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xgap: check balance before placing orders

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This commit is contained in:
narumi 2024-01-06 21:50:43 +08:00
parent 9dd4de0755
commit 36aadf74a1
1 changed files with 55 additions and 34 deletions
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67
pkg/strategy/xgap/strategy.go
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@ -22,7 +22,7 @@ const ID = "xgap"
var log = logrus.WithField("strategy", ID)
var StepPercentageGap = fixedpoint.NewFromFloat(0.05)
var NotionModifier = fixedpoint.NewFromFloat(1.01)
var Two = fixedpoint.NewFromInt(2)
func init() {
@ -68,6 +68,7 @@ type Strategy struct {
TradingExchange string `json:"tradingExchange"`
MinSpread fixedpoint.Value `json:"minSpread"`
Quantity fixedpoint.Value `json:"quantity"`
DryRun bool `json:"dryRun"`
DailyFeeBudgets map[string]fixedpoint.Value `json:"dailyFeeBudgets,omitempty"`
DailyMaxVolume fixedpoint.Value `json:"dailyMaxVolume,omitempty"`
@ -320,10 +321,35 @@ func (s *Strategy) placeOrders(ctx context.Context) {
log.Infof("mid price %s", midPrice.String())
var balances = s.tradingSession.GetAccount().Balances()
var quantity = s.tradingMarket.MinQuantity
baseBalance, ok := balances[s.tradingMarket.BaseCurrency]
if !ok {
log.Errorf("base balance %s not found", s.tradingMarket.BaseCurrency)
return
}
quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]
if !ok {
log.Errorf("quote balance %s not found", s.tradingMarket.QuoteCurrency)
return
}
minQuantity := s.tradingMarket.AdjustQuantityByMinNotional(s.tradingMarket.MinQuantity, price)
if baseBalance.Available.Compare(minQuantity) < 0 {
log.Infof("base balance: %s is not enough, skip", baseBalance.Available.String())
return
}
if quoteBalance.Available.Div(price).Compare(minQuantity) < 0 {
log.Infof("quote balance: %s is not enough, skip", quoteBalance.Available.String())
return
}
maxQuantity := fixedpoint.Min(baseBalance.Available, quoteBalance.Available.Div(price))
quantity := minQuantity
if s.Quantity.Sign() > 0 {
quantity = fixedpoint.Min(s.Quantity, s.tradingMarket.MinQuantity)
quantity = fixedpoint.Max(s.Quantity, quantity)
} else if s.SimulateVolume {
s.mu.Lock()
if s.lastTradingKLine.Volume.Sign() > 0 && s.lastSourceKLine.Volume.Sign() > 0 {
@ -337,15 +363,6 @@ func (s *Strategy) placeOrders(ctx context.Context) {
if volumeDiff.Sign() > 0 {
quantity = volumeDiff
}
if baseBalance, ok := balances[s.tradingMarket.BaseCurrency]; ok {
quantity = fixedpoint.Min(quantity, baseBalance.Available)
}
if quoteBalance, ok := balances[s.tradingMarket.QuoteCurrency]; ok {
maxQuantity := quoteBalance.Available.Div(price)
quantity = fixedpoint.Min(quantity, maxQuantity)
}
}
s.mu.Unlock()
} else {
@ -354,33 +371,37 @@ func (s *Strategy) placeOrders(ctx context.Context) {
quantity = quantity.Mul(fixedpoint.NewFromFloat(jitter))
}
var quoteAmount = price.Mul(quantity)
if quoteAmount.Compare(s.tradingMarket.MinNotional) <= 0 {
quantity = fixedpoint.Max(
s.tradingMarket.MinQuantity,
s.tradingMarket.MinNotional.Mul(NotionModifier).Div(price))
}
quantity = fixedpoint.Min(quantity, maxQuantity)
orderForms := []types.SubmitOrder{{
orderForms := []types.SubmitOrder{
{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.tradingMarket,
}, {
},
{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
Market: s.tradingMarket,
}}
createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
},
}
log.Infof("order forms: %+v", orderForms)
if s.DryRun {
log.Infof("dry run, skip")
return
}
_, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
if err != nil {
log.WithError(err).Error("order submit error")
}
log.Infof("created orders: %+v", createdOrders)
time.Sleep(time.Second)
}