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use fixedpoint for balances

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This commit is contained in:
c9s 2020-11-10 14:19:33 +08:00
parent cdf7959029
commit 23c19c5968
9 changed files with 61 additions and 37 deletions
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6
pkg/bbgo/active_book.go
View File

@ -1,7 +1,7 @@
package bbgo
import (
"github.com/sirupsen/logrus"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/types"
)
@ -21,11 +21,11 @@ func NewLocalActiveOrderBook() *LocalActiveOrderBook {
func (b *LocalActiveOrderBook) Print() {
for _, o := range b.Bids.Orders() {
logrus.Infof("bid order: %d -> %s", o.OrderID, o.Status)
log.Infof("bid order: %d -> %s", o.OrderID, o.Status)
}
for _, o := range b.Asks.Orders() {
logrus.Infof("ask order: %d -> %s", o.OrderID, o.Status)
log.Infof("ask order: %d -> %s", o.OrderID, o.Status)
}
}

4
pkg/bbgo/config.go
View File

@ -84,8 +84,8 @@ func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap {
for currency, value := range m {
balances[currency] = types.Balance{
Currency: currency,
Available: value.Float64(),
Locked: 0.0,
Available: value,
Locked: 0,
}
}
return balances

10
pkg/bbgo/environment.go
View File

@ -125,6 +125,9 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
return err
}
balances.Print()
session.Account.UpdateBalances(balances)
session.Account.BindStream(session.Stream)
@ -161,7 +164,7 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
}
if len(kLines) == 0 {
log.Warnf("no kline data for interval %s", interval)
log.Warnf("no kline data for interval %s (end time <= %s)", interval, environ.startTime)
continue
}
@ -337,6 +340,11 @@ func (environ *Environment) ConfigureNotification(conf *NotificationConfig) {
}
}
func (environ *Environment) SetStartTime(t time.Time) *Environment {
environ.startTime = t
return environ
}
// SyncTradesFrom overrides the default trade scan time (-7 days)
func (environ *Environment) SyncTradesFrom(t time.Time) *Environment {
environ.tradeScanTime = t

29
pkg/bbgo/order_execution.go
View File

@ -128,9 +128,9 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
continue
}
if quoteBalance.Available < c.MinQuoteBalance.Float64() {
if quoteBalance.Available < c.MinQuoteBalance {
addError(errors.Wrapf(ErrQuoteBalanceLevelTooLow, "can not place buy order, quote balance level is too low: %s < %s, order: %s",
types.USD.FormatMoneyFloat64(quoteBalance.Available),
types.USD.FormatMoneyFloat64(quoteBalance.Available.Float64()),
types.USD.FormatMoneyFloat64(c.MinQuoteBalance.Float64()), order.String()))
continue
}
@ -143,7 +143,7 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
quantity = adjustQuantityByMaxAmount(quantity, price, c.MaxOrderAmount.Float64())
}
quoteAssetQuota := math.Max(0.0, quoteBalance.Available-c.MinQuoteBalance.Float64())
quoteAssetQuota := math.Max(0.0, quoteBalance.Available.Float64()-c.MinQuoteBalance.Float64())
if quoteAssetQuota < market.MinAmount {
addError(
errors.Wrapf(
@ -157,18 +157,18 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
// if MaxBaseAssetBalance is enabled, we should check the current base asset balance
if baseBalance, hasBaseAsset := balances[market.BaseCurrency]; hasBaseAsset && c.MaxBaseAssetBalance > 0 {
if baseBalance.Available > c.MaxBaseAssetBalance.Float64() {
if baseBalance.Available > c.MaxBaseAssetBalance {
addError(
errors.Wrapf(
ErrAssetBalanceLevelTooHigh,
"should not place buy order, asset balance level is too high: %f > %f, order: %s",
baseBalance.Available,
baseBalance.Available.Float64(),
c.MaxBaseAssetBalance.Float64(),
order.String()))
continue
}
baseAssetQuota := math.Max(0, c.MaxBaseAssetBalance.Float64()-baseBalance.Available)
baseAssetQuota := math.Max(0.0, c.MaxBaseAssetBalance.Float64()-baseBalance.Available.Float64())
if quantity > baseAssetQuota {
quantity = baseAssetQuota
}
@ -204,24 +204,24 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
quantity = adjustQuantityByMinAmount(quantity, price, market.MinNotional*1.01)
// we should not SELL too much
quantity = math.Min(quantity, baseAssetBalance.Available)
quantity = math.Min(quantity, baseAssetBalance.Available.Float64())
if c.MinBaseAssetBalance > 0 {
if baseAssetBalance.Available < c.MinBaseAssetBalance.Float64() {
if baseAssetBalance.Available < c.MinBaseAssetBalance {
addError(
errors.Wrapf(
ErrAssetBalanceLevelTooLow,
"asset balance level is too low: %f > %f", baseAssetBalance.Available, c.MinBaseAssetBalance.Float64()))
"asset balance level is too low: %f > %f", baseAssetBalance.Available.Float64(), c.MinBaseAssetBalance.Float64()))
continue
}
quantity = math.Min(quantity, baseAssetBalance.Available-c.MinBaseAssetBalance.Float64())
quantity = math.Min(quantity, baseAssetBalance.Available.Float64()-c.MinBaseAssetBalance.Float64())
if quantity < market.MinQuantity {
addError(
errors.Wrapf(
ErrInsufficientAssetBalance,
"insufficient asset balance: %f > minimal quantity %f",
baseAssetBalance.Available,
baseAssetBalance.Available.Float64(),
market.MinQuantity))
continue
}
@ -296,3 +296,10 @@ func formatOrders(session *ExchangeSession, orders []types.SubmitOrder) (formatt
return formattedOrders, err
}
func max(a, b int64) int64 {
if a > b {
return a
}
return b
}

8
pkg/bbgo/risk_controls.go
View File

@ -3,6 +3,8 @@ package bbgo
import (
"context"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/types"
)
@ -22,10 +24,12 @@ func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...t
for symbol, orders := range symbolOrders {
if controller, ok := e.BySymbol[symbol]; ok && controller != nil {
var riskErrs []error
orders, riskErrs = controller.BasicRiskController.ProcessOrders(e.session, orders...)
for _, riskErr := range riskErrs {
// use logger from ExchangeOrderExecutor
e.logger.Warnf(riskErr.Error())
logrus.Warnf("RISK ERROR: %s", riskErr.Error())
}
}
@ -34,6 +38,10 @@ func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...t
return retOrders, err
}
for _, fo := range formattedOrders {
logrus.Infof("submit order: %s", fo.String())
}
retOrders2, err := e.ExchangeOrderExecutor.SubmitOrders(ctx, formattedOrders...)
if err != nil {
return retOrders, err

5
pkg/exchange/binance/exchange.go
View File

@ -11,6 +11,7 @@ import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
@ -256,8 +257,8 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
for _, b := range account.Balances {
balances[b.Asset] = types.Balance{
Currency: b.Asset,
Available: util.MustParseFloat(b.Free),
Locked: util.MustParseFloat(b.Locked),
Available: fixedpoint.Must(fixedpoint.NewFromString(b.Free)),
Locked: fixedpoint.Must(fixedpoint.NewFromString(b.Locked)),
}
}

8
pkg/exchange/binance/stream.go
View File

@ -7,11 +7,11 @@ import (
"sync"
"time"
"github.com/c9s/bbgo/pkg/util"
"github.com/adshao/go-binance"
"github.com/gorilla/websocket"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
@ -105,8 +105,8 @@ func NewStream(client *binance.Client) *Stream {
stream.OnOutboundAccountInfoEvent(func(e *OutboundAccountInfoEvent) {
snapshot := types.BalanceMap{}
for _, balance := range e.Balances {
available := util.MustParseFloat(balance.Free)
locked := util.MustParseFloat(balance.Locked)
available := fixedpoint.Must(fixedpoint.NewFromString(balance.Free))
locked := fixedpoint.Must(fixedpoint.NewFromString(balance.Locked))
snapshot[balance.Asset] = types.Balance{
Currency: balance.Asset,
Available: available,

9
pkg/exchange/max/exchange.go
View File

@ -11,6 +11,7 @@ import (
"github.com/sirupsen/logrus"
maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
@ -218,8 +219,8 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
for _, a := range userInfo.Accounts {
balances[toGlobalCurrency(a.Currency)] = types.Balance{
Currency: toGlobalCurrency(a.Currency),
Available: util.MustParseFloat(a.Balance),
Locked: util.MustParseFloat(a.Locked),
Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
}
}
@ -360,8 +361,8 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
for _, a := range accounts {
balances[toGlobalCurrency(a.Currency)] = types.Balance{
Currency: toGlobalCurrency(a.Currency),
Available: util.MustParseFloat(a.Balance),
Locked: util.MustParseFloat(a.Locked),
Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
}
}

19
pkg/exchange/max/maxapi/userdata.go
View File

@ -4,8 +4,8 @@ import (
"github.com/pkg/errors"
"github.com/valyala/fastjson"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
type BaseEvent struct {
@ -14,18 +14,18 @@ type BaseEvent struct {
}
type OrderUpdate struct {
Event string `json:"e"`
ID uint64 `json:"i"`
Side string `json:"sd"`
Event string `json:"e"`
ID uint64 `json:"i"`
Side string `json:"sd"`
OrderType OrderType `json:"ot"`
Price string `json:"p"`
StopPrice string `json:"sp"`
Volume string `json:"v"`
AveragePrice string `json:"ap"`
Volume string `json:"v"`
AveragePrice string `json:"ap"`
State OrderState `json:"S"`
Market string `json:"M"`
Market string `json:"M"`
RemainingVolume string `json:"rv"`
ExecutedVolume string `json:"ev"`
@ -37,7 +37,6 @@ type OrderUpdate struct {
CreatedAtMs int64 `json:"T"`
}
type OrderUpdateEvent struct {
BaseEvent
@ -173,12 +172,12 @@ type BalanceMessage struct {
}
func (m *BalanceMessage) Balance() (*types.Balance, error) {
available, err := util.ParseFloat(m.Available)
available, err := fixedpoint.NewFromString(m.Available)
if err != nil {
return nil, err
}
locked, err := util.ParseFloat(m.Locked)
locked, err := fixedpoint.NewFromString(m.Locked)
if err != nil {
return nil, err
}