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Merge pull request #1072 from c9s/fix/grid2-profit-commitment

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fix: grid2: calculate grid profit only when the reverse order is placed
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Yo-An Lin 2023-03-01 20:44:32 +08:00 committed by GitHub
commit 42840cd519
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1 changed files with 15 additions and 8 deletions
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23
pkg/strategy/grid2/strategy.go
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@ -370,6 +370,8 @@ func (s *Strategy) aggregateOrderBaseFee(o types.Order) fixedpoint.Value {
}
func (s *Strategy) processFilledOrder(o types.Order) {
var profit *GridProfit = nil
// check order fee
newSide := types.SideTypeSell
newPrice := o.Price
@ -405,10 +407,7 @@ func (s *Strategy) processFilledOrder(o types.Order) {
}
// TODO: need to consider sell order fee for the profit calculation
profit := s.calculateProfit(o, newPrice, newQuantity)
s.logger.Infof("GENERATED GRID PROFIT: %+v", profit)
s.GridProfitStats.AddProfit(profit)
s.EmitGridProfit(s.GridProfitStats, profit)
profit = s.calculateProfit(o, newPrice, newQuantity)
case types.SideTypeBuy:
// baseSellQuantityReduction calculation should be only for BUY order
@ -449,12 +448,20 @@ func (s *Strategy) processFilledOrder(o types.Order) {
s.logger.Infof("SUBMIT GRID REVERSE ORDER: %s", orderForm.String())
if createdOrders, err := s.orderExecutor.SubmitOrders(context.Background(), orderForm); err != nil {
s.logger.WithError(err).Errorf("can not submit arbitrage order")
} else {
s.logger.Infof("GRID REVERSE ORDER IS CREATED: %+v", createdOrders)
createdOrders, err := s.orderExecutor.SubmitOrders(context.Background(), orderForm)
if err != nil {
s.logger.WithError(err).Errorf("GRID REVERSE ORDER SUBMISSION ERROR: order: %s", orderForm.String())
return
}
s.logger.Infof("GRID REVERSE ORDER IS CREATED: %+v", createdOrders)
// we calculate profit only when the order is placed successfully
if profit != nil {
s.logger.Infof("GENERATED GRID PROFIT: %+v", profit)
s.GridProfitStats.AddProfit(profit)
s.EmitGridProfit(s.GridProfitStats, profit)
}
}
// handleOrderFilled is called when an order status is FILLED