grid2: add investment check

This commit is contained in:
c9s 2022-11-10 23:34:55 +08:00
parent 68b1fce634
commit 2c373959a8
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54

View File

@ -32,25 +32,33 @@ type Strategy struct {
// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
// This field will be injected automatically since we defined the Symbol field.
types.Market `json:"-" yaml:"-"`
types.Market `json:"-"`
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol" yaml:"symbol"`
Symbol string `json:"symbol"`
// ProfitSpread is the fixed profit spread you want to submit the sell order
ProfitSpread fixedpoint.Value `json:"profitSpread" yaml:"profitSpread"`
ProfitSpread fixedpoint.Value `json:"profitSpread"`
// GridNum is the grid number, how many orders you want to post on the orderbook.
GridNum int64 `json:"gridNumber" yaml:"gridNumber"`
GridNum int64 `json:"gridNumber"`
UpperPrice fixedpoint.Value `json:"upperPrice" yaml:"upperPrice"`
UpperPrice fixedpoint.Value `json:"upperPrice"`
LowerPrice fixedpoint.Value `json:"lowerPrice" yaml:"lowerPrice"`
LowerPrice fixedpoint.Value `json:"lowerPrice"`
// QuantityOrAmount embeds the Quantity field and the Amount field
// If you set up the Quantity field or the Amount field, you don't need to set the QuoteInvestment and BaseInvestment
bbgo.QuantityOrAmount
// If Quantity and Amount is not set, we can use the quote investment to calculate our quantity.
QuoteInvestment fixedpoint.Value `json:"quoteInvestment"`
// BaseInvestment is the total base quantity you want to place as the sell order.
BaseInvestment fixedpoint.Value `json:"baseInvestment"`
grid *Grid
bbgo.QuantityOrAmount
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
Position *types.Position `persistence:"position"`
@ -169,33 +177,83 @@ func (s *Strategy) setupGridOrders(ctx context.Context, session *bbgo.ExchangeSe
// shift 1 grid because we will start from the buy order
// if the buy order is filled, then we will submit another sell order at the higher grid.
quantityOrAmountIsSet := s.QuantityOrAmount.IsSet()
// check if base and quote are enough
baseBalance, ok := session.Account.Balance(s.Market.BaseCurrency)
if !ok {
return fmt.Errorf("base %s balance not found", s.Market.BaseCurrency)
}
quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
if !ok {
return fmt.Errorf("quote %s balance not found", s.Market.QuoteCurrency)
}
totalBase := baseBalance.Available
totalQuote := quoteBalance.Available
if quantityOrAmountIsSet {
requiredBase := fixedpoint.Zero
requiredQuote := fixedpoint.Zero
for i := len(s.grid.Pins) - 1; i >= 0; i++ {
pin := s.grid.Pins[i]
price := fixedpoint.Value(pin)
q := s.QuantityOrAmount.CalculateQuantity(price)
if price.Compare(lastPrice) >= 0 {
// sell
requiredBase = requiredBase.Add(q)
} else {
requiredQuote = requiredQuote.Add(q)
}
}
if requiredBase.Compare(totalBase) < 0 && requiredQuote.Compare(totalQuote) < 0 {
return fmt.Errorf("both base balance (%f %s) and quote balance (%f %s) are not enought",
totalBase.Float64(), s.Market.BaseCurrency,
totalQuote.Float64(), s.Market.QuoteCurrency)
}
if requiredBase.Compare(totalBase) < 0 {
// see if we can convert some quotes to base
}
}
for i := len(s.grid.Pins) - 2; i >= 0; i++ {
pin := s.grid.Pins[i]
price := fixedpoint.Value(pin)
if price.Compare(lastPrice) >= 0 {
if s.QuantityOrAmount.Quantity.Sign() > 0 {
quantity := s.QuantityOrAmount.Quantity
// check sell order
if quantityOrAmountIsSet {
if s.QuantityOrAmount.Quantity.Sign() > 0 {
quantity := s.QuantityOrAmount.Quantity
createdOrders, err2 := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,
Tag: "grid",
})
createdOrders, err2 := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.Market,
TimeInForce: types.TimeInForceGTC,
Tag: "grid",
})
if err2 != nil {
return err2
}
_ = createdOrders
} else if s.QuantityOrAmount.Amount.Sign() > 0 {
if err2 != nil {
return err2
}
} else if s.BaseInvestment.Sign() > 0 {
_ = createdOrders
} else if s.QuantityOrAmount.Amount.Sign() > 0 {
} else {
// error: either quantity, amount, baseInvestment is not set.
}
}
}