adjust quantity bases on the balances

pkg/bbgo/order_processor.go

@@ -14,6 +14,18 @@ var (
 	ErrAssetBalanceLevelTooHigh = errors.New("asset balance level too high")
 )
 
+// AdjustQuantityByMaxAmount adjusts the quantity to make the amount greater than the given minAmount
+func AdjustQuantityByMaxAmount(quantity, currentPrice, maxAmount fixedpoint.Value) fixedpoint.Value {
+	// modify quantity for the min amount
+	amount := currentPrice.Mul(quantity)
+	if amount > maxAmount {
+		ratio := maxAmount.Div(amount)
+		quantity = quantity.Mul(ratio)
+	}
+
+	return quantity
+}
+
 // AdjustQuantityByMinAmount adjusts the quantity to make the amount greater than the given minAmount
 func AdjustQuantityByMinAmount(quantity, currentPrice, minAmount fixedpoint.Value) fixedpoint.Value {
 	// modify quantity for the min amount

pkg/bbgo/twap_order_executor.go

@@ -22,6 +22,7 @@ type TwapExecution struct {
 	StopPrice      fixedpoint.Value
 	NumOfTicks     int
 	UpdateInterval time.Duration
+	DeadlineTime   time.Time
 
 	market           types.Market
 	marketDataStream types.Stream
@@ -79,7 +80,7 @@ func (e *TwapExecution) getSideBook() (pvs types.PriceVolumeSlice, err error) {
 	return pvs, err
 }
 
-func (e *TwapExecution) newBestPriceMakerOrder() (orderForm types.SubmitOrder, err error) {
+func (e *TwapExecution) newBestPriceOrder() (orderForm types.SubmitOrder, err error) {
 	book := e.orderBook.Get()
 
 	sideBook, err := e.getSideBook()
@@ -166,9 +167,34 @@ func (e *TwapExecution) newBestPriceMakerOrder() (orderForm types.SubmitOrder, e
 	}
 
 	minNotional := fixedpoint.NewFromFloat(e.market.MinNotional)
-	orderAmount := newPrice.Mul(orderQuantity)
-	if orderAmount <= minNotional {
-		orderQuantity = AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
+	orderQuantity = AdjustQuantityByMinAmount(orderQuantity, newPrice, minNotional)
+
+	switch e.Side {
+	case types.SideTypeSell:
+		// check base balance for sell, try to sell as more as possible
+		if b, ok := e.Session.Account.Balance(e.market.BaseCurrency); ok {
+			orderQuantity = fixedpoint.Min(b.Available, orderQuantity)
+		}
+
+	case types.SideTypeBuy:
+		// check base balance for sell, try to sell as more as possible
+		if b, ok := e.Session.Account.Balance(e.market.QuoteCurrency); ok {
+			orderQuantity = AdjustQuantityByMaxAmount(orderQuantity, newPrice, b.Available)
+		}
+	}
+
+	if e.DeadlineTime != emptyTime {
+		now := time.Now()
+		if now.After(e.DeadlineTime) {
+			orderForm = types.SubmitOrder{
+				Symbol:   e.Symbol,
+				Side:     e.Side,
+				Type:     types.OrderTypeMarket,
+				Quantity: restQuantity.Float64(),
+				Market:   e.market,
+			}
+			return orderForm, nil
+		}
 	}
 
 	orderForm = types.SubmitOrder{
@@ -264,7 +290,7 @@ func (e *TwapExecution) updateOrder(ctx context.Context) error {
 		e.cancelActiveOrders(ctx)
 	}
 
-	orderForm, err := e.newBestPriceMakerOrder()
+	orderForm, err := e.newBestPriceOrder()
 	if err != nil {
 		return err
 	}

pkg/cmd/orders.go

@@ -187,6 +187,16 @@ var executeOrderCmd = &cobra.Command{
 			return err
 		}
 
+		deadlineDuration, err := cmd.Flags().GetDuration("deadline")
+		if err != nil {
+			return err
+		}
+
+		var deadlineTime time.Time
+		if deadlineDuration > 0 {
+			deadlineTime = time.Now().Add(deadlineDuration)
+		}
+
 		environ := bbgo.NewEnvironment()
 		if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
 			return err
@@ -213,6 +223,7 @@ var executeOrderCmd = &cobra.Command{
 			StopPrice:      stopPrice,
 			NumOfTicks:     numOfPriceTicks,
 			UpdateInterval: updateInterval,
+			DeadlineTime:   deadlineTime,
 		}
 
 		if err := execution.Run(executionCtx); err != nil {
@@ -334,6 +345,7 @@ func init() {
 	executeOrderCmd.Flags().String("slice-quantity", "", "slice quantity")
 	executeOrderCmd.Flags().String("stop-price", "0", "stop price")
 	executeOrderCmd.Flags().Duration("update-interval", time.Second*10, "order update time")
+	executeOrderCmd.Flags().Duration("deadline", 0, "deadline of the order execution")
 	executeOrderCmd.Flags().Int("price-ticks", 0, "the number of price tick for the jump spread, default to 0")
 
 	RootCmd.AddCommand(listOrdersCmd)