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bollmaker: check dust order for stop
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parent
99af5d3971
commit
2255f3ed0a
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@ -109,7 +109,6 @@ func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
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}
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func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *types.Order, trades *types.Trade, err error) {
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// price for checking account balance
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price := o.Price
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switch o.Type {
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@ -119,16 +118,23 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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price = o.Price
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}
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if o.Quantity < m.Market.MinQuantity {
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return nil, nil, fmt.Errorf("order quantity %f is less than minQuantity %f, order: %+v", o.Quantity, m.Market.MinQuantity, o)
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}
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quoteQuantity := o.Quantity * price
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if quoteQuantity < m.Market.MinNotional {
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return nil, nil, fmt.Errorf("order amount %f is less than minNotional %f, order: %+v", quoteQuantity, m.Market.MinNotional, o)
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}
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switch o.Side {
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case types.SideTypeBuy:
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quote := price * o.Quantity
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if err := m.Account.LockBalance(m.Market.QuoteCurrency, fixedpoint.NewFromFloat(quote)); err != nil {
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if err := m.Account.LockBalance(m.Market.QuoteCurrency, fixedpoint.NewFromFloat(quoteQuantity)); err != nil {
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return nil, nil, err
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}
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case types.SideTypeSell:
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baseQuantity := o.Quantity
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if err := m.Account.LockBalance(m.Market.BaseCurrency, fixedpoint.NewFromFloat(baseQuantity)); err != nil {
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if err := m.Account.LockBalance(m.Market.BaseCurrency, fixedpoint.NewFromFloat(o.Quantity)); err != nil {
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return nil, nil, err
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}
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}
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@ -427,8 +433,8 @@ func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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} else {
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m.BuyToPrice(fixedpoint.NewFromFloat(kline.Close))
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}
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default: // no trade up or down
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if (m.LastPrice == 0) {
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default: // no trade up or down
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if m.LastPrice == 0 {
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m.BuyToPrice(fixedpoint.NewFromFloat(kline.Close))
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}
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@ -175,19 +175,17 @@ func (trader *Trader) SetRiskControls(riskControls *RiskControls) {
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trader.riskControls = riskControls
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}
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func (trader *Trader) Subscribe() {
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// pre-subscribe the data
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for sessionName, strategies := range trader.exchangeStrategies {
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session := trader.environment.sessions[sessionName]
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for _, strategy := range strategies {
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for _, strategy := range strategies {
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if initializer, ok := strategy.(StrategyInitializer); ok {
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initializer.Initialize()
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if initializer, ok := strategy.(StrategyInitializer); ok {
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if err := initializer.Initialize(); err != nil {
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panic(err)
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}
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}
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if subscriber, ok := strategy.(ExchangeSessionSubscriber); ok {
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subscriber.Subscribe(session)
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} else {
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@ -197,9 +195,9 @@ func (trader *Trader) Subscribe() {
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}
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for _, strategy := range trader.crossExchangeStrategies {
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for _, strategy := range strategies {
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if initializer, ok := strategy.(StrategyInitializer); ok {
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initializer.Initialize()
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if initializer, ok := strategy.(StrategyInitializer); ok {
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if err := initializer.Initialize(); err != nil {
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panic(err)
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}
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}
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@ -90,9 +90,10 @@ func (c *TrailingStopController) Subscribe(session *bbgo.ExchangeSession) {
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})
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}
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func (c *TrailingStopController) Setup(ctx context.Context, session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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func (c *TrailingStopController) Run(ctx context.Context, session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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// store the position
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c.position = tradeCollector.Position()
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c.averageCost = c.position.AverageCost
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// Use trade collector to get the position update event
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tradeCollector.OnPositionUpdate(func(position *types.Position) {
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@ -101,11 +102,7 @@ func (c *TrailingStopController) Setup(ctx context.Context, session *bbgo.Exchan
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != c.Symbol {
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return
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}
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if kline.Interval != c.Interval {
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if kline.Symbol != c.Symbol || kline.Interval != c.Interval {
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return
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}
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@ -115,7 +112,13 @@ func (c *TrailingStopController) Setup(ctx context.Context, session *bbgo.Exchan
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c.latestHigh = math.Max(closePrice, c.latestHigh)
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if c.Virtual {
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if c.position == nil {
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// if average cost is updated, we can check min profit
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if c.averageCost == 0 {
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return
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}
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// skip dust position
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if c.position.Base.Abs().Float64() < c.position.Market.MinQuantity || c.position.Base.Abs().Float64()*closePrice < c.position.Market.MinNotional {
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return
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}
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@ -124,24 +127,21 @@ func (c *TrailingStopController) Setup(ctx context.Context, session *bbgo.Exchan
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return
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}
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// if average cost is updated, we can check min profit
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if c.averageCost == 0 {
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return
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}
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// if it's below the average cost, we skip stop
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if closePrice < c.averageCost.Float64() {
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return
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}
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// if the profit rate is defined, and it is less than our minimum profit rate, we skip stop
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if c.MinProfit > 0 && changeRate(closePrice, c.averageCost.Float64()) < c.MinProfit.Float64() {
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if c.MinProfit > 0 &&
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(closePrice < c.averageCost.Float64() ||
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changeRate(closePrice, c.averageCost.Float64()) < c.MinProfit.Float64()) {
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return
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}
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log.Infof("trailing stop event emitted, submitting market order to stop...")
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marketOrder := c.position.NewClosePositionOrder(c.ClosePosition.Float64())
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if marketOrder != nil {
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// skip dust order
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if marketOrder.Quantity*closePrice < c.position.Market.MinNotional {
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return
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}
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createdOrders, err := session.Exchange.SubmitOrders(ctx, *marketOrder)
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if err != nil {
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log.WithError(err).Errorf("stop order place error")
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@ -176,12 +176,16 @@ func (c *TrailingStopController) GenerateStopOrder(stopPrice, price float64) *ty
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}
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quantity := math.Abs(base.Float64())
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quoteQuantity := price * quantity
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if c.ClosePosition > 0 {
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quantity = quantity * c.ClosePosition.Float64()
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}
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quantity = math.Min(quantity, c.position.Market.MinQuantity)
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// skip dust orders
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if quantity < c.position.Market.MinQuantity || quoteQuantity < c.position.Market.MinNotional {
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return nil
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}
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side := types.SideTypeSell
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if base < 0 {
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@ -317,10 +321,11 @@ func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Initialize(session *bbgo.ExchangeSession) error {
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func (s *Strategy) Initialize() error {
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for _, stop := range s.Stops {
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s.stopControllers = append(s.stopControllers,
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NewTrailingStopController(s.Symbol, stop.TrailingStop))
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NewTrailingStopController(s.Symbol, stop.TrailingStop),
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)
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}
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return nil
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}
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@ -714,6 +719,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.tradeCollector.BindStream(session.UserDataStream)
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for _, stopController := range s.stopControllers {
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stopController.Run(ctx, session, s.tradeCollector)
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}
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session.UserDataStream.OnStart(func() {
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if s.UseTickerPrice {
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ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
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@ -127,10 +127,20 @@ type SubmitOrder struct {
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}
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func (o SubmitOrder) String() string {
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switch o.Type {
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case OrderTypeMarket:
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return fmt.Sprintf("SubmitOrder %s %s %s %f", o.Symbol, o.Type, o.Side, o.Quantity)
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}
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return fmt.Sprintf("SubmitOrder %s %s %s %f @ %f", o.Symbol, o.Type, o.Side, o.Quantity, o.Price)
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}
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func (o SubmitOrder) PlainText() string {
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switch o.Type {
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case OrderTypeMarket:
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return fmt.Sprintf("SubmitOrder %s %s %s %f", o.Symbol, o.Type, o.Side, o.Quantity)
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}
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return fmt.Sprintf("SubmitOrder %s %s %s %f @ %f", o.Symbol, o.Type, o.Side, o.Quantity, o.Price)
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}
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@ -2,7 +2,6 @@ package types
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import (
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"fmt"
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"math"
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"sync"
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"time"
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@ -58,7 +57,10 @@ func (p *Position) NewClosePositionOrder(percentage float64) *SubmitOrder {
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base := p.GetBase()
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quantity := base.Float64()
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quantity = quantity * percentage
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quantity = math.Min(quantity, p.Market.MinQuantity)
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if quantity < p.Market.MinQuantity {
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return nil
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}
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side := SideTypeSell
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if base == 0 {
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return nil
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