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Merge pull request #1552 from c9s/kbearXD/dca2/quote-investment-modify
FIX: [dca2] all the profit will use in the first order of the next round
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commit
449c0abeb0
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@ -21,7 +21,7 @@ func (s *Strategy) placeOpenPositionOrders(ctx context.Context) error {
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return err
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}
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orders, err := generateOpenPositionOrders(s.Market, s.ProfitStats.QuoteInvestment, price, s.PriceDeviation, s.MaxOrderCount, s.OrderGroupID)
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orders, err := generateOpenPositionOrders(s.Market, s.QuoteInvestment, s.ProfitStats.TotalProfit, price, s.PriceDeviation, s.MaxOrderCount, s.OrderGroupID)
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if err != nil {
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return err
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}
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@ -60,8 +60,9 @@ func getBestPriceUntilSuccess(ctx context.Context, ex types.Exchange, symbol str
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return ticker.Sell, nil
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}
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func generateOpenPositionOrders(market types.Market, quoteInvestment, price, priceDeviation fixedpoint.Value, maxOrderCount int64, orderGroupID uint32) ([]types.SubmitOrder, error) {
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func generateOpenPositionOrders(market types.Market, quoteInvestment, profit, price, priceDeviation fixedpoint.Value, maxOrderCount int64, orderGroupID uint32) ([]types.SubmitOrder, error) {
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factor := fixedpoint.One.Sub(priceDeviation)
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profit = market.TruncatePrice(profit)
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// calculate all valid prices
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var prices []fixedpoint.Value
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@ -86,7 +87,13 @@ func generateOpenPositionOrders(market types.Market, quoteInvestment, price, pri
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var submitOrders []types.SubmitOrder
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for i := 0; i < orderNum; i++ {
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quantity := market.TruncateQuantity(notional.Div(prices[i]))
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var quantity fixedpoint.Value
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// all the profit will use in the first order
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if i == 0 {
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quantity = market.TruncateQuantity(notional.Add(profit).Div(prices[i]))
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} else {
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quantity = market.TruncateQuantity(notional.Div(prices[i]))
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}
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submitOrders = append(submitOrders, types.SubmitOrder{
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Symbol: market.Symbol,
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Market: market,
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@ -48,16 +48,17 @@ func TestGenerateOpenPositionOrders(t *testing.T) {
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t.Run("case 1: all config is valid and we can place enough orders", func(t *testing.T) {
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quoteInvestment := Number("10500")
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profit := Number("300")
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askPrice := Number("30000")
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margin := Number("0.05")
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submitOrders, err := generateOpenPositionOrders(strategy.Market, quoteInvestment, askPrice, margin, 4, strategy.OrderGroupID)
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submitOrders, err := generateOpenPositionOrders(strategy.Market, quoteInvestment, profit, askPrice, margin, 4, strategy.OrderGroupID)
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if !assert.NoError(err) {
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return
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}
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assert.Len(submitOrders, 4)
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assert.Equal(Number("30000"), submitOrders[0].Price)
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assert.Equal(Number("0.0875"), submitOrders[0].Quantity)
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assert.Equal(Number("0.0975"), submitOrders[0].Quantity)
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assert.Equal(Number("28500"), submitOrders[1].Price)
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assert.Equal(Number("0.092105"), submitOrders[1].Quantity)
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assert.Equal(Number("27075"), submitOrders[2].Price)
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@ -66,12 +67,29 @@ func TestGenerateOpenPositionOrders(t *testing.T) {
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assert.Equal(Number("0.102055"), submitOrders[3].Quantity)
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})
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t.Run("case 2: some orders' price will below 0, so we should not create such order", func(t *testing.T) {
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t.Run("case 2: profit need to be truncated to avoid precision problem", func(t *testing.T) {
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quoteInvestment := Number("1000")
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profit := Number("99.47871711")
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askPrice := Number("40409.72")
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margin := Number("0.1")
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submitOrders, err := generateOpenPositionOrders(strategy.Market, quoteInvestment, profit, askPrice, margin, 2, strategy.OrderGroupID)
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if !assert.NoError(err) {
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return
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}
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assert.Len(submitOrders, 2)
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assert.Equal(Number("40409.72"), submitOrders[0].Price)
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assert.Equal(Number("0.014834"), submitOrders[0].Quantity)
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assert.Equal(Number("36368.74"), submitOrders[1].Price)
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assert.Equal(Number("0.013748"), submitOrders[1].Quantity)
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})
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t.Run("case 3: notional is too small, so we should decrease num of orders", func(t *testing.T) {
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t.Run("case 3: some orders' price will below 0, so we should not create such order", func(t *testing.T) {
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})
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t.Run("case 4: quantity is too small, so we should decrease num of orders", func(t *testing.T) {
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t.Run("case 4: notional is too small, so we should decrease num of orders", func(t *testing.T) {
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})
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t.Run("case 5: quantity is too small, so we should decrease num of orders", func(t *testing.T) {
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})
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}
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