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bbgo: fix and improve session UpdatePrice method
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parent
3ba46f9b7e
commit
671ce872c4
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@ -654,7 +654,7 @@ func (session *ExchangeSession) Market(symbol string) (market types.Market, ok b
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return market, ok
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}
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func (session *ExchangeSession) Markets() map[string]types.Market {
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func (session *ExchangeSession) Markets() types.MarketMap {
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return session.markets
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}
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@ -703,10 +703,30 @@ func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []s
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// return nil
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// }
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markets := session.Markets()
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var symbols []string
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for _, c := range currencies {
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symbols = append(symbols, c+fiat) // BTC/USDT
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symbols = append(symbols, fiat+c) // USDT/TWD
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var tries []string
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// expand USD stable coin currencies
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if types.IsUSDFiatCurrency(fiat) {
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for _, usdFiat := range types.USDFiatCurrencies {
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tries = append(tries, c+usdFiat, usdFiat+c)
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}
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} else {
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tries = []string{c + fiat, fiat + c}
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}
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for _, try := range tries {
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if markets.Has(try) {
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symbols = append(symbols, try)
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break
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}
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}
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}
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if len(symbols) == 0 {
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return nil
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}
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tickers, err := session.Exchange.QueryTickers(ctx, symbols...)
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@ -717,7 +737,17 @@ func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []s
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var lastTime time.Time
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for k, v := range tickers {
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// for {Crypto}/USDT markets
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// map things like BTCUSDT = {price}
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if market, ok := markets[k]; ok {
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if types.IsFiatCurrency(market.BaseCurrency) {
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session.lastPrices[k] = v.Last.Div(fixedpoint.One)
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} else {
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session.lastPrices[k] = v.Last
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}
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} else {
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session.lastPrices[k] = v.Last
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}
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if v.Time.After(lastTime) {
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lastTime = v.Time
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}
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@ -24,8 +24,15 @@ var USD = wrapper{accounting.Accounting{Symbol: "$ ", Precision: 2}}
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var BTC = wrapper{accounting.Accounting{Symbol: "BTC ", Precision: 8}}
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var BNB = wrapper{accounting.Accounting{Symbol: "BNB ", Precision: 4}}
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const (
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USDT = "USDT"
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USDC = "USDC"
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BUSD = "BUSD"
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)
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var FiatCurrencies = []string{"USDC", "USDT", "USD", "TWD", "EUR", "GBP", "BUSD"}
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// USDFiatCurrencies lists the USD stable coins
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var USDFiatCurrencies = []string{"USDT", "USDC", "USD", "BUSD"}
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func IsUSDFiatCurrency(currency string) bool {
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@ -90,7 +90,9 @@ func (m Market) TruncateQuoteQuantity(quantity fixedpoint.Value) fixedpoint.Valu
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// when side = buy, then available = quote balance
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// The balance will be truncated first in order to calculate the minimal notional and minimal quantity
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// The adjusted (truncated) order quantity will be returned
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func (m Market) GreaterThanMinimalOrderQuantity(side SideType, price, available fixedpoint.Value) (fixedpoint.Value, bool) {
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func (m Market) GreaterThanMinimalOrderQuantity(
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side SideType, price, available fixedpoint.Value,
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) (fixedpoint.Value, bool) {
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switch side {
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case SideTypeSell:
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available = m.TruncateQuantity(available)
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@ -236,3 +238,8 @@ type MarketMap map[string]Market
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func (m MarketMap) Add(market Market) {
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m[market.Symbol] = market
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}
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func (m MarketMap) Has(symbol string) bool {
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_, ok := m[symbol]
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return ok
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}
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