mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
use fixedpoint for balances
This commit is contained in:
parent
cdf7959029
commit
23c19c5968
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@ -1,7 +1,7 @@
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package bbgo
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import (
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"github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -21,11 +21,11 @@ func NewLocalActiveOrderBook() *LocalActiveOrderBook {
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func (b *LocalActiveOrderBook) Print() {
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for _, o := range b.Bids.Orders() {
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logrus.Infof("bid order: %d -> %s", o.OrderID, o.Status)
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log.Infof("bid order: %d -> %s", o.OrderID, o.Status)
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}
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for _, o := range b.Asks.Orders() {
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logrus.Infof("ask order: %d -> %s", o.OrderID, o.Status)
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log.Infof("ask order: %d -> %s", o.OrderID, o.Status)
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}
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}
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@ -84,8 +84,8 @@ func (m BacktestAccountBalanceMap) BalanceMap() types.BalanceMap {
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for currency, value := range m {
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balances[currency] = types.Balance{
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Currency: currency,
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Available: value.Float64(),
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Locked: 0.0,
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Available: value,
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Locked: 0,
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}
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}
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return balances
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@ -125,6 +125,9 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
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return err
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}
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balances.Print()
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session.Account.UpdateBalances(balances)
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session.Account.BindStream(session.Stream)
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@ -161,7 +164,7 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
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}
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if len(kLines) == 0 {
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log.Warnf("no kline data for interval %s", interval)
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log.Warnf("no kline data for interval %s (end time <= %s)", interval, environ.startTime)
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continue
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}
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@ -337,6 +340,11 @@ func (environ *Environment) ConfigureNotification(conf *NotificationConfig) {
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}
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}
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func (environ *Environment) SetStartTime(t time.Time) *Environment {
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environ.startTime = t
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return environ
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}
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// SyncTradesFrom overrides the default trade scan time (-7 days)
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func (environ *Environment) SyncTradesFrom(t time.Time) *Environment {
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environ.tradeScanTime = t
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@ -128,9 +128,9 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
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continue
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}
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if quoteBalance.Available < c.MinQuoteBalance.Float64() {
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if quoteBalance.Available < c.MinQuoteBalance {
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addError(errors.Wrapf(ErrQuoteBalanceLevelTooLow, "can not place buy order, quote balance level is too low: %s < %s, order: %s",
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types.USD.FormatMoneyFloat64(quoteBalance.Available),
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types.USD.FormatMoneyFloat64(quoteBalance.Available.Float64()),
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types.USD.FormatMoneyFloat64(c.MinQuoteBalance.Float64()), order.String()))
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continue
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}
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@ -143,7 +143,7 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
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quantity = adjustQuantityByMaxAmount(quantity, price, c.MaxOrderAmount.Float64())
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}
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quoteAssetQuota := math.Max(0.0, quoteBalance.Available-c.MinQuoteBalance.Float64())
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quoteAssetQuota := math.Max(0.0, quoteBalance.Available.Float64()-c.MinQuoteBalance.Float64())
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if quoteAssetQuota < market.MinAmount {
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addError(
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errors.Wrapf(
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@ -157,18 +157,18 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
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// if MaxBaseAssetBalance is enabled, we should check the current base asset balance
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if baseBalance, hasBaseAsset := balances[market.BaseCurrency]; hasBaseAsset && c.MaxBaseAssetBalance > 0 {
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if baseBalance.Available > c.MaxBaseAssetBalance.Float64() {
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if baseBalance.Available > c.MaxBaseAssetBalance {
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addError(
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errors.Wrapf(
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ErrAssetBalanceLevelTooHigh,
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"should not place buy order, asset balance level is too high: %f > %f, order: %s",
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baseBalance.Available,
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baseBalance.Available.Float64(),
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c.MaxBaseAssetBalance.Float64(),
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order.String()))
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continue
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}
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baseAssetQuota := math.Max(0, c.MaxBaseAssetBalance.Float64()-baseBalance.Available)
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baseAssetQuota := math.Max(0.0, c.MaxBaseAssetBalance.Float64()-baseBalance.Available.Float64())
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if quantity > baseAssetQuota {
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quantity = baseAssetQuota
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}
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@ -204,24 +204,24 @@ func (c *BasicRiskController) ProcessOrders(session *ExchangeSession, orders ...
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quantity = adjustQuantityByMinAmount(quantity, price, market.MinNotional*1.01)
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// we should not SELL too much
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quantity = math.Min(quantity, baseAssetBalance.Available)
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quantity = math.Min(quantity, baseAssetBalance.Available.Float64())
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if c.MinBaseAssetBalance > 0 {
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if baseAssetBalance.Available < c.MinBaseAssetBalance.Float64() {
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if baseAssetBalance.Available < c.MinBaseAssetBalance {
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addError(
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errors.Wrapf(
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ErrAssetBalanceLevelTooLow,
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"asset balance level is too low: %f > %f", baseAssetBalance.Available, c.MinBaseAssetBalance.Float64()))
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"asset balance level is too low: %f > %f", baseAssetBalance.Available.Float64(), c.MinBaseAssetBalance.Float64()))
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continue
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}
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quantity = math.Min(quantity, baseAssetBalance.Available-c.MinBaseAssetBalance.Float64())
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quantity = math.Min(quantity, baseAssetBalance.Available.Float64()-c.MinBaseAssetBalance.Float64())
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if quantity < market.MinQuantity {
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addError(
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errors.Wrapf(
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ErrInsufficientAssetBalance,
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"insufficient asset balance: %f > minimal quantity %f",
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baseAssetBalance.Available,
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baseAssetBalance.Available.Float64(),
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market.MinQuantity))
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continue
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}
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@ -296,3 +296,10 @@ func formatOrders(session *ExchangeSession, orders []types.SubmitOrder) (formatt
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return formattedOrders, err
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}
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func max(a, b int64) int64 {
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if a > b {
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return a
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}
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return b
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}
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@ -3,6 +3,8 @@ package bbgo
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import (
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"context"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -22,10 +24,12 @@ func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...t
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for symbol, orders := range symbolOrders {
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if controller, ok := e.BySymbol[symbol]; ok && controller != nil {
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var riskErrs []error
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orders, riskErrs = controller.BasicRiskController.ProcessOrders(e.session, orders...)
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for _, riskErr := range riskErrs {
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// use logger from ExchangeOrderExecutor
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e.logger.Warnf(riskErr.Error())
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logrus.Warnf("RISK ERROR: %s", riskErr.Error())
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}
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}
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@ -34,6 +38,10 @@ func (e *RiskControlOrderExecutor) SubmitOrders(ctx context.Context, orders ...t
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return retOrders, err
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}
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for _, fo := range formattedOrders {
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logrus.Infof("submit order: %s", fo.String())
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}
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retOrders2, err := e.ExchangeOrderExecutor.SubmitOrders(ctx, formattedOrders...)
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if err != nil {
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return retOrders, err
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@ -11,6 +11,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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@ -256,8 +257,8 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
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for _, b := range account.Balances {
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balances[b.Asset] = types.Balance{
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Currency: b.Asset,
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Available: util.MustParseFloat(b.Free),
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Locked: util.MustParseFloat(b.Locked),
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Available: fixedpoint.Must(fixedpoint.NewFromString(b.Free)),
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Locked: fixedpoint.Must(fixedpoint.NewFromString(b.Locked)),
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}
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}
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@ -7,11 +7,11 @@ import (
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/adshao/go-binance"
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"github.com/gorilla/websocket"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -105,8 +105,8 @@ func NewStream(client *binance.Client) *Stream {
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stream.OnOutboundAccountInfoEvent(func(e *OutboundAccountInfoEvent) {
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snapshot := types.BalanceMap{}
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for _, balance := range e.Balances {
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available := util.MustParseFloat(balance.Free)
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locked := util.MustParseFloat(balance.Locked)
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available := fixedpoint.Must(fixedpoint.NewFromString(balance.Free))
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locked := fixedpoint.Must(fixedpoint.NewFromString(balance.Locked))
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snapshot[balance.Asset] = types.Balance{
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Currency: balance.Asset,
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Available: available,
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@ -11,6 +11,7 @@ import (
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"github.com/sirupsen/logrus"
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maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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@ -218,8 +219,8 @@ func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
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for _, a := range userInfo.Accounts {
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balances[toGlobalCurrency(a.Currency)] = types.Balance{
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Currency: toGlobalCurrency(a.Currency),
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Available: util.MustParseFloat(a.Balance),
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Locked: util.MustParseFloat(a.Locked),
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Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
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Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
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}
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}
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@ -360,8 +361,8 @@ func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap,
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for _, a := range accounts {
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balances[toGlobalCurrency(a.Currency)] = types.Balance{
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Currency: toGlobalCurrency(a.Currency),
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Available: util.MustParseFloat(a.Balance),
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Locked: util.MustParseFloat(a.Locked),
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Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
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Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
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}
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}
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@ -4,8 +4,8 @@ import (
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"github.com/pkg/errors"
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"github.com/valyala/fastjson"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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type BaseEvent struct {
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@ -14,18 +14,18 @@ type BaseEvent struct {
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}
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type OrderUpdate struct {
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Event string `json:"e"`
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ID uint64 `json:"i"`
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Side string `json:"sd"`
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Event string `json:"e"`
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ID uint64 `json:"i"`
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Side string `json:"sd"`
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OrderType OrderType `json:"ot"`
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Price string `json:"p"`
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StopPrice string `json:"sp"`
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Volume string `json:"v"`
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AveragePrice string `json:"ap"`
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Volume string `json:"v"`
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AveragePrice string `json:"ap"`
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State OrderState `json:"S"`
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Market string `json:"M"`
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Market string `json:"M"`
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RemainingVolume string `json:"rv"`
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ExecutedVolume string `json:"ev"`
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@ -37,7 +37,6 @@ type OrderUpdate struct {
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CreatedAtMs int64 `json:"T"`
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}
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type OrderUpdateEvent struct {
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BaseEvent
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@ -173,12 +172,12 @@ type BalanceMessage struct {
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}
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func (m *BalanceMessage) Balance() (*types.Balance, error) {
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available, err := util.ParseFloat(m.Available)
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available, err := fixedpoint.NewFromString(m.Available)
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if err != nil {
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return nil, err
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}
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locked, err := util.ParseFloat(m.Locked)
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locked, err := fixedpoint.NewFromString(m.Locked)
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if err != nil {
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return nil, err
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}
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