		s.Market = newTestMarket("ETHUSDT")
+		s.UpperPrice = number(200.0)
+		s.LowerPrice = number(100.0)
+		s.GridNum = 7
+		s.Compound = true
+
+		lastPrice := number(95.0)
+		quoteInvestment := number(334.0) // 333.33
+		baseInvestment := number(0.5)
+		quantity, err := s.calculateBaseQuoteInvestmentQuantity(quoteInvestment, baseInvestment, lastPrice, []Pin{
+			Pin(number(100.00)),
+			Pin(number(116.67)),
+			Pin(number(133.33)),
+			Pin(number(150.00)),
+			Pin(number(166.67)),
+			Pin(number(183.33)),
+			Pin(number(200.00)),
+		})
+		assert.NoError(t, err)
+		assert.InDelta(t, 0.08333, quantity.Float64(), 0.0001)
+	})
+
+}
+
+func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
 	t.Run("quote quantity", func(t *testing.T) {
 		// quoteInvestment = (10,000 + 11,000 + 12,000 + 13,000 + 14,000) * q
 		// q = quoteInvestment / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
@@ -375,11 +425,38 @@ func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
 	})
 }
 
-func newTestMarket() types.Market {
+func newTestMarket(symbol string) types.Market {
+	switch symbol {
+	case "BTCUSDT":
+		return types.Market{
+			BaseCurrency:    "BTC",
+			QuoteCurrency:   "USDT",
+			TickSize:        number(0.01),
+			StepSize:        number(0.00001),
+			PricePrecision:  2,
+			VolumePrecision: 8,
+			MinNotional:     number(10.0),
+			MinQuantity:     number(0.001),
+		}
+	case "ETHUSDT":
+		return types.Market{
+			BaseCurrency:    "ETH",
+			QuoteCurrency:   "USDT",
+			TickSize:        number(0.01),
+			StepSize:        number(0.00001),
+			PricePrecision:  2,
+			VolumePrecision: 6,
+			MinNotional:     number(8.000),
+			MinQuantity:     number(0.00030),
+		}
+	}
+
+	// default
 	return types.Market{
 		BaseCurrency:    "BTC",
 		QuoteCurrency:   "USDT",
 		TickSize:        number(0.01),
+		StepSize:        number(0.00001),
 		PricePrecision:  2,
 		VolumePrecision: 8,
 		MinNotional:     number(10.0),
@@ -390,7 +467,7 @@ func newTestMarket() types.Market {
 var testOrderID = uint64(0)
 
 func newTestOrder(price, quantity fixedpoint.Value, side types.SideType) types.Order {
-	market := newTestMarket()
+	market := newTestMarket("BTCUSDT")
 	testOrderID++
 	return types.Order{
 		SubmitOrder: types.SubmitOrder{
@@ -414,7 +491,7 @@ func newTestOrder(price, quantity fixedpoint.Value, side types.SideType) types.O
 }
 
 func newTestStrategy() *Strategy {
-	market := newTestMarket()
+	market := newTestMarket("BTCUSDT")
 
 	s := &Strategy{
 		logger:           logrus.NewEntry(logrus.New()),

pkg/types/market.go

@@ -70,6 +70,17 @@ func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value {
 	return fixedpoint.MustNewFromString(qs)
 }
 
+// RoundDownQuantityByPrecision uses the volume precision to round down the quantity
+// This is different from the TruncateQuantity, which uses StepSize (it uses fewer fractions to truncate)
+func (m Market) RoundDownQuantityByPrecision(quantity fixedpoint.Value) fixedpoint.Value {
+	return quantity.Round(m.VolumePrecision, fixedpoint.Down)
+}
+
+// RoundUpQuantityByPrecision uses the volume precision to round up the quantity
+func (m Market) RoundUpQuantityByPrecision(quantity fixedpoint.Value) fixedpoint.Value {
+	return quantity.Round(m.VolumePrecision, fixedpoint.Up)
+}
+
 func (m Market) TruncatePrice(price fixedpoint.Value) fixedpoint.Value {
 	return fixedpoint.MustNewFromString(m.FormatPrice(price))
 }