use fixedpoint for balances

pkg/bbgo/active_book.go

@@ -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)
 	}
 }
 

pkg/bbgo/config.go

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

pkg/bbgo/environment.go

@@ -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

pkg/bbgo/order_execution.go

@@ -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
+}

pkg/bbgo/risk_controls.go

@@ -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

pkg/exchange/binance/exchange.go

@@ -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),
+			Available: fixedpoint.Must(fixedpoint.NewFromString(b.Free)),
-			Locked:    util.MustParseFloat(b.Locked),
+			Locked:    fixedpoint.Must(fixedpoint.NewFromString(b.Locked)),
 		}
 	}
 

pkg/exchange/binance/stream.go

@@ -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)
+			available := fixedpoint.Must(fixedpoint.NewFromString(balance.Free))
-			locked := util.MustParseFloat(balance.Locked)
+			locked := fixedpoint.Must(fixedpoint.NewFromString(balance.Locked))
 			snapshot[balance.Asset] = types.Balance{
 				Currency:  balance.Asset,
 				Available: available,

pkg/exchange/max/exchange.go

@@ -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),
+			Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
-			Locked:    util.MustParseFloat(a.Locked),
+			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),
+			Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)),
-			Locked:    util.MustParseFloat(a.Locked),
+			Locked:    fixedpoint.Must(fixedpoint.NewFromString(a.Locked)),
 		}
 	}
 

pkg/exchange/max/maxapi/userdata.go

@@ -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"`
+	Event     string    `json:"e"`
-	ID        uint64 `json:"i"`
+	ID        uint64    `json:"i"`
-	Side      string `json:"sd"`
+	Side      string    `json:"sd"`
 	OrderType OrderType `json:"ot"`
 
 	Price     string `json:"p"`
 	StopPrice string `json:"sp"`
 
-	Volume       string `json:"v"`
+	Volume       string     `json:"v"`
-	AveragePrice string `json:"ap"`
+	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
 	}