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grid2: refactor checkRequiredInvestmentByAmount and checkRequiredInvestmentByQuantity

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c9s 2022-11-17 17:40:59 +08:00
parent 4eb21d5209
commit 4407aa7f97
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2 changed files with 30 additions and 43 deletions
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27
pkg/strategy/grid2/strategy.go
View File

@ -183,15 +183,7 @@ type InvestmentBudget struct {
quoteBalance fixedpoint.Value
}
func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvestment, baseBalance, quoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
if baseInvestment.Compare(baseBalance) > 0 {
return fixedpoint.Zero, fixedpoint.Zero, fmt.Errorf("baseInvestment setup %f is greater than the total base balance %f", baseInvestment.Float64(), baseBalance.Float64())
}
if quoteInvestment.Compare(quoteBalance) > 0 {
return fixedpoint.Zero, fixedpoint.Zero, fmt.Errorf("quoteInvestment setup %f is greater than the total quote balance %f", quoteInvestment.Float64(), quoteBalance.Float64())
}
func (s *Strategy) checkRequiredInvestmentByQuantity(baseBalance, quoteBalance, quantity, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
// check more investment budget details
requiredBase = fixedpoint.Zero
requiredQuote = fixedpoint.Zero
@ -249,7 +241,7 @@ func (s *Strategy) checkRequiredInvestmentByQuantity(baseInvestment, quoteInvest
return requiredBase, requiredQuote, nil
}
func (s *Strategy) checkRequiredInvestmentByAmount(baseInvestment, quoteInvestment, baseBalance, quoteBalance, amount, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
func (s *Strategy) checkRequiredInvestmentByAmount(baseBalance, quoteBalance, amount, lastPrice fixedpoint.Value, pins []Pin) (requiredBase, requiredQuote fixedpoint.Value, err error) {
// check more investment budget details
requiredBase = fixedpoint.Zero
@ -340,15 +332,18 @@ 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()
if quantityOrAmountIsSet {
if _, _, err2 := s.checkRequiredInvestmentByQuantity(
s.BaseInvestment, s.QuoteInvestment,
totalBase, totalQuote,
lastPrice, s.QuantityOrAmount.Quantity, s.grid.Pins); err != nil {
if s.QuantityOrAmount.IsSet() {
if quantity := s.QuantityOrAmount.Quantity; !quantity.IsZero() {
if _, _, err2 := s.checkRequiredInvestmentByQuantity(totalBase, totalQuote, lastPrice, s.QuantityOrAmount.Quantity, s.grid.Pins); err != nil {
return err2
}
}
if amount := s.QuantityOrAmount.Amount; !amount.IsZero() {
if _, _, err2 := s.checkRequiredInvestmentByAmount(totalBase, totalQuote, lastPrice, amount, s.grid.Pins); err != nil {
return err2
}
}
}
for i := len(s.grid.Pins) - 2; i >= 0; i++ {
pin := s.grid.Pins[i]

16
pkg/strategy/grid2/strategy_test.go
View File

@ -17,25 +17,19 @@ func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
}
t.Run("basic base balance check", func(t *testing.T) {
_, _, err := s.checkRequiredInvestmentByQuantity(number(2.0), number(10_000.0),
number(1.0), number(10_000.0),
number(0.1), number(19000.0), []Pin{})
_, _, err := s.checkRequiredInvestmentByQuantity(number(1.0), number(10_000.0), number(0.1), number(19000.0), []Pin{})
assert.Error(t, err)
assert.EqualError(t, err, "baseInvestment setup 2.000000 is greater than the total base balance 1.000000")
})
t.Run("basic quote balance check", func(t *testing.T) {
_, _, err := s.checkRequiredInvestmentByQuantity(number(1.0), number(10_000.0),
number(1.0), number(100.0),
number(0.1), number(19_000.0), []Pin{})
_, _, err := s.checkRequiredInvestmentByQuantity(number(1.0), number(100.0), number(0.1), number(19_000.0), []Pin{})
assert.Error(t, err)
assert.EqualError(t, err, "quoteInvestment setup 10000.000000 is greater than the total quote balance 100.000000")
})
t.Run("quote to base balance conversion check", func(t *testing.T) {
_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(10_000.0),
number(0.0), number(10_000.0),
number(0.1), number(13_500.0), []Pin{
_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(10_000.0), number(0.1), number(13_500.0), []Pin{
Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
@ -48,9 +42,7 @@ func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
})
t.Run("quote to base balance conversion not enough", func(t *testing.T) {
_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(5_000.0),
number(0.0), number(5_000.0),
number(0.1), number(13_500.0), []Pin{
_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(5_000.0), number(0.1), number(13_500.0), []Pin{
Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)