Merge pull request #1302 from c9s/feature/grid2/use-quote-quantity

FEATURE: use quote quantity if there is QuoteQuantity in trade

pkg/exchange/max/convert.go

@@ -302,7 +302,7 @@ func convertWebSocketTrade(t max.TradeUpdate) (*types.Trade, error) {
 		Fee:           t.Fee,
 		FeeCurrency:   toGlobalCurrency(t.FeeCurrency),
 		FeeDiscounted: t.FeeDiscounted,
-		QuoteQuantity: t.Price.Mul(t.Volume),
+		QuoteQuantity: t.Funds,
 		Time:          types.Time(t.Timestamp.Time()),
 	}, nil
 }

pkg/exchange/max/maxapi/userdata.go

@@ -98,6 +98,7 @@ type TradeUpdate struct {
 	Side   string           `json:"sd"`
 	Price  fixedpoint.Value `json:"p"`
 	Volume fixedpoint.Value `json:"v"`
+	Funds  fixedpoint.Value `json:"fn"`
 	Market string           `json:"M"`
 
 	Fee           fixedpoint.Value `json:"f"`

pkg/strategy/grid2/strategy.go

@@ -378,9 +378,9 @@ func (s *Strategy) verifyOrderTrades(o types.Order, trades []types.Trade) bool {
 	return true
 }
 
-// aggregateOrderFee collects the base fee quantity from the given order
+// aggregateOrderQuoteAmountAndBaseFee collects the base fee quantity from the given order
 // it falls back to query the trades via the RESTful API when the websocket trades are not all received.
-func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
+func (s *Strategy) aggregateOrderQuoteAmountAndFee(o types.Order) (fixedpoint.Value, fixedpoint.Value, string) {
 	// try to get the received trades (websocket trades)
 	orderTrades := s.historicalTrades.GetOrderTrades(o)
 	if len(orderTrades) > 0 {
@@ -396,16 +396,17 @@ func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
 		// if one of the trades is missing, we need to query the trades from the RESTful API
 		if s.verifyOrderTrades(o, orderTrades) {
 			// if trades are verified
+			quoteAmount := aggregateTradesQuoteQuantity(orderTrades)
 			fees := collectTradeFee(orderTrades)
 			if fee, ok := fees[feeCurrency]; ok {
-				return fee, feeCurrency
+				return quoteAmount, fee, feeCurrency
 			}
-			return fixedpoint.Zero, feeCurrency
+			return quoteAmount, fixedpoint.Zero, feeCurrency
 		}
 
 		// if we don't support orderQueryService, then we should just skip
 		if s.orderQueryService == nil {
-			return fixedpoint.Zero, feeCurrency
+			return fixedpoint.Zero, fixedpoint.Zero, feeCurrency
 		}
 
 		s.logger.Warnf("GRID: missing #%d order trades or missing trade fee, pulling order trades from API", o.OrderID)
@@ -423,13 +424,14 @@ func (s *Strategy) aggregateOrderFee(o types.Order) (fixedpoint.Value, string) {
 		}
 	}
 
+	quoteAmount := aggregateTradesQuoteQuantity(orderTrades)
 	// still try to aggregate the trades quantity if we can:
 	fees := collectTradeFee(orderTrades)
 	if fee, ok := fees[feeCurrency]; ok {
-		return fee, feeCurrency
+		return quoteAmount, fee, feeCurrency
 	}
 
-	return fixedpoint.Zero, feeCurrency
+	return quoteAmount, fixedpoint.Zero, feeCurrency
 }
 
 func (s *Strategy) processFilledOrder(o types.Order) {
@@ -446,7 +448,6 @@ func (s *Strategy) processFilledOrder(o types.Order) {
 	}
 
 	newQuantity := executedQuantity
-	executedPrice := o.Price
 
 	if o.ExecutedQuantity.Compare(o.Quantity) != 0 {
 		s.logger.Warnf("order #%d is filled, but order executed quantity %s != order quantity %s, something is wrong", o.OrderID, o.ExecutedQuantity, o.Quantity)
@@ -458,16 +459,11 @@ func (s *Strategy) processFilledOrder(o types.Order) {
 		}
 	*/
 
-	// will be used for calculating quantity
-	orderExecutedQuoteAmount := executedQuantity.Mul(executedPrice)
-	// round down order executed quote amount to avoid insufficient balance
-	orderExecutedQuoteAmount = orderExecutedQuoteAmount.Round(s.Market.PricePrecision, fixedpoint.Down)
-
 	// collect trades for fee
 	// fee calculation is used to reduce the order quantity
 	// because when 1.0 BTC buy order is filled without FEE token, then we will actually get 1.0 * (1 - feeRate) BTC
 	// if we don't reduce the sell quantity, than we might fail to place the sell order
-	fee, feeCurrency := s.aggregateOrderFee(o)
+	orderExecutedQuoteAmount, fee, feeCurrency := s.aggregateOrderQuoteAmountAndFee(o)
 	s.logger.Infof("GRID ORDER #%d %s FEE: %s %s",
 		o.OrderID, o.Side,
 		fee.String(), feeCurrency)

pkg/strategy/grid2/strategy_test.go

@@ -651,7 +651,7 @@ func TestStrategy_calculateProfit(t *testing.T) {
 	})
 }
 
-func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
+func TestStrategy_aggregateOrderQuoteAmountAndFee(t *testing.T) {
 	s := newTestStrategy()
 
 	mockCtrl := gomock.NewController(t)
@@ -666,32 +666,34 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
 		OrderID: "3",
 	}).Return([]types.Trade{
 		{
-			ID:          1,
+			ID:            1,
-			OrderID:     3,
+			OrderID:       3,
-			Exchange:    "binance",
+			Exchange:      "binance",
-			Price:       number(20000.0),
+			Price:         number(20000.0),
-			Quantity:    number(0.2),
+			Quantity:      number(0.2),
-			Symbol:      "BTCUSDT",
+			QuoteQuantity: number(4000),
-			Side:        types.SideTypeBuy,
+			Symbol:        "BTCUSDT",
-			IsBuyer:     true,
+			Side:          types.SideTypeBuy,
-			FeeCurrency: "BTC",
+			IsBuyer:       true,
-			Fee:         number(0.2 * 0.01),
+			FeeCurrency:   "BTC",
+			Fee:           number(0.2 * 0.01),
 		},
 		{
-			ID:          1,
+			ID:            1,
-			OrderID:     3,
+			OrderID:       3,
-			Exchange:    "binance",
+			Exchange:      "binance",
-			Price:       number(20000.0),
+			Price:         number(20000.0),
-			Quantity:    number(0.8),
+			Quantity:      number(0.8),
-			Symbol:      "BTCUSDT",
+			QuoteQuantity: number(16000),
-			Side:        types.SideTypeBuy,
+			Symbol:        "BTCUSDT",
-			IsBuyer:     true,
+			Side:          types.SideTypeBuy,
-			FeeCurrency: "BTC",
+			IsBuyer:       true,
-			Fee:         number(0.8 * 0.01),
+			FeeCurrency:   "BTC",
+			Fee:           number(0.8 * 0.01),
 		},
 	}, nil)
 
-	baseFee, _ := s.aggregateOrderFee(types.Order{
+	quoteAmount, fee, _ := s.aggregateOrderQuoteAmountAndFee(types.Order{
 		SubmitOrder: types.SubmitOrder{
 			Symbol:       "BTCUSDT",
 			Side:         types.SideTypeBuy,
@@ -710,7 +712,8 @@ func TestStrategy_aggregateOrderBaseFee(t *testing.T) {
 		ExecutedQuantity: number(1.0),
 		IsWorking:        false,
 	})
-	assert.Equal(t, "0.01", baseFee.String())
+	assert.Equal(t, "0.01", fee.String())
+	assert.Equal(t, "20000", quoteAmount.String())
 }
 
 func TestStrategy_findDuplicatedPriceOpenOrders(t *testing.T) {
@@ -1116,7 +1119,7 @@ func TestStrategy_handleOrderFilled(t *testing.T) {
 	})
 }
 
-func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
+func TestStrategy_aggregateOrderQuoteAmountAndFeeRetry(t *testing.T) {
 	s := newTestStrategy()
 
 	mockCtrl := gomock.NewController(t)
@@ -1161,7 +1164,7 @@ func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
 		},
 	}, nil)
 
-	baseFee, _ := s.aggregateOrderFee(types.Order{
+	quoteAmount, fee, _ := s.aggregateOrderQuoteAmountAndFee(types.Order{
 		SubmitOrder: types.SubmitOrder{
 			Symbol:       "BTCUSDT",
 			Side:         types.SideTypeBuy,
@@ -1180,7 +1183,8 @@ func TestStrategy_aggregateOrderBaseFeeRetry(t *testing.T) {
 		ExecutedQuantity: number(1.0),
 		IsWorking:        false,
 	})
-	assert.Equal(t, "0.01", baseFee.String())
+	assert.Equal(t, "0.01", fee.String())
+	assert.Equal(t, "20000", quoteAmount.String())
 }
 
 func TestStrategy_checkMinimalQuoteInvestment(t *testing.T) {

pkg/strategy/grid2/trade.go

@@ -29,3 +29,17 @@ func aggregateTradesQuantity(trades []types.Trade) fixedpoint.Value {
 	}
 	return tq
 }
+
+// aggregateTradesQuoteQuantity aggregates the quote quantity from the given trade slice
+func aggregateTradesQuoteQuantity(trades []types.Trade) fixedpoint.Value {
+	quoteQuantity := fixedpoint.Zero
+	for _, t := range trades {
+		if t.QuoteQuantity.IsZero() {
+			quoteQuantity = quoteQuantity.Add(t.Price.Mul(t.Quantity))
+		} else {
+			quoteQuantity = quoteQuantity.Add(t.QuoteQuantity)
+		}
+	}
+
+	return quoteQuantity
+}